Cover Page
Cover Page - shares | 3 Months Ended | |
Mar. 31, 2023 | May 05, 2023 | |
Class of Stock [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Mar. 31, 2023 | |
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 | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 67,161,740 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2023 | |
Document Fiscal Period Focus | Q1 | |
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, $0.001 par value per share | |
Trading Symbol | EFC | |
Security Exchange Name | NYSE | |
Series A Preferred Stock | ||
Class of Stock [Line Items] | ||
Title of 12(b) Security | 6.750% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | EFC PR A | |
Security Exchange Name | NYSE | |
Series B Preferred Stock | ||
Class of Stock [Line Items] | ||
Title of 12(b) Security | 6.250% Series B Fixed-Rate Reset Cumulative Redeemable Preferred Stock | |
Trading Symbol | EFC PR B | |
Security Exchange Name | NYSE | |
Series C Preferred Stock | ||
Class of Stock [Line Items] | ||
Title of 12(b) Security | 8.625% Series C Fixed-Rate Reset Cumulative Redeemable Preferred Stock | |
Trading Symbol | EFC PR C | |
Security Exchange Name | NYSE |
Consolidated Balance Sheet
Consolidated Balance Sheet - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 | ||
Assets | ||||
Cash and cash equivalents | $ 188,555 | $ 217,053 | [1] | |
Restricted cash | 1,601 | 4,816 | [1] | |
Securities, at fair value(1)(2) | [1],[2] | 1,389,547 | 1,459,465 | |
Loans, at fair value | [1],[2] | 11,812,567 | 11,626,008 | |
Loan commitments, at fair value | 3,300 | 3,060 | ||
Servicing Asset at Fair Value, Amount | 8,100 | 8,108 | ||
Investment in unconsolidated entities, at fair value | [1] | 118,747 | 127,046 | |
Real estate owned | [1],[2] | 26,717 | 28,403 | |
Financial derivatives—assets, at fair value | 104,033 | 132,518 | ||
Reverse repurchase agreements | 180,934 | 226,444 | ||
Due from brokers | 24,291 | 36,761 | ||
Investment related receivables | [1] | 163,029 | 139,413 | |
Other assets | [1] | 90,105 | 76,791 | |
Total Assets | 14,111,525 | 14,085,886 | ||
Liabilities | ||||
Securities sold short, at fair value | 158,302 | 209,203 | ||
Repurchase agreements | [1] | 2,285,898 | 2,609,685 | |
Financial derivatives—liabilities, at fair value | 24,245 | 54,198 | ||
Due to brokers | 35,431 | 34,507 | ||
Investment related payables | 48,373 | 49,323 | ||
Other secured borrowings | [1] | 363,640 | 276,058 | |
Other secured borrowings, at fair value | [1] | 1,534,592 | 1,539,881 | |
HMBS-related obligations, at fair value | 7,975,916 | 7,787,155 | ||
Senior notes, at fair value | 185,325 | 191,835 | ||
Base management fee payable to affiliate | 4,956 | 4,641 | ||
Incentive Fee Payable | 0 | 0 | ||
Dividends payable | 14,043 | 12,243 | ||
Interest payable | [1] | 14,926 | 22,452 | |
Accrued expenses and other liabilities | [1] | 91,115 | 73,819 | |
Total Liabilities | 12,736,762 | 12,865,000 | ||
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) | 323,920 | 227,432 | ||
Common stock, par value $0.001 per share, 100,000,000 shares authorized; 43,781,684 and 43,781,684 shares issued and outstanding, respectively | 67 | 64 | ||
Additional paid-in-capital | 1,308,107 | 1,259,352 | ||
Retained earnings (accumulated deficit) | (282,262) | (290,881) | ||
Total Stockholders' Equity | 1,349,832 | 1,195,967 | ||
Non-controlling interests | [1] | 24,931 | 24,919 | |
Total Equity | 1,374,763 | 1,220,886 | ||
Total Liabilities and Equity | 14,111,525 | 14,085,886 | ||
Loans, at fair value | [1],[2] | $ 11,812,567 | $ 11,626,008 | |
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Consolidated Balance Sheet (Par
Consolidated Balance Sheet (Parenthetical) - USD ($) | Mar. 31, 2023 | Dec. 31, 2022 |
Statement of Financial Position [Abstract] | ||
Common Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 |
Common stock, shares authorized | 100,000,000 | 100,000,000 |
Common stock, shares issued | 67,185,076 | 63,812,215 |
Common stock, shares outstanding | 67,185,076 | 63,812,215 |
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 | 13,420,421 | 9,420,421 |
Preferred Stock, Shares Outstanding | 13,420,421 | 9,420,421 |
Preferred Stock, Liquidation Preference, Value | $ 335,511 | $ 235,511 |
Consolidated Statement of Opera
Consolidated Statement of Operations - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | ||
Net Interest Income | |||
Interest income | $ 87,174 | $ 51,074 | |
Interest expense | (59,617) | (14,017) | |
Total net interest income | 27,557 | 37,057 | |
Other Income (Loss) | |||
Realized gains (losses) on securities and loans, net | (36,767) | 806 | |
Realized (gains) losses on financial derivatives, net | (25,447) | 23,335 | |
Realized gains (losses) on real estate owned, net | (56) | (27) | |
Unrealized gains (losses) on securities and loans, net | 99,257 | (151,153) | |
Unrealized gains (losses) on financial derivatives, net | 2,763 | 45,307 | |
Unrealized gains (losses) on real estate owned, net | 4 | (571) | |
Unrealized gains (losses) on other secured borrowings, at fair value, net | (29,680) | 55,641 | |
Unrealized gains (losses) on senior notes, at fair value | 6,510 | 0 | |
Net change from reverse mortgage loans, at fair value | 163,121 | 0 | |
Net change related to HMBS obligations, at fair value | (131,534) | 0 | |
Other, net | 3,504 | 1,220 | |
Total other income (loss) | 51,675 | (25,442) | |
Expenses | |||
Base management fee to affiliate (Net of fee rebates) | [1] | 4,956 | 4,266 |
Incentive Fee Expense | 0 | 0 | |
Other investment related expenses | |||
Servicing expense | 4,807 | 1,524 | |
Debt issuance costs related to Other secured borrowings, at fair value | 0 | 2,232 | |
Debt issuance costs related to Senior notes, at fair value | 0 | 3,615 | |
Other | 3,869 | 2,312 | |
Professional fees | 3,556 | 1,177 | |
Compensation and benefits | 14,670 | 2,560 | |
Other expenses | 6,044 | 1,881 | |
Total expenses | 37,902 | 19,567 | |
Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities | 41,330 | (7,952) | |
Income Tax Expense (Benefit) | 21 | (6,960) | |
Earnings (losses) from investments in unconsolidated entities | 3,444 | (5,506) | |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest, Total | 44,753 | (6,498) | |
Net income (loss) attributable to non-controlling interests | 720 | (420) | |
Dividends on preferred stock | 5,117 | 3,824 | |
Net Income (Loss) Attributable to Common Stockholders | $ 38,916 | $ (9,902) | |
Net Income (Loss) per Share of Common Stock: | |||
Basic and Diluted (USD per share) | $ 0.58 | $ (0.17) | |
[1]See Note 15 for further details on management fee rebates. |
Consolidated Statement of Ope_2
Consolidated Statement of Operations (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | ||
Consolidated Statement of Operations (Parenthetical) [Abstract] | |||
Management Fee Expense, Rebates | $ 172 | $ 657 | [1] |
Dividends declared (in usd per share) | $ 0.45 | $ 0.45 | |
Preferred Stock, Dividends Per Share, Declared | $ 1.31563 | $ 0.81250 | |
[1]See Note 15 for further details on management fee rebates. |
Consolidated Statement of Chang
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 | Preferred Stock [Member] | Preferred Stock [Member] Total Stockholders' Equity | Common Stock | Common Stock Total Stockholders' Equity | Common Stock Common Stock | Common Stock Additional Paid-in Capital | |||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | |||||||||||||||||
Preferred Stock, Value, Outstanding | $ 226,939 | ||||||||||||||||
Beginning balance (in shares) at Dec. 31, 2021 | 57,458,169 | 57,458,169 | |||||||||||||||
Beginning balance at Dec. 31, 2021 | $ 1,323,556 | $ 1,291,321 | $ 58 | $ 1,161,603 | $ (97,279) | $ 32,235 | |||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | |||||||||||||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | (6,498) | (6,078) | (6,078) | (420) | |||||||||||||
Stock Issued During Period, Value, New Issues | [1] | $ 493 | $ 493 | $ 38,454 | $ 38,454 | $ 2 | $ 38,452 | ||||||||||
Shares Issued As Payment of Incentive Fee | $ 325 | 325 | 0 | 325 | |||||||||||||
Contributions from non-controlling interests | 5,846 | 5,846 | |||||||||||||||
Dividends | [2] | (26,521) | (26,189) | (26,189) | (332) | ||||||||||||
Dividends, Preferred Stock, Cash | [3] | (3,824) | (3,824) | (3,824) | |||||||||||||
Distributions to non-controlling interests | $ (9,181) | (9,181) | |||||||||||||||
Adjustment to non-controlling interests | (706) | (706) | 706 | ||||||||||||||
Repurchase of shares of common stock (in shares) | 0 | ||||||||||||||||
Share-based long term incentive plan unit awards | $ 288 | 284 | 284 | 4 | |||||||||||||
Ending balance (in shares) at Mar. 31, 2022 | 59,662,263 | 59,662,263 | |||||||||||||||
Ending balance at Mar. 31, 2022 | $ 1,322,938 | 1,294,080 | $ 60 | 1,199,958 | (133,370) | 28,858 | |||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | |||||||||||||||||
Dividends declared (in usd per share) | $ 0.45 | ||||||||||||||||
Preferred Stock, Dividends Per Share, Declared | $ 0.81250 | ||||||||||||||||
Stock Issued During Period, Shares, New Issues | 2,185,000 | 2,185,000 | [1] | ||||||||||||||
Shares Issued As Payment of Incentive Fee, Shares | 19,094 | 19,094 | |||||||||||||||
Preferred Stock, Value, Outstanding | $ 227,432 | ||||||||||||||||
Preferred Stock, Value, Outstanding | $ 227,432 | ||||||||||||||||
Beginning balance (in shares) at Dec. 31, 2022 | 63,812,215 | 63,812,215 | |||||||||||||||
Beginning balance at Dec. 31, 2022 | $ 1,220,886 | 1,195,967 | $ 64 | 1,259,352 | (290,881) | 24,919 | |||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | |||||||||||||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 44,753 | 44,033 | 44,033 | 720 | |||||||||||||
Stock Issued During Period, Value, New Issues | $ 96,488 | $ 96,488 | $ 60,465 | [1] | $ 60,465 | [1] | 4 | [1] | $ 60,461 | [1] | |||||||
Contributions from non-controlling interests | 757 | 757 | |||||||||||||||
Dividends | [2] | (30,664) | (30,297) | (30,297) | (367) | ||||||||||||
Dividends, Preferred Stock, Cash | [3] | (5,117) | (5,117) | (5,117) | |||||||||||||
Distributions to non-controlling interests | $ (1,065) | (1,065) | |||||||||||||||
Adjustment to non-controlling interests | 37 | 37 | (37) | ||||||||||||||
Repurchase of shares of common stock (in shares) | 1,061,000 | (1,061,000) | |||||||||||||||
Repurchase of shares of common stock | $ (12,072) | (12,072) | (12,071) | $ 1 | |||||||||||||
Share-based long term incentive plan unit awards | $ 332 | 328 | 328 | 4 | |||||||||||||
Ending balance (in shares) at Mar. 31, 2023 | 67,185,076 | 67,185,076 | |||||||||||||||
Ending balance at Mar. 31, 2023 | $ 1,374,763 | $ 1,349,832 | $ 67 | $ 1,308,107 | $ (282,262) | $ 24,931 | |||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | |||||||||||||||||
Dividends declared (in usd per share) | $ 0.45 | ||||||||||||||||
Preferred Stock, Dividends Per Share, Declared | $ 1.31563 | ||||||||||||||||
Stock Issued During Period, Shares, New Issues | 4,433,861 | 4,433,861 | [1] | ||||||||||||||
Shares Issued As Payment of Incentive Fee, Shares | 0 | ||||||||||||||||
Preferred Stock, Value, Outstanding | $ 323,920 | ||||||||||||||||
[1]Net of discounts and commissions and offering costs.[2]For each of the three-month periods ended March 31, 2023 and 2022, dividends totaling $0.45 per share of common stock and convertible unit outstanding, were declared.[3]For the three-month periods ended March 31, 2023 and 2022, dividends totaling $1.31563 and $0.81250, respectively, per share of preferred stock were declared. |
Consolidated Statement of Cash
Consolidated Statement of Cash Flows - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | ||
Cash flows provided by (used in) operating activities: | |||
Net cash provided by (used in) operating activities | $ (48,662) | $ 32,931 | |
Cash Flows from Investing Activities: | |||
Purchase of securities | (440,666) | (388,759) | |
Purchase of loans | (675,665) | (1,003,464) | |
Capital improvements of real estate owned | (26) | 0 | |
Proceeds from disposition of securities | 507,153 | 412,385 | |
Proceeds from disposition of loans | 0 | 19,520 | |
Contributions to investments in unconsolidated entities | (5,654) | (2,678) | |
Distributions from investments in unconsolidated entities | 42,530 | 110,042 | |
Proceeds from disposition of real estate owned | 13,082 | 499 | |
Proceeds from principal payments of securities | 38,440 | 93,950 | |
Proceeds from principal payments of loans | 536,983 | 143,039 | |
Proceeds from investments sold short | 127,172 | 327,126 | |
Repurchase of securities sold short | (180,963) | (358,377) | |
Payments on financial derivatives | (93,263) | (17,257) | |
Proceeds from financial derivatives | 70,235 | 40,427 | |
Payments made on reverse repurchase agreements | (10,437,812) | (8,765,502) | |
Proceeds from reverse repurchase agreements | 10,484,229 | 8,757,165 | |
Due from brokers, net | 56 | 16,941 | |
Due to brokers, net | (4,557) | 22,484 | |
Net cash provided by (used in) investing activities | (18,726) | (592,459) | |
Cash flows provided by (used in) financing activities: | |||
Net proceeds from issuance of common stock | [1] | 60,611 | 38,524 |
Proceeds from Issuance of Preferred Stock and Preference Stock | [1] | 96,850 | 506 |
Offering costs paid | (45) | (540) | |
Payments for Repurchase of Common Stock | (12,072) | 0 | |
Dividends paid | (33,981) | (29,105) | |
Contributions from non-controlling interests | 816 | 6,424 | |
Distributions to non-controlling interests | (1,065) | (9,181) | |
Proceeds from issuance of other secured borrowings | 400,278 | 11,632 | |
Principal payments on other secured borrowings | (380,616) | (16,593) | |
Borrowings under repurchase agreements | 9,785,538 | 2,210,217 | |
Repayments of repurchase agreements | (9,967,872) | (1,918,489) | |
Proceeds from Issuance of Unsecured Debt | 0 | 210,000 | |
Proceeds from Issuance of Other Secured Borrowings, at fair value | 0 | 358,388 | |
Proceeds from issuance of HMBS | 332,845 | 0 | |
Due from brokers, net | 13,355 | (31,357) | |
Due to brokers, net | 3,419 | (30) | |
Net cash provided by (used in) financing activities | 35,675 | 830,396 | |
Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash | (31,713) | 270,868 | |
Cash, Cash Equivalents, and Restricted Cash, Beginning of Period | 221,869 | 92,836 | |
Cash, Cash Equivalents, and Restricted Cash, End of Period | 190,156 | 363,704 | |
Supplemental disclosure of cash flow information: | |||
Interest paid | 67,143 | 14,838 | |
Income tax paid | (518) | (24) | |
Dividends payable | 14,043 | 11,615 | |
Transfers from mortgage loans to real estate owned (non-cash) | 3,134 | 948 | |
Transfers from mortgage loans to other sales and claims receivable (non-cash) | 10,501 | 0 | |
Transfers from mortgage loans to investments in non-consolidated entities (non-cash) | 17,175 | 129,912 | |
Purchase of investments (non-cash) | (25,580) | 0 | |
Contributions to investments in non-consolidated entities (non-cash) | (7,957) | 0 | |
Purchase of Loans Non Cash | 72,257 | 0 | |
Principal payments on Other secured borrowings, at fair value (non-cash) | (35,371) | (114,117) | |
Proceeds received from Other secured borrowings, at fair value (non-cash) | 0 | 44,381 | |
Principal payments on Other secured borrowings (non-cash) | 0 | (43,720) | |
Proceeds from issuance of Other secured borrowings (non-cash) | 67,921 | 0 | |
Proceeds from principal payments of investments (non-cash) | 35,371 | 121,587 | |
Proceeds from the disposition of loans (non-cash) | 174,181 | 0 | |
Repayments of repurchase agreement (non-cash) | (141,453) | (43,853) | |
Principal payments on HMBS related obligations, at fair value | 262,386 | 0 | |
Cash and Cash Equivalents, at Carrying Value | 188,555 | 363,529 | |
Restricted cash | $ 1,601 | $ 175 | |
[1]Net of discounts and commissions. |
Organization and Investment Obj
Organization and Investment Objective | 3 Months Ended |
Mar. 31, 2023 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Investment Objective | Organization and Investment Objective Ellington Financial Inc. commenced operations on August 17, 2007 and is a Delaware corporation. Ellington Financial Operating Partnership LLC (the "Operating Partnership"), a 99.1% 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. 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. 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 Ellington Financial Inc.'s Board of Directors (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. On October 3, 2022, the Company completed the acquisition of a controlling interest in Longbridge Financial, LLC ("Longbridge"), a reverse mortgage loan originator and servicer (the "Longbridge Transaction"). As a result of the Longbridge Transaction, the Company consolidates Longbridge's financial results. |
Significant Accounting Policies
Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2023 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | Significant Accounting Policies (A) Basis of Presentation : The Company's unaudited 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. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's 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, 2022. (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 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," 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, reverse mortgage loans, private corporate debt and equity investments, loan commitments, mortgage servicing rights, or "MSRs," other secured borrowings, at fair value, HMBS-related obligations, at fair value, and senior notes, at fair value. 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," forward settling to-be-announced mortgage-backed-securities, or "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 mortgage loans, reverse mortgage loans, 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 loans 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, and in the case of HECM reverse mortgage loans, projected future tail draws. Many adjustable-rate reverse mortgage loans provide the borrower with a line of credit that can be drawn over time, and a "tail draw" is a principal addition that results when a borrower takes such a draw, which may be securitized. Mortgage and consumer loans are classified as Level 3. The Company has elected the fair value option, or "FVO," for its HMBS-related obligations. It determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. The estimated fair value of HMBS-related obligations also includes the consideration that would be required by a market participant to transfer the HECM loan net of the related servicing, including exposure resulting from shortfalls in FHA insurance proceeds. HMBS-related obligations, at fair value are classified as Level 3. The Company has elected the FVO for its MSRs. It determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. MSRs 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, Consolidation ("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 12 " Securitization Transactions — Residential Mortgage Loan Securitizations " for further discussion on the Company's consolidated 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 both external pricing data, which includes third-party valuations, and internal pricing models. The securitized non-QM loans, which are assets of the consolidated CFEs, are included in Loans, at fair value, on the Company's Condensed Consolidated Balance Sheet. The debt issued by the consolidated 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 Unrealized gains (losses) on other secured borrowings, at fair value, 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. The Company has elected the FVO for its loan commitments related to reverse mortgage loans, and uses valuation models incorporating market pricing for instruments with similar characteristics in determining fair value. The valuation model uses various inputs, such as an estimate of the fair value of the servicing rights expected to be recorded upon sale of a loan to a third party, estimated cost to originate the loan, and the expected pull-through rate. The Company's loan commitments are 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 directed by the Manager's Valuation Committee (the "Valuation Committee"), and overseen by the Company's audit 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 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, Investments—Debt and Equity Securities ("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, Financial Instruments ("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, Derivatives and Hedging ("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 SOFR, the Company has determined that such investments do not meet the requirements for treatment as financial derivatives and are classified as securities. The Company applies the principles of ASU 2016-13, Financial Instruments—Credit Losses ("ASU 2016-13") and 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 Condensed Consolidated Statement of Operations. (D) Accounting for Loans : The Company's loan portfolio primarily consists of residential mortgage, commercial mortgage, consumer, and reverse mortgage 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. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. 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. Changes in fair value on residential mortgage, commercial mortgage, consumer, and corporate loans are included as a component of Unrealized gains (losses) on securities and loans, net. Changes in fair value on reverse mortgage loans held-for-investment is included as a component of Net change from reverse mortgage loans, at fair value, on the Condensed Consolidated Statement of Operations. The Company generates income from fees on certain loans, generally reverse mortgage and commercial mortgage loans, that it originates and holds for investment, including origination, servicing, and exit fees. Such fee income is recorded when earned and included in Other, net on the Condensed Consolidated Statement of Operations. 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. Although reverse mortgage loans do not require monthly principal and interest payments, the terms of such loans require the borrower to occupy the property and to stay current on payment of property taxes and homeowners insurance. In the event that the borrower no longer occupies the property due to death or other circumstances or becomes delinquent on their tax or insurance payments, the loan will be classified as inactive. 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. Consistent with 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 Condensed 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 Condensed Consolidated Statement of Operations. (E) Interest Income : The Company generally 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 (including residential and commercial mortgage, and consumer loans) 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). Interest income on reverse mortgage loans held-for-investment is recognized based on the stated rate of the loan. Such interest income is included on the Condensed Consolidated Statement of Operations as a component of Net change from reverse mortgage loans, at fair value. 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. Consistent with 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. 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) Mortgage Servicing Rights : MSRs represent contractual rights to perform specific administrative functions for the underlying loans including specified mortgage servicing activities, which include collecting loan payments, remitting principal and interest payments, managing escrow accounts for mortgage-related expenses such as taxes and insurance, and various other administrative tasks required to adequately service the mortgage loan portfolio. MSRs are created when the Company sells originated or purchased reverse mortgage loans but retains the servicing rights. The Company has elected the FVO for its MSRs in accordance with ASC 860-50, Transfers and Servicing—Servicing assets and liabilities ("ASC 860-50"). Under this methodology, the Company fair values its MSRs on a recurring basis with changes in fair value recorded through earnings on the Condensed Consolidated Statement of Operations in Other, net. The Company accrues a base servicing fee for each serviced loan, typically based on the remaining outstanding principal balance of the loan and a fixed annual percentage fee, which is included in Other, net on the Condensed Consolidated Statement of Operations. Costs of servicing and ancillary fees are recognized as incurred or earned, and are included in Servicing expense on the Condensed Consolidated Statement of Operations. (G) Loan Commitments : The Company's loan commitments relate to certain reverse mortgage loans extended to borrowers. The Company has elected the FVO for its loan commitments which are included in Loan commitments, at fair value on the Condensed Consolidated Balance Sheet. Changes in the fair value of the Company's loan commitments are included in Other, net on the Condensed Consolidated Statement of Operations. (H) 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, Investments—Equity Method and Joint Ventures ("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. (I) Real Estate Owned "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 |
Valuation
Valuation | 3 Months Ended |
Mar. 31, 2023 | |
Fair Value Disclosures [Abstract] | |
Fair Value Disclosures [Text Block] | 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 March 31, 2023 and December 31, 2022: March 31, 2023: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value: Agency RMBS $ — $ 846,919 $ 6,193 $ 853,112 Non-Agency RMBS — 108,667 156,277 264,944 CMBS — 4,655 11,767 16,422 CLOs — 3,494 28,674 32,168 Asset-backed securities, backed by consumer loans — — 72,200 72,200 Corporate debt securities — — 8,347 8,347 Corporate equity securities — — 11,102 11,102 U.S. Treasury securities — 131,252 — 131,252 Loans, at fair value: Residential mortgage loans — — 3,024,744 3,024,744 Commercial mortgage loans — — 374,233 374,233 Consumer loans — — 3,969 3,969 Corporate loans — — 4,920 4,920 Reverse mortgage loans — — 8,404,701 8,404,701 MSRs, at fair value — — 8,100 8,100 Servicing asset, at fair value — — 299 299 Loan commitments, at fair value — — 3,299 3,299 Investment in unconsolidated entities, at fair value — — 118,747 118,747 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities — — 76 76 Credit default swaps on asset-backed indices — 4,846 — 4,846 Credit default swaps on corporate bond indices — 44 — 44 Interest rate swaps — 96,399 — 96,399 TBAs — 1,524 — 1,524 Warrants — 1,056 — 1,056 Futures 88 — — 88 Total assets $ 88 $ 1,198,856 $ 12,237,648 $ 13,436,592 Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Liabilities: Securities sold short, at fair value: Government debt $ — $ (158,302) $ — $ (158,302) Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed indices — (33) — (33) Credit default swaps on corporate bonds — (277) — (277) Credit default swaps on corporate bond indices — (1,720) — (1,720) Interest rate swaps — (13,211) — (13,211) TBAs — (5,623) — (5,623) Futures (3,076) — — (3,076) Forwards — (305) — (305) Other secured borrowings, at fair value — — (1,534,592) (1,534,592) HMBS-related obligations, at fair value — — (7,975,916) (7,975,916) Senior notes, at fair value — — (185,325) (185,325) Total liabilities $ (3,076) $ (179,471) $ (9,695,833) $ (9,878,380) December 31, 2022: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value: Agency RMBS $ — $ 961,236 $ 7,027 $ 968,263 Non-Agency RMBS — 129,676 132,502 262,178 CMBS — 5,604 12,649 18,253 CLOs — 6,463 24,598 31,061 Asset-backed securities, backed by consumer loans — — 73,644 73,644 Corporate debt securities — — 7,533 7,533 Corporate equity securities — — 11,111 11,111 U.S. Treasury securities — 87,422 — 87,422 Loans, at fair value: Residential mortgage loans — — 3,115,518 3,115,518 Commercial mortgage loans — — 404,324 404,324 Consumer loans — — 4,843 4,843 Corporate loans — — 4,086 4,086 Reverse mortgage loans — — 8,097,237 8,097,237 MSRs, at fair value — — 8,108 8,108 Servicing asset, at fair value — — 999 999 Loan commitments, at fair value — — 3,060 3,060 Investment in unconsolidated entities, at fair value — — 127,046 127,046 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities — — 76 76 Credit default swaps on asset-backed indices — 3,366 — 3,366 Credit default swaps on corporate bond indices — 83 — 83 Interest rate swaps — 117,022 — 117,022 TBAs — 7,985 — 7,985 Warrants — 1,137 — 1,137 Futures 2,772 — — 2,772 Forwards — 77 — 77 Total assets $ 2,772 $ 1,320,071 $ 12,034,361 $ 13,357,204 Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Liabilities: Securities sold short, at fair value: Government debt $ — $ (209,203) $ — $ (209,203) Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed indices — (33) — (33) Credit default swaps on corporate bonds — (259) — (259) Credit default swaps on corporate bond indices — (1,513) — (1,513) Interest rate swaps — (50,290) — (50,290) TBAs — (2,007) — (2,007) Futures (96) — — (96) Other secured borrowings, at fair value — — (1,539,881) (1,539,881) HMBS-related obligations, at fair value — — (7,787,155) (7,787,155) Senior notes, at fair value — — (191,835) (191,835) Total liabilities $ (96) $ (263,305) $ (9,518,871) $ (9,782,272) The following tables identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of March 31, 2023 and December 31, 2022: March 31, 2023: Fair Value Valuation Unobservable Input Range Weighted Description Min Max (In thousands) Non-Agency RMBS $ 80,813 Market Quotes Non Binding Third-Party Valuation $ 0.48 $ 137.63 $ 78.99 75,464 Discounted Cash Flows 156,277 Yield 0.0 % 94.1 % 11.4 % Projected Collateral Prepayments 0.0 % 100.0 % 51.3 % Projected Collateral Losses 0.0 % 96.5 % 11.3 % Projected Collateral Recoveries 0.0 % 99.8 % 13.3 % Non-Agency CMBS 10,588 Market Quotes Non Binding Third-Party Valuation $ 5.22 $ 42.76 $ 29.37 1,179 Discounted Cash Flows 11,767 Yield 11.0 % 17.8 % 15.4 % Projected Collateral Losses 1.8 % 49.0 % 6.4 % Projected Collateral Recoveries 51.0 % 96.8 % 92.0 % CLOs 20,630 Market Quotes Non Binding Third-Party Valuation $ 25.00 $ 94.68 $ 79.09 8,044 Discounted Cash Flows 28,674 Yield 3.3 % 40.1 % 19.6 % Agency interest only RMBS 2,340 Market Quotes Non Binding Third-Party Valuation $ 3.38 $ 20.75 $ 13.72 3,853 Option Adjusted Spread ("OAS") 6,193 LIBOR OAS (1)(2) 160 4,232 626 Projected Collateral Prepayments 26.2 % 100.0 % 58.7 % Fair Value Valuation Unobservable Input Range Weighted Description Min Max (continued) (In thousands) ABS backed by consumer loans $ 72,200 Discounted Cash Flows Yield 6.9 % 22.9 % 13.2 % Projected Collateral Prepayments 0.0 % 20.9 % 15.0 % Projected Collateral Losses 0.0 % 28.4 % 20.3 % Corporate debt and equity 19,449 Discounted Cash Flows Yield 0.0 % 60.5 % 15.3 % Performing and re-performing residential mortgage loans 1,304,959 Discounted Cash Flows Yield 3.3 % 22.2 % 8.5 % Securitized residential mortgage loans (3)(4) 1,577,130 Market Quotes Non Binding Third-Party Valuation $ 0.70 $ 99.43 $ 85.93 85,718 Discounted Cash Flows 1,662,848 Yield 3.7 % 50.5 % 7.8 % Non-performing residential mortgage loans 56,937 Discounted Cash Flows Yield 0.2 % 71.3 % 9.1 % Recovery Amount 1.8 % 218.8 % 92.6 % Months to Resolution 8.9 80.5 29.1 Performing commercial mortgage loans 346,116 Discounted Cash Flows Yield 6.1 % 13.9 % 10.8 % Non-performing commercial mortgage loans 28,117 Discounted Cash Flows Yield 12.3 % 52.1 % 17.4 % Recovery Amount 100.0 % 100.6 % 100.5 % Months to Resolution 2.8 3.8 3.2 Consumer loans 3,969 Discounted Cash Flows Yield 10.6 % 36.6 % 17.6 % Projected Collateral Prepayments 0.0 % 19.7 % 11.3 % Projected Collateral Losses 0.0 % 46.3 % 13.2 % Corporate loans 4,920 Discounted Cash Flows Yield 6.0 % 12.5 % 7.7 % Reverse Mortgage Loans—HECM 8,201,512 Discounted Cash Flows Yield 3.2 % 6.1 % 4.2 % Conditional Prepayment Rate 7.1 % 43.9 % 9.3 % Reverse Mortgage Loans—HECM 64,955 Recent Transactions Transaction Price n/a n/a n/a Reverse Mortgage Loans—Proprietary 138,234 Discounted Cash Flows Yield 7.4 % 8.3 % 7.6 % Conditional Prepayment Rate 11.0 % 37.1 % 14.8 % MSRs 8,100 Discounted Cash Flows Yield 12.0 % 12.0 % 12.0 % Conditional Prepayment Rate 11.0 % 37.1 % 13.9 % Servicing Asset 299 Discounted Cash Flows Yield 11.7 % 11.7 % 11.7 % Loan Commitments 3,299 Discounted Cash Flows Pull-through rate 57.4 % 100.0 % 75.9 % Cost to originate 2.0 % 6.6 % 4.8 % Investment in unconsolidated entities—Loan origination entities 35,088 Enterprise Value Equity Price-to-Book (5) 0.9x 1.2x 1.0x Investment in unconsolidated entities—Other 83,117 Enterprise Value Net Asset Value n/a n/a n/a Investment in unconsolidated entities—Loan origination-related entities 542 Recent Transactions Transaction Price n/a n/a n/a 118,747 Fair Value Valuation Unobservable Input Range Weighted Description Min Max (continued) (In thousands) Credit default swaps on asset-backed securities $ 76 Net Discounted Cash Flows Projected Collateral Prepayments 22.9 % 22.9 % 22.9 % Projected Collateral Losses 8.6 % 8.6 % 8.6 % Projected Collateral Recoveries 12.3 % 12.3 % 12.3 % Other secured borrowings, at fair value (3) (1,534,592) Market Quotes Non Binding Third-Party Valuation $ 39.43 $ 99.43 $ 87.55 Yield 5.9% 9.5% 6.8% Projected Collateral Prepayments 93.0% 95.1% 94.0% HMBS-related obligations, at fair value (7,975,916) Discounted Cash Flows Yield 3.1% 6.1% 4.1% Conditional Prepayment Rate 7.1% 43.9% 9.3% Senior notes, at fair value (185,325) Market Quotes Non Binding Third-Party Valuation $ 88.25 $ 88.25 $ 88.25 (1) Shown in basis points. (2) 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 $0.5 million. Including these securities the weighted average was 492 basis points. (3) 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. (4) Includes $10.1 million of non-performing securitized residential mortgage loans. (5) Represents an estimation of where market participants might value an enterprise on a price-to-book basis. For the range minimum, the range maximum, and the weighted average yield, excludes investments in unconsolidated entities with a total fair value of $7.8 million. Including such investment the weighted average price-to-book ratio was 9.2x. December 31, 2022: Fair Value Valuation Unobservable Input Range Weighted Description Min Max (In thousands) Non-Agency RMBS $ 59,831 Market Quotes Non Binding Third-Party Valuation $ 0.45 $ 159.91 $ 69.79 72,671 Discounted Cash Flows 132,502 Yield (1) 0.0 % 95.7 % 12.1 % Projected Collateral Prepayments 0.0 % 100.0 % 52.0 % Projected Collateral Losses 0.0 % 97.4 % 16.5 % Projected Collateral Recoveries 0.0 % 69.5 % 15.4 % Non-Agency CMBS 12,080 Market Quotes Non Binding Third-Party Valuation $ 5.54 $ 69.07 $ 38.37 569 Discounted Cash Flows 12,649 Yield 9.4 % 17.5 % 12.7 % Projected Collateral Losses 1.2 % 39.8 % 5.8 % Projected Collateral Recoveries 60.2 % 96.5 % 92.8 % CLOs 17,925 Market Quotes Non Binding Third-Party Valuation $ 3.96 $ 92.00 $ 57.94 6,673 Discounted Cash Flows 24,598 Yield (2) 13.2 % 36.1 % 23.3 % Agency interest only RMBS 2,358 Market Quotes Non Binding Third-Party Valuation $ 11.83 $ 20.44 $ 16.54 4,669 Option Adjusted Spread ("OAS") 7,027 LIBOR OAS (3)(4) 57 4,217 554 Projected Collateral Prepayments 23.2 % 100.0 % 55.3 % Fair Value Valuation Unobservable Input Range Weighted Description Min Max (continued) (In thousands) ABS backed by consumer loans $ 73,644 Discounted Cash Flows Yield 6.7 % 27.9 % 13.5 % Projected Collateral Prepayments 0.0 % 18.3 % 14.4 % Projected Collateral Losses 0.6 % 35.2 % 21.3 % Corporate debt and equity 18,644 Discounted Cash Flows Yield 0.0 % 49.6 % 16.4 % Performing and re-performing residential mortgage loans 1,416,951 Discounted Cash Flows Yield 0.5 % 53.5 % 8.7 % Securitized residential mortgage loans (5)(6) 1,539,170 Market Quotes Non Binding Third-Party Valuation $ 0.54 $ 98.22 $ 86.45 125,900 Discounted Cash Flows 1,665,070 Yield 4.4 % 40.8 % 8.3 % Non-performing residential mortgage loans 33,497 Discounted Cash Flows Yield 3.7 % 79.6 % 13.7 % Recovery Amount 1.5 % 220.6 % 21.4 % Months to Resolution 3.0 105.6 16.8 Performing commercial mortgage loans 386,741 Discounted Cash Flows Yield 5.2 % 16.5 % 10.5 % Non-performing commercial mortgage loans 17,583 Discounted Cash Flows Yield 23.0 % 25.1 % 24.8 % Recovery Amount 100.0 % 100.5 % 100.4 % Months to Resolution 1.8 5.8 2.3 Consumer loans 4,843 Discounted Cash Flows Yield 10.6 % 28.2 % 17.6 % Projected Collateral Prepayments 0.1 % 21.7 % 12.2 % Projected Collateral Losses 0.4 % 61.2 % 13.2 % Corporate loans 4,086 Discounted Cash Flows Yield 6.0 % 13.0 % 7.1 % Reverse Mortgage Loans—HECM 7,993,635 Discounted Cash Flows Yield 4.2 % 6.3 % 5.2 % Conditional Prepayment Rate 1.8 % 44.6 % 9.8 % Reverse Mortgage Loans—Proprietary 103,602 Discounted Cash Flows Yield 6.5 % 8.6 % 8.1 % Conditional Prepayment Rate 11.0 % 37.1 % 13.8 % MSRs 8,108 Discounted Cash Flows Yield 12.0 % 12.0 % 12.0 % Conditional Prepayment Rate 11.0 % 37.1 % 14.7 % Servicing Asset 999 Discounted Cash Flows Yield 11.7 % 11.7 % 11.7 % Loan Commitments 3,060 Discounted Cash Flows Pull-through rate 56.2 % 100.0 % 73.7 % Cost to originate 2.4% 7.1% 4.4% Investment in unconsolidated entities—Loan origination entities 37,099 Enterprise Value Equity Price-to-Book (7) 1.0x 1.8x 1.1x Investment in unconsolidated entities—Other 88,905 Enterprise Value Net Asset Value n/a n/a n/a Investment in unconsolidated entities—Loan origination-related entities 1,042 Recent Transactions Transaction Price n/a n/a n/a 127,046 Credit default swaps on asset-backed securities 76 Net Discounted Cash Flows Projected Collateral Prepayments 22.9 % 22.9 % 22.9 % Projected Collateral Losses 8.6 % 8.6 % 8.6 % Projected Collateral Recoveries 12.3 % 12.3 % 12.3 % Fair Value Valuation Unobservable Input Range Weighted Description Min Max (continued) (In thousands) Other secured borrowings, at fair value (4) $ (1,539,881) Market Quotes Non Binding Third-Party Valuation $ 54.94 $ 98.22 $ 87.34 Yield 3.7% 8.5% 6.9% Projected Collateral Prepayments 93.3% 96.3% 94.5% HMBS-related obligations, at fair value (7,787,155) Discounted Cash Flows Yield 4.1% 6.1% 5.1% Conditional Prepayment Rate 7.3% 36.7% 9.8% Senior notes, at fair value (191,835) Market Quotes Non Binding Third-Party Valuation $ 91.35 $ 91.35 $ 91.35 (1) For the range minimum, the range maximum, and the weighted average yield, excludes non-Agency RMBS with a negative yield, with a total fair value of $0.2 million. Including these securities the weighted average yield was 11.9%. (2) For the range minimum, the range maximum, and the weighted average yield, excludes CLOs with a negative yield, with a total fair value of $0.6 million. Including these securities the weighted average yield was 22.3%. (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 $0.6 million. Including these securities the weighted average was 437 basis points. (5) 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. (6) Includes $9.0 million of non-performing securitized residential mortgage loans. (7) Represent an estimation of where market participants might value an enterprise on a price-to-book basis. For the range minimum, the range maximum, and the weighted average yield, excludes investment in unconsolidated entity with a total fair value of $7.3 million. Including such investment the weighted average price-to-book ratio was 3.2x. 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-month periods ended March 31, 2023 and 2022 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Three-Month Period Ended March 31, 2023 (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 $ 7,027 $ (349) $ (13) $ 156 $ 141 $ (872) $ 194 $ (91) $ 6,193 Non-Agency RMBS 132,502 132 891 (4,376) 30,533 (23,422) 21,582 (1,565) 156,277 CMBS 12,649 50 — (1,421) — — 758 (269) 11,767 CLOs 24,598 169 89 (614) 1,481 (1) 2,952 — 28,674 Asset-backed securities backed by consumer loans 73,644 (1,327) 78 (2,072) 12,140 (10,263) — — 72,200 Corporate debt securities 7,533 — (258) 271 2,895 (2,094) — — 8,347 Corporate equity securities 11,111 — — (40) 31 — — — 11,102 Loans, at fair value: Residential mortgage loans 3,115,518 (1,662) (5,588) 53,645 320,212 (457,381) — — 3,024,744 Commercial mortgage loans 404,324 — (2) 340 36,220 (66,649) — — 374,233 Consumer loans 4,843 (246) 96 (254) 300 (770) — — 3,969 Corporate loan 4,086 — (100) 1 936 (3) — — 4,920 Reverse mortgage loans (3) 8,097,237 — (3) 171,567 420,478 (284,578) — — 8,404,701 MSRs, at fair value (3) 8,108 — — (8) — — — — 8,100 Servicing asset, at fair value 999 — — (700) — — — — 299 Loan commitments, at fair value 3,060 — — 239 — — — — 3,299 Investments in unconsolidated entities, at fair value 127,046 — 1,472 1,972 30,787 (42,530) — — 118,747 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 76 — 1 — — (1) — — 76 Total assets, at fair value $ 12,034,361 $ (3,233) $ (3,337) $ 218,706 $ 856,154 $ (888,564) $ 25,486 $ (1,925) $ 12,237,648 Liabilities: Other secured borrowings, at fair value (1,539,881) (402) — (29,680) 35,371 — — — (1,534,592) Senior notes, at fair value (191,835) — — 6,510 — — — — (185,325) HMBS-related obligations, at fair value (7,787,155) — — (131,534) 275,618 (332,845) — — (7,975,916) Total liabilities, at fair value $ (9,518,871) $ (402) $ — $ (154,704) $ 310,989 $ (332,845) $ — $ — $ (9,695,833) (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. (3) Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses. 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 March 31, 2023, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2023. For Level 3 financial instruments held by the Company at March 31, 2023, change in net unrealized gain (loss) of $(3.6) million, $225.5 million, $(8) thousand, $(0.7) million, $0.2 million, $(1.9) million, $(29.7) million, $6.5 million, and $(131.5) million for the three-month period ended March 31, 2023 relate to securities, loans , MSRs, servicing asset, loan commitments, investments in unconsolidated entities, other secured borrowings, senior notes, and HMBS-related obligations, respectively. At March 31, 2023, the Company transferred $1.9 million of assets from Level 3 to Level 2 and $25.5 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. Three-Month Period Ended March 31, 2022 (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 $ 9,710 $ (573) $ 362 $ (1,211) $ 399 $ (514) $ 1,500 $ (1,052) $ 8,621 Non-Agency RMBS 134,888 479 (126) (2,391) 3,401 (6,688) 5,998 (18,785) 116,776 CMBS 13,134 41 1,143 (747) 3,101 (2,234) 2,926 (7,838) 9,526 CLOs 26,678 (716) 953 1,610 — (5,781) 2,876 (2,796) 22,824 Asset-backed securities backed by consumer loans 73,108 (1,113) (274) (2,023) 18,792 (11,986) — — 76,504 Corporate debt securities 5,198 — 1,535 (1,508) 1,728 (6,453) — — 500 Corporate equity securities 7,556 — 1,625 (829) 4,127 (2,638) — — 9,841 Loans, at fair value: Residential mortgage loans 2,016,228 (4,467) 1,511 (70,512) 723,095 (232,848) — — 2,433,007 Commercial mortgage loans 326,197 — 10 164 267,642 (164,059) — — 429,954 Consumer loans 62,365 (2,139) (180) (466) 10,946 (60,648) — — 9,878 Corporate loan 10,531 — — — 1,650 (393) — — 11,788 Investment in unconsolidated entities, at fair value 195,643 — 878 (6,384) 139,208 (110,042) — — 219,303 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 303 — (4) 1 4 — — — 304 Total assets, at fair value $ 2,881,539 $ (8,488) $ 7,433 $ (84,296) $ 1,174,093 $ (604,284) $ 13,300 $ (30,471) $ 3,348,826 Liabilities: Other secured borrowings, at fair value (3) $ (984,168) $ — $ — $ 55,641 $ 114,754 $ (402,769) $ — $ — $ (1,216,542) Senior notes, at fair value — — — — — (210,000) — — (210,000) Total liabilities, at fair value $ (984,168) $ — $ — $ 55,641 $ 114,754 $ (612,769) $ — $ — $ (1,426,542) (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. (3) Conformed to current period presentation. 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 March 31, 2022, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2022. For Level 3 financial instruments held by the Company at March 31, 2022, change in net unrealized gain (loss) of $(4.3) million, $(70.3) million, $(7.8) million, $1 thousand, and $55.6 million, for the three-month period ended March 31, 2022 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, and other secured borrowings, at fair value, respectively. At March 31, 2022, the Company transferred $30.5 million of assets from Level 3 to Level 2 and $13.3 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 March 31, 2023 and December 31, 2022: As of March 31, 2023 December 31, 2022 (In thousands) Fair Value Carrying Value Fair Value Carrying Value Other financial instruments Assets: Cash and cash equivalents $ 188,555 $ 188,555 $ 217,053 $ 217,053 Restricted cash 1,601 1,601 4,816 4,816 Due from brokers 24,291 24,291 36,761 36,761 Reverse repurchase agreements 180,934 180,934 226,444 226,444 Liabilities: Repurchase agreements 2,285,898 2,285,898 2,609,685 2,609,685 Other secured borrowings 363,640 363,640 276,058 276,058 Due to brokers 35,431 35,431 34,507 34,507 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. Senior notes, net 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. |
Investment in Securities
Investment in Securities | 3 Months Ended |
Mar. 31, 2023 | |
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 March 31, 2023 and December 31, 2022. March 31, 2023: 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 $ 82,439 $ 1,090 $ 83,529 $ 111 $ (6,554) $ 77,086 2.55 % 2.04 % 3.92 20-year fixed-rate mortgages 7,023 366 7,389 — (1,194) 6,195 2.41 % 1.57 % 6.77 30-year fixed-rate mortgages 761,446 14,982 776,428 1,185 (57,240) 720,373 3.78 % 3.33 % 7.74 Adjustable rate mortgages 5,952 574 6,526 — (645) 5,881 3.49 % 2.22 % 4.72 Reverse mortgages 28,159 3,486 31,645 — (3,007) 28,638 4.17 % 2.61 % 4.93 Interest only securities n/a n/a 14,717 1,093 (871) 14,939 1.29 % 10.68 % 5.32 Non-Agency RMBS 393,738 (135,108) 258,630 5,943 (29,365) 235,208 4.61 % 8.53 % 6.52 CMBS 38,996 (17,527) 21,469 337 (8,681) 13,125 2.54 % 8.32 % 8.55 Non-Agency interest only securities n/a n/a 29,771 5,214 (1,952) 33,033 0.18 % 14.87 % 6.97 CLOs n/a n/a 46,990 2,922 (17,744) 32,168 2.09 % 8.72 % 2.92 ABS backed by consumer loans 118,319 (35,170) 83,149 341 (11,290) 72,200 12.00 % 13.67 % 1.24 Corporate debt 31,394 (23,316) 8,078 819 (550) 8,347 — % — % 2.55 Corporate equity n/a n/a 9,258 3,141 (1,297) 11,102 n/a n/a n/a U.S. Treasury securities 130,153 219 130,372 1,540 (660) 131,252 3.73 % 3.67 % 6.43 Total Long 1,597,619 (190,404) 1,507,951 22,646 (141,050) 1,389,547 1.45 % 5.31 % 6.59 Short: U.S. Treasury securities (141,340) 1,803 (139,537) 6,501 (26) (133,062) 2.11 % 2.34 % 3.79 European sovereign bonds (26,668) (1,025) (27,693) 2,453 — (25,240) 0.01 % 0.15 % 1.93 Total Short (168,008) 778 (167,230) 8,954 (26) (158,302) 1.78 % 1.98 % 3.50 Total $ 1,429,611 $ (189,626) $ 1,340,721 $ 31,600 $ (141,076) $ 1,231,245 1.44 % 4.97 % 6.27 (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) Expected 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, 2022: 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 $ 140,409 $ 4,613 $ 145,022 $ — $ (14,892) $ 130,130 2.59 % 1.73 % 4.30 20-year fixed-rate mortgages 7,253 380 7,633 — (1,301) 6,332 2.41 % 1.57 % 6.95 30-year fixed-rate mortgages 846,582 20,961 867,543 228 (89,105) 778,666 3.54 % 3.12 % 8.57 Adjustable rate mortgages 6,410 581 6,991 — (737) 6,254 3.41 % 2.20 % 4.79 Reverse mortgages 29,658 3,511 33,169 — (3,180) 29,989 3.50 % 2.60 % 4.84 Interest only securities n/a n/a 17,365 1,179 (1,652) 16,892 1.36 % 10.11 % 5.32 Non-Agency RMBS 388,304 (130,167) 258,137 5,228 (24,475) 238,890 4.33 % 7.29 % 5.74 CMBS 38,996 (17,722) 21,274 287 (6,992) 14,569 2.54 % 8.43 % 8.33 Non-Agency interest only securities n/a n/a 24,588 3,566 (1,182) 26,972 0.18 % 14.21 % 7.65 CLOs n/a n/a 45,240 3,217 (17,396) 31,061 2.16 % 9.37 % 3.06 ABS backed by consumer loans 115,604 (28,282) 87,322 278 (13,956) 73,644 11.87 % 13.42 % 1.21 Corporate debt 30,872 (23,337) 7,535 551 (553) 7,533 — % — % 2.16 Corporate equity n/a n/a 9,799 2,941 (1,629) 11,111 n/a n/a n/a U.S. Treasury securities 88,699 640 89,339 — (1,917) 87,422 3.58 % 3.46 % 7.06 Total Long 1,692,787 (168,822) 1,620,957 17,475 (178,967) 1,459,465 1.59 % 4.70 % 6.93 Short: U.S. Treasury securities (200,850) 6,132 (194,718) 10,025 (731) (185,424) 2.18 % 2.60 % 5.16 European sovereign bonds (25,320) (1,508) (26,828) 3,049 — (23,779) 0.01 % 0.04 % 2.17 Total Short (226,170) 4,624 (221,546) 13,074 (731) (209,203) 1.94 % 2.29 % 4.82 Total $ 1,466,617 $ (164,198) $ 1,399,411 $ 30,549 $ (179,698) $ 1,250,262 1.58 % 4.41 % 6.67 (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) Expected 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 March 31, 2023 and December 31, 2022. March 31, 2023: ($ 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 $ 19,952 $ 20,363 3.72 % $ 1,985 $ 2,168 0.69 % Greater than three years and less than seven years 316,968 336,873 4.16 % 10,081 9,705 1.96 % Greater than seven years and less than eleven years 499,799 546,523 3.37 % 2,596 2,518 1.58 % Greater than eleven years 1,454 1,758 2.50 % 277 326 0.69 % Total $ 838,173 $ 905,517 3.66 % $ 14,939 $ 14,717 1.29 % (1) Expected 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, 2022: ($ 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 $ 20,547 $ 21,976 3.57 % $ 2,202 $ 2,501 0.90 % Greater than three years and less than seven years 242,472 267,229 3.46 % 11,081 11,343 1.58 % Greater than seven years and less than eleven years 685,742 768,041 3.38 % 3,345 3,207 1.94 % Greater than eleven years 2,610 3,112 2.72 % 264 314 0.68 % Total $ 951,371 $ 1,060,358 3.40 % $ 16,892 $ 17,365 1.36 % (1) Expected 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 March 31, 2023 and December 31, 2022. March 31, 2023: ($ 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 $ 81,904 $ 85,166 3.62 % $ 7,267 $ 6,653 0.15 % $ 97,458 $ 118,386 5.47 % Greater than three years and less than seven years 80,754 86,740 5.61 % 3,089 3,704 1.50 % 133,695 137,301 3.51 % Greater than seven years and less than eleven years 52,894 67,798 4.26 % 22,351 19,124 0.16 % 12,814 12,902 4.13 % Greater than eleven years 32,781 40,395 4.48 % 326 290 1.24 % — — — % Total $ 248,333 $ 280,099 4.42 % $ 33,033 $ 29,771 0.18 % $ 243,967 $ 268,589 4.78 % (1) Expected 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 ABS 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, 2022: ($ 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 $ 81,122 $ 84,695 3.66 % $ 4,347 $ 3,913 0.15 % $ 96,371 $ 120,086 5.42 % Greater than three years and less than seven years 109,722 115,716 5.41 % 3,723 4,247 1.47 % 53,804 59,754 3.69 % Greater than seven years and less than eleven years 36,179 44,611 3.05 % 18,902 16,428 0.16 % 49,485 49,596 4.01 % Greater than eleven years 26,436 34,389 3.53 % — — — % — — — % Total $ 253,459 $ 279,411 4.17 % $ 26,972 $ 24,588 0.18 % $ 199,660 $ 229,436 4.91 % (1) Expected 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 ABS 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 table details the components of interest income by security type for the three-month periods ended March 31, 2023 and 2022: Three-Month Period Ended (In thousands) March 31, 2023 March 31, 2022 Security Type Coupon Interest Net Amortization Interest Income Coupon Interest Net Amortization Interest Income Agency RMBS $ 9,349 $ (2,228) $ 7,121 $ 14,335 $ (6,137) $ 8,198 Non-Agency RMBS and CMBS 6,431 161 6,592 4,086 28 4,114 CLOs 953 187 1,140 1,729 (585) 1,144 Other securities (1) 5,843 (1,374) 4,469 5,557 (1,113) 4,444 Total $ 22,576 $ (3,254) $ 19,322 $ 25,707 $ (7,807) $ 17,900 (1) Other securities includes ABS backed by consumer loans, corporate debt securities, and U.S. Treasury securities. For the three-month periods ended March 31, 2023 and 2022 the Catch-Up Premium Amortization Adjustment was $(0.5) million and $(0.6) million, respectively. The following tables present proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three-month periods ended March 31, 2023 and 2022. Three-Month Period Ended (In thousands) March 31, 2023 Security Type Proceeds (1) Gross Realized Gains Gross Realized Losses (2) Net Realized Gain (Loss) Agency RMBS $ 205,504 $ 796 $ (26,336) $ (25,540) Non-Agency RMBS and CMBS 27,188 1,084 (15) 1,069 CLOs — 89 — 89 Other securities (3) 274,056 320 (1,749) (1,429) Total $ 506,748 $ 2,289 $ (28,100) $ (25,811) (1) Includes proceeds on sales of securities not yet settled as of period end. (2) Excludes realized losses of $(5.7) million for the three-month period ended March 31, 2023, 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. (3) Other securities includes ABS backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. Three-Month Period Ended (In thousands) March 31, 2022 Security Type Proceeds (1) Gross Realized Gains Gross Realized Losses (2) Net Realized Gain (Loss) Agency RMBS $ 391,924 $ 1,203 $ (12,500) $ (11,297) Non-Agency RMBS and CMBS 6,509 1,957 (39) 1,918 CLOs 16,366 1,981 (619) 1,362 Other securities (3) 15,697 3,473 (315) 3,158 Total $ 430,496 $ 8,614 $ (13,473) $ (4,859) (1) Includes proceeds on sales of securities not yet settled as of period end. (2) Excludes realized losses of $(1.6) million for the three-month period ended March 31, 2022, 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. (3) Other securities includes ABS backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. The following tables present 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 March 31, 2023 and December 31, 2022. March 31, 2023: (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 $ 281,597 $ (10,070) $ 440,429 $ (58,421) $ 722,026 $ (68,491) Non-Agency RMBS and CMBS 32,147 (2,724) 31,886 (7,850) 64,033 (10,574) CLOs — — 14,157 (2,531) 14,157 (2,531) Other securities (1) 61,182 (1,112) 1,145 (847) 62,327 (1,959) Total $ 374,926 $ (13,906) $ 487,617 $ (69,649) $ 862,543 $ (83,555) (1) Other securities includes corporate debt and equity securities. December 31, 2022: (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 $ 577,047 $ (51,817) $ 326,223 $ (57,564) $ 903,270 $ (109,381) Non-Agency RMBS and CMBS 46,644 (5,205) 26,194 (4,959) 72,838 (10,164) CLOs 6,035 (466) 12,212 (3,488) 18,247 (3,954) Other securities (1) 90,523 (2,855) 726 (693) 91,249 (3,548) Total $ 720,249 $ (60,343) $ 365,355 $ (66,704) $ 1,085,604 $ (127,047) (1) Other securities includes corporate debt and equity 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 March 31, 2023 and December 31, 2022, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $36.6 million and $35.1 million, respectively, related to adverse changes in estimated future cash flows on its securities. The Company has determined for certain securities that a portion of such securities cost basis is not collectible. For the three-month periods ended March 31, 2023 and 2022, the Company recognized realized losses on these securities of $(5.7) million and $(1.6) million, respectively. Such losses are reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. |
Investment in Loans
Investment in Loans | 3 Months Ended |
Mar. 31, 2023 | |
Receivables [Abstract] | |
Investment in Loans | Investment in Loans The Company invests in various types of loans, such as residential mortgage, commercial mortgage, consumer, corporate, and reverse mortgage 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 March 31, 2023 and December 31, 2022: As of (In thousands) March 31, 2023 December 31, 2022 Loan Type Unpaid Principal Balance Fair Unpaid Principal Balance Fair Residential mortgage loans $ 3,261,327 $ 3,024,744 $ 3,404,544 $ 3,115,518 Commercial mortgage loans 376,291 374,233 406,721 404,324 Consumer loans 4,341 3,969 5,190 4,843 Corporate loans 4,965 4,920 4,132 4,086 Reverse mortgage loans 8,038,532 8,404,701 7,788,490 8,097,237 Total $ 11,685,456 $ 11,812,567 $ 11,609,077 $ 11,626,008 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, such as the COVID-19 pandemic. The following table provides details, by loan type, for residential and commercial mortgage and consumer loans that are 90 days or more past due as of March 31, 2023 and December 31, 2022: As of March 31, 2023 December 31, 2022 (In thousands) Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value 90 days or more past due—non-accrual status Residential mortgage loans $ 72,398 $ 68,094 $ 50,994 $ 47,022 Commercial mortgage loans 28,261 28,117 17,656 17,583 Consumer loans 124 102 170 145 Residential Mortgage Loans The tables below detail certain information regarding the Company's residential mortgage loans as of March 31, 2023 and December 31, 2022. March 31, 2023: 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) $ 3,261,327 $ 42,841 $ 3,304,168 $ 3,882 $ (283,306) $ 3,024,744 6.56 % 6.17 % 4.22 (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 $1.663 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $(251.7) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 12 for additional information. December 31, 2022: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Gains Losses Fair Value Coupon Yield Life (Years) (1) Residential mortgage loans, held-for-investment (2) $ 3,225,997 $ 43,806 $ 3,269,803 $ 2,143 $ (327,316) $ 2,944,630 6.39 % 5.97 % 3.57 Residential mortgage loans, held-for-sale 178,547 311 178,858 464 (8,434) 170,888 6.68 6.44 % 3.99 Total residential mortgage loans $ 3,404,544 $ 44,117 $ 3,448,661 $ 2,607 $ (335,750) $ 3,115,518 6.41 % 5.99 % 3.59 (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 $1.665 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $(291.7) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 12 for additional information. 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 March 31, 2023 and December 31, 2022: Property Location by U.S. State March 31, 2023 December 31, 2022 California 32.1 % 33.2 % Florida 18.2 % 17.2 % Texas 10.2 % 10.3 % Utah 3.4 % 3.4 % Arizona 3.0 % 3.1 % North Carolina 2.8 % 2.8 % Georgia 2.7 % 2.6 % Pennsylvania 2.5 % 2.3 % Tennessee 2.1 % 2.1 % New Jersey 2.0 % 1.8 % Massachusetts 1.9 % 1.9 % Nevada 1.7 % 1.8 % Illinois 1.7 % 1.6 % Colorado 1.6 % 1.7 % Washington 1.6 % 1.7 % New York 1.4 % 1.4 % Oregon 1.2 % 1.3 % Ohio 1.1 % 1.1 % Maryland 1.0 % 1.0 % Connecticut 1.0 % 0.9 % Other 6.8 % 6.8 % 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 March 31, 2023 and December 31, 2022. As of March 31, 2023 December 31, 2022 (In thousands) Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value Re-performing $ 9,475 $ 8,190 $ 9,903 $ 8,836 Non-performing 71,211 67,030 49,144 45,110 As described in Note 2, the Company evaluates the cost basis of its residential mortgage loans for impairment on at least a quarterly basis. As of March 31, 2023 and December 31, 2022, the Company had expected future credit losses related to adverse changes in estimated future cash flows, which it tracks for purposes of calculating interest income, of $23.4 million and $23.7 million, respectively, related to its residential mortgage loans. As of March 31, 2023 and December 31, 2022, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $43.4 million and $27.7 million, respectively. Commercial Mortgage Loans The tables below detail certain information regarding the Company's commercial mortgage loans as of March 31, 2023 and December 31, 2022: March 31, 2023: Gross Unrealized Weighted Average ($ 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 $ 376,291 $ — $ 376,291 $ 2 $ (2,060) $ 374,233 11.26 % 11.12 % 0.82 (1) Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $28.1 million. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2022: Gross Unrealized Weighted Average ($ 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 $ 406,721 $ — $ 406,721 $ 1 $ (2,398) $ 404,324 10.76 % 10.66 % 0.93 (1) Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $17.6 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 March 31, 2023 and December 31, 2022: Property Location by U.S. State March 31, 2023 December 31, 2022 Florida 19.2 % 20.5 % Texas 14.4 % 13.4 % New York 14.2 % 9.4 % Arizona 7.7 % 9.0 % Massachusetts 6.3 % 5.5 % Michigan 6.0 % 5.5 % New Jersey 5.5 % 6.2 % Illinois 5.0 % 4.6 % Oklahoma 4.5 % 4.2 % Ohio 4.1 % 3.8 % Georgia 4.0 % 5.4 % North Carolina 4.0 % 3.7 % Connecticut 2.4 % 2.2 % Louisiana 1.7 % 1.5 % Pennsylvania — % 1.5 % New Hampshire — % 2.2 % Rhode Island — % 1.0 % Other 1.0 % 0.4 % 100.0 % 100.0 % As of March 31, 2023, the Company had three non-performing commercial mortgage loans with an unpaid principal balance and fair value of $28.3 million and $28.1 million, respectively. As of December 31, 2022, the Company had two non-performing commercial mortgage loan with an unpaid principal balance and fair value of $17.7 million and $17.6 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. As of March 31, 2023 and December 31, 2022, the expected future credit losses, which the Company tracks for purposes of calculating interest income, of $2.1 million and $2.4 million, related to adverse changes in estimated future cash flows on its commercial mortgage loans. The Company did not have any commercial mortgage loans in the process of foreclosure as of March 31, 2023 or December 31, 2022. Consumer Loans The tables below detail certain information regarding the Company's consumer loans as of March 31, 2023 and December 31, 2022: March 31, 2023: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value (1) Life (Years) (2) Delinquency (Days) Consumer loans, held-for-investment $ 4,341 $ 186 $ 4,527 $ 274 $ (832) $ 3,969 0.78 11 (1) Includes $0.1 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2022: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value (1) Life (Years) (2) Delinquency (Days) Consumer loans, held-for-investment $ 5,190 $ (43) $ 5,147 $ 341 $ (645) $ 4,843 0.81 10 (1) Includes $0.2 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 March 31, 2023 and December 31, 2022. Days Past Due March 31, 2023 December 31, 2022 Current 89.3 % 90.3 % 30-59 Days 4.5 % 4.2 % 60-89 Days 3.4 % 2.3 % 90-119 Days 2.6 % 3.1 % >120 Days 0.2 % 0.1 % 100.0 % 100.0 % During the three-month periods ended March 31, 2023 and 2022, the Company charged off $0.2 million and $1.3 million, respectively, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. As of March 31, 2023 and December 31, 2022, the Company held charged-off consumer loans with an aggregate fair value of $0.1 million and $0.2 million, respectively, 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. As of both March 31, 2023 and December 31, 2022, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $0.5 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 the three-month periods ended March 31, 2023 and 2022, the Company recognized realized losses on these loans of $(0.3) million and $(26) thousand, respectively. Corporate Loans The tables below detail certain information regarding the Company's corporate loans as of March 31, 2023 and December 31, 2022: March 31, 2023: Weighted Average ($ in thousands) Unpaid Fair Value Rate Remaining Term (Years) Corporate loans, held-for-investment (1) $ 4,965 $ 4,920 8.05 % 2.36 (1) See Note 23 for further details on the Company's unfunded commitments related to certain of its corporate loans. December 31, 2022: Weighted Average ($ in thousands) Unpaid Fair Value Rate Remaining Term (Years) Corporate loans, held-for-investment (1) $ 4,132 $ 4,086 5.47 % 2.74 (1) See Note 23 for further details on the Company's unfunded commitments related to certain of its corporate loans. Reverse Mortgage Loans The table below details certain information regarding the Company's reverse mortgage loans as of March 31, 2023 and December 31, 2022. March 31, 2023: Weighted Average ($ in thousands) Unpaid Principal Balance Fair Value Coupon Life (Years) Reverse mortgage loans, held-for-investment HECM loans collateralizing HMBS $ 7,723,014 $ 8,078,684 6.12 % 5.10 Unsecuritized HECM loans (1) 186,402 187,783 6.69 % 4.73 Total reverse mortgage loans, held-for-investment 7,909,416 8,266,467 6.14 % 5.09 Reverse mortgage loans, held-for-sale 129,116 138,234 10.47 % 16.81 Total reverse mortgage loans $ 8,038,532 $ 8,404,701 6.21 % 5.28 (1) Includes unpoolable HECM loans with an unpaid principal balance of $80.5 million. December 31, 2022: Weighted Average ($ in thousands) Unpaid Principal Balance Fair Value Coupon Life (Years) Reverse mortgage loans, held-for-investment HECM loans collateralizing HMBS $ 7,577,139 $ 7,873,964 5.80 % 4.99 Unsecuritized HECM loans 110,911 119,671 6.53 % 7.15 Total reverse mortgage loans, held-for-investment 7,688,050 7,993,635 5.81 % 5.02 Reverse mortgage loans, held-for-sale 100,440 103,602 10.35 % 17.63 Total reverse mortgage loans $ 7,788,490 $ 8,097,237 5.87 % 5.18 Unpoolable HECM loans can include unsecuritized subsequent tail loans on inactive HECM loans as well as HECM loans that have reached 98% of their respective maximum claim amount, or the "MCA, and repurchased from the HMBS pool, or "HECM Buyout Loans." The MCA is equal to the lesser of a home's appraised value at the point in time that the conditional commitment is issued or the maximum loan limit that can be insured by FHA. Unpoolable HECM loans are not eligible for securitization into HMBS. HECM loans where the borrower is deceased, no longer occupies the property, or is delinquent on tax and/or insurance payments, are categorized as "inactive." Inactive HECM loans are generally foreclosed upon and subsequently sold. Active HECM loans that have reached the MCA and have been repurchased from the HMBS pool, or "ABOs," are subsequently assigned to the U.S. Department of Housing and Urban Development, or "HUD," which then reimburses the Company for the outstanding debt on the repurchased loan, up to the MCA. For inactive HECM Buyout Loans, or "NABOs," following resolution of the loan the Company files a claim with HUD for any recoverable remaining principal and advance balances. The timing and amount of the Company obligations with respect to MCA repurchases is uncertain as repurchase is dependent largely on circumstances outside of the Company’s control, including the amount and timing of future draws and the status of the loan. The following table provides details on the Company's unpoolable HECM loans as of March 31, 2023: (In thousands) March 31, 2023 Unpoolable HECM Loan Type Unpaid Fair Value ABOs $ 55,656 $ 51,963 NABOs 20,499 16,352 HECM tail loans (1) 4,392 4,411 Total unpoolable HECM loans $ 80,547 $ 72,726 (1) Includes HECM tail loans where the borrower is not in compliance with the terms of the underlying loan. In March 2023, the Company entered into various agreements including a Master Loan Purchase and Servicing Agreement (the "MLPS Agreement") with a third party (the "MLPS Counterparty"), whereby it agreed to purchase and service HECM Buyout Loans with an unpaid principal balance of $80.1 million that had been previously repurchased from various HMBS pools by a third party HMBS issuer, and simultaneously finance such loans with the MLPS Counterparty. As of March 31, 2023, the Company held HECM Buyout Loans purchased under the MLPS Agreement with a fair value of $65.0 million, which are included in Loans, at fair value on the Condensed Consolidated Balance Sheet. Under the terms of the purchase, the Company held back a portion of the proceeds which are to be paid to the MLPS Counterparty once an extended due diligence period concludes; as of March 31, 2023, $4.4 million was due to the MLPS Counterparty pursuant to this holdback, which is included in Accrued expenses and other liabilities on the Condensed Consolidated Balance Sheet. As of March 31, 2023, the Company had $299.2 million in unpaid principal balance of inactive reverse mortgage loans, of which $296.5 million related to HECM loans and the remainder related to proprietary reverse mortgage loans. As of December 31, 2022, the Company had $267.0 million in unpaid principal balance of inactive reverse mortgage loans, of which $265.9 million related to HECM loans and the remainder related to proprietary reverse mortgage loans. The table below summarizes the geographic distribution of the real estate collateral underlying the Company's reverse mortgage loans as a percentage of total outstanding unpaid principal balance, as of March 31, 2023 and December 31, 2022. Property Location by U.S. State March 31, 2023 December 31, 2022 California 27.9 % 31.5 % Florida 9.2 % 9.1 % Colorado 6.7 % 6.4 % Arizona 5.9 % 5.7 % Washington 5.2 % 4.9 % Utah 4.8 % 4.5 % Texas 4.3 % 4.0 % Oregon 3.0 % 2.8 % Massachusetts 2.6 % 2.4 % Idaho 2.6 % 2.3 % New York 2.4 % 2.2 % Nevada 2.2 % 2.1 % North Carolina 2.0 % 1.9 % Virginia 1.8 % 1.7 % Ohio 1.6 % 1.5 % Georgia 1.5 % 1.3 % Maryland 1.5 % 1.4 % New Jersey 1.4 % 1.4 % South Carolina 1.4 % 1.4 % Pennsylvania 1.3 % 1.2 % Tennessee 1.2 % 1.1 % Other 9.5 % 9.2 % 100.0 % 100.0 % |
Mortgage Servicing Rights
Mortgage Servicing Rights | 3 Months Ended |
Mar. 31, 2023 | |
Mortgage Servicing Rights [Abstract] | |
Mortgage Servicing Rights | Mortgage Servicing Rights Certain of the reverse mortgage loans originated by the Company are ineligible for inclusion in HMBS, and are not guaranteed by the FHA ("Proprietary reverse mortgage loans"). The Company has entered into a Sale and Servicing Agreement (the "Sale and Servicing Agreement) with a third party (the "Proprietary Loan Purchaser") whereby the Company originated reverse mortgage loans based on specific proprietary criteria and committed to sell such loans to the Proprietary Loan Purchaser. Upon the sale of such loans to the Proprietary Loan Purchaser, the Company retained the rights and obligations of servicing such loans and an MSR asset was recorded. As of March 31, 2023, the Company was servicing a portfolio of Proprietary reverse mortgage loans with an unpaid principal balance of $784.6 million, and the fair value of the related MSRs was $8.1 million. As of December 31, 2022, the Company was servicing a portfolio of Proprietary reverse mortgage loans with an unpaid principal balance of $774.6 million, and the fair value of the related MSRs was $8.1 million. The value of these MSRs is driven by the net cash flows associated with servicing activities, which include contractually specified servicing fees, late fees, and other ancillary servicing revenue. The Company recognized income of $(8) thousand related to its MSRs for the three-month period ended March 31, 2023, which is included in Other (net) on the Condensed Consolidated Statement of Operations. The Company did not hold any MSRs during the three-month period ended March 31, 2022. |
Investments in Unconsolidated E
Investments in Unconsolidated Entities | 3 Months Ended |
Mar. 31, 2023 | |
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 March 31, 2023 and December 31, 2022, the Company's investments in unconsolidated entities had an aggregate fair value of $118.7 million and $127.0 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 March 31, 2023 and 2022, the Company recognized $3.4 million and $(5.5) 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 March 31, 2023 and December 31, 2022, the fair value of the Company's investments in unconsolidated entities that have been deemed to be VIEs was $81.8 million and $82.4 million, respectively. The following table provides details about the Company's investments in unconsolidated entities as of March 31, 2023 and December 31, 2022: Percentage Ownership Investment in Unconsolidated Entity Form of Investment March 31, 2023 December 31, 2022 Loan Originators: LendSure Mortgage Corp. (1)(2) Common shares 49.9% 49.9% Other (1) Various 24.7%–50.0% 24.7%–80.0% Co-investments with Ellington affiliate(s) (1) : Elizon DB 2015-1 LLC (3)(4) Membership Interest 17.1% 14.6% Elizon NM CRE 2020-1 LLC (3)(5) Membership Interest 15.9% 20.2% Elizon CH CRE 2021-1 LLC (3)(6) Membership Interest 30.3% 34.2% Elizon NAT CRE 2021-1 LLC (3)(7) Membership Interest 12.2% 15.5% Equity investments in securitization-related vehicles, including risk retention vehicles (8) Membership Interest 24.6%–84.5% 24.6%–84.5% Other: Jepson Holdings Limited (1)(3) Membership Interest 1.8% 1.9% Other (1)(3)(9) Various 6.1%-79.0% 9.9%–79.0% (1) See Note 15 for additional details on the Company's related party transactions. (2) Excludes investment in equity interests convertible into non-voting common shares; including such interests the Company's additional non-voting stake in the entity was 13.8% as of both March 31, 2023 and December 31, 2022. See Note 15 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 15 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 15) each consolidate their segregated silos of the Joint Entity (as defined in Note 15). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 56.7% and 62.4% as of March 31, 2023 and December 31, 2022, respectively. (5) As discussed in Note 15 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 15) each consolidate their segregated silos of the Joint Entity (as defined in Note 15). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 63.1% and 54.2% as of March 31, 2023 and December 31, 2022, respectively. (6) As discussed in Note 15 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 15) each consolidate their segregated silos of the Joint Entity (as defined in Note 15). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 56.0% and 57.4% as of March 31, 2023 and December 31, 2022, respectively. (7) As discussed in Note 15 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 15) each consolidate their segregated silos of the Joint Entity (as defined in Note 15). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 60.6% and 66.6% as of March 31, 2023 and December 31, 2022. (8) Includes interests in Consumer Risk Retention Vehicles, as defined in Note 12 —Participation in Multi-Seller Consumer Loan Securitizations, and Participated Risk Retention Vehicle and Residential Loan JV, as defined in Note 12 —Residential Mortgage Loan Securitizations . The Company has evaluated these entities and determined that they do not meet the definition of a VIE. The Company evaluated its interest in the entity under the voting interest model outlined in ASC 810, and has determined that the Company does not control these entities. As a result, the Company has not consolidated the entity. See Note 12 for additional details on the Company's securitization transactions. (9) Includes interest in warehouse facilities; see Note 15— Participation in CLO Transactions , for additional details. As of March 31, 2023 and December 31, 2022, the Company had non-controlling equity interests in various loan originators, including LendSure Mortgage Corp., or "LendSure," a mortgage loan originator. The Company's investment in LendSure was considered significant pursuant to Regulation S-X for the three-month period ended March 31, 2022. For the three-month periods ended March 31, 2023 and 2022, the Company recognized $(1.5) million and $(4.3) million, respectively, of unrealized gains (losses) from its investment in LendSure, which is included in Earnings (losses) from investments in unconsolidated entities on the Condensed Consolidated Statement of Operations. As of March 31, 2023 and December 31, 2022, the fair value of the Company's investment in LendSure was $25.2 million and $26.7 million, respectively, which is included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. The following table provides a summary of the results of operations of LendSure for the three-month periods ended March 31, 2023 and 2022. Three-Month Period Ended (In thousands) March 31, 2023 March 31, 2022 Revenue $ 6,561 $ 15,562 Net income (loss) $ (1,365) $ 399 |
Real Estate Owned
Real Estate Owned | 3 Months Ended |
Mar. 31, 2023 | |
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-month periods ended March 31, 2023 and 2022: Three-Month Period Ended March 31, 2023 March 31, 2022 Number of Properties Carrying Value Number of Properties Carrying Value (In thousands) (In thousands) Beginning Balance (December 31, 2022 and 2021, respectively) 97 $ 28,403 7 $ 24,681 Transfers from mortgage loans 12 3,140 2 948 Capital expenditures and other adjustments to cost 180 — Adjustments to record at the lower of cost or fair value (69) (570) Dispositions (11) (4,937) (1) (526) Ending Balance (March 31, 2023 and 2022, respectively) 98 $ 26,717 8 $ 24,533 During the three-month period ended March 31, 2023, the Company sold eleven REO properties, realizing a net gain (loss) of approximately $(0.1) million. During the three-month period ended March 31, 2022, the Company sold one REO property, realizing a net gain (loss) of approximately $(27) thousand. Such realized gains (losses) are included in Realized gains (losses) on real estate owned, net, on the Company's Condensed Consolidated Statement of Operations. As of both March 31, 2023 and December 31, 2022, all of the Company's REO had been obtained as a result of obtaining physical possession through foreclosure. Of the Company's total REO holdings, $20.6 million were measured at fair value on a non-recurring basis as of March 31, 2023 and December 31, 2022. |
Financial Derivatives
Financial Derivatives | 3 Months Ended |
Mar. 31, 2023 | |
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 March 31, 2023 and December 31, 2022: March 31, 2023 December 31, 2022 (In thousands) Financial derivatives–assets, at fair value: TBA securities purchase contracts $ 1,482 $ — TBA securities sale contracts 42 7,985 Fixed payer interest rate swaps 80,708 116,768 Fixed receiver interest rate swaps 15,691 254 Credit default swaps on asset-backed securities 76 76 Credit default swaps on asset-backed indices 4,846 3,366 Credit default swaps on corporate bond indices 44 83 Futures 88 2,772 Forwards — 77 Warrants 1,056 1,137 Total financial derivatives–assets, at fair value 104,033 132,518 Financial derivatives–liabilities, at fair value: TBA securities purchase contracts (15) (2,007) TBA securities sale contracts (5,608) — Fixed payer interest rate swaps (2,360) (1,408) Fixed receiver interest rate swaps (10,851) (48,882) Credit default swaps on asset-backed indices (33) (33) Credit default swaps on corporate bonds (277) (259) Credit default swaps on corporate bond indices (1,720) (1,513) Futures (3,076) (96) Forwards (305) — Total financial derivatives–liabilities, at fair value (24,245) (54,198) Total $ 79,788 $ 78,320 Interest Rate Swaps The following tables provide information about the Company's fixed payer interest rate swaps as of March 31, 2023 and December 31, 2022: March 31, 2023: Weighted Average Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2023 $ 334,060 $ 6,655 0.55 % 4.92 % 0.33 2024 627,333 8,793 3.17 4.89 1.36 2025 216,224 5,263 2.98 4.87 2.12 2026 59,600 179 3.67 4.87 2.92 2027 209,841 6,731 2.78 4.87 4.20 2028 160,255 8,871 2.39 4.87 5.03 2029 54,428 3,504 2.45 4.97 6.07 2030 68,300 4,614 2.30 4.88 7.14 2031 161,009 20,352 1.71 4.92 8.21 2032 183,517 6,220 2.81 4.87 9.32 2033 253,370 2,738 3.09 4.87 9.92 2035 500 132 0.78 4.83 12.56 2036 1,100 239 1.45 4.92 12.89 2037 45,000 2,347 2.81 4.87 14.41 2040 500 159 0.90 4.83 17.57 2049 5,796 484 2.89 4.77 25.78 2050 500 191 0.98 4.83 27.58 2052 5,000 876 2.07 4.87 29.02 Total $ 2,386,333 $ 78,348 2.52 % 4.89 % 4.46 December 31, 2022: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2023 $ 664,398 $ 13,576 0.64 % 4.51 % 0.38 2024 817,850 17,326 3.03 4.35 1.55 2025 382,793 11,747 2.89 4.32 2.51 2026 100 12 0.79 4.41 3.58 2027 264,500 8,218 3.01 4.30 4.53 2028 114,119 14,230 1.44 4.37 5.49 2029 54,428 4,485 2.45 4.65 6.31 2030 68,300 5,763 2.30 4.36 7.39 2031 161,009 23,799 1.71 4.48 8.46 2032 236,277 10,161 2.98 4.30 9.63 2035 500 142 0.78 4.33 12.81 2036 1,100 267 1.45 4.67 13.13 2037 45,000 3,578 2.81 4.30 14.66 2040 500 171 0.90 4.33 17.82 2049 5,796 630 2.89 3.74 26.02 2050 500 203 0.98 4.33 27.82 2052 5,000 1,052 2.07 4.30 29.27 Total $ 2,822,170 $ 115,360 2.27 % 4.39 % 3.47 The following tables provide information about the Company's fixed receiver interest rate swaps as of March 31, 2023 and December 31, 2022: March 31, 2023: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2024 $ 427,234 $ 1,102 4.87 % 5.17 % 1.00 2025 132,418 1,779 4.87 4.88 1.94 2026 419,686 (4,343) 4.87 3.41 2.96 2027 11,591 124 4.87 3.74 4.63 2028 188,179 6,252 4.87 4.14 4.94 2032 2,700 (133) 4.87 2.62 9.09 2033 29,052 561 4.87 3.45 9.89 2035 500 (135) 4.87 0.74 12.56 2040 500 (165) 4.87 0.84 17.57 2050 500 (202) 4.87 0.90 27.58 Total $ 1,212,360 $ 4,840 4.87 % 4.30 % 2.68 December 31, 2022: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2023 $ 41,407 $ (84) 4.74 % 2.00 % 0.22 2024 818,037 (25,569) 4.27 2.39 1.40 2025 328,775 (5,468) 4.30 3.48 2.84 2026 215,852 (11,312) 4.32 2.26 3.25 2027 311,007 (1,067) 4.30 3.67 4.89 2032 59,155 (4,596) 4.30 2.58 9.58 2035 500 (145) 4.30 0.74 12.81 2040 500 (175) 4.30 0.84 17.82 2050 500 (212) 4.30 0.90 27.82 Total $ 1,775,733 $ (48,628) 4.30 % 2.79 % 2.76 Credit Default Swaps The following table provides information about the Company's credit default swaps as of March 31, 2023 and December 31, 2022: As of March 31, 2023 December 31, 2022 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 $ 248 $ 3 14.75 $ 253 $ 4 14.99 Credit default swaps on corporate bond indices 2,067 44 0.72 2,037 40 0.97 Short: Credit default swaps on asset-backed securities (220) 76 12.36 (220) 76 12.61 Credit default swaps on asset-backed indices (51,995) 4,843 34.56 (58,004) 3,362 35.70 Credit default swaps on corporate bond indices — — — (1,498) 43 0.97 Liability: Long: Credit default swaps on asset-backed indices 65 (33) 26.23 65 (33) 26.48 Short: Credit default swaps on corporate bonds (16,400) (277) 3.81 (16,400) (259) 4.06 Credit default swaps on corporate bond indices (136,398) (1,720) 5.18 (165,006) (1,513) 4.94 $ (202,633) $ 2,936 12.64 $ (238,773) $ 1,720 12.35 (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 March 31, 2023 and December 31, 2022: As of March 31, 2023 December 31, 2022 Description Notional Amount Fair Value Remaining Months to Expiration Notional Amount Fair Value Remaining Months to Expiration (In thousands) (In thousands) Assets: Long Contracts: U.S. Treasury futures $ 1,900 $ 88 2.73 $ — $ — — Short Contracts: U.S. Treasury futures — — — (267,300) 2,772 2.70 Liabilities: Long Contracts: U.S. Treasury futures — — — 1,900 (65) 2.70 Short Contracts: U.S. Treasury futures (191,300) (3,076) 2.81 (49,800) (31) 3.00 Total, net $ (189,400) $ (2,988) 2.81 $ (315,200) $ 2,676 2.75 Warrants The following table provides information about the Company's warrants contracts to purchase shares as of March 31, 2023 and December 31, 2022: March 31, 2023 December 31, 2022 Description Number of Shares Underlying Warrant (1) Fair Value Remaining Years to Expiration Number of Shares Underlying Warrant Fair Value Remaining Years to Expiration (In thousands) (In thousands) Warrants 3,115 $ 1,056 0.53 3,105 $ 1,137 0.77 (1) Excludes number of shares underlying warrant to purchase additional equity interest in a loan originator in which the Company currently holds an equity interest. The Company has the right to purchase 10% of the loan originator at the time of purchase for a pre-determined price. As of both March 31, 2023 and December 31, 2022, the fair value of the estimated fair value of such warrants was insignificant. 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 usually 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 March 31, 2023 and December 31, 2022, the Company had outstanding TBA purchase and sale contracts as follows: March 31, 2023 December 31, 2022 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 $ 86,380 $ 80,854 $ 82,336 $ 1,482 $ — $ — $ — $ — Liabilities 23,955 23,743 23,728 (15) 163,127 157,096 155,089 (2,007) 110,335 104,597 106,064 1,467 163,127 157,096 155,089 (2,007) Sale contracts: Assets (77,947) (72,266) (72,224) 42 (691,568) (652,049) (644,064) 7,985 Liabilities (346,854) (320,447) (326,055) (5,608) — — — — (424,801) (392,713) (398,279) (5,566) (691,568) (652,049) (644,064) 7,985 Total TBA securities, net $ (314,466) $ (288,116) $ (292,215) $ (4,099) $ (528,441) $ (494,953) $ (488,975) $ 5,978 (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-month periods ended March 31, 2023 and 2022 are summarized in the tables below: Three-Month Period Ended March 31, 2023 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 Net Realized Gains (Losses) on Financial Derivatives 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 (1) Change in Net Unrealized Gains (Losses) on Financial Derivatives (1) (In thousands) Interest rate swaps Interest Rate $ 5,791 $ (31,075) $ (25,284) $ 3,452 $ 13,173 $ 16,625 Credit default swaps on asset-backed securities Credit 1 1 — — Credit default swaps on asset-backed indices Credit (275) (275) 2,158 2,158 Credit default swaps on corporate bond indices Credit (1,348) (1,348) 207 207 Credit default swaps on corporate bonds Credit (41) (41) (19) (19) Options Credit — — — — TBAs Interest Rate 4,292 4,292 (10,077) (10,077) Futures Interest Rate (2,933) (2,933) (5,664) (5,664) Forwards Currency 141 141 (382) (382) Warrants Equity Market/Credit — — (80) (80) Total $ 5,791 $ (31,238) $ (25,447) $ 3,452 $ (684) $ 2,768 (1) Includes foreign currency remeasurement on financial derivatives in the amount of $5 thousand for the three-month period ended March 31, 2023, which is included on the Condensed Consolidated Statement of Operations in Other, net. Three-Month Period Ended March 31, 2022 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 Net Realized Gains (Losses) on Financial Derivatives 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 (1) Change in Net Unrealized Gains (Losses) on Financial Derivatives (1) (In thousands) Interest rate swaps Interest Rate $ (1,702) $ (2,149) $ (3,851) $ 561 $ 34,051 $ 34,612 Credit default swaps on asset-backed securities Credit (4) (4) 1 1 Credit default swaps on asset-backed indices Credit 15 15 407 407 Credit default swaps on corporate bond indices Credit (177) (177) 306 306 Credit default swaps on corporate bonds Credit (8) (8) 16 16 Options Credit — — (30) (30) TBAs Interest Rate 20,788 20,788 3,825 3,825 Futures Interest Rate 6,659 6,659 5,260 5,260 Forwards Currency 326 326 136 136 Warrants Equity Market/Credit (413) (413) 766 766 Total $ (1,702) $ 25,037 $ 23,335 $ 561 $ 44,738 $ 45,299 (1) Includes foreign currency remeasurement on financial derivatives in the amount of $(8) thousand for the three-month period ended March 31, 2022, 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 three-month period ended March 31, 2023 and the year ended December 31, 2022: Derivative Type Three-Month Year Ended (In thousands) Interest rate swaps $ 4,283,193 $ 3,292,243 TBAs 721,556 796,003 Futures 300,675 186,446 Credit default swaps 254,288 130,819 Forwards 12,253 13,676 Options — 13,846 Total return swaps — 688 Warrants 3,110 3,378 From time to time the Company enters into credit derivative contracts for which the Company sells credit protection ("written credit derivatives"). As of March 31, 2023 and December 31, 2022, 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 March 31, 2023 and December 31, 2022 are summarized below: Credit Derivatives March 31, 2023 December 31, 2022 (In thousands) Fair Value of Written Credit Derivatives, Net $ 14 $ 11 Notional Value of Written Credit Derivatives (1) 2,380 2,355 (1) 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. As of March 31, 2023, the implied credit spread on the Company's outstanding written credit derivative was 227 basis points; as of December 31, 2022, implied credit spread on the Company's written credit derivative was 310 basis points. 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 $(33) thousand as of both March 31, 2023 and December 31, 2022, respectively. Estimated points up front on these contracts as of both March 31, 2023 and December 31, 2022 ranged between 46.3 and 88.8. Total net up-front payments (paid) or received relating to written credit derivatives outstanding as of both March 31, 2023 and December 31, 2022 were $0.8 million. |
Other Assets
Other Assets | 3 Months Ended |
Mar. 31, 2023 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets Disclosure | Other Assets The following table provides additional details of the Company's assets included in Other assets on the Condensed Consolidated Balance Sheet at March 31, 2023 and December 31, 2022. Other Assets March 31, 2023 December 31, 2022 (In thousands) Receivables and claims related to reverse mortgage loans repurchased from HMBS (1) $ 65,784 $ 54,357 Prepaid expenses and deferred offering costs 7,271 7,541 Prepaid scheduled draws on reverse mortgage loans and amounts due from sub-servicer 5,085 2,105 Leases—right of use assets (2) 3,682 3,838 Intangible assets 3,049 3,275 Accounts receivable 2,286 2,418 Property and equipment (3) 1,372 1,406 Certificates of deposit, security deposits, and escrow cash 780 460 Servicing asset, at fair value (4) 299 999 Other 497 392 $ 90,105 $ 76,791 (1) Represents receivables from third-parties and claims to HUD related to loans repurchased from HMBS. See Note 12, Issuance of HMBS for discussion on the maximum claim amount related to reverse mortgage loans in HMBS. (2) See Note 23 for additional details on the Company's leases and ROU assets. (3) Net of accumulated depreciation. (4) See Note 12 for details on the Servicing asset. On October 3, 2022, the Company completed the Longbridge Transaction as discussed in Note 24. In connection with the Longbridge Transaction, the Company identified and recognized $3.5 million of intangible assets. The following table details the Company's intangible assets as of March 31, 2023 and December 31, 2022. March 31, 2023 December 31, 2022 Gross Carrying Value Accumulated Amortization Net Useful Life Gross Carrying Value Accumulated Amortization Net Useful Life (In thousands) (In months) (In thousands) (In months) Intangible Asset: Internally developed software $ 1,400 $ (233) $ 1,167 36 $ 1,400 $ (116) $ 1,284 36 Trademarks/trade names 1,200 — 1,200 Indefinite 1,200 — 1,200 Indefinite Customer relationships 700 (18) 682 240 700 (9) 691 240 Non-compete agreements 200 (200) — 6 200 (100) 100 6 Total identified intangible assets $ 3,500 $ (451) $ 3,049 $ 3,500 $ (225) $ 3,275 The following table summarizes changes in the Company's intangible assets for the three-month period ended March 31, 2023. The Company did not have any intangible assets during the three-month period ended March 31, 2022. Three-Month Period Ended March 31, 2023 (In thousands) Internally developed software Trademarks/trade names Customer relationships Non-compete agreements Total Net carrying value of intangible assets—Beginning Balance (December 31, 2022) $ 1,284 $ 1,200 $ 691 $ 100 $ 3,275 Accumulated Amortization (117) — (9) (100) (226) Net carrying value of intangible assets—Ending Balance (March 31, 2023) $ 1,167 $ 1,200 $ 682 $ — $ 3,049 The following table summarizes the Company's estimated future amortization expense on its intangible assets. (In thousands) March 31, 2023 2023 $ 376 2024 502 2025 385 2026 35 2027 35 Thereafter 516 Total $ 1,849 |
Consolidated VIEs
Consolidated VIEs | 3 Months Ended |
Mar. 31, 2023 | |
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 Consolidated Balance Sheet as of March 31, 2023 and December 31, 2022. See Note 12 and Note 15 for additional information on the Company's consolidated VIEs. (In thousands) March 31, 2023 December 31, 2022 Assets Cash and cash equivalents $ 11,623 $ 2,444 Securities, at fair value 72,200 73,644 Loans, at fair value 3,402,949 3,524,685 Investments in unconsolidated entities, at fair value 61,131 68,574 Real estate owned 21,400 21,121 Investment related receivables 27,684 21,893 Other assets 1,321 1,577 Total Assets $ 3,598,308 $ 3,713,938 Liabilities Repurchase agreements $ 1,227,769 $ 1,333,098 Other secured borrowings 34,281 37,812 Other secured borrowings, at fair value 1,534,592 1,539,881 Interest payable 2,566 2,012 Accrued expenses and other liabilities 1,321 1,460 Total Liabilities 2,800,529 2,914,263 Total Stockholders' Equity 787,846 789,625 Non-controlling interests 9,933 10,050 Total Equity 797,779 799,675 Total Liabilities and Equity $ 3,598,308 $ 3,713,938 |
Securitization Transactions
Securitization Transactions | 3 Months Ended |
Mar. 31, 2023 | |
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 March 31, 2023 and December 31, 2022, the fair value of the Company's investment in the notes issued by the CLO Issuers was $10.0 million and $11.3 million, respectively. See Note 15 for further details on the Company's participation in CLO transactions. Residential Mortgage Loan Securitizations Since November 2017, the Company has participated in securitizations of non-QM loans (each, a "non-QM securitization"). In each case, the applicable sponsor of such securitization (the "Sponsor") transferred a pool of non-QM loans (each, a "Collateral Pool") to a wholly-owned subsidiary of such Sponsor (each, a "Depositor"), and on the closing date such Collateral Pool was deposited into a newly created securitization trust (such 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. For the non-QM securitizations in which the Company participated between November 2017 and July 2022, the Sponsor and the Depositor are wholly-owned subsidiaries of the Company. The Company has subsequently participated in non-QM securitizations with other entities managed by Ellington (each a "Non-QM Co-Participant"), and in such cases the Sponsor and the Depositor are not subsidiaries of the Company. 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 non-QM securitization for which the applicable Sponsor was a wholly-owned subsidiary of the Company, the Company 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. In the non-QM securitizations for which the Sponsor was not a wholly-owned subsidiary of the Company, the Company and the applicable Non-QM Co-Participants have membership interests in an entity formed for such purpose (the "Participated Risk Retention Vehicle") which purchased, and intends to hold, the requisite amount of each class of Certificate for each applicable non-QM securitization. The Participated Risk Retention Vehicle also purchased the Certificates entitled to excess servicing fees of such Issuing Entities. The remaining Certificates were purchased by the Company, the Non-QM Co-Participants, and/or various unrelated parties. Notwithstanding that the Certificates carry final scheduled distribution dates in November 2059 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. These Optional Redemption rights are held by the applicable Depositor and are deemed to give such Depositor effective control over the loans. In cases where the Depositor was a wholly-owned subsidiary of the Company, the transfers of non-QM loans to each of the Issuing Entities do not qualify as sales under ASC 860-10, and the Company continues to reflect the loans on its Condensed Consolidated Balance Sheet in Loans, at fair value. In cases where the Depositor was not wholly-owned or consolidated by the Company, the transfers of non-QM loans to the Issuing Entities did qualify as sales in accordance with 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. Consolidated Residential Mortgage Loan Securitizations For non-QM securitizations in which the Company owned 100% of the interests in both the Sponsor and Depositor ("Consolidated Residential Mortgage Loan Securitizations"), the Company is deemed to be the primary beneficiary of the Issuing Entities, which are VIEs, and has consolidated the Issuing Entities ("Consolidated Issuing Entities") given the Company's retained interests in each of the securitizations, together with the Optional Redemption rights held by the wholly-owned Depositor and the Company's ability to direct the third-party servicer regarding certain loss mitigation activities. 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. Each of the Consolidated Issuing Entities 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 Consolidated 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. 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 (1) (In thousands) Ellington Financial Mortgage Trust 2019-2 11/19 $ 267,255 $ 267,255 Ellington Financial Mortgage Trust 2020-1 6/20 259,273 259,273 Ellington Financial Mortgage Trust 2020-2 10/20 219,732 219,732 Ellington Financial Mortgage Trust 2021-1 2/21 251,771 251,771 Ellington Financial Mortgage Trust 2021-2 6/21 331,777 331,777 Ellington Financial Mortgage Trust 2021-3 10/21 257,645 257,645 Ellington Financial Mortgage Trust 2022-1 1/22 417,188 417,188 Ellington Financial Mortgage Trust 2022-2 4/22 425,651 425,651 Ellington Financial Mortgage Trust 2022-3 7/22 345,652 345,652 (1) The Sponsor purchased various classes of Certificates issued by each Issuing Entity in order to comply with the Risk Retention Rules. The following table details the assets and liabilities of the consolidated securitization trusts included in the Company's Condensed Consolidated Balance Sheet as of March 31, 2023 and December 31, 2022: (In thousands) March 31, 2023 December 31, 2022 Assets: Loans, at fair value $ 1,662,848 $ 1,665,070 Investment related receivables 9,103 4,464 Liabilities: Other secured borrowings, at fair value 1,534,592 1,539,881 Non-Consolidated Residential Mortgage Loan Securitizations As described above, the Company has also participated in non-QM securitizations with various Non-QM Co-Participants. For the non-QM securitization which closed in December 2022, the Company and the Non-QM Co-Participant each sold loans to a jointly held entity (the "Residential Loan JV") which then transferred the loans to the respective series of the applicable Sponsor, which is wholly-owned by the Residential Loan JV, for further transfer to the applicable Depositor. For the non-QM securitization which closed in February 2023, the Company and the Non-QM Co-Participants each sold loans directly to the respective series of the applicable Sponsor, for further transfer to the applicable Depositor. The sales by the Company in each instance were accounted for as sales in accordance with ASC 860-10. The following table provides details on outstanding non-consolidated residential mortgage loan securitizations in which the Company has participated: Issuing Entity Closing Date Principal Balance of Loans Sold By the Company Principal Balance of Loans Sold By the Non-QM Co-Participants Total Face Amount of Certificates Issued (1) (In thousands) Ellington Financial Mortgage Trust 2022-4 12/22 $ 309,998 $ 55,264 $ 365,262 Ellington Financial Mortgage Trust 2023-1 2/23 176,218 154,149 330,367 In order to comply with the Risk Retention Rules, the Participated Risk Retention Vehicle purchased a percentage of each of the classes of Certificates issued by the respective Issuing Entities. The aggregate fair value of the Company's ownership interests in the Residential Loan JV, and respective series of both the Participated Risk Retention Vehicle and Sponsor, was $8.9 million as of March 31, 2023 and $2.6 million as of December 31, 2022. Such interests are included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. In addition, the Company and the non-QM Co-Participants have also purchased directly certain of the Certificates issued by the non-consolidated Issuing Entities. As of March 31, 2023 and December 31, 2022, the fair value of the Company's investment in such Certificates was $39.0 million and $37.6 million, respectively, and is included on the Condensed Consolidated Balance Sheet in Securities, at fair value. The Company has evaluated its interests in the Residential Loan JV, the Participated Risk Retention Vehicle, and the Sponsor, which are each VIEs. Because the Company does not control the assets of such entities nor does it have the power to direct the activities that most significantly impact such entities' economic performance, the Company determined that the Company is not the primary beneficiary of these VIEs, and therefore the Company has not consolidated these VIEs. Participation in Multi-Seller Consumer Loan Securitizations The Company has participated in various securitizations whereby the Company, together with certain other entities managed by Ellington (the "Consumer Co-Participants"), sold consumer loans to newly formed securitization trusts (each a "Consumer Securitization Issuer"). The sales were accounted for as sales in accordance with ASC 860-10. The following table provides additional details for each such securitization. Securitization Closing UPB of Loans Sold to Consumer Securitization Issuer % Contributed by the Company Principal Amount of Notes Issued (1) % Ownership of Consumer Risk Retention Vehicle November 2020 $ 205,088 56.3 % $ 193,650 56.3 % March 2022 (2) 193,450 24.7 % 400,000 24.6 % (1) Total principal amount of notes issued by the Consumer Securitization Issuer pursuant to the securitization. (2) UPB of loans sold to the Consumer Securitization Issuer represent the UPB of consumer loans sold by the Company and the Consumer Co-Participants. Such amount excludes $227.6 million of UPB of consumer loans sold to the Consumer Securitization Issuer by a third-party. As shown in the above table, pursuant to each of the securitizations, the respective Consumer Securitization Issuer issued senior and subordinated notes. Trust certificates representing beneficial ownership of each of the Consumer Securitization Issuers were also issued. In connection with each transaction, through a jointly owned newly formed entity (each a "Consumer Risk Retention Vehicle"), the Company and the Consumer Co-Participants acquired certain of the subordinated notes as well as the trust certificates in the respective Consumer Securitization Issuer. As of March 31, 2023 and December 31, 2022, the Company's total interest in the Consumer Risk Retention Vehicles, for which the Company has elected the FVO, was $5.6 million and $9.7 million, respectively. The fair value of the Consumer Risk Retention Vehicles is included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. The notes and trust certificates issued by each of the Consumer Securitization Issuers are backed by the cash flows from the underlying consumer loans. If there are breaches of representations and warranties with respect to any underlying consumer loans, the Company could, under certain circumstances, be required to repurchase or replace such loans. Absent such breaches, the Company has no obligation to repurchase or replace any underlying consumer loans that become delinquent or otherwise default. In addition, another affiliate of Ellington acts as the administrator for these securitizations and is paid a monthly fee for its services. The Consumer Securitization Issuers are each deemed to be a VIE. The Company has evaluated its interest in each of the Consumer Securitization Issuers under ASC 810, and while the Company retains credit risk in each of the securitization trusts through its beneficial ownership of most of the subordinated interests of each of the securitization trusts, which are the first to absorb credit losses on the securitized assets, neither the Company nor the Consumer Risk Retention Vehicles retain control of these assets or the power to direct the activities of the Consumer Securitization Issuers that most significantly impact the Consumer Securitization Issuers' economic performance. As a result, the Company determined that neither the Company nor the Consumer Risk Retention Vehicles are the primary beneficiary of the respective Consumer Securitization Issuer, and therefore the Company has not consolidated the Consumer Securitization Issuers. Additionally, the Company evaluated its interest in each of the Consumer Risk Retention Vehicles, which do not meet the criteria to be deemed a VIE, under the voting interest model provided by ASC 810 and determined the Company does not control the Consumer Risk Retention Vehicles. As a result, the Company has not consolidated the Consumer Risk Retention Vehicles. Issuance of HMBS Longbridge is approved as a Title II, non-supervised direct endorsement mortgagee with HUD. Longbridge is also an approved issuer of HMBS whereby it pools HECM loans and issues HMBS securities which are sold to third-parties with only the servicing rights retained. As discussed in Note 5, HMBS are structured whereby the HMBS issuer is required to repurchase loans whenever the outstanding principal balance of such loan reaches the MCA. In accordance with ASC 860-10, the transfer of the loans to the HMBS securitization vehicle does not qualify as a sale as the Company has not surrendered control over transferred financial assets. As a result, the transfer of the loans is accounted for as secured borrowings for which the Company has elected the FVO. Such secured borrowings are included in HMBS-related obligations, at fair value, and the related collateral is included as a component of Loans, at fair value, on the Condensed Consolidated Balance Sheet. Changes in fair value are recorded in net change related to HMBS obligations, at fair value on the Condensed Consolidated Statement of Operations. During the three-month period ended March 31, 2023, the Company pooled HECM loans with an unpaid principal balance of $313.4 million into HMBS. As of March 31, 2023, the Company was servicing 865 pools of HMBS with an unpaid principal balance of $7.7 billion. As of December 31, 2022, the Company was servicing 832 pools of HMBS with an unpaid principal balance of $7.6 billion. The Company has entered into a Collaboration and Transfer Agreement, or the "HECM CT Agreement" with a third party. Pursuant to the HECM CT Agreement, the Company purchased HECM loans and the associated MSR from the third party and securitized such loans into HMBS. While the Company is the legal owner and servicer of the HMBS, under the HECM CT Agreement, the third party receives a portion of the cash flows generated from the HMBS. The Company retains a base participation fee, along with the right to premiums on subsequent HECM tail securitizations. Additionally, in the event Company is required to repurchase a loan from the HMBS pool, there is a put option repurchase guarantee from the third-party whereby they are required to repurchase such HECM loans from the Company. The Company recognizes the amount due to/from the third party under the HECM CT Agreement as an asset or a liability (the "Servicing Asset" or "Servicing Liability") which is included in Accrued expenses and other liabilities or Other Assets on the Condensed Consolidated Balance Sheet. The Company has elected the FVO on its Servicing Asset/Liability and changes in value are included in Other Income (Loss). As of March 31, 2023 and December 31, 2022, the Company has a servicing asset related to the HECM CT Agreement of $0.3 million and $1.0 million, respectively, which is included in Other Assets on the Condensed Consolidated Balance Sheet. During the three-month period ended March 31, 2023 , the Company repurchased HECM loans from HMBS pools with an unpaid principal balance of $159.3 million including loans subject to the MCA requirement, of which $157.5 million was subsequently transferred to a third party in accordance with the HECM CT Agreement. |
Borrowings
Borrowings | 3 Months Ended |
Mar. 31, 2023 | |
Debt Disclosure [Abstract] | |
Borrowings | Borrowings Secured Borrowings The Company's secured borrowings consist of repurchase agreements, Other secured borrowings, Other secured borrowings, at fair value, and HMBS-related obligations, at fair value. As of both March 31, 2023 and December 31, 2022, the Company's total secured borrowings were $12.2 billion. 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 364 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 27 and 26 counterparties as of March 31, 2023 and December 31, 2022, respectively. As of March 31, 2023, remaining days to maturity on the Company's open repurchase agreements ranged from 3 days to 788 days. Interest rates on the Company's open repurchase agreements ranged from 3.49% to 8.79% as of March 31, 2023. As of December 31, 2022, remaining days to maturity on the Company's open repurchase agreements ranged from 3 days to 263 days. Interest rates on the Company's open repurchase agreements ranged from 0.63% to 7.97% as of December 31, 2022. 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 March 31, 2023 and December 31, 2022: March 31, 2023 December 31, 2022 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 $ 342,461 4.89 % 12 $ 668,924 4.09 % 14 31-60 Days 264,755 4.95 % 42 91,048 2.32 % 45 61-90 Days 51,580 5.15 % 76 158,782 3.96 % 73 91-120 Days — — % — 4,751 5.20 % 118 121-150 Days — — % — 16,148 4.76 % 131 151-180 Days 1,320 5.79 % 160 — — % — 181-364 Days 4,163 5.62 % 181 — — % — Total Agency RMBS 664,279 4.94 % 30 939,653 3.91 % 29 Credit: 30 Days or Less 53,953 6.06 % 20 462,284 6.40 % 7 31-60 Days 138,502 6.21 % 44 119,619 6.00 % 48 61-90 Days 62,156 6.44 % 79 119,471 6.13 % 77 91-120 Days 412,056 6.98 % 110 358,010 6.30 % 116 121-150 Days — — % — 142,939 7.12 % 144 151-180 Days 231,703 6.82 % 173 6,981 6.72 % 156 181-364 Days 487,786 6.79 % 286 391,381 6.74 % 240 > 364 Days 103,420 8.08 % 788 — — % — Total Credit Assets 1,489,576 6.84 % 214 1,600,685 6.48 % 110 U.S. Treasury Securities: 30 Days or Less 132,043 4.99 % 3 69,347 4.31 % 3 Total U.S. Treasury Securities 132,043 4.99 % 3 69,347 4.31 % 3 Total $ 2,285,898 6.18 % 148 $ 2,609,685 5.50 % 78 Repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their contractual 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 March 31, 2023 and December 31, 2022, the fair value of investments transferred as collateral under outstanding borrowings under repurchase agreements was $2.9 billion and $3.2 billion, respectively. Collateral transferred under outstanding borrowings under repurchase agreements as of March 31, 2023 and December 31, 2022, include investments in the amount of $11.2 million and $9.2 million, respectively, that were sold prior to period end but for which such sale had not yet settled. In addition, as of March 31, 2023 and December 31, 2022, the Company posted net cash collateral of $3.3 million and $20.3 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. The following table provides details by counterparty for such counterparties for which the amounts at risk relating to our repurchase agreements was greater than 10% of total equity as of March 31, 2023 and December 31, 2022. March 31, 2023: Counterparty Amount at Risk Weighted Average Remaining Days to Maturity Percentage (In thousands) Nomura Holdings Inc. $ 228,777 265 16.6 % December 31, 2022: Counterparty Amount at Risk Weighted Average Remaining Days to Maturity Percentage (In thousands) Nomura Holdings Inc. $ 208,812 13 17.1 % Royal Bank of Canada 135,233 100 11.1 % Other Secured Borrowings The Company has 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 September 2024 (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 September 2026. The facility accrues interest on a floating rate basis. As of March 31, 2023 and December 31, 2022, the Company had outstanding borrowings under this facility in the amount of $34.3 million and $37.8 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, was 9.16% and 8.68% as of March 31, 2023 and December 31, 2022, respectively. As of March 31, 2023 and December 31, 2022, the fair value of ABS backed by consumer loans collateralizing this borrowing was $69.2 million and $70.3 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both March 31, 2023 and December 31, 2022, the Company was in compliance with all of its covenants. The Company has completed securitization transactions, as discussed in Note 12, whereby it financed portfolios of non-QM loans. As of March 31, 2023 and December 31, 2022, the fair value of the Company's outstanding liabilities associated with the Company's Consolidated Residential Mortgage Loan Securitizations was $1.53 billion and $1.54 billion, 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 3.01% and 3.00% as of March 31, 2023 and December 31, 2022, respectively. As of both March 31, 2023 and December 31, 2022, the fair value of non-QM loans held in the consolidated securitization trusts was $1.7 billion. The Company has various warehouse lines of credit which it uses to finance its portfolio of reverse mortgage loans prior to them being sold or pooled into HMBS. There are a number of covenants, including several financial covenants, associated with these lines of credit; as of March 31, 2023 and December 31, 2022, the Company was in compliance with all of these covenants. As of March 31, 2023 and December 31, 2022, the Company had outstanding borrowings under these financing lines of $191.4 million and $172.9 million, respectively, which is included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The following table provides details for each of the warehouse lines of credit. March 31, 2023 December 31, 2022 Maturity Outstanding Borrowings Fair Value of Underlying Collateral Effective Interest Rate Outstanding Borrowings Fair Value of Underlying Collateral Effective Interest Rate (In thousands) Facility A April 2023 $ 43,302 $ 48,083 8.38 % $ 59,640 $ 65,652 8.43 % Facility B April 2023 67,574 62,991 7.55 % 64,278 59,933 6.99 % Facility C June 2023 80,480 111,256 7.42 % 48,954 63,644 6.90 % $ 191,356 $ 222,330 7.68 % $ 172,872 $ 189,229 7.46 % The Company entered into an agreement to finance a portfolio of HECM tail draws prior to being sold or pooled into HMBS. This facility matures in April 2023 and accrues interest on a floating-rate basis. As of March 31, 2023 and December 31, 2022, the Company's outstanding borrowings under this facility was $23.7 million and $22.6 million, respectively, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 8.50% and 8.00%, respectively, as of March 31, 2023 and December 31, 2022. As of March 31, 2023 and December 31, 2022, the fair value of HECM tails collateralizing this borrowing was $34.4 million and $35.1 million, respectively, which are included in Loans, at fair value on the Condensed Consolidated Balance Sheet. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both March 31, 2023 and December 31, 2022, the Company was in compliance with all of its covenants. The Company entered into a line of credit agreement to finance its portfolio of HMBS-related MSRs. This facility matures in January 2025 and accrues interest on a floating-rate basis. As of March 31, 2023 and December 31, 2022, the Company's outstanding borrowings under this facility were $45.0 million and $42.8 million, respectively, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 9.66% and 9.37% as of March 31, 2023 and December 31, 2022, respectively. As of March 31, 2023 and December 31, 2022, the fair value of MSRs collateralizing this borrowing was $107.9 million and $95.6 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both March 31, 2023 and December 31, 2022, the Company was in compliance with all of its covenants. The Company entered into an agreement to finance HECM Buyout Loans. This facility matures in June 2023 and accrues interest on a floating-rate basis. As of March 31, 2023, the Company's outstanding borrowings under this facility were $58.7 million, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. As of December 31, 2022, the Company did not have any outstanding borrowings under this facility. The effective interest rate was 6.78% as of March 31, 2023. As of March 31, 2023, the fair value of HECM Buyout Loans collateralizing this borrowing was $56.7 million. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both March 31, 2023 and December 31, 2022, the Company was in compliance with all of its covenants. As discussed in Note 5, the Company is a party to various agreement with the MLPS Counterparty, which provide for the financing of certain HECM Buyout Loans. This facility matures in March 2025 and accrues interest on a floating-rate basis. As of March 31, 2023, the Company's outstanding borrowings under this facility were $9.7 million, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 6.81% and the fair value of HECM Buyout Loans collateralizing this borrowing was $11.6 million. There are a number of covenants, including several financial covenants, associated with this borrowing; as of March 31, 2023, the Company was in compliance with all of its covenants. HMBS-related Obligations As discussed in Note 12, the Company issues pools of HMBS which are accounted for as secured borrowings. As of March 31, 2023 and December 31, 2022, the Company had HMBS-related obligations, at fair value of $8.0 billion and $7.8 billion, respectively. As of March 31, 2023 and December 31, 2022, such HMBS-related obligations are secured by $8.1 billion and $7.9 billion, respectively, of HECM loans, REO, and HMBS-related claims or other receivables. The weighted average interest rate on the Company's HMBS-related obligations was 5.48% and 5.23% as of March 31, 2023 and December 31, 2022, respectively. Unsecured Borrowings Senior Notes The Company issued $86.0 million in aggregate principal amount of unsecured long-term debt, which was structured as a joint and several co-issuance by certain of the Company's consolidated subsidiaries and fully guaranteed by the Company (the "5.50% Senior Notes"). The 5.50% Senior Notes bore interest at a rate of 5.50%. The 5.50% Senior Notes were repaid at maturity on September 1, 2022. The 5.50% Senior Notes were carried at amortized cost and were included in Senior Notes, net, on the Condensed Consolidated Balance Sheet. The 5.50% Senior Notes had an effective interest rate of approximately 5.80%, inclusive of debt issuance costs. In addition to the 5.50% Senior Notes, the Company has also issued $210.0 million in aggregate principal amount of unsecured long-term debt, which is structured as a joint and several co-issuance by certain of the Company's consolidated subsidiaries and fully guaranteed by the Company (the "5.875% Senior Notes"). The 5.875% Senior Notes bear interest at a rate of 5.875%, subject to adjustment based on changes, if any, in the ratings of the 5.875% Senior Notes. Interest on the 5.875% Senior Notes is payable semi-annually in arrears on April 1 and October 1 of each year. The 5.875% Senior Notes mature on April 1, 2027. Prior to April 1, 2026, the Company may redeem the 5.875% Senior Notes, at its option, in whole or in part, at a premium as detailed in the indenture dated March 31, 2022. On or after April 1, 2026, the Company may redeem all or a part of the 5.875% Senior Notes at a redemption price of 100%, plus accrued and unpaid interest. The Company has elected the FVO for the 5.875% Senior Notes which are included in Senior Notes, at fair value on the Condensed Consolidated Balance Sheet. Change in unrealized gains and losses on the Company's Senior Notes, at fair value are included in Other, net, on the Condensed Consolidated Statement of Operations. There are a number of covenants, including several financial covenants, associated with the 5.875% Senior Notes; as of both March 31, 2023 and December 31, 2022, the Company was in compliance with all of its covenants for the outstanding Senior Notes. 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 March 31, 2023: Year Repurchase Agreements (1) Other Secured Borrowings (2) HMBS-related Obligations (3) Senior Notes (1) Total (In thousands) Next Twelve Months $ 2,182,478 $ 530,347 $ 1,205,749 $ — $ 3,918,574 Year 2 — 322,754 1,151,875 — 1,474,629 Year 3 103,420 325,502 827,593 — 1,256,515 Year 4 — 187,053 695,320 882,373 Year 5 — 137,651 660,419 210,000 1,008,070 Total $ 2,285,898 $ 1,503,307 $ 4,540,956 $ 210,000 $ 8,540,161 (1) Reflects the Company's contractual principal repayment dates. (2) Includes $1.141 billion of expected principal repayments related to the Company's consolidated non-QM securitizations, which are projected based upon the underlying assets' expected repayments and may be prior to the stated contractual maturities. (3) Represents expected principal repayments projected based upon the expected repayments of the underlying HECM loans, which may be prior to the stated contractual maturities of the related HMBS. |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2023 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes The 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. Cash dividends declared by the Company that do not exceed its current or accumulated earnings and profits will be considered ordinary income to stockholders for income tax purposes unless all or a portion of a dividend is designated by the Company as a capital gain dividend. Distributions in excess of the Company's current and accumulated earnings and profits will be characterized as return of capital or capital gains. The Company accounts for income taxes in accordance with ASC 740, Income Taxes , or "ASC 740." Deferred income taxes reflect the net tax effects of temporary differences that may exist between the carrying amounts of assets and liabilities under U.S. GAAP and the carrying amounts used for income tax purposes. For the three-month periods ended March 31, 2023 and 2022, the Company recorded income tax expense (benefit) of $21 thousand and $(7.0) million, respectively. Income tax benefit for the three-month period ended March 31, 2022 was related to net realized and unrealized losses on investments held in a domestic TRS. Based upon the available evidence at March 31, 2023, the Company determined that it was more likely than not that the deferred tax assets of its TRS would not be utilized in future periods; a valuation allowance of $8.7 million was recorded to fully reserve against these deferred tax assets. |
Related Party Transactions
Related Party Transactions | 3 Months Ended |
Mar. 31, 2023 | |
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 March 31, 2023, the total base management fee incurred was $5.0 million, consisting of $5.1 million of total gross base management fee incurred, less $0.2 million of management fee rebates. For the three-month period ended March 31, 2022, the total base management fee incurred was $4.3 million, consisting of $4.9 million of total gross base management fee incurred, less $0.7 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 March 31, 2023 and December 31, 2022, there was a Loss Carryforward of $45.3 million and $85.0 million, respectively. 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, and (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 either of the three-month periods ended March 31, 2023 and 2022, 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 three-month periods ended March 31, 2023 and 2022, the Company reimbursed the Manager $4.8 million and $5.7 million, respectively, for previously incurred operating expenses. As of March 31, 2023 and December 31, 2022, the outstanding payable to the Manager for operating expenses was $3.2 million and $4.1 million, respectively, which are included in Accrued expenses and other liabilities on the Condensed Consolidated Balance Sheet. Transactions Involving Certain Loan Originators As of March 31, 2023 and December 31, 2022, the loan originators in which the Company holds equity investments represent related parties. Transactions that have been entered into with these related party loan originators are summarized below. The Company is a party to a mortgage loan purchase and sale flow agreement, with a mortgage loan originator in which the Company holds a non-controlling 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 March 31, 2023 and December 31, 2022, there were no advances outstanding. The Company has also entered into agreements whereby it guarantees the performance of such mortgage originator under third-party master repurchase agreements. See Note 23, Commitments and Contingencies, for further information on the Company's guarantees of the third-party borrowing arrangements. Additionally, as of both March 31, 2023 and December 31, 2022, the Company held warrants to purchase 8.28 million shares; such warrants have a fair value of $10.9 million and $11.5 million, respectively, 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 common and 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 $72.2 million and $70.2 million as of March 31, 2023 and December 31, 2022, respectively, which is included in Securities, at fair value on the Condensed Consolidated Balance Sheet. Additionally, in December, 2022, the Company extended a two-year revolving line of credit to the consumer loan originator; see table below for additional details. An employee of Ellington has a less-than-10% equity interest in, and serves on the board of, this consumer loan originator. Another employee of Ellington, who serves as an officer of the Company, also serves on the board, as the Company's representative. The following table provides details of financing that the Company has provided, in the form of secured promissory notes, to certain loan origination-related entities in which the Company also holds equity investments: Effective Date of Promissory Note Maturity Date of Promissory Note Interest Rate Outstanding Borrowings as of Fair Value (1) as of Maximum Borrowing March 31, 2023 December 31, 2022 March 31, 2023 December 31, 2022 March 31, 2023 December 31, 2022 (In thousands) (In thousands) May 2021 (2) December 31, 2025 $ 6,000 6.0% 6.0% $ 3,000 $ 3,000 $ 3,000 $ 3,000 February 2022 January 31, 2025 500 7.0% 7.0% 500 475 500 475 November 2022 (3) January 31, 2025 500 n/a 10.0% n/a 50 n/a 50 December 2022 December 16, 2024 3,500 15.0% 15.0% 1,176 515 1,176 515 (1) Classified as a Corporate loan and is included in Loans, at fair value on the Condensed Consolidated Balance Sheet. (2) Convertible into non-voting equity interests, at the option of the borrower, at any time prior to maturity. (3) During the three-month period ended March 31, 2023, the Company's debt and equity investments in this origination-related entity were written off as the Company determined its cost basis was non-recoverable; the Company recognized a net loss on its debt and equity investments of $(0.5) million (included in Realized gains (losses) on securities and loans, net on the Condensed Consolidated Statement of Operations) and $(0.1) million (included in Earnings (losses) from investments in unconsolidated entities on the Condensed Consolidated Statement of Operations), respectively. Consumer, Residential, and Commercial Loan Transactions with Affiliates The Company purchased certain of its consumer loans through an affiliate, or the "Purchasing Entity," under various purchase agreements. 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 $3.6 million and $4.3 million as of March 31, 2023 and December 31, 2022, 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 $1.4 billion and $1.5 billion as of March 31, 2023 and December 31, 2022, respectively. The Company is a co-investor in a commercial mortgage loan with several other investors, including an unrelated third party and an affiliate of Ellington. This loans is beneficially owned by a consolidated subsidiary of the Company. As of both March 31, 2023 and December 31, 2022, the aggregate fair value of this commercial loans was $2.2 million. As of both March 31, 2023 and December 31, 2022, the non-controlling interests held by the unrelated third party and the Ellington affiliate were $0.3 million and $0.4 million, respectively. The Company is also a co-investor in certain 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 March 31, 2023 and December 31, 2022, the aggregate fair value of the Company's investments in the jointly owned limited liability companies was approximately $61.1 million and $68.5 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 is a co-investor, together with other affiliates of Ellington, in Jepson Holdings Limited ("Jepson"), the parent of an entity (the "Jepson Risk Retention Vehicle") that has sponsored various European mortgage loan securitizations. The Jepson Risk Retention Vehicle is expected to hold certain of the notes it issues for each securitization it completes in order to comply with European risk retention rules. As of March 31, 2023 and December 31, 2022, the Company's equity investment in Jepson Holdings Limited had a fair value of $0.7 million and $0.6 million, respectively. See Note 7 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 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 March 31, 2023 and December 31, 2022, the Joint Entities had aggregate outstanding issued debt under the repurchase agreements in the amount of $772.5 million and $872.5 million, respectively. The Company's segregated silo of this debt as of March 31, 2023 and December 31, 2022 was $251.7 million and $274.4 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 both March 31, 2023 and December 31, 2022, 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 silo of assets and liabilities within, each of the Joint Entities. See Note 11 and Note 13 for additional information. Participation in CLO Transactions As discussed in Note 12, 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 March 31, 2023 and 2022, the amount of such management fee rebates was $0.2 million and $0.7 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 March 31, 2023 and December 31, 2022, the Company's investment in such warehouse facilities was $0.6 million and $0.5 million, respectively, which are included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities. During the three-month period ended March 31, 2022, the Company purchased $1.1 million of various underperforming corporate debt and equity securities from certain of the Ellington-sponsored CLO Securitizations at market prices determined through the procedures set forth in the indentures of the respective Ellington-sponsored CLO Securitizations; no such purchases were made during the three-month period ended March 31, 2023. |
Long-Term Incentive Plan Units
Long-Term Incentive Plan Units | 3 Months Ended |
Mar. 31, 2023 | |
Share-based Payment Arrangement [Abstract] | |
Long-Term Incentive Plan Units | Long-Term Incentive Plan Units OP 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 each of the three-month periods ended March 31, 2023 and 2022 was $0.3 million. The below table details unvested OP LTIP Units as of March 31, 2023: Grant Recipient Number of OP LTIP Units Granted Grant Date Vesting Date (1) Directors: 24,796 September 13, 2022 September 12, 2023 Dedicated or partially dedicated personnel: 15,789 December 16, 2021 December 16, 2023 40,254 March 7, 2022 December 31, 2023 18,068 December 15, 2022 December 15, 2023 14,708 December 15, 2022 December 15, 2024 Total unvested OP LTIP Units at March 31, 2023 113,615 (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-month periods ended March 31, 2023 and 2022: Three-Month Period Ended March 31, 2023 2022 Manager Director/ Total Manager Director/ Total OP LTIP Units Outstanding (12/31/2022 and 2021, respectively) 365,518 404,055 769,573 365,518 310,295 675,813 Granted — — — — 40,254 40,254 OP LTIP Units Outstanding (3/31/2023 and 2022, respectively) 365,518 404,055 769,573 365,518 350,549 716,067 OP LTIP Units Unvested and Outstanding (3/31/2023 and 2022, respectively) — 113,615 113,615 — 120,140 120,140 OP LTIP Units Vested and Outstanding (3/31/2023 and 2022, respectively) 365,518 290,440 655,958 365,518 230,409 595,927 There were an aggregate of 1,509,481 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 both March 31, 2023 and December 31, 2022, respectively. |
Non-controlling Interests
Non-controlling Interests | 3 Months Ended |
Mar. 31, 2023 | |
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 in the form of 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. As of March 31, 2023, the Convertible Non-controlling Interests consisted of the outstanding 769,573 OP LTIP Units and 46,360 OP Units, and represented an interest of approximately 0.9% in the Operating Partnership. As of December 31, 2022, the Convertible Non-controlling Interests consisted of the outstanding 769,573 OP LTIP Units and 46,360 OP Units, and represented an interest of approximately 1.0% in the Operating Partnership. As of March 31, 2023 and December 31, 2022, non-controlling interests related to all outstanding Convertible Non-controlling Interests was $12.5 million and $12.4 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 March 31, 2023 and December 31, 2022, the joint venture partners' interests in subsidiaries of the Company were $9.9 million and $10.0 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. Non-Controlling Interests in Longbridge As of March 31, 2023 and December 31, 2022, the Company owned 99.6% and 99.5%, respectively, of Longbridge; the remainder relates to units held by various executives at Longbridge (the "Longbridge Executive Unit Holders") and stock options issued to various Longbridge employees (collectively, the "Longbridge Minority Holders"). Units held by the Longbridge Executive Unit Holders and exercised stock options participate in the income, expense, gains and losses of Longbridge but do not participate in the income, expense, gains and losses of the Operating Partnership. The Longbridge Minority Holders' interests are not convertible into shares of common stock of the Company or OP Units, nor are the Longbridge Minority Holders' entitled to receive distributions that holders of shares of common stock of the Company receive. As of both March 31, 2023 and December 31, 2022, the Longbridge Minority Holders' interests in Longbridge were $2.4 million. |
Share-based Payment Arrangement | Long-Term Incentive Plan Units OP 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 each of the three-month periods ended March 31, 2023 and 2022 was $0.3 million. The below table details unvested OP LTIP Units as of March 31, 2023: Grant Recipient Number of OP LTIP Units Granted Grant Date Vesting Date (1) Directors: 24,796 September 13, 2022 September 12, 2023 Dedicated or partially dedicated personnel: 15,789 December 16, 2021 December 16, 2023 40,254 March 7, 2022 December 31, 2023 18,068 December 15, 2022 December 15, 2023 14,708 December 15, 2022 December 15, 2024 Total unvested OP LTIP Units at March 31, 2023 113,615 (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-month periods ended March 31, 2023 and 2022: Three-Month Period Ended March 31, 2023 2022 Manager Director/ Total Manager Director/ Total OP LTIP Units Outstanding (12/31/2022 and 2021, respectively) 365,518 404,055 769,573 365,518 310,295 675,813 Granted — — — — 40,254 40,254 OP LTIP Units Outstanding (3/31/2023 and 2022, respectively) 365,518 404,055 769,573 365,518 350,549 716,067 OP LTIP Units Unvested and Outstanding (3/31/2023 and 2022, respectively) — 113,615 113,615 — 120,140 120,140 OP LTIP Units Vested and Outstanding (3/31/2023 and 2022, respectively) 365,518 290,440 655,958 365,518 230,409 595,927 There were an aggregate of 1,509,481 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 both March 31, 2023 and December 31, 2022, respectively. |
Equity
Equity | 3 Months Ended |
Mar. 31, 2023 | |
Stockholders' Equity Note [Abstract] | |
Common Stock Capitalization | Equity Preferred Stock The Company has authorized 100,000,000 shares of preferred stock, $0.001 par value per share. As of March 31, 2023 and December 31, 2022, the total amount of cumulative preferred dividends in arrears was $3.8 million and $2.5 million, respectively. As of both March 31, 2023 and December 31, 2022, 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. As of both March 31, 2023 and December 31, 2022, there were 4,820,421 shares of 6.250% Series B Fixed-Rate Reset Cumulative Redeemable Preferred Stock, $0.001 par value per share ("Series B Preferred Stock") outstanding. As of March 31, 2023, there were 4,000,000 shares of 8.625% Series C Fixed-Rate Reset Cumulative Redeemable Preferred Stock, $0.001 par value per share ("Series C Preferred Stock") outstanding. The 4,000,000 shares of Series C Preferred Stock where issued during the three-month period ended March 31, 2023 and provided $96.5 million of net proceeds after $3.5 million of commissions and offering costs. On January 20, 2022, the Company commenced an "at-the-market" offering for our preferred stock, or the "Preferred ATM Program," by entering into equity distribution agreements with third party sales agents under which it is authorized to offer and sell up to $100.0 million of Series A Preferred Stock and/or Series B Preferred Stock from time to time. During the three-month period ended March 31, 2022, the Company issued 20,421 shares of Series B Preferred Stock, which provided $0.5 million of net proceeds after $23 thousand of commissions and offering costs. Series A The Company's Series A Preferred Stock ranks senior to its common stock and Convertible Non-controlling Interests but on a parity with the Company's Series B and Series C Preferred Stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution or winding up of the Company. 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. Series B The Company's Series B Preferred Stock ranks senior to its common stock and Convertible Non-controlling Interests but on a parity with the Company's Series A and Series C Preferred Stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution or winding up of the Company. Additionally, the Company's Series B Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. The Series B Preferred Stock is not redeemable by the Company prior to January 30, 2027, 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 B Preferred Stock generally do not have any voting rights. Holders of the Series B Preferred Stock are entitled to receive cumulative cash dividends from and including the original issue date to, but excluding, January 30, 2027 (the "First Reset Date"), at a fixed rate equal to 6.250% per annum of the $25.00 per share liquidation preference. The applicable fixed rate resets on the First Reset Date and again on the fifth anniversary of the preceding reset date (each a "Reset Date"), at a rate equal to the five-year treasury rate as measured three business days prior to the Reset Date plus 4.99% 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. Series C The Company's Series C Preferred Stock ranks senior to its common stock and Convertible Non-controlling Interests but on a parity with the Company's Series A and Series B Preferred Stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution or winding up of the Company. Additionally, the Company's Series C Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. The Series C Preferred Stock is not redeemable by the Company prior to January 30, 2028, 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 C Preferred Stock generally do not have any voting rights. Holders of the Series C Preferred Stock are entitled to receive cumulative cash dividends from and including the original issue date to, but excluding, April 30, 2028 (the "First Reset Date"), at a fixed rate equal to 8.625% per annum of the $25.00 per share liquidation preference. The applicable fixed rate resets on the First Reset Date and again on the fifth anniversary of the preceding reset date (each a "Reset Date"), at a rate equal to the five-year treasury rate as measured three business days prior to the Reset Date plus 5.13% 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. 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 March 31, 2023 and December 31, 2022, there were 67,185,076 and 63,812,215 shares of common stock outstanding, respectively. On August 6, 2021, the Company commenced an "at-the-market" offering program for shares of its common stock, or "2021 Common ATM program," by entering into equity distribution agreements with third party sales agents under which it was authorized to offer and sell up to 10.0 million shares of common stock from time to time. On January 24, 2023, the Company amended the equity distribution agreements (the "EDA Amendments") with each of the third party sales agents. Such amendments authorize the Company to offer and sell up to $225.0 million shares of common stock from time to time (the "2023 Common ATM Program"); the 2021 and 2023 Common ATM programs are collectively referred to as the "Common ATM Programs." During the three-month period ended March 31, 2023, the Company issued 4,433,861 shares of common stock under the Common ATM Programs which provided $60.5 million of net proceeds after $0.9 million of agent commissions and offering costs. During the three-month period ended March 31, 2022, the Company issued 2,185,000 shares of common stock under the 2021 Common ATM program which provided $38.5 million of net proceeds after $0.6 million of agent commissions and offering costs. The following table summarizes issuance, repurchase, and other activity with respect to the Company's common stock for the three-month periods ended March 31, 2023 and 2022: Three-Month Period Ended March 31, 2023 March 31, 2022 Shares of Common Stock Outstanding (as of December 31, 2022 and 2021, respectively) 63,812,215 57,458,169 Share Activity: Shares of common stock issued 4,433,861 2,185,000 Shares of common stock issued in connection with incentive fee payment — 19,094 Shares of common stock repurchased (1,061,000) — Shares of Common Stock Outstanding (as of March 31, 2023 and 2022, respectively) 67,185,076 59,662,263 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 March 31, 2023 and December 31, 2022, the Company's issued and outstanding shares of common stock would increase to 68,001,009 and 64,628,148 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 "2018 Repurchase Plan"). On March 21, 2023, the Board of Directors approved the adoption of a share repurchase program under which the Company is authorized to repurchase up to $50 million of the Company's common stock (the "2023 Repurchase Plan"), extending the Company’s ability to repurchase common stock beyond the 1.55 million shares previously authorized in 2018. Both the 2018 Repurchase Plan and 2023 Repurchase Plan are open-ended in duration and allow the Company to make repurchases from time to time on the open market or in negotiated transactions, including under Rule 10b5-1 plans. Repurchases under the plans are at the Company's discretion, subject to applicable law, share availability, price and financial performance, among other considerations. During the three-month period ended March 31, 2023, the Company repurchased 1,061,000 shares at an average price per share of $11.38 and a total cost of $12.1 million. As of March 31, 2023, the Company has authorization to repurchase an additional $46.1 million of the Company's common stock under the 2023 Repurchase Plan; all shares authorized under the 2018 Repurchase Plan have been repurchased. The Company did not repurchase any shares during the three-month period ended March 31, 2022. |
Earnings Per Share
Earnings Per Share | 3 Months Ended |
Mar. 31, 2023 | |
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 Period Ended (In thousands except share amounts) March 31, 2023 March 31, 2022 Net income (loss) attributable to common stockholders $ 38,916 $ (9,902) Add: Net income (loss) attributable to Convertible Non-controlling Interests (1) 476 (126) Net income (loss) attributable to common stockholders and Convertible Non-controlling Interests 39,392 (10,028) Dividends declared: Common stockholders (30,297) (26,189) Convertible Non-controlling Interests (367) (332) Total dividends declared to common stockholders and Convertible Non-controlling Interests (30,664) (26,521) Undistributed (Distributed in excess of) earnings: Common stockholders 8,619 (36,091) Convertible Non-controlling Interests 109 (458) Total undistributed (distributed in excess of) earnings attributable to common stockholders and Convertible Non-controlling Interests $ 8,728 $ (36,549) Weighted average shares outstanding (basic and diluted): Weighted average shares of common stock outstanding 66,672,049 57,614,015 Weighted average Convertible Non-controlling Interest Units outstanding 815,933 733,354 Weighted average shares of common stock and Convertible Non-controlling Interest Units outstanding 67,487,982 58,347,369 Basic earnings per share of common stock and Convertible Non-controlling Interest Unit: Distributed $ 0.45 $ 0.45 Undistributed (Distributed in excess of) 0.13 (0.62) $ 0.58 $ (0.17) Diluted earnings per share of common stock and Convertible Non-controlling Interest Unit: Distributed $ 0.45 $ 0.45 Undistributed (Distributed in excess of) 0.13 (0.62) $ 0.58 $ (0.17) (1) For the three-month periods ended March 31, 2023 and 2022, excludes net income (loss) of $0.2 million and $(0.3) million, respectively, attributable to joint venture partners and Longbridge, as applicable, which have non-participating interests as described in Note 17. |
Restricted Cash
Restricted Cash | 3 Months Ended |
Mar. 31, 2023 | |
Restricted Cash and Investments [Abstract] | |
Restricted Cash | Restricted CashRestricted cash represents cash that the Company can use only for specific purposes. As of March 31, 2023 and December 31, 2022, the Company had $1.6 million and $4.8 million, respectively, of restricted cash including cash balances that are restricted under a warehouse line of credit agreement. |
Offsetting of Assets and Liabil
Offsetting of Assets and Liabilities | 3 Months Ended |
Mar. 31, 2023 | |
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 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. The following tables present information about certain assets and liabilities representing financial instruments as of March 31, 2023 and December 31, 2022. March 31, 2023: 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 $ 104,033 $ (16,142) $ — $ (27,888) $ 60,003 Reverse repurchase agreements 180,934 (32,150) (148,784) — — Liabilities Financial derivatives–liabilities (24,245) 16,142 — 3,271 (4,832) Repurchase agreements (2,285,898) 32,150 2,250,442 3,306 — (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 March 31, 2023 was $2.9 billion. As of March 31, 2023, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged (received) of $0.2 million and $1.1 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, 2022: 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 $ 132,518 $ (53,229) $ — $ (32,044) $ 47,245 Reverse repurchase agreements 226,444 (152,946) (73,498) — — Liabilities Financial derivatives–liabilities (54,198) 53,229 — 534 (435) Repurchase agreements (2,609,685) 152,946 2,436,472 20,267 — (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, 2022 was $3.2 billion. As of December 31, 2022, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged of $0.4 million and $1.8 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. |
Counterparty Risk
Counterparty Risk | 3 Months Ended |
Mar. 31, 2023 | |
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 March 31, 2023 and December 31, 2022. March 31, 2023: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (1) (In thousands) Cash and cash equivalents $ 188,555 13 37.4 % Collateral on repurchase agreements held by dealers (2) 2,905,626 27 24.8 % Due from brokers 24,291 17 23.0 % Receivable for securities sold (3) 21,034 4 50.9 % (1) Each counterparty is a financial institution that the Company believes to be creditworthy as of March 31, 2023. (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, 2022: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (In thousands) Cash and cash equivalents $ 217,053 13 41.3 % Collateral on repurchase agreements held by dealers (1) 3,247,276 26 21.6 % Due from brokers 36,761 20 22.8 % Receivable for securities sold (2) 21,439 6 36.4 % (1) Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (2) Included in Investment related receivables on the Condensed Consolidated Balance Sheet. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2023 | |
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 March 31, 2023 and December 31, 2022, 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 $191.8 million and $175.7 million as of March 31, 2023 and December 31, 2022, respectively. Commitments and Contingencies Related to Investments in Loan Originators In connection with certain of its investments in mortgage and consumer loan originators, the Company has outstanding commitments and contingencies as described below. As described in Note 15, the Company is party to a flow mortgage loan purchase and sale agreement with a mortgage loan originator. The Company has entered into agreements whereby it guarantees the performance of this mortgage loan originator under master repurchase agreements. The Company's maximum guarantees were capped at $15.0 million as of both March 31, 2023 and December 31, 2022 and there were no such borrowings outstanding as of either date. 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 March 31, 2023 and December 31, 2022, the estimated fair value of such guarantee was insignificant. The Company is party to a flow mortgage loan purchase and sale agreement with a mortgage loan originator in which it holds an equity investment and as well as an investment in the Convertible Note, as discussed in Note 15. In addition, in May 2021, the Company committed to purchase $650.0 million of eligible residential mortgage loans from this originator. As of March 31, 2023 and December 31, 2022, the Company had unfunded commitments related to such investments in the amount of $163.0 million and $181.4 million, respectively. As described in Note 15, the Company entered into various secured promissory notes with certain loan originators in which it also holds an equity interest. As of March 31, 2023 and December 31, 2022, the Company had unfunded commitments related to such secured promissory notes of $5.3 million and $6.5 million, respectively. Commitments and Contingencies Related to Investments in Unconsolidated Entities The Company has entered into agreements whereby it guarantees the performance of a securitization-related risk retention vehicle, in which it has an equity investment, under a promissory note. The Company's maximum guarantees were capped at $15.5 million. As of both March 31, 2023 and December 31, 2022, the amount of the promissory note outstanding, for which the Company provided a guarantee, was $10.8 million. 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 both March 31, 2023 and December 31, 2022, the Company had unfunded commitments related to such investments in the amount of $4.2 million. The Company has extended a line of credit whereby the borrower can draw funds up to $1.0 million. As of both March 31, 2023 and December 31, 2022, the Company had unfunded commitments related to such line of credit in the amount of $0.9 million. Commitments to Extend Credit The Company enters into loan commitment arrangements with borrowers who have applied for reverse mortgage loans that have not yet closed. As of March 31, 2023 and December 31, 2022, the fair value of such commitments was $3.3 million and $3.1 million, respectively, which is reflected in Loan commitments on the Condensed Consolidated Balance Sheet. The Company is required to fund further borrower advances for loans where the borrower has not fully drawn down all of the HECM loan proceeds available to them. As of March 31, 2023 and December 31, 2022, the Company had unfunded commitments related to such HECM loans of $1.8 billion and $1.7 billion, respectively. Additionally, the Company has the obligation to advance various other HECM loan related amounts such as the borrowers' monthly insurance premiums to FHA and property taxes. Mandatory Repurchase Obligations As detailed in Note 12, the Company is required to purchase from HMBS pools any HECM loan that has reached the MCA. For active loans, the Company subsequently assigns such loan to HUD, which then reimburses the Company up to the MCA. For inactive loans, following resolution of the loan, the Company files a claim with HUD for any recoverable remaining principal and advance balances. Lease Commitments Longbridge, the Company's consolidated subsidiary, leases office space under various operating lease arrangements, which expire on various dates through December 2029. As discussed in Note 2, the Company makes various assumption and estimates in recognizing the operating lease ROU asset and corresponding lease liabilities, including the e xpected lease term, incremental borrowing rate, and identifying lease and non-lease components. Total expense under all operating leases amounted to $0.3 million for the three-month period ended March 31, 2023 and is included in Other expenses on the Condensed Consolidated Statement of Operations. The Company did not incur any expenses related to operating leases for the three-month period ended March 31, 2022. The following table provides details of the Company's outstanding leases as of March 31, 2023 and December 31, 2022. ($ in thousands) March 31, 2023 December 31, 2022 ROU assets $ 3,682 $ 3,838 Lease liabilities 3,905 4,058 Weighted average remaining term (in years) 5.6 5.8 Weighted average discount rate 7.20 % 7.20 % The following table details contractual future minimum lease payments as of March 31, 2023. Minimum Payments (In thousands) Year ended December 31, 2023 $ 710 Year ended December 31, 2024 844 Year ended December 31, 2025 799 Year ended December 31, 2026 793 Year ended December 31, 2027 695 Thereafter 953 Total 4,794 Less: implied interest payments (889) Lease Liability $ 3,905 |
Segment Reporting
Segment Reporting | 3 Months Ended |
Mar. 31, 2023 | |
Segment Reporting [Abstract] | |
Segment Reporting Disclosure | Segment Reporting On October 3, 2022, the Company completed the acquisition of Longbridge, a reverse mortgage loan originator and servicer. As a result of the Longbridge Transaction, the Company determined that it has two reportable segments, the Investment Portfolio Segment and the Longbridge Segment, for each of which the chief operating decision maker receives and reviews separate financial information. As discussed in Note 1, the Investment Portfolio Segment includes a diverse array of the Company's financial assets, as well as associated financing, hedging, and various allocable expenses. The Longbridge Segment consists of the stand-alone origination and servicing business of Longbridge, including associated financial assets, financing, hedging, and allocated expenses. Income and expense items that are not directly allocated to either segment are included in Corporate/Other as reconciling items to our consolidated financial statements. These unallocated items include: (i) all income and expense items related to the Company's Senior Notes and preferred stock outstanding, including any hedges related thereto; (ii) management and incentive fees; (iii) income tax expense (benefit); (iv) certain compensation and benefits expenses, professional fees, administrative and custody fees, non-cash equity compensation; and (v) interest income (expense) on cash margin. Prior to the consolidation of Longbridge, the Company had one reportable segment; the Company has conformed prior periods to present items of income and expense shown in Corporate/Other. The following tables present the Company's results of operations by reportable segment for the three-month periods ended March 31, 2023 and 2022, and various reconciling items to the Company's results of operations overall. Three-Moth Period Ended March 31, 2023 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Interest income $ 82,369 $ 2,893 $ 1,912 $ 87,174 Interest expense (52,136) (4,346) (3,135) (59,617) Total other income (loss) 10,929 33,398 7,348 51,675 Total expenses 3,505 25,447 8,950 37,902 Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 37,657 6,498 (2,825) 41,330 Income tax expense (benefit) — — 21 21 Earnings (losses) from investments in unconsolidated entities 3,444 — — 3,444 Net Income (Loss) 41,101 6,498 (2,846) 44,753 Net income (loss) attributable to non-controlling interests 238 2 480 720 Dividends on preferred stock — — 5,117 5,117 Net Income (Loss) Attributable to Common Stockholders $ 40,863 $ 6,496 $ (8,443) $ 38,916 Non-cash items Amortization and depreciation expense $ — $ 358 $ — $ 358 Three-Month Period Ended March 31, 2022 (In thousands) Investment Portfolio Corporate/ Other Total Interest income $ 51,054 $ 20 $ 51,074 Interest expense (12,698) (1,319) (14,017) Total other income (loss) (21,771) (3,671) (25,442) Total expenses 7,752 11,815 19,567 Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 8,833 (16,785) (7,952) Income tax expense (benefit) — (6,960) (6,960) Earnings (losses) from investments in unconsolidated entities (5,506) — (5,506) Net Income (Loss) 3,327 (9,825) (6,498) Net income (loss) attributable to non-controlling interests (298) (122) (420) Dividends on preferred stock — 3,824 3,824 Net Income (Loss) Attributable to Common Stockholders $ 3,625 $ (13,527) $ (9,902) The following tables present our balance sheet by reportable segment as of March 31, 2023 and December 31, 2022, which reconciles to the Company's financial position overall. March 31, 2023 (In thousands) Investment Portfolio Longbridge Corporate/ Other Total Total Assets $ 5,386,586 $ 8,557,559 $ 167,380 $ 14,111,525 Total Liabilities 4,082,404 8,390,816 263,542 12,736,762 Total Equity 1,304,182 166,743 (96,162) 1,374,763 December 31, 2022 (In thousands) Investment Portfolio Longbridge Corporate/ Other Total Total Assets $ 5,635,657 $ 8,227,509 $ 222,720 $ 14,085,886 Total Liabilities 4,499,669 8,092,313 273,018 12,865,000 Total Equity 1,135,988 135,196 (50,298) 1,220,886 |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2023 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events On April 10, 2023, the Board of Directors approved a dividend in the amount of $0.15 per share of common stock payable on May 25, 2023 to stockholders of record as of April 28, 2023. On May 8, 2023, the Board of Directors approved a dividend in the amount of $0.15 per share of common stock payable on June 26, 2023 to stockholders of record as of May 31, 2023. |
Significant Accounting Polici_2
Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2023 | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Basis of Presentation | Basis of Presentation: The Company's unaudited 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. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's 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, 2022. |
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 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," 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, reverse mortgage loans, private corporate debt and equity investments, loan commitments, mortgage servicing rights, or "MSRs," other secured borrowings, at fair value, HMBS-related obligations, at fair value, and senior notes, at fair value. 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," forward settling to-be-announced mortgage-backed-securities, or "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 mortgage loans, reverse mortgage loans, 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 loans 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, and in the case of HECM reverse mortgage loans, projected future tail draws. Many adjustable-rate reverse mortgage loans provide the borrower with a line of credit that can be drawn over time, and a "tail draw" is a principal addition that results when a borrower takes such a draw, which may be securitized. Mortgage and consumer loans are classified as Level 3. The Company has elected the fair value option, or "FVO," for its HMBS-related obligations. It determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. The estimated fair value of HMBS-related obligations also includes the consideration that would be required by a market participant to transfer the HECM loan net of the related servicing, including exposure resulting from shortfalls in FHA insurance proceeds. HMBS-related obligations, at fair value are classified as Level 3. The Company has elected the FVO for its MSRs. It determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. MSRs 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, Consolidation ("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 12 " Securitization Transactions — Residential Mortgage Loan Securitizations " for further discussion on the Company's consolidated 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 both external pricing data, which includes third-party valuations, and internal pricing models. The securitized non-QM loans, which are assets of the consolidated CFEs, are included in Loans, at fair value, on the Company's Condensed Consolidated Balance Sheet. The debt issued by the consolidated 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 Unrealized gains (losses) on other secured borrowings, at fair value, 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. The Company has elected the FVO for its loan commitments related to reverse mortgage loans, and uses valuation models incorporating market pricing for instruments with similar characteristics in determining fair value. The valuation model uses various inputs, such as an estimate of the fair value of the servicing rights expected to be recorded upon sale of a loan to a third party, estimated cost to originate the loan, and the expected pull-through rate. The Company's loan commitments are 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 directed by the Manager's Valuation Committee (the "Valuation Committee"), and overseen by the Company's audit 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, Investments—Debt and Equity Securities ("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, Financial Instruments ("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, Derivatives and Hedging ("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 SOFR, the Company has determined that such investments do not meet the requirements for treatment as financial derivatives and are classified as securities. The Company applies the principles of ASU 2016-13, Financial Instruments—Credit Losses ("ASU 2016-13") and 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 Condensed Consolidated Statement of Operations. |
Accounting for Loans | Accounting for Loans : The Company's loan portfolio primarily consists of residential mortgage, commercial mortgage, consumer, and reverse mortgage 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. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. 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. Changes in fair value on residential mortgage, commercial mortgage, consumer, and corporate loans are included as a component of Unrealized gains (losses) on securities and loans, net. Changes in fair value on reverse mortgage loans held-for-investment is included as a component of Net change from reverse mortgage loans, at fair value, on the Condensed Consolidated Statement of Operations. The Company generates income from fees on certain loans, generally reverse mortgage and commercial mortgage loans, that it originates and holds for investment, including origination, servicing, and exit fees. Such fee income is recorded when earned and included in Other, net on the Condensed Consolidated Statement of Operations. 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. Although reverse mortgage loans do not require monthly principal and interest payments, the terms of such loans require the borrower to occupy the property and to stay current on payment of property taxes and homeowners insurance. In the event that the borrower no longer occupies the property due to death or other circumstances or becomes delinquent on their tax or insurance payments, the loan will be classified as inactive. 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. Consistent with 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 Condensed 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 Condensed Consolidated Statement of Operations. |
Interest Income | Interest Income: The Company generally 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 (including residential and commercial mortgage, and consumer loans) 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). Interest income on reverse mortgage loans held-for-investment is recognized based on the stated rate of the loan. Such interest income is included on the Condensed Consolidated Statement of Operations as a component of Net change from reverse mortgage loans, at fair value. 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. Consistent with 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. 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, Investments—Equity Method and Joint Ventures |
REO | Real Estate Owned "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 maintaining qualification as a REIT. The Company's financial derivatives are predominantly subject to bilateral master trade agreements 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 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 Condensed 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 usually 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. |
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 11 and Note 15 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 12 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, loan origination fees, 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 interests of joint venture partners in certain of our consolidated subsidiaries. The joint venture partners' interests are not convertible into shares of the Company's common stock. The Company adjusts the Convertible Non-controlling Interests to align their carrying value with their share of total outstanding Operating Partnership units, including both the OP Units held by the Company and the Convertible Non-controlling Interests. Any such adjustments are reflected in Adjustment to non-controlling interests, on the Condensed Consolidated Statement of Changes in Equity. Non-controlling interests also include a minority ownership stake of Longbridge by employees of Longbridge. See Note 17 for further discussion of non-controlling interests. |
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 (2019, 2020, 2021, and 2022). 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 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. The |
Transfers and Servicing of Financial Assets, Servicing of Financial Assets, Policy | Mortgage Servicing Rights : MSRs represent contractual rights to perform specific administrative functions for the underlying loans including specified mortgage servicing activities, which include collecting loan payments, remitting principal and interest payments, managing escrow accounts for mortgage-related expenses such as taxes and insurance, and various other administrative tasks required to adequately service the mortgage loan portfolio. MSRs are created when the Company sells originated or purchased reverse mortgage loans but retains the servicing rights. The Company has elected the FVO for its MSRs in accordance with ASC 860-50, Transfers and Servicing—Servicing assets and liabilities ("ASC 860-50"). Under this methodology, the Company fair values its MSRs on a recurring basis with changes in fair value recorded through earnings on the Condensed Consolidated Statement of Operations in Other, net. The Company accrues a base servicing fee for each serviced loan, typically based on the remaining outstanding principal balance of the loan and a fixed annual percentage fee, which is included in Other, net on the Condensed Consolidated Statement of Operations. Costs of servicing and ancillary fees are recognized as incurred or earned, and are included in Servicing expense on the Condensed Consolidated Statement of Operations. |
Loan Commitment Policy | Loan Commitments: The Company's loan commitments relate to certain reverse mortgage loans extended to borrowers. The Company has elected the FVO for its loan commitments which are included in Loan commitments, at fair value on the Condensed Consolidated Balance Sheet. Changes in the fair value of the Company's loan commitments are included in Other, net on the Condensed Consolidated Statement of Operations. |
Goodwill and Intangible Assets, Intangible Assets, Policy | Intangible Assets: In connection with the Longbridge Transaction, the Company acquired intangible assets including internally developed software of Longbridge, trademarks, customer relationships, and non-compete agreements for various Longbridge employees. Intangible assets are amortized over their expected useful lives on a straight-line basis. See Note 10 for additional details on the Company's intangible assets. |
Business Combinations Policy | Business Combinations : In accordance with ASC 805, Business Combinations |
Lessee, Leases | Leases : Longbridge, the Company's consolidated subsidiary, leases office space under various operating lease agreements. The Company accounts for its leases under ASU 842, Leases , "ASC 842," using a right-of-use, or "ROU," model, which recognizes that, at the date of commencement, a lessee has a financial obligation to make lease payments to the lessor for the right to use the underlying asset during the lease term. For each lease with a term greater than one year the Company recognizes a ROU asset as well as a lease liability, which is included in Other assets and Accrued expenses and other liabilities, respectively, on its Condensed Consolidated Balance Sheet. |
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 consolidated financial statements. |
Valuation (Tables)
Valuation (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
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 March 31, 2023 and December 31, 2022: March 31, 2023: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value: Agency RMBS $ — $ 846,919 $ 6,193 $ 853,112 Non-Agency RMBS — 108,667 156,277 264,944 CMBS — 4,655 11,767 16,422 CLOs — 3,494 28,674 32,168 Asset-backed securities, backed by consumer loans — — 72,200 72,200 Corporate debt securities — — 8,347 8,347 Corporate equity securities — — 11,102 11,102 U.S. Treasury securities — 131,252 — 131,252 Loans, at fair value: Residential mortgage loans — — 3,024,744 3,024,744 Commercial mortgage loans — — 374,233 374,233 Consumer loans — — 3,969 3,969 Corporate loans — — 4,920 4,920 Reverse mortgage loans — — 8,404,701 8,404,701 MSRs, at fair value — — 8,100 8,100 Servicing asset, at fair value — — 299 299 Loan commitments, at fair value — — 3,299 3,299 Investment in unconsolidated entities, at fair value — — 118,747 118,747 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities — — 76 76 Credit default swaps on asset-backed indices — 4,846 — 4,846 Credit default swaps on corporate bond indices — 44 — 44 Interest rate swaps — 96,399 — 96,399 TBAs — 1,524 — 1,524 Warrants — 1,056 — 1,056 Futures 88 — — 88 Total assets $ 88 $ 1,198,856 $ 12,237,648 $ 13,436,592 Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Liabilities: Securities sold short, at fair value: Government debt $ — $ (158,302) $ — $ (158,302) Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed indices — (33) — (33) Credit default swaps on corporate bonds — (277) — (277) Credit default swaps on corporate bond indices — (1,720) — (1,720) Interest rate swaps — (13,211) — (13,211) TBAs — (5,623) — (5,623) Futures (3,076) — — (3,076) Forwards — (305) — (305) Other secured borrowings, at fair value — — (1,534,592) (1,534,592) HMBS-related obligations, at fair value — — (7,975,916) (7,975,916) Senior notes, at fair value — — (185,325) (185,325) Total liabilities $ (3,076) $ (179,471) $ (9,695,833) $ (9,878,380) December 31, 2022: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value: Agency RMBS $ — $ 961,236 $ 7,027 $ 968,263 Non-Agency RMBS — 129,676 132,502 262,178 CMBS — 5,604 12,649 18,253 CLOs — 6,463 24,598 31,061 Asset-backed securities, backed by consumer loans — — 73,644 73,644 Corporate debt securities — — 7,533 7,533 Corporate equity securities — — 11,111 11,111 U.S. Treasury securities — 87,422 — 87,422 Loans, at fair value: Residential mortgage loans — — 3,115,518 3,115,518 Commercial mortgage loans — — 404,324 404,324 Consumer loans — — 4,843 4,843 Corporate loans — — 4,086 4,086 Reverse mortgage loans — — 8,097,237 8,097,237 MSRs, at fair value — — 8,108 8,108 Servicing asset, at fair value — — 999 999 Loan commitments, at fair value — — 3,060 3,060 Investment in unconsolidated entities, at fair value — — 127,046 127,046 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities — — 76 76 Credit default swaps on asset-backed indices — 3,366 — 3,366 Credit default swaps on corporate bond indices — 83 — 83 Interest rate swaps — 117,022 — 117,022 TBAs — 7,985 — 7,985 Warrants — 1,137 — 1,137 Futures 2,772 — — 2,772 Forwards — 77 — 77 Total assets $ 2,772 $ 1,320,071 $ 12,034,361 $ 13,357,204 Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Liabilities: Securities sold short, at fair value: Government debt $ — $ (209,203) $ — $ (209,203) Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed indices — (33) — (33) Credit default swaps on corporate bonds — (259) — (259) Credit default swaps on corporate bond indices — (1,513) — (1,513) Interest rate swaps — (50,290) — (50,290) TBAs — (2,007) — (2,007) Futures (96) — — (96) Other secured borrowings, at fair value — — (1,539,881) (1,539,881) HMBS-related obligations, at fair value — — (7,787,155) (7,787,155) Senior notes, at fair value — — (191,835) (191,835) Total liabilities $ (96) $ (263,305) $ (9,518,871) $ (9,782,272) |
Schedule of Significant Unobservable Inputs, Qualitative Information | The following tables identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of March 31, 2023 and December 31, 2022: March 31, 2023: Fair Value Valuation Unobservable Input Range Weighted Description Min Max (In thousands) Non-Agency RMBS $ 80,813 Market Quotes Non Binding Third-Party Valuation $ 0.48 $ 137.63 $ 78.99 75,464 Discounted Cash Flows 156,277 Yield 0.0 % 94.1 % 11.4 % Projected Collateral Prepayments 0.0 % 100.0 % 51.3 % Projected Collateral Losses 0.0 % 96.5 % 11.3 % Projected Collateral Recoveries 0.0 % 99.8 % 13.3 % Non-Agency CMBS 10,588 Market Quotes Non Binding Third-Party Valuation $ 5.22 $ 42.76 $ 29.37 1,179 Discounted Cash Flows 11,767 Yield 11.0 % 17.8 % 15.4 % Projected Collateral Losses 1.8 % 49.0 % 6.4 % Projected Collateral Recoveries 51.0 % 96.8 % 92.0 % CLOs 20,630 Market Quotes Non Binding Third-Party Valuation $ 25.00 $ 94.68 $ 79.09 8,044 Discounted Cash Flows 28,674 Yield 3.3 % 40.1 % 19.6 % Agency interest only RMBS 2,340 Market Quotes Non Binding Third-Party Valuation $ 3.38 $ 20.75 $ 13.72 3,853 Option Adjusted Spread ("OAS") 6,193 LIBOR OAS (1)(2) 160 4,232 626 Projected Collateral Prepayments 26.2 % 100.0 % 58.7 % Fair Value Valuation Unobservable Input Range Weighted Description Min Max (continued) (In thousands) ABS backed by consumer loans $ 72,200 Discounted Cash Flows Yield 6.9 % 22.9 % 13.2 % Projected Collateral Prepayments 0.0 % 20.9 % 15.0 % Projected Collateral Losses 0.0 % 28.4 % 20.3 % Corporate debt and equity 19,449 Discounted Cash Flows Yield 0.0 % 60.5 % 15.3 % Performing and re-performing residential mortgage loans 1,304,959 Discounted Cash Flows Yield 3.3 % 22.2 % 8.5 % Securitized residential mortgage loans (3)(4) 1,577,130 Market Quotes Non Binding Third-Party Valuation $ 0.70 $ 99.43 $ 85.93 85,718 Discounted Cash Flows 1,662,848 Yield 3.7 % 50.5 % 7.8 % Non-performing residential mortgage loans 56,937 Discounted Cash Flows Yield 0.2 % 71.3 % 9.1 % Recovery Amount 1.8 % 218.8 % 92.6 % Months to Resolution 8.9 80.5 29.1 Performing commercial mortgage loans 346,116 Discounted Cash Flows Yield 6.1 % 13.9 % 10.8 % Non-performing commercial mortgage loans 28,117 Discounted Cash Flows Yield 12.3 % 52.1 % 17.4 % Recovery Amount 100.0 % 100.6 % 100.5 % Months to Resolution 2.8 3.8 3.2 Consumer loans 3,969 Discounted Cash Flows Yield 10.6 % 36.6 % 17.6 % Projected Collateral Prepayments 0.0 % 19.7 % 11.3 % Projected Collateral Losses 0.0 % 46.3 % 13.2 % Corporate loans 4,920 Discounted Cash Flows Yield 6.0 % 12.5 % 7.7 % Reverse Mortgage Loans—HECM 8,201,512 Discounted Cash Flows Yield 3.2 % 6.1 % 4.2 % Conditional Prepayment Rate 7.1 % 43.9 % 9.3 % Reverse Mortgage Loans—HECM 64,955 Recent Transactions Transaction Price n/a n/a n/a Reverse Mortgage Loans—Proprietary 138,234 Discounted Cash Flows Yield 7.4 % 8.3 % 7.6 % Conditional Prepayment Rate 11.0 % 37.1 % 14.8 % MSRs 8,100 Discounted Cash Flows Yield 12.0 % 12.0 % 12.0 % Conditional Prepayment Rate 11.0 % 37.1 % 13.9 % Servicing Asset 299 Discounted Cash Flows Yield 11.7 % 11.7 % 11.7 % Loan Commitments 3,299 Discounted Cash Flows Pull-through rate 57.4 % 100.0 % 75.9 % Cost to originate 2.0 % 6.6 % 4.8 % Investment in unconsolidated entities—Loan origination entities 35,088 Enterprise Value Equity Price-to-Book (5) 0.9x 1.2x 1.0x Investment in unconsolidated entities—Other 83,117 Enterprise Value Net Asset Value n/a n/a n/a Investment in unconsolidated entities—Loan origination-related entities 542 Recent Transactions Transaction Price n/a n/a n/a 118,747 Fair Value Valuation Unobservable Input Range Weighted Description Min Max (continued) (In thousands) Credit default swaps on asset-backed securities $ 76 Net Discounted Cash Flows Projected Collateral Prepayments 22.9 % 22.9 % 22.9 % Projected Collateral Losses 8.6 % 8.6 % 8.6 % Projected Collateral Recoveries 12.3 % 12.3 % 12.3 % Other secured borrowings, at fair value (3) (1,534,592) Market Quotes Non Binding Third-Party Valuation $ 39.43 $ 99.43 $ 87.55 Yield 5.9% 9.5% 6.8% Projected Collateral Prepayments 93.0% 95.1% 94.0% HMBS-related obligations, at fair value (7,975,916) Discounted Cash Flows Yield 3.1% 6.1% 4.1% Conditional Prepayment Rate 7.1% 43.9% 9.3% Senior notes, at fair value (185,325) Market Quotes Non Binding Third-Party Valuation $ 88.25 $ 88.25 $ 88.25 (1) Shown in basis points. (2) 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 $0.5 million. Including these securities the weighted average was 492 basis points. (3) 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. (4) Includes $10.1 million of non-performing securitized residential mortgage loans. (5) Represents an estimation of where market participants might value an enterprise on a price-to-book basis. For the range minimum, the range maximum, and the weighted average yield, excludes investments in unconsolidated entities with a total fair value of $7.8 million. Including such investment the weighted average price-to-book ratio was 9.2x. December 31, 2022: Fair Value Valuation Unobservable Input Range Weighted Description Min Max (In thousands) Non-Agency RMBS $ 59,831 Market Quotes Non Binding Third-Party Valuation $ 0.45 $ 159.91 $ 69.79 72,671 Discounted Cash Flows 132,502 Yield (1) 0.0 % 95.7 % 12.1 % Projected Collateral Prepayments 0.0 % 100.0 % 52.0 % Projected Collateral Losses 0.0 % 97.4 % 16.5 % Projected Collateral Recoveries 0.0 % 69.5 % 15.4 % Non-Agency CMBS 12,080 Market Quotes Non Binding Third-Party Valuation $ 5.54 $ 69.07 $ 38.37 569 Discounted Cash Flows 12,649 Yield 9.4 % 17.5 % 12.7 % Projected Collateral Losses 1.2 % 39.8 % 5.8 % Projected Collateral Recoveries 60.2 % 96.5 % 92.8 % CLOs 17,925 Market Quotes Non Binding Third-Party Valuation $ 3.96 $ 92.00 $ 57.94 6,673 Discounted Cash Flows 24,598 Yield (2) 13.2 % 36.1 % 23.3 % Agency interest only RMBS 2,358 Market Quotes Non Binding Third-Party Valuation $ 11.83 $ 20.44 $ 16.54 4,669 Option Adjusted Spread ("OAS") 7,027 LIBOR OAS (3)(4) 57 4,217 554 Projected Collateral Prepayments 23.2 % 100.0 % 55.3 % Fair Value Valuation Unobservable Input Range Weighted Description Min Max (continued) (In thousands) ABS backed by consumer loans $ 73,644 Discounted Cash Flows Yield 6.7 % 27.9 % 13.5 % Projected Collateral Prepayments 0.0 % 18.3 % 14.4 % Projected Collateral Losses 0.6 % 35.2 % 21.3 % Corporate debt and equity 18,644 Discounted Cash Flows Yield 0.0 % 49.6 % 16.4 % Performing and re-performing residential mortgage loans 1,416,951 Discounted Cash Flows Yield 0.5 % 53.5 % 8.7 % Securitized residential mortgage loans (5)(6) 1,539,170 Market Quotes Non Binding Third-Party Valuation $ 0.54 $ 98.22 $ 86.45 125,900 Discounted Cash Flows 1,665,070 Yield 4.4 % 40.8 % 8.3 % Non-performing residential mortgage loans 33,497 Discounted Cash Flows Yield 3.7 % 79.6 % 13.7 % Recovery Amount 1.5 % 220.6 % 21.4 % Months to Resolution 3.0 105.6 16.8 Performing commercial mortgage loans 386,741 Discounted Cash Flows Yield 5.2 % 16.5 % 10.5 % Non-performing commercial mortgage loans 17,583 Discounted Cash Flows Yield 23.0 % 25.1 % 24.8 % Recovery Amount 100.0 % 100.5 % 100.4 % Months to Resolution 1.8 5.8 2.3 Consumer loans 4,843 Discounted Cash Flows Yield 10.6 % 28.2 % 17.6 % Projected Collateral Prepayments 0.1 % 21.7 % 12.2 % Projected Collateral Losses 0.4 % 61.2 % 13.2 % Corporate loans 4,086 Discounted Cash Flows Yield 6.0 % 13.0 % 7.1 % Reverse Mortgage Loans—HECM 7,993,635 Discounted Cash Flows Yield 4.2 % 6.3 % 5.2 % Conditional Prepayment Rate 1.8 % 44.6 % 9.8 % Reverse Mortgage Loans—Proprietary 103,602 Discounted Cash Flows Yield 6.5 % 8.6 % 8.1 % Conditional Prepayment Rate 11.0 % 37.1 % 13.8 % MSRs 8,108 Discounted Cash Flows Yield 12.0 % 12.0 % 12.0 % Conditional Prepayment Rate 11.0 % 37.1 % 14.7 % Servicing Asset 999 Discounted Cash Flows Yield 11.7 % 11.7 % 11.7 % Loan Commitments 3,060 Discounted Cash Flows Pull-through rate 56.2 % 100.0 % 73.7 % Cost to originate 2.4% 7.1% 4.4% Investment in unconsolidated entities—Loan origination entities 37,099 Enterprise Value Equity Price-to-Book (7) 1.0x 1.8x 1.1x Investment in unconsolidated entities—Other 88,905 Enterprise Value Net Asset Value n/a n/a n/a Investment in unconsolidated entities—Loan origination-related entities 1,042 Recent Transactions Transaction Price n/a n/a n/a 127,046 Credit default swaps on asset-backed securities 76 Net Discounted Cash Flows Projected Collateral Prepayments 22.9 % 22.9 % 22.9 % Projected Collateral Losses 8.6 % 8.6 % 8.6 % Projected Collateral Recoveries 12.3 % 12.3 % 12.3 % Fair Value Valuation Unobservable Input Range Weighted Description Min Max (continued) (In thousands) Other secured borrowings, at fair value (4) $ (1,539,881) Market Quotes Non Binding Third-Party Valuation $ 54.94 $ 98.22 $ 87.34 Yield 3.7% 8.5% 6.9% Projected Collateral Prepayments 93.3% 96.3% 94.5% HMBS-related obligations, at fair value (7,787,155) Discounted Cash Flows Yield 4.1% 6.1% 5.1% Conditional Prepayment Rate 7.3% 36.7% 9.8% Senior notes, at fair value (191,835) Market Quotes Non Binding Third-Party Valuation $ 91.35 $ 91.35 $ 91.35 (1) For the range minimum, the range maximum, and the weighted average yield, excludes non-Agency RMBS with a negative yield, with a total fair value of $0.2 million. Including these securities the weighted average yield was 11.9%. (2) For the range minimum, the range maximum, and the weighted average yield, excludes CLOs with a negative yield, with a total fair value of $0.6 million. Including these securities the weighted average yield was 22.3%. (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 $0.6 million. Including these securities the weighted average was 437 basis points. (5) 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. (6) Includes $9.0 million of non-performing securitized residential mortgage loans. (7) Represent an estimation of where market participants might value an enterprise on a price-to-book basis. For the range minimum, the range maximum, and the weighted average yield, excludes investment in unconsolidated entity with a total fair value of $7.3 million. Including such investment the weighted average price-to-book ratio was 3.2x. |
Fair Value Measurement Using Significant Unobservable Inputs | The tables below includes a roll-forward of the Company's financial instruments for the three-month periods ended March 31, 2023 and 2022 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Three-Month Period Ended March 31, 2023 (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 $ 7,027 $ (349) $ (13) $ 156 $ 141 $ (872) $ 194 $ (91) $ 6,193 Non-Agency RMBS 132,502 132 891 (4,376) 30,533 (23,422) 21,582 (1,565) 156,277 CMBS 12,649 50 — (1,421) — — 758 (269) 11,767 CLOs 24,598 169 89 (614) 1,481 (1) 2,952 — 28,674 Asset-backed securities backed by consumer loans 73,644 (1,327) 78 (2,072) 12,140 (10,263) — — 72,200 Corporate debt securities 7,533 — (258) 271 2,895 (2,094) — — 8,347 Corporate equity securities 11,111 — — (40) 31 — — — 11,102 Loans, at fair value: Residential mortgage loans 3,115,518 (1,662) (5,588) 53,645 320,212 (457,381) — — 3,024,744 Commercial mortgage loans 404,324 — (2) 340 36,220 (66,649) — — 374,233 Consumer loans 4,843 (246) 96 (254) 300 (770) — — 3,969 Corporate loan 4,086 — (100) 1 936 (3) — — 4,920 Reverse mortgage loans (3) 8,097,237 — (3) 171,567 420,478 (284,578) — — 8,404,701 MSRs, at fair value (3) 8,108 — — (8) — — — — 8,100 Servicing asset, at fair value 999 — — (700) — — — — 299 Loan commitments, at fair value 3,060 — — 239 — — — — 3,299 Investments in unconsolidated entities, at fair value 127,046 — 1,472 1,972 30,787 (42,530) — — 118,747 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 76 — 1 — — (1) — — 76 Total assets, at fair value $ 12,034,361 $ (3,233) $ (3,337) $ 218,706 $ 856,154 $ (888,564) $ 25,486 $ (1,925) $ 12,237,648 Liabilities: Other secured borrowings, at fair value (1,539,881) (402) — (29,680) 35,371 — — — (1,534,592) Senior notes, at fair value (191,835) — — 6,510 — — — — (185,325) HMBS-related obligations, at fair value (7,787,155) — — (131,534) 275,618 (332,845) — — (7,975,916) Total liabilities, at fair value $ (9,518,871) $ (402) $ — $ (154,704) $ 310,989 $ (332,845) $ — $ — $ (9,695,833) (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. (3) Change in net unrealized gain (loss) represents the net change in fair value which can include interest income and realized and unrealized gains and losses. 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 March 31, 2023, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2023. For Level 3 financial instruments held by the Company at March 31, 2023, change in net unrealized gain (loss) of $(3.6) million, $225.5 million, $(8) thousand, $(0.7) million, $0.2 million, $(1.9) million, $(29.7) million, $6.5 million, and $(131.5) million for the three-month period ended March 31, 2023 relate to securities, loans , MSRs, servicing asset, loan commitments, investments in unconsolidated entities, other secured borrowings, senior notes, and HMBS-related obligations, respectively. At March 31, 2023, the Company transferred $1.9 million of assets from Level 3 to Level 2 and $25.5 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. Three-Month Period Ended March 31, 2022 (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 $ 9,710 $ (573) $ 362 $ (1,211) $ 399 $ (514) $ 1,500 $ (1,052) $ 8,621 Non-Agency RMBS 134,888 479 (126) (2,391) 3,401 (6,688) 5,998 (18,785) 116,776 CMBS 13,134 41 1,143 (747) 3,101 (2,234) 2,926 (7,838) 9,526 CLOs 26,678 (716) 953 1,610 — (5,781) 2,876 (2,796) 22,824 Asset-backed securities backed by consumer loans 73,108 (1,113) (274) (2,023) 18,792 (11,986) — — 76,504 Corporate debt securities 5,198 — 1,535 (1,508) 1,728 (6,453) — — 500 Corporate equity securities 7,556 — 1,625 (829) 4,127 (2,638) — — 9,841 Loans, at fair value: Residential mortgage loans 2,016,228 (4,467) 1,511 (70,512) 723,095 (232,848) — — 2,433,007 Commercial mortgage loans 326,197 — 10 164 267,642 (164,059) — — 429,954 Consumer loans 62,365 (2,139) (180) (466) 10,946 (60,648) — — 9,878 Corporate loan 10,531 — — — 1,650 (393) — — 11,788 Investment in unconsolidated entities, at fair value 195,643 — 878 (6,384) 139,208 (110,042) — — 219,303 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 303 — (4) 1 4 — — — 304 Total assets, at fair value $ 2,881,539 $ (8,488) $ 7,433 $ (84,296) $ 1,174,093 $ (604,284) $ 13,300 $ (30,471) $ 3,348,826 Liabilities: Other secured borrowings, at fair value (3) $ (984,168) $ — $ — $ 55,641 $ 114,754 $ (402,769) $ — $ — $ (1,216,542) Senior notes, at fair value — — — — — (210,000) — — (210,000) Total liabilities, at fair value $ (984,168) $ — $ — $ 55,641 $ 114,754 $ (612,769) $ — $ — $ (1,426,542) (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. (3) Conformed to current period presentation. 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 March 31, 2022, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended March 31, 2022. For Level 3 financial instruments held by the Company at March 31, 2022, change in net unrealized gain (loss) of $(4.3) million, $(70.3) million, $(7.8) million, $1 thousand, and $55.6 million, for the three-month period ended March 31, 2022 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, and other secured borrowings, at fair value, respectively. At March 31, 2022, the Company transferred $30.5 million of assets from Level 3 to Level 2 and $13.3 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. |
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 March 31, 2023 and December 31, 2022: As of March 31, 2023 December 31, 2022 (In thousands) Fair Value Carrying Value Fair Value Carrying Value Other financial instruments Assets: Cash and cash equivalents $ 188,555 $ 188,555 $ 217,053 $ 217,053 Restricted cash 1,601 1,601 4,816 4,816 Due from brokers 24,291 24,291 36,761 36,761 Reverse repurchase agreements 180,934 180,934 226,444 226,444 Liabilities: Repurchase agreements 2,285,898 2,285,898 2,609,685 2,609,685 Other secured borrowings 363,640 363,640 276,058 276,058 Due to brokers 35,431 35,431 34,507 34,507 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. Senior notes, net 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. |
Investment in Securities (Table
Investment in Securities (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Investment Holdings | The following tables detail the Company's investment in securities as of March 31, 2023 and December 31, 2022. March 31, 2023: 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 $ 82,439 $ 1,090 $ 83,529 $ 111 $ (6,554) $ 77,086 2.55 % 2.04 % 3.92 20-year fixed-rate mortgages 7,023 366 7,389 — (1,194) 6,195 2.41 % 1.57 % 6.77 30-year fixed-rate mortgages 761,446 14,982 776,428 1,185 (57,240) 720,373 3.78 % 3.33 % 7.74 Adjustable rate mortgages 5,952 574 6,526 — (645) 5,881 3.49 % 2.22 % 4.72 Reverse mortgages 28,159 3,486 31,645 — (3,007) 28,638 4.17 % 2.61 % 4.93 Interest only securities n/a n/a 14,717 1,093 (871) 14,939 1.29 % 10.68 % 5.32 Non-Agency RMBS 393,738 (135,108) 258,630 5,943 (29,365) 235,208 4.61 % 8.53 % 6.52 CMBS 38,996 (17,527) 21,469 337 (8,681) 13,125 2.54 % 8.32 % 8.55 Non-Agency interest only securities n/a n/a 29,771 5,214 (1,952) 33,033 0.18 % 14.87 % 6.97 CLOs n/a n/a 46,990 2,922 (17,744) 32,168 2.09 % 8.72 % 2.92 ABS backed by consumer loans 118,319 (35,170) 83,149 341 (11,290) 72,200 12.00 % 13.67 % 1.24 Corporate debt 31,394 (23,316) 8,078 819 (550) 8,347 — % — % 2.55 Corporate equity n/a n/a 9,258 3,141 (1,297) 11,102 n/a n/a n/a U.S. Treasury securities 130,153 219 130,372 1,540 (660) 131,252 3.73 % 3.67 % 6.43 Total Long 1,597,619 (190,404) 1,507,951 22,646 (141,050) 1,389,547 1.45 % 5.31 % 6.59 Short: U.S. Treasury securities (141,340) 1,803 (139,537) 6,501 (26) (133,062) 2.11 % 2.34 % 3.79 European sovereign bonds (26,668) (1,025) (27,693) 2,453 — (25,240) 0.01 % 0.15 % 1.93 Total Short (168,008) 778 (167,230) 8,954 (26) (158,302) 1.78 % 1.98 % 3.50 Total $ 1,429,611 $ (189,626) $ 1,340,721 $ 31,600 $ (141,076) $ 1,231,245 1.44 % 4.97 % 6.27 (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) Expected 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, 2022: 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 $ 140,409 $ 4,613 $ 145,022 $ — $ (14,892) $ 130,130 2.59 % 1.73 % 4.30 20-year fixed-rate mortgages 7,253 380 7,633 — (1,301) 6,332 2.41 % 1.57 % 6.95 30-year fixed-rate mortgages 846,582 20,961 867,543 228 (89,105) 778,666 3.54 % 3.12 % 8.57 Adjustable rate mortgages 6,410 581 6,991 — (737) 6,254 3.41 % 2.20 % 4.79 Reverse mortgages 29,658 3,511 33,169 — (3,180) 29,989 3.50 % 2.60 % 4.84 Interest only securities n/a n/a 17,365 1,179 (1,652) 16,892 1.36 % 10.11 % 5.32 Non-Agency RMBS 388,304 (130,167) 258,137 5,228 (24,475) 238,890 4.33 % 7.29 % 5.74 CMBS 38,996 (17,722) 21,274 287 (6,992) 14,569 2.54 % 8.43 % 8.33 Non-Agency interest only securities n/a n/a 24,588 3,566 (1,182) 26,972 0.18 % 14.21 % 7.65 CLOs n/a n/a 45,240 3,217 (17,396) 31,061 2.16 % 9.37 % 3.06 ABS backed by consumer loans 115,604 (28,282) 87,322 278 (13,956) 73,644 11.87 % 13.42 % 1.21 Corporate debt 30,872 (23,337) 7,535 551 (553) 7,533 — % — % 2.16 Corporate equity n/a n/a 9,799 2,941 (1,629) 11,111 n/a n/a n/a U.S. Treasury securities 88,699 640 89,339 — (1,917) 87,422 3.58 % 3.46 % 7.06 Total Long 1,692,787 (168,822) 1,620,957 17,475 (178,967) 1,459,465 1.59 % 4.70 % 6.93 Short: U.S. Treasury securities (200,850) 6,132 (194,718) 10,025 (731) (185,424) 2.18 % 2.60 % 5.16 European sovereign bonds (25,320) (1,508) (26,828) 3,049 — (23,779) 0.01 % 0.04 % 2.17 Total Short (226,170) 4,624 (221,546) 13,074 (731) (209,203) 1.94 % 2.29 % 4.82 Total $ 1,466,617 $ (164,198) $ 1,399,411 $ 30,549 $ (179,698) $ 1,250,262 1.58 % 4.41 % 6.67 (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) Expected 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 March 31, 2023 and December 31, 2022. March 31, 2023: ($ 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 $ 19,952 $ 20,363 3.72 % $ 1,985 $ 2,168 0.69 % Greater than three years and less than seven years 316,968 336,873 4.16 % 10,081 9,705 1.96 % Greater than seven years and less than eleven years 499,799 546,523 3.37 % 2,596 2,518 1.58 % Greater than eleven years 1,454 1,758 2.50 % 277 326 0.69 % Total $ 838,173 $ 905,517 3.66 % $ 14,939 $ 14,717 1.29 % (1) Expected 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, 2022: ($ 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 $ 20,547 $ 21,976 3.57 % $ 2,202 $ 2,501 0.90 % Greater than three years and less than seven years 242,472 267,229 3.46 % 11,081 11,343 1.58 % Greater than seven years and less than eleven years 685,742 768,041 3.38 % 3,345 3,207 1.94 % Greater than eleven years 2,610 3,112 2.72 % 264 314 0.68 % Total $ 951,371 $ 1,060,358 3.40 % $ 16,892 $ 17,365 1.36 % (1) Expected 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 March 31, 2023 and December 31, 2022. March 31, 2023: ($ 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 $ 81,904 $ 85,166 3.62 % $ 7,267 $ 6,653 0.15 % $ 97,458 $ 118,386 5.47 % Greater than three years and less than seven years 80,754 86,740 5.61 % 3,089 3,704 1.50 % 133,695 137,301 3.51 % Greater than seven years and less than eleven years 52,894 67,798 4.26 % 22,351 19,124 0.16 % 12,814 12,902 4.13 % Greater than eleven years 32,781 40,395 4.48 % 326 290 1.24 % — — — % Total $ 248,333 $ 280,099 4.42 % $ 33,033 $ 29,771 0.18 % $ 243,967 $ 268,589 4.78 % (1) Expected 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 ABS 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, 2022: ($ 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 $ 81,122 $ 84,695 3.66 % $ 4,347 $ 3,913 0.15 % $ 96,371 $ 120,086 5.42 % Greater than three years and less than seven years 109,722 115,716 5.41 % 3,723 4,247 1.47 % 53,804 59,754 3.69 % Greater than seven years and less than eleven years 36,179 44,611 3.05 % 18,902 16,428 0.16 % 49,485 49,596 4.01 % Greater than eleven years 26,436 34,389 3.53 % — — — % — — — % Total $ 253,459 $ 279,411 4.17 % $ 26,972 $ 24,588 0.18 % $ 199,660 $ 229,436 4.91 % (1) Expected 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 ABS 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 table details the components of interest income by security type for the three-month periods ended March 31, 2023 and 2022: Three-Month Period Ended (In thousands) March 31, 2023 March 31, 2022 Security Type Coupon Interest Net Amortization Interest Income Coupon Interest Net Amortization Interest Income Agency RMBS $ 9,349 $ (2,228) $ 7,121 $ 14,335 $ (6,137) $ 8,198 Non-Agency RMBS and CMBS 6,431 161 6,592 4,086 28 4,114 CLOs 953 187 1,140 1,729 (585) 1,144 Other securities (1) 5,843 (1,374) 4,469 5,557 (1,113) 4,444 Total $ 22,576 $ (3,254) $ 19,322 $ 25,707 $ (7,807) $ 17,900 (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-month periods ended March 31, 2023 and 2022. Three-Month Period Ended (In thousands) March 31, 2023 Security Type Proceeds (1) Gross Realized Gains Gross Realized Losses (2) Net Realized Gain (Loss) Agency RMBS $ 205,504 $ 796 $ (26,336) $ (25,540) Non-Agency RMBS and CMBS 27,188 1,084 (15) 1,069 CLOs — 89 — 89 Other securities (3) 274,056 320 (1,749) (1,429) Total $ 506,748 $ 2,289 $ (28,100) $ (25,811) (1) Includes proceeds on sales of securities not yet settled as of period end. (2) Excludes realized losses of $(5.7) million for the three-month period ended March 31, 2023, 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. (3) Other securities includes ABS backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. Three-Month Period Ended (In thousands) March 31, 2022 Security Type Proceeds (1) Gross Realized Gains Gross Realized Losses (2) Net Realized Gain (Loss) Agency RMBS $ 391,924 $ 1,203 $ (12,500) $ (11,297) Non-Agency RMBS and CMBS 6,509 1,957 (39) 1,918 CLOs 16,366 1,981 (619) 1,362 Other securities (3) 15,697 3,473 (315) 3,158 Total $ 430,496 $ 8,614 $ (13,473) $ (4,859) (1) Includes proceeds on sales of securities not yet settled as of period end. (2) Excludes realized losses of $(1.6) million for the three-month period ended March 31, 2022, 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. (3) 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 tables present 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 March 31, 2023 and December 31, 2022. March 31, 2023: (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 $ 281,597 $ (10,070) $ 440,429 $ (58,421) $ 722,026 $ (68,491) Non-Agency RMBS and CMBS 32,147 (2,724) 31,886 (7,850) 64,033 (10,574) CLOs — — 14,157 (2,531) 14,157 (2,531) Other securities (1) 61,182 (1,112) 1,145 (847) 62,327 (1,959) Total $ 374,926 $ (13,906) $ 487,617 $ (69,649) $ 862,543 $ (83,555) (1) Other securities includes corporate debt and equity securities. December 31, 2022: (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 $ 577,047 $ (51,817) $ 326,223 $ (57,564) $ 903,270 $ (109,381) Non-Agency RMBS and CMBS 46,644 (5,205) 26,194 (4,959) 72,838 (10,164) CLOs 6,035 (466) 12,212 (3,488) 18,247 (3,954) Other securities (1) 90,523 (2,855) 726 (693) 91,249 (3,548) Total $ 720,249 $ (60,343) $ 365,355 $ (66,704) $ 1,085,604 $ (127,047) (1) Other securities includes corporate debt and equity securities. |
Investment in Loans (Tables)
Investment in Loans (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Receivables [Abstract] | |
Summary of Investments in Loans | The following table is a summary of the Company's investments in loans as of March 31, 2023 and December 31, 2022: As of (In thousands) March 31, 2023 December 31, 2022 Loan Type Unpaid Principal Balance Fair Unpaid Principal Balance Fair Residential mortgage loans $ 3,261,327 $ 3,024,744 $ 3,404,544 $ 3,115,518 Commercial mortgage loans 376,291 374,233 406,721 404,324 Consumer loans 4,341 3,969 5,190 4,843 Corporate loans 4,965 4,920 4,132 4,086 Reverse mortgage loans 8,038,532 8,404,701 7,788,490 8,097,237 Total $ 11,685,456 $ 11,812,567 $ 11,609,077 $ 11,626,008 The tables below detail certain information regarding the Company's residential mortgage loans as of March 31, 2023 and December 31, 2022. March 31, 2023: 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) $ 3,261,327 $ 42,841 $ 3,304,168 $ 3,882 $ (283,306) $ 3,024,744 6.56 % 6.17 % 4.22 (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 $1.663 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $(251.7) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 12 for additional information. December 31, 2022: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Gains Losses Fair Value Coupon Yield Life (Years) (1) Residential mortgage loans, held-for-investment (2) $ 3,225,997 $ 43,806 $ 3,269,803 $ 2,143 $ (327,316) $ 2,944,630 6.39 % 5.97 % 3.57 Residential mortgage loans, held-for-sale 178,547 311 178,858 464 (8,434) 170,888 6.68 6.44 % 3.99 Total residential mortgage loans $ 3,404,544 $ 44,117 $ 3,448,661 $ 2,607 $ (335,750) $ 3,115,518 6.41 % 5.99 % 3.59 (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 $1.665 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $(291.7) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 12 for additional information. The tables below detail certain information regarding the Company's commercial mortgage loans as of March 31, 2023 and December 31, 2022: March 31, 2023: Gross Unrealized Weighted Average ($ 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 $ 376,291 $ — $ 376,291 $ 2 $ (2,060) $ 374,233 11.26 % 11.12 % 0.82 (1) Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $28.1 million. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2022: Gross Unrealized Weighted Average ($ 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 $ 406,721 $ — $ 406,721 $ 1 $ (2,398) $ 404,324 10.76 % 10.66 % 0.93 (1) Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $17.6 million. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The tables below detail certain information regarding the Company's consumer loans as of March 31, 2023 and December 31, 2022: March 31, 2023: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value (1) Life (Years) (2) Delinquency (Days) Consumer loans, held-for-investment $ 4,341 $ 186 $ 4,527 $ 274 $ (832) $ 3,969 0.78 11 (1) Includes $0.1 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2022: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value (1) Life (Years) (2) Delinquency (Days) Consumer loans, held-for-investment $ 5,190 $ (43) $ 5,147 $ 341 $ (645) $ 4,843 0.81 10 (1) Includes $0.2 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The tables below detail certain information regarding the Company's corporate loans as of March 31, 2023 and December 31, 2022: March 31, 2023: Weighted Average ($ in thousands) Unpaid Fair Value Rate Remaining Term (Years) Corporate loans, held-for-investment (1) $ 4,965 $ 4,920 8.05 % 2.36 (1) See Note 23 for further details on the Company's unfunded commitments related to certain of its corporate loans. December 31, 2022: Weighted Average ($ in thousands) Unpaid Fair Value Rate Remaining Term (Years) Corporate loans, held-for-investment (1) $ 4,132 $ 4,086 5.47 % 2.74 (1) See Note 23 for further details on the Company's unfunded commitments related to certain of its corporate loans. The table below details certain information regarding the Company's reverse mortgage loans as of March 31, 2023 and December 31, 2022. March 31, 2023: Weighted Average ($ in thousands) Unpaid Principal Balance Fair Value Coupon Life (Years) Reverse mortgage loans, held-for-investment HECM loans collateralizing HMBS $ 7,723,014 $ 8,078,684 6.12 % 5.10 Unsecuritized HECM loans (1) 186,402 187,783 6.69 % 4.73 Total reverse mortgage loans, held-for-investment 7,909,416 8,266,467 6.14 % 5.09 Reverse mortgage loans, held-for-sale 129,116 138,234 10.47 % 16.81 Total reverse mortgage loans $ 8,038,532 $ 8,404,701 6.21 % 5.28 (1) Includes unpoolable HECM loans with an unpaid principal balance of $80.5 million. December 31, 2022: Weighted Average ($ in thousands) Unpaid Principal Balance Fair Value Coupon Life (Years) Reverse mortgage loans, held-for-investment HECM loans collateralizing HMBS $ 7,577,139 $ 7,873,964 5.80 % 4.99 Unsecuritized HECM loans 110,911 119,671 6.53 % 7.15 Total reverse mortgage loans, held-for-investment 7,688,050 7,993,635 5.81 % 5.02 Reverse mortgage loans, held-for-sale 100,440 103,602 10.35 % 17.63 Total reverse mortgage loans $ 7,788,490 $ 8,097,237 5.87 % 5.18 |
Financing Receivable, Past Due [Table Text Block] | The following table provides details, by loan type, for residential and commercial mortgage and consumer loans that are 90 days or more past due as of March 31, 2023 and December 31, 2022: As of March 31, 2023 December 31, 2022 (In thousands) Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value 90 days or more past due—non-accrual status Residential mortgage loans $ 72,398 $ 68,094 $ 50,994 $ 47,022 Commercial mortgage loans 28,261 28,117 17,656 17,583 Consumer loans 124 102 170 145 |
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 March 31, 2023 and December 31, 2022: Property Location by U.S. State March 31, 2023 December 31, 2022 California 32.1 % 33.2 % Florida 18.2 % 17.2 % Texas 10.2 % 10.3 % Utah 3.4 % 3.4 % Arizona 3.0 % 3.1 % North Carolina 2.8 % 2.8 % Georgia 2.7 % 2.6 % Pennsylvania 2.5 % 2.3 % Tennessee 2.1 % 2.1 % New Jersey 2.0 % 1.8 % Massachusetts 1.9 % 1.9 % Nevada 1.7 % 1.8 % Illinois 1.7 % 1.6 % Colorado 1.6 % 1.7 % Washington 1.6 % 1.7 % New York 1.4 % 1.4 % Oregon 1.2 % 1.3 % Ohio 1.1 % 1.1 % Maryland 1.0 % 1.0 % Connecticut 1.0 % 0.9 % Other 6.8 % 6.8 % 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 March 31, 2023 and December 31, 2022: Property Location by U.S. State March 31, 2023 December 31, 2022 Florida 19.2 % 20.5 % Texas 14.4 % 13.4 % New York 14.2 % 9.4 % Arizona 7.7 % 9.0 % Massachusetts 6.3 % 5.5 % Michigan 6.0 % 5.5 % New Jersey 5.5 % 6.2 % Illinois 5.0 % 4.6 % Oklahoma 4.5 % 4.2 % Ohio 4.1 % 3.8 % Georgia 4.0 % 5.4 % North Carolina 4.0 % 3.7 % Connecticut 2.4 % 2.2 % Louisiana 1.7 % 1.5 % Pennsylvania — % 1.5 % New Hampshire — % 2.2 % Rhode Island — % 1.0 % Other 1.0 % 0.4 % 100.0 % 100.0 % The table below summarizes the geographic distribution of the real estate collateral underlying the Company's reverse mortgage loans as a percentage of total outstanding unpaid principal balance, as of March 31, 2023 and December 31, 2022. Property Location by U.S. State March 31, 2023 December 31, 2022 California 27.9 % 31.5 % Florida 9.2 % 9.1 % Colorado 6.7 % 6.4 % Arizona 5.9 % 5.7 % Washington 5.2 % 4.9 % Utah 4.8 % 4.5 % Texas 4.3 % 4.0 % Oregon 3.0 % 2.8 % Massachusetts 2.6 % 2.4 % Idaho 2.6 % 2.3 % New York 2.4 % 2.2 % Nevada 2.2 % 2.1 % North Carolina 2.0 % 1.9 % Virginia 1.8 % 1.7 % Ohio 1.6 % 1.5 % Georgia 1.5 % 1.3 % Maryland 1.5 % 1.4 % New Jersey 1.4 % 1.4 % South Carolina 1.4 % 1.4 % Pennsylvania 1.3 % 1.2 % Tennessee 1.2 % 1.1 % Other 9.5 % 9.2 % 100.0 % 100.0 % March 31, 2023: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (1) (In thousands) Cash and cash equivalents $ 188,555 13 37.4 % Collateral on repurchase agreements held by dealers (2) 2,905,626 27 24.8 % Due from brokers 24,291 17 23.0 % Receivable for securities sold (3) 21,034 4 50.9 % (1) Each counterparty is a financial institution that the Company believes to be creditworthy as of March 31, 2023. (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, 2022: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (In thousands) Cash and cash equivalents $ 217,053 13 41.3 % Collateral on repurchase agreements held by dealers (1) 3,247,276 26 21.6 % Due from brokers 36,761 20 22.8 % Receivable for securities sold (2) 21,439 6 36.4 % (1) Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (2) 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 March 31, 2023 and December 31, 2022. As of March 31, 2023 December 31, 2022 (In thousands) Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value Re-performing $ 9,475 $ 8,190 $ 9,903 $ 8,836 Non-performing 71,211 67,030 49,144 45,110 |
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 March 31, 2023 and December 31, 2022. Days Past Due March 31, 2023 December 31, 2022 Current 89.3 % 90.3 % 30-59 Days 4.5 % 4.2 % 60-89 Days 3.4 % 2.3 % 90-119 Days 2.6 % 3.1 % >120 Days 0.2 % 0.1 % 100.0 % 100.0 % |
Schedule of Unpoolable HECM Loans | The following table provides details on the Company's unpoolable HECM loans as of March 31, 2023: (In thousands) March 31, 2023 Unpoolable HECM Loan Type Unpaid Fair Value ABOs $ 55,656 $ 51,963 NABOs 20,499 16,352 HECM tail loans (1) 4,392 4,411 Total unpoolable HECM loans $ 80,547 $ 72,726 (1) Includes HECM tail loans where the borrower is not in compliance with the terms of the underlying loan. |
Investments in Unconsolidated_2
Investments in Unconsolidated Entities (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Schedule of Investments in Unconsolidated Entities | The following table provides details about the Company's investments in unconsolidated entities as of March 31, 2023 and December 31, 2022: Percentage Ownership Investment in Unconsolidated Entity Form of Investment March 31, 2023 December 31, 2022 Loan Originators: LendSure Mortgage Corp. (1)(2) Common shares 49.9% 49.9% Other (1) Various 24.7%–50.0% 24.7%–80.0% Co-investments with Ellington affiliate(s) (1) : Elizon DB 2015-1 LLC (3)(4) Membership Interest 17.1% 14.6% Elizon NM CRE 2020-1 LLC (3)(5) Membership Interest 15.9% 20.2% Elizon CH CRE 2021-1 LLC (3)(6) Membership Interest 30.3% 34.2% Elizon NAT CRE 2021-1 LLC (3)(7) Membership Interest 12.2% 15.5% Equity investments in securitization-related vehicles, including risk retention vehicles (8) Membership Interest 24.6%–84.5% 24.6%–84.5% Other: Jepson Holdings Limited (1)(3) Membership Interest 1.8% 1.9% Other (1)(3)(9) Various 6.1%-79.0% 9.9%–79.0% (1) See Note 15 for additional details on the Company's related party transactions. (2) Excludes investment in equity interests convertible into non-voting common shares; including such interests the Company's additional non-voting stake in the entity was 13.8% as of both March 31, 2023 and December 31, 2022. See Note 15 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 15 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 15) each consolidate their segregated silos of the Joint Entity (as defined in Note 15). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 56.7% and 62.4% as of March 31, 2023 and December 31, 2022, respectively. (5) As discussed in Note 15 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 15) each consolidate their segregated silos of the Joint Entity (as defined in Note 15). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 63.1% and 54.2% as of March 31, 2023 and December 31, 2022, respectively. (6) As discussed in Note 15 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 15) each consolidate their segregated silos of the Joint Entity (as defined in Note 15). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 56.0% and 57.4% as of March 31, 2023 and December 31, 2022, respectively. (7) As discussed in Note 15 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 15) each consolidate their segregated silos of the Joint Entity (as defined in Note 15). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 60.6% and 66.6% as of March 31, 2023 and December 31, 2022. (8) Includes interests in Consumer Risk Retention Vehicles, as defined in Note 12 —Participation in Multi-Seller Consumer Loan Securitizations, and Participated Risk Retention Vehicle and Residential Loan JV, as defined in Note 12 —Residential Mortgage Loan Securitizations . The Company has evaluated these entities and determined that they do not meet the definition of a VIE. The Company evaluated its interest in the entity under the voting interest model outlined in ASC 810, and has determined that the Company does not control these entities. As a result, the Company has not consolidated the entity. See Note 12 for additional details on the Company's securitization transactions. (9) Includes interest in warehouse facilities; see Note 15— Participation in CLO Transactions , for additional details. Three-Month Period Ended (In thousands) March 31, 2023 March 31, 2022 Revenue $ 6,561 $ 15,562 Net income (loss) $ (1,365) $ 399 |
Real Estate Owned (Tables)
Real Estate Owned (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
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-month periods ended March 31, 2023 and 2022: Three-Month Period Ended March 31, 2023 March 31, 2022 Number of Properties Carrying Value Number of Properties Carrying Value (In thousands) (In thousands) Beginning Balance (December 31, 2022 and 2021, respectively) 97 $ 28,403 7 $ 24,681 Transfers from mortgage loans 12 3,140 2 948 Capital expenditures and other adjustments to cost 180 — Adjustments to record at the lower of cost or fair value (69) (570) Dispositions (11) (4,937) (1) (526) Ending Balance (March 31, 2023 and 2022, respectively) 98 $ 26,717 8 $ 24,533 |
Financial Derivatives (Tables)
Financial Derivatives (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
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 March 31, 2023 and December 31, 2022: March 31, 2023 December 31, 2022 (In thousands) Financial derivatives–assets, at fair value: TBA securities purchase contracts $ 1,482 $ — TBA securities sale contracts 42 7,985 Fixed payer interest rate swaps 80,708 116,768 Fixed receiver interest rate swaps 15,691 254 Credit default swaps on asset-backed securities 76 76 Credit default swaps on asset-backed indices 4,846 3,366 Credit default swaps on corporate bond indices 44 83 Futures 88 2,772 Forwards — 77 Warrants 1,056 1,137 Total financial derivatives–assets, at fair value 104,033 132,518 Financial derivatives–liabilities, at fair value: TBA securities purchase contracts (15) (2,007) TBA securities sale contracts (5,608) — Fixed payer interest rate swaps (2,360) (1,408) Fixed receiver interest rate swaps (10,851) (48,882) Credit default swaps on asset-backed indices (33) (33) Credit default swaps on corporate bonds (277) (259) Credit default swaps on corporate bond indices (1,720) (1,513) Futures (3,076) (96) Forwards (305) — Total financial derivatives–liabilities, at fair value (24,245) (54,198) Total $ 79,788 $ 78,320 |
Schedule of Interest Rate Derivatives [Table Text Block] | The following tables provide information about the Company's fixed payer interest rate swaps as of March 31, 2023 and December 31, 2022: March 31, 2023: Weighted Average Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2023 $ 334,060 $ 6,655 0.55 % 4.92 % 0.33 2024 627,333 8,793 3.17 4.89 1.36 2025 216,224 5,263 2.98 4.87 2.12 2026 59,600 179 3.67 4.87 2.92 2027 209,841 6,731 2.78 4.87 4.20 2028 160,255 8,871 2.39 4.87 5.03 2029 54,428 3,504 2.45 4.97 6.07 2030 68,300 4,614 2.30 4.88 7.14 2031 161,009 20,352 1.71 4.92 8.21 2032 183,517 6,220 2.81 4.87 9.32 2033 253,370 2,738 3.09 4.87 9.92 2035 500 132 0.78 4.83 12.56 2036 1,100 239 1.45 4.92 12.89 2037 45,000 2,347 2.81 4.87 14.41 2040 500 159 0.90 4.83 17.57 2049 5,796 484 2.89 4.77 25.78 2050 500 191 0.98 4.83 27.58 2052 5,000 876 2.07 4.87 29.02 Total $ 2,386,333 $ 78,348 2.52 % 4.89 % 4.46 December 31, 2022: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2023 $ 664,398 $ 13,576 0.64 % 4.51 % 0.38 2024 817,850 17,326 3.03 4.35 1.55 2025 382,793 11,747 2.89 4.32 2.51 2026 100 12 0.79 4.41 3.58 2027 264,500 8,218 3.01 4.30 4.53 2028 114,119 14,230 1.44 4.37 5.49 2029 54,428 4,485 2.45 4.65 6.31 2030 68,300 5,763 2.30 4.36 7.39 2031 161,009 23,799 1.71 4.48 8.46 2032 236,277 10,161 2.98 4.30 9.63 2035 500 142 0.78 4.33 12.81 2036 1,100 267 1.45 4.67 13.13 2037 45,000 3,578 2.81 4.30 14.66 2040 500 171 0.90 4.33 17.82 2049 5,796 630 2.89 3.74 26.02 2050 500 203 0.98 4.33 27.82 2052 5,000 1,052 2.07 4.30 29.27 Total $ 2,822,170 $ 115,360 2.27 % 4.39 % 3.47 The following tables provide information about the Company's fixed receiver interest rate swaps as of March 31, 2023 and December 31, 2022: March 31, 2023: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2024 $ 427,234 $ 1,102 4.87 % 5.17 % 1.00 2025 132,418 1,779 4.87 4.88 1.94 2026 419,686 (4,343) 4.87 3.41 2.96 2027 11,591 124 4.87 3.74 4.63 2028 188,179 6,252 4.87 4.14 4.94 2032 2,700 (133) 4.87 2.62 9.09 2033 29,052 561 4.87 3.45 9.89 2035 500 (135) 4.87 0.74 12.56 2040 500 (165) 4.87 0.84 17.57 2050 500 (202) 4.87 0.90 27.58 Total $ 1,212,360 $ 4,840 4.87 % 4.30 % 2.68 December 31, 2022: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2023 $ 41,407 $ (84) 4.74 % 2.00 % 0.22 2024 818,037 (25,569) 4.27 2.39 1.40 2025 328,775 (5,468) 4.30 3.48 2.84 2026 215,852 (11,312) 4.32 2.26 3.25 2027 311,007 (1,067) 4.30 3.67 4.89 2032 59,155 (4,596) 4.30 2.58 9.58 2035 500 (145) 4.30 0.74 12.81 2040 500 (175) 4.30 0.84 17.82 2050 500 (212) 4.30 0.90 27.82 Total $ 1,775,733 $ (48,628) 4.30 % 2.79 % 2.76 |
Schedule of Credit Default Swaps [Table Text Block] | The following table provides information about the Company's credit default swaps as of March 31, 2023 and December 31, 2022: As of March 31, 2023 December 31, 2022 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 $ 248 $ 3 14.75 $ 253 $ 4 14.99 Credit default swaps on corporate bond indices 2,067 44 0.72 2,037 40 0.97 Short: Credit default swaps on asset-backed securities (220) 76 12.36 (220) 76 12.61 Credit default swaps on asset-backed indices (51,995) 4,843 34.56 (58,004) 3,362 35.70 Credit default swaps on corporate bond indices — — — (1,498) 43 0.97 Liability: Long: Credit default swaps on asset-backed indices 65 (33) 26.23 65 (33) 26.48 Short: Credit default swaps on corporate bonds (16,400) (277) 3.81 (16,400) (259) 4.06 Credit default swaps on corporate bond indices (136,398) (1,720) 5.18 (165,006) (1,513) 4.94 $ (202,633) $ 2,936 12.64 $ (238,773) $ 1,720 12.35 (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 March 31, 2023 and December 31, 2022: As of March 31, 2023 December 31, 2022 Description Notional Amount Fair Value Remaining Months to Expiration Notional Amount Fair Value Remaining Months to Expiration (In thousands) (In thousands) Assets: Long Contracts: U.S. Treasury futures $ 1,900 $ 88 2.73 $ — $ — — Short Contracts: U.S. Treasury futures — — — (267,300) 2,772 2.70 Liabilities: Long Contracts: U.S. Treasury futures — — — 1,900 (65) 2.70 Short Contracts: U.S. Treasury futures (191,300) (3,076) 2.81 (49,800) (31) 3.00 Total, net $ (189,400) $ (2,988) 2.81 $ (315,200) $ 2,676 2.75 |
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 March 31, 2023 and December 31, 2022: March 31, 2023 December 31, 2022 Description Number of Shares Underlying Warrant (1) Fair Value Remaining Years to Expiration Number of Shares Underlying Warrant Fair Value Remaining Years to Expiration (In thousands) (In thousands) Warrants 3,115 $ 1,056 0.53 3,105 $ 1,137 0.77 (1) Excludes number of shares underlying warrant to purchase additional equity interest in a loan originator in which the Company currently holds an equity interest. The Company has the right to purchase 10% of the loan originator at the time of purchase for a pre-determined price. As of both March 31, 2023 and December 31, 2022, the fair value of the estimated fair value of such warrants was insignificant. |
Schedule of TBA securities [Table Text Block] | As of March 31, 2023 and December 31, 2022, the Company had outstanding TBA purchase and sale contracts as follows: March 31, 2023 December 31, 2022 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 $ 86,380 $ 80,854 $ 82,336 $ 1,482 $ — $ — $ — $ — Liabilities 23,955 23,743 23,728 (15) 163,127 157,096 155,089 (2,007) 110,335 104,597 106,064 1,467 163,127 157,096 155,089 (2,007) Sale contracts: Assets (77,947) (72,266) (72,224) 42 (691,568) (652,049) (644,064) 7,985 Liabilities (346,854) (320,447) (326,055) (5,608) — — — — (424,801) (392,713) (398,279) (5,566) (691,568) (652,049) (644,064) 7,985 Total TBA securities, net $ (314,466) $ (288,116) $ (292,215) $ (4,099) $ (528,441) $ (494,953) $ (488,975) $ 5,978 (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-month periods ended March 31, 2023 and 2022 are summarized in the tables below: Three-Month Period Ended March 31, 2023 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 Net Realized Gains (Losses) on Financial Derivatives 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 (1) Change in Net Unrealized Gains (Losses) on Financial Derivatives (1) (In thousands) Interest rate swaps Interest Rate $ 5,791 $ (31,075) $ (25,284) $ 3,452 $ 13,173 $ 16,625 Credit default swaps on asset-backed securities Credit 1 1 — — Credit default swaps on asset-backed indices Credit (275) (275) 2,158 2,158 Credit default swaps on corporate bond indices Credit (1,348) (1,348) 207 207 Credit default swaps on corporate bonds Credit (41) (41) (19) (19) Options Credit — — — — TBAs Interest Rate 4,292 4,292 (10,077) (10,077) Futures Interest Rate (2,933) (2,933) (5,664) (5,664) Forwards Currency 141 141 (382) (382) Warrants Equity Market/Credit — — (80) (80) Total $ 5,791 $ (31,238) $ (25,447) $ 3,452 $ (684) $ 2,768 (1) Includes foreign currency remeasurement on financial derivatives in the amount of $5 thousand for the three-month period ended March 31, 2023, which is included on the Condensed Consolidated Statement of Operations in Other, net. Three-Month Period Ended March 31, 2022 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 Net Realized Gains (Losses) on Financial Derivatives 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 (1) Change in Net Unrealized Gains (Losses) on Financial Derivatives (1) (In thousands) Interest rate swaps Interest Rate $ (1,702) $ (2,149) $ (3,851) $ 561 $ 34,051 $ 34,612 Credit default swaps on asset-backed securities Credit (4) (4) 1 1 Credit default swaps on asset-backed indices Credit 15 15 407 407 Credit default swaps on corporate bond indices Credit (177) (177) 306 306 Credit default swaps on corporate bonds Credit (8) (8) 16 16 Options Credit — — (30) (30) TBAs Interest Rate 20,788 20,788 3,825 3,825 Futures Interest Rate 6,659 6,659 5,260 5,260 Forwards Currency 326 326 136 136 Warrants Equity Market/Credit (413) (413) 766 766 Total $ (1,702) $ 25,037 $ 23,335 $ 561 $ 44,738 $ 45,299 (1) Includes foreign currency remeasurement on financial derivatives in the amount of $(8) thousand for the three-month period ended March 31, 2022, 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 three-month period ended March 31, 2023 and the year ended December 31, 2022: Derivative Type Three-Month Year Ended (In thousands) Interest rate swaps $ 4,283,193 $ 3,292,243 TBAs 721,556 796,003 Futures 300,675 186,446 Credit default swaps 254,288 130,819 Forwards 12,253 13,676 Options — 13,846 Total return swaps — 688 Warrants 3,110 3,378 |
Schedule of Credit Derivatives | Written credit derivatives held by the Company at March 31, 2023 and December 31, 2022 are summarized below: Credit Derivatives March 31, 2023 December 31, 2022 (In thousands) Fair Value of Written Credit Derivatives, Net $ 14 $ 11 Notional Value of Written Credit Derivatives (1) 2,380 2,355 (1) 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. |
Other Assets (Tables)
Other Assets (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Schedule of Other Assets | The following table provides additional details of the Company's assets included in Other assets on the Condensed Consolidated Balance Sheet at March 31, 2023 and December 31, 2022. Other Assets March 31, 2023 December 31, 2022 (In thousands) Receivables and claims related to reverse mortgage loans repurchased from HMBS (1) $ 65,784 $ 54,357 Prepaid expenses and deferred offering costs 7,271 7,541 Prepaid scheduled draws on reverse mortgage loans and amounts due from sub-servicer 5,085 2,105 Leases—right of use assets (2) 3,682 3,838 Intangible assets 3,049 3,275 Accounts receivable 2,286 2,418 Property and equipment (3) 1,372 1,406 Certificates of deposit, security deposits, and escrow cash 780 460 Servicing asset, at fair value (4) 299 999 Other 497 392 $ 90,105 $ 76,791 (1) Represents receivables from third-parties and claims to HUD related to loans repurchased from HMBS. See Note 12, Issuance of HMBS for discussion on the maximum claim amount related to reverse mortgage loans in HMBS. (2) See Note 23 for additional details on the Company's leases and ROU assets. (3) Net of accumulated depreciation. (4) See Note 12 for details on the Servicing asset. |
Schedule of Intangible Assets and Goodwill | The following table details the Company's intangible assets as of March 31, 2023 and December 31, 2022. March 31, 2023 December 31, 2022 Gross Carrying Value Accumulated Amortization Net Useful Life Gross Carrying Value Accumulated Amortization Net Useful Life (In thousands) (In months) (In thousands) (In months) Intangible Asset: Internally developed software $ 1,400 $ (233) $ 1,167 36 $ 1,400 $ (116) $ 1,284 36 Trademarks/trade names 1,200 — 1,200 Indefinite 1,200 — 1,200 Indefinite Customer relationships 700 (18) 682 240 700 (9) 691 240 Non-compete agreements 200 (200) — 6 200 (100) 100 6 Total identified intangible assets $ 3,500 $ (451) $ 3,049 $ 3,500 $ (225) $ 3,275 |
Finite-Lived and Indefinite-Lived Intangible Assets Acquired as Part of Business Combination | The following table summarizes changes in the Company's intangible assets for the three-month period ended March 31, 2023. The Company did not have any intangible assets during the three-month period ended March 31, 2022. Three-Month Period Ended March 31, 2023 (In thousands) Internally developed software Trademarks/trade names Customer relationships Non-compete agreements Total Net carrying value of intangible assets—Beginning Balance (December 31, 2022) $ 1,284 $ 1,200 $ 691 $ 100 $ 3,275 Accumulated Amortization (117) — (9) (100) (226) Net carrying value of intangible assets—Ending Balance (March 31, 2023) $ 1,167 $ 1,200 $ 682 $ — $ 3,049 |
Schedule of Finite-Lived Intangible Assets, Future Amortization Expense | The following table summarizes the Company's estimated future amortization expense on its intangible assets. (In thousands) March 31, 2023 2023 $ 376 2024 502 2025 385 2026 35 2027 35 Thereafter 516 Total $ 1,849 |
Consolidated VIEs (Tables)
Consolidated VIEs (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
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 Consolidated Balance Sheet as of March 31, 2023 and December 31, 2022. See Note 12 and Note 15 for additional information on the Company's consolidated VIEs. (In thousands) March 31, 2023 December 31, 2022 Assets Cash and cash equivalents $ 11,623 $ 2,444 Securities, at fair value 72,200 73,644 Loans, at fair value 3,402,949 3,524,685 Investments in unconsolidated entities, at fair value 61,131 68,574 Real estate owned 21,400 21,121 Investment related receivables 27,684 21,893 Other assets 1,321 1,577 Total Assets $ 3,598,308 $ 3,713,938 Liabilities Repurchase agreements $ 1,227,769 $ 1,333,098 Other secured borrowings 34,281 37,812 Other secured borrowings, at fair value 1,534,592 1,539,881 Interest payable 2,566 2,012 Accrued expenses and other liabilities 1,321 1,460 Total Liabilities 2,800,529 2,914,263 Total Stockholders' Equity 787,846 789,625 Non-controlling interests 9,933 10,050 Total Equity 797,779 799,675 Total Liabilities and Equity $ 3,598,308 $ 3,713,938 |
Securitization Transactions (Ta
Securitization Transactions (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Securitization Transactions [Abstract] | |
Schedule of Residential Loan Securitizations - Consolidated | 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 (1) (In thousands) Ellington Financial Mortgage Trust 2019-2 11/19 $ 267,255 $ 267,255 Ellington Financial Mortgage Trust 2020-1 6/20 259,273 259,273 Ellington Financial Mortgage Trust 2020-2 10/20 219,732 219,732 Ellington Financial Mortgage Trust 2021-1 2/21 251,771 251,771 Ellington Financial Mortgage Trust 2021-2 6/21 331,777 331,777 Ellington Financial Mortgage Trust 2021-3 10/21 257,645 257,645 Ellington Financial Mortgage Trust 2022-1 1/22 417,188 417,188 Ellington Financial Mortgage Trust 2022-2 4/22 425,651 425,651 Ellington Financial Mortgage Trust 2022-3 7/22 345,652 345,652 (1) The Sponsor purchased various classes of Certificates issued by each Issuing Entity in order to comply with the Risk Retention Rules. |
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 March 31, 2023 and December 31, 2022: (In thousands) March 31, 2023 December 31, 2022 Assets: Loans, at fair value $ 1,662,848 $ 1,665,070 Investment related receivables 9,103 4,464 Liabilities: Other secured borrowings, at fair value 1,534,592 1,539,881 |
Schedule of participation in consumer loan securitizations | The following table provides additional details for each such securitization. Securitization Closing UPB of Loans Sold to Consumer Securitization Issuer % Contributed by the Company Principal Amount of Notes Issued (1) % Ownership of Consumer Risk Retention Vehicle November 2020 $ 205,088 56.3 % $ 193,650 56.3 % March 2022 (2) 193,450 24.7 % 400,000 24.6 % (1) Total principal amount of notes issued by the Consumer Securitization Issuer pursuant to the securitization. |
Schedule of Residential Loan Securitizations - Non Consolidated | The following table provides details on outstanding non-consolidated residential mortgage loan securitizations in which the Company has participated: Issuing Entity Closing Date Principal Balance of Loans Sold By the Company Principal Balance of Loans Sold By the Non-QM Co-Participants Total Face Amount of Certificates Issued (1) (In thousands) Ellington Financial Mortgage Trust 2022-4 12/22 $ 309,998 $ 55,264 $ 365,262 Ellington Financial Mortgage Trust 2023-1 2/23 176,218 154,149 330,367 |
Borrowings (Tables)
Borrowings (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
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 March 31, 2023 and December 31, 2022: March 31, 2023 December 31, 2022 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 $ 342,461 4.89 % 12 $ 668,924 4.09 % 14 31-60 Days 264,755 4.95 % 42 91,048 2.32 % 45 61-90 Days 51,580 5.15 % 76 158,782 3.96 % 73 91-120 Days — — % — 4,751 5.20 % 118 121-150 Days — — % — 16,148 4.76 % 131 151-180 Days 1,320 5.79 % 160 — — % — 181-364 Days 4,163 5.62 % 181 — — % — Total Agency RMBS 664,279 4.94 % 30 939,653 3.91 % 29 Credit: 30 Days or Less 53,953 6.06 % 20 462,284 6.40 % 7 31-60 Days 138,502 6.21 % 44 119,619 6.00 % 48 61-90 Days 62,156 6.44 % 79 119,471 6.13 % 77 91-120 Days 412,056 6.98 % 110 358,010 6.30 % 116 121-150 Days — — % — 142,939 7.12 % 144 151-180 Days 231,703 6.82 % 173 6,981 6.72 % 156 181-364 Days 487,786 6.79 % 286 391,381 6.74 % 240 > 364 Days 103,420 8.08 % 788 — — % — Total Credit Assets 1,489,576 6.84 % 214 1,600,685 6.48 % 110 U.S. Treasury Securities: 30 Days or Less 132,043 4.99 % 3 69,347 4.31 % 3 Total U.S. Treasury Securities 132,043 4.99 % 3 69,347 4.31 % 3 Total $ 2,285,898 6.18 % 148 $ 2,609,685 5.50 % 78 |
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 March 31, 2023: Year Repurchase Agreements (1) Other Secured Borrowings (2) HMBS-related Obligations (3) Senior Notes (1) Total (In thousands) Next Twelve Months $ 2,182,478 $ 530,347 $ 1,205,749 $ — $ 3,918,574 Year 2 — 322,754 1,151,875 — 1,474,629 Year 3 103,420 325,502 827,593 — 1,256,515 Year 4 — 187,053 695,320 882,373 Year 5 — 137,651 660,419 210,000 1,008,070 Total $ 2,285,898 $ 1,503,307 $ 4,540,956 $ 210,000 $ 8,540,161 (1) Reflects the Company's contractual principal repayment dates. (2) Includes $1.141 billion of expected principal repayments related to the Company's consolidated non-QM securitizations, which are projected based upon the underlying assets' expected repayments and may be prior to the stated contractual maturities. (3) Represents expected principal repayments projected based upon the expected repayments of the underlying HECM loans, which may be prior to the stated contractual maturities of the related HMBS. |
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity | The following table provides details by counterparty for such counterparties for which the amounts at risk relating to our repurchase agreements was greater than 10% of total equity as of March 31, 2023 and December 31, 2022. March 31, 2023: Counterparty Amount at Risk Weighted Average Remaining Days to Maturity Percentage (In thousands) Nomura Holdings Inc. $ 228,777 265 16.6 % December 31, 2022: Counterparty Amount at Risk Weighted Average Remaining Days to Maturity Percentage (In thousands) Nomura Holdings Inc. $ 208,812 13 17.1 % Royal Bank of Canada 135,233 100 11.1 % |
Schedule of Line of Credit Facilities | The following table provides details for each of the warehouse lines of credit. March 31, 2023 December 31, 2022 Maturity Outstanding Borrowings Fair Value of Underlying Collateral Effective Interest Rate Outstanding Borrowings Fair Value of Underlying Collateral Effective Interest Rate (In thousands) Facility A April 2023 $ 43,302 $ 48,083 8.38 % $ 59,640 $ 65,652 8.43 % Facility B April 2023 67,574 62,991 7.55 % 64,278 59,933 6.99 % Facility C June 2023 80,480 111,256 7.42 % 48,954 63,644 6.90 % $ 191,356 $ 222,330 7.68 % $ 172,872 $ 189,229 7.46 % |
Related Party (Tables)
Related Party (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Related Party Transactions [Abstract] | |
Schedule of promissory notes | The following table provides details of financing that the Company has provided, in the form of secured promissory notes, to certain loan origination-related entities in which the Company also holds equity investments: Effective Date of Promissory Note Maturity Date of Promissory Note Interest Rate Outstanding Borrowings as of Fair Value (1) as of Maximum Borrowing March 31, 2023 December 31, 2022 March 31, 2023 December 31, 2022 March 31, 2023 December 31, 2022 (In thousands) (In thousands) May 2021 (2) December 31, 2025 $ 6,000 6.0% 6.0% $ 3,000 $ 3,000 $ 3,000 $ 3,000 February 2022 January 31, 2025 500 7.0% 7.0% 500 475 500 475 November 2022 (3) January 31, 2025 500 n/a 10.0% n/a 50 n/a 50 December 2022 December 16, 2024 3,500 15.0% 15.0% 1,176 515 1,176 515 (1) Classified as a Corporate loan and is included in Loans, at fair value on the Condensed Consolidated Balance Sheet. (2) Convertible into non-voting equity interests, at the option of the borrower, at any time prior to maturity. (3) During the three-month period ended March 31, 2023, the Company's debt and equity investments in this origination-related entity were written off as the Company determined its cost basis was non-recoverable; the Company recognized a net loss on its debt and equity investments of $(0.5) million (included in Realized gains (losses) on securities and loans, net on the Condensed Consolidated Statement of Operations) and $(0.1) million (included in Earnings (losses) from investments in unconsolidated entities on the Condensed Consolidated Statement of Operations), respectively. |
Long-Term Incentive Plan Units
Long-Term Incentive Plan Units (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Share-based Payment Arrangement [Abstract] | |
Unvested LTIP Units | The below table details unvested OP LTIP Units as of March 31, 2023: Grant Recipient Number of OP LTIP Units Granted Grant Date Vesting Date (1) Directors: 24,796 September 13, 2022 September 12, 2023 Dedicated or partially dedicated personnel: 15,789 December 16, 2021 December 16, 2023 40,254 March 7, 2022 December 31, 2023 18,068 December 15, 2022 December 15, 2023 14,708 December 15, 2022 December 15, 2024 Total unvested OP LTIP Units at March 31, 2023 113,615 (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-month periods ended March 31, 2023 and 2022: Three-Month Period Ended March 31, 2023 2022 Manager Director/ Total Manager Director/ Total OP LTIP Units Outstanding (12/31/2022 and 2021, respectively) 365,518 404,055 769,573 365,518 310,295 675,813 Granted — — — — 40,254 40,254 OP LTIP Units Outstanding (3/31/2023 and 2022, respectively) 365,518 404,055 769,573 365,518 350,549 716,067 OP LTIP Units Unvested and Outstanding (3/31/2023 and 2022, respectively) — 113,615 113,615 — 120,140 120,140 OP LTIP Units Vested and Outstanding (3/31/2023 and 2022, respectively) 365,518 290,440 655,958 365,518 230,409 595,927 |
Equity (Tables)
Equity (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
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-month periods ended March 31, 2023 and 2022: Three-Month Period Ended March 31, 2023 March 31, 2022 Shares of Common Stock Outstanding (as of December 31, 2022 and 2021, respectively) 63,812,215 57,458,169 Share Activity: Shares of common stock issued 4,433,861 2,185,000 Shares of common stock issued in connection with incentive fee payment — 19,094 Shares of common stock repurchased (1,061,000) — Shares of Common Stock Outstanding (as of March 31, 2023 and 2022, respectively) 67,185,076 59,662,263 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
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 Period Ended (In thousands except share amounts) March 31, 2023 March 31, 2022 Net income (loss) attributable to common stockholders $ 38,916 $ (9,902) Add: Net income (loss) attributable to Convertible Non-controlling Interests (1) 476 (126) Net income (loss) attributable to common stockholders and Convertible Non-controlling Interests 39,392 (10,028) Dividends declared: Common stockholders (30,297) (26,189) Convertible Non-controlling Interests (367) (332) Total dividends declared to common stockholders and Convertible Non-controlling Interests (30,664) (26,521) Undistributed (Distributed in excess of) earnings: Common stockholders 8,619 (36,091) Convertible Non-controlling Interests 109 (458) Total undistributed (distributed in excess of) earnings attributable to common stockholders and Convertible Non-controlling Interests $ 8,728 $ (36,549) Weighted average shares outstanding (basic and diluted): Weighted average shares of common stock outstanding 66,672,049 57,614,015 Weighted average Convertible Non-controlling Interest Units outstanding 815,933 733,354 Weighted average shares of common stock and Convertible Non-controlling Interest Units outstanding 67,487,982 58,347,369 Basic earnings per share of common stock and Convertible Non-controlling Interest Unit: Distributed $ 0.45 $ 0.45 Undistributed (Distributed in excess of) 0.13 (0.62) $ 0.58 $ (0.17) Diluted earnings per share of common stock and Convertible Non-controlling Interest Unit: Distributed $ 0.45 $ 0.45 Undistributed (Distributed in excess of) 0.13 (0.62) $ 0.58 $ (0.17) (1) For the three-month periods ended March 31, 2023 and 2022, excludes net income (loss) of $0.2 million and $(0.3) million, respectively, attributable to joint venture partners and Longbridge, as applicable, which have non-participating interests as described in Note 17. |
Offsetting of Assets and Liab_2
Offsetting of Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
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 March 31, 2023 and December 31, 2022. March 31, 2023: 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 $ 104,033 $ (16,142) $ — $ (27,888) $ 60,003 Reverse repurchase agreements 180,934 (32,150) (148,784) — — Liabilities Financial derivatives–liabilities (24,245) 16,142 — 3,271 (4,832) Repurchase agreements (2,285,898) 32,150 2,250,442 3,306 — (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 March 31, 2023 was $2.9 billion. As of March 31, 2023, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged (received) of $0.2 million and $1.1 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, 2022: 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 $ 132,518 $ (53,229) $ — $ (32,044) $ 47,245 Reverse repurchase agreements 226,444 (152,946) (73,498) — — Liabilities Financial derivatives–liabilities (54,198) 53,229 — 534 (435) Repurchase agreements (2,609,685) 152,946 2,436,472 20,267 — (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, 2022 was $3.2 billion. As of December 31, 2022, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged of $0.4 million and $1.8 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. |
Counterparty Risk (Tables)
Counterparty Risk (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
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 March 31, 2023 and December 31, 2022: Property Location by U.S. State March 31, 2023 December 31, 2022 California 32.1 % 33.2 % Florida 18.2 % 17.2 % Texas 10.2 % 10.3 % Utah 3.4 % 3.4 % Arizona 3.0 % 3.1 % North Carolina 2.8 % 2.8 % Georgia 2.7 % 2.6 % Pennsylvania 2.5 % 2.3 % Tennessee 2.1 % 2.1 % New Jersey 2.0 % 1.8 % Massachusetts 1.9 % 1.9 % Nevada 1.7 % 1.8 % Illinois 1.7 % 1.6 % Colorado 1.6 % 1.7 % Washington 1.6 % 1.7 % New York 1.4 % 1.4 % Oregon 1.2 % 1.3 % Ohio 1.1 % 1.1 % Maryland 1.0 % 1.0 % Connecticut 1.0 % 0.9 % Other 6.8 % 6.8 % 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 March 31, 2023 and December 31, 2022: Property Location by U.S. State March 31, 2023 December 31, 2022 Florida 19.2 % 20.5 % Texas 14.4 % 13.4 % New York 14.2 % 9.4 % Arizona 7.7 % 9.0 % Massachusetts 6.3 % 5.5 % Michigan 6.0 % 5.5 % New Jersey 5.5 % 6.2 % Illinois 5.0 % 4.6 % Oklahoma 4.5 % 4.2 % Ohio 4.1 % 3.8 % Georgia 4.0 % 5.4 % North Carolina 4.0 % 3.7 % Connecticut 2.4 % 2.2 % Louisiana 1.7 % 1.5 % Pennsylvania — % 1.5 % New Hampshire — % 2.2 % Rhode Island — % 1.0 % Other 1.0 % 0.4 % 100.0 % 100.0 % The table below summarizes the geographic distribution of the real estate collateral underlying the Company's reverse mortgage loans as a percentage of total outstanding unpaid principal balance, as of March 31, 2023 and December 31, 2022. Property Location by U.S. State March 31, 2023 December 31, 2022 California 27.9 % 31.5 % Florida 9.2 % 9.1 % Colorado 6.7 % 6.4 % Arizona 5.9 % 5.7 % Washington 5.2 % 4.9 % Utah 4.8 % 4.5 % Texas 4.3 % 4.0 % Oregon 3.0 % 2.8 % Massachusetts 2.6 % 2.4 % Idaho 2.6 % 2.3 % New York 2.4 % 2.2 % Nevada 2.2 % 2.1 % North Carolina 2.0 % 1.9 % Virginia 1.8 % 1.7 % Ohio 1.6 % 1.5 % Georgia 1.5 % 1.3 % Maryland 1.5 % 1.4 % New Jersey 1.4 % 1.4 % South Carolina 1.4 % 1.4 % Pennsylvania 1.3 % 1.2 % Tennessee 1.2 % 1.1 % Other 9.5 % 9.2 % 100.0 % 100.0 % March 31, 2023: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (1) (In thousands) Cash and cash equivalents $ 188,555 13 37.4 % Collateral on repurchase agreements held by dealers (2) 2,905,626 27 24.8 % Due from brokers 24,291 17 23.0 % Receivable for securities sold (3) 21,034 4 50.9 % (1) Each counterparty is a financial institution that the Company believes to be creditworthy as of March 31, 2023. (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, 2022: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (In thousands) Cash and cash equivalents $ 217,053 13 41.3 % Collateral on repurchase agreements held by dealers (1) 3,247,276 26 21.6 % Due from brokers 36,761 20 22.8 % Receivable for securities sold (2) 21,439 6 36.4 % (1) Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (2) Included in Investment related receivables on the Condensed Consolidated Balance Sheet. |
Commitment and Contingencies (T
Commitment and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Commitments and Contingencies Disclosure [Abstract] | |
Schedule of Future Minimum Rental Payments for Operating Leases | The following table details contractual future minimum lease payments as of March 31, 2023. Minimum Payments (In thousands) Year ended December 31, 2023 $ 710 Year ended December 31, 2024 844 Year ended December 31, 2025 799 Year ended December 31, 2026 793 Year ended December 31, 2027 695 Thereafter 953 Total 4,794 Less: implied interest payments (889) Lease Liability $ 3,905 |
Lessee, Operating Lease, Disclosure | The following table provides details of the Company's outstanding leases as of March 31, 2023 and December 31, 2022. ($ in thousands) March 31, 2023 December 31, 2022 ROU assets $ 3,682 $ 3,838 Lease liabilities 3,905 4,058 Weighted average remaining term (in years) 5.6 5.8 Weighted average discount rate 7.20 % 7.20 % |
Segment Reporting (Tables)
Segment Reporting (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Segment Reporting [Abstract] | |
Reconciliation of Operating Profit (Loss) from Segments to Consolidated | The following tables present the Company's results of operations by reportable segment for the three-month periods ended March 31, 2023 and 2022, and various reconciling items to the Company's results of operations overall. Three-Moth Period Ended March 31, 2023 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Interest income $ 82,369 $ 2,893 $ 1,912 $ 87,174 Interest expense (52,136) (4,346) (3,135) (59,617) Total other income (loss) 10,929 33,398 7,348 51,675 Total expenses 3,505 25,447 8,950 37,902 Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 37,657 6,498 (2,825) 41,330 Income tax expense (benefit) — — 21 21 Earnings (losses) from investments in unconsolidated entities 3,444 — — 3,444 Net Income (Loss) 41,101 6,498 (2,846) 44,753 Net income (loss) attributable to non-controlling interests 238 2 480 720 Dividends on preferred stock — — 5,117 5,117 Net Income (Loss) Attributable to Common Stockholders $ 40,863 $ 6,496 $ (8,443) $ 38,916 Non-cash items Amortization and depreciation expense $ — $ 358 $ — $ 358 Three-Month Period Ended March 31, 2022 (In thousands) Investment Portfolio Corporate/ Other Total Interest income $ 51,054 $ 20 $ 51,074 Interest expense (12,698) (1,319) (14,017) Total other income (loss) (21,771) (3,671) (25,442) Total expenses 7,752 11,815 19,567 Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 8,833 (16,785) (7,952) Income tax expense (benefit) — (6,960) (6,960) Earnings (losses) from investments in unconsolidated entities (5,506) — (5,506) Net Income (Loss) 3,327 (9,825) (6,498) Net income (loss) attributable to non-controlling interests (298) (122) (420) Dividends on preferred stock — 3,824 3,824 Net Income (Loss) Attributable to Common Stockholders $ 3,625 $ (13,527) $ (9,902) |
Reconciliation of Assets from Segment to Consolidated | The following tables present our balance sheet by reportable segment as of March 31, 2023 and December 31, 2022, which reconciles to the Company's financial position overall. March 31, 2023 (In thousands) Investment Portfolio Longbridge Corporate/ Other Total Total Assets $ 5,386,586 $ 8,557,559 $ 167,380 $ 14,111,525 Total Liabilities 4,082,404 8,390,816 263,542 12,736,762 Total Equity 1,304,182 166,743 (96,162) 1,374,763 December 31, 2022 (In thousands) Investment Portfolio Longbridge Corporate/ Other Total Total Assets $ 5,635,657 $ 8,227,509 $ 222,720 $ 14,085,886 Total Liabilities 4,499,669 8,092,313 273,018 12,865,000 Total Equity 1,135,988 135,196 (50,298) 1,220,886 |
Organization and Investment O_2
Organization and Investment Objective (Details) | 3 Months Ended | |
Mar. 31, 2023 numberOfWarrants $ / shares | Dec. 31, 2022 $ / shares | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||
Common Stock, Par or Stated Value Per Share | $ / shares | $ 0.001 | $ 0.001 |
Organization, Consolidation and Presentation of Financial Statements [Line Items] | ||
Number of Reportable Segments | numberOfWarrants | 2 | |
Ellington Financial Operating Partnership LLC [Member] | Total Stockholders' Equity | ||
Organization, Consolidation and Presentation of Financial Statements [Line Items] | ||
Ownership Percentage | 99.10% |
Significant Accounting Polici_3
Significant Accounting Policies (Details) | 3 Months Ended |
Mar. 31, 2023 | |
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 | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value(1)(2) | [1],[2] | $ 1,389,547 | $ 1,459,465 | |
Investment in unconsolidated entities, at fair value | [1] | 118,747 | 127,046 | |
Financial derivatives–assets, at fair value- | 104,033 | 132,518 | ||
Investments sold short, at fair value- | (158,302) | (209,203) | ||
Financial derivatives–liabilities, at fair value- | (24,245) | (54,198) | ||
Other secured borrowings, at fair value | [1] | (1,534,592) | (1,539,881) | |
Senior notes, at fair value | 185,325 | 191,835 | ||
Servicing Asset at Fair Value, Amount | 8,100 | 8,108 | ||
Loan commitments, at fair value | $ 3,299 | 3,300 | 3,060 | |
HMBS-related obligations, at fair value | (7,975,916) | (7,787,155) | ||
Level 3 | Non-Agency RMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total assets | 156,277 | 132,502 | ||
Level 3 | CMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total assets | 11,767 | 12,649 | ||
Level 3 | CLOs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total assets | 28,674 | 24,598 | ||
Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total assets | 13,436,592 | 13,357,204 | ||
Total liabilities | (9,878,380) | (9,782,272) | ||
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- | (158,302) | (209,203) | ||
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- | (1,720) | (1,513) | ||
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- | (277) | (259) | ||
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- | (33) | (33) | ||
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- | (13,211) | (50,290) | ||
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- | (5,623) | (2,007) | ||
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- | (3,076) | (96) | ||
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- | (305) | |||
Fair Value, Measurements, Recurring | Other secured borrowings, at fair value | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other secured borrowings, at fair value | (1,534,592) | (1,539,881) | ||
Senior notes, at fair value | 185,325 | 191,835 | ||
HMBS-related obligations, at fair value | (7,975,916) | (7,787,155) | ||
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)(2) | 853,112 | 968,263 | ||
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)(2) | 264,944 | 262,178 | ||
Fair Value, Measurements, Recurring | Securities | CMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value(1)(2) | 16,422 | 18,253 | ||
Fair Value, Measurements, Recurring | Securities | CLOs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value(1)(2) | 32,168 | 31,061 | ||
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)(2) | 72,200 | 73,644 | ||
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) | 8,347 | 7,533 | ||
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)(2) | 11,102 | 11,111 | ||
Fair Value, Measurements, Recurring | Securities | U.S. Treasury securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value(1)(2) | 131,252 | 87,422 | ||
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 | 3,024,744 | 3,115,518 | ||
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 | 374,233 | 404,324 | ||
Fair Value, Measurements, Recurring | Loans | Consumer loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Loans, at fair value | 3,969 | 4,843 | ||
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 | 4,920 | 4,086 | ||
Fair Value, Measurements, Recurring | Loans | Reverse mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Loans, at fair value | 8,404,701 | 8,097,237 | ||
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- | 76 | 76 | ||
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- | 44 | 83 | ||
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- | 4,846 | 3,366 | ||
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- | 96,399 | 117,022 | ||
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- | 1,524 | 7,985 | ||
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- | 88 | 2,772 | ||
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- | 77 | |||
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- | 1,056 | 1,137 | ||
Fair Value, Measurements, Recurring | Investment in unconsolidated entities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investment in unconsolidated entities, at fair value | 118,747 | 127,046 | ||
Servicing Asset at Fair Value, Amount | 8,100 | 8,108 | ||
Servicing related asset | 299 | 999 | ||
Loan commitments, at fair value | 3,299 | 3,060 | ||
Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total assets | 88 | 2,772 | ||
Total liabilities | (3,076) | (96) | ||
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- | (3,076) | (96) | ||
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 | |||
Fair Value, Measurements, Recurring | Level 1 | Other secured borrowings, at fair value | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other secured borrowings, at fair value | 0 | 0 | ||
Senior notes, at fair value | 0 | 0 | ||
HMBS-related obligations, 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)(2) | 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)(2) | 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)(2) | 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)(2) | 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)(2) | 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)(2) | 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)(2) | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Securities | U.S. Treasury securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value(1)(2) | 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 | Loans | Reverse 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 | 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 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- | 88 | 2,772 | ||
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 | |||
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 | 0 | ||
Fair Value, Measurements, Recurring | Level 1 | Investment in unconsolidated entities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investment in unconsolidated entities, at fair value | 0 | 0 | ||
Servicing Asset at Fair Value, Amount | 0 | 0 | ||
Servicing related asset | 0 | 0 | ||
Loan commitments, at fair value | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total assets | 1,198,856 | 1,320,071 | ||
Total liabilities | (179,471) | (263,305) | ||
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- | (158,302) | (209,203) | ||
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- | (1,720) | (1,513) | ||
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- | (277) | (259) | ||
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- | (33) | (33) | ||
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- | (13,211) | (50,290) | ||
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- | (5,623) | (2,007) | ||
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- | (305) | |||
Fair Value, Measurements, Recurring | Level 2 | Other secured borrowings, at fair value | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other secured borrowings, at fair value | 0 | 0 | ||
Senior notes, at fair value | 0 | 0 | ||
HMBS-related obligations, at fair value | 0 | 0 | ||
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)(2) | 846,919 | 961,236 | ||
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)(2) | 108,667 | 129,676 | ||
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)(2) | 4,655 | 5,604 | ||
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)(2) | 3,494 | 6,463 | ||
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)(2) | 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)(2) | 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)(2) | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 2 | Securities | U.S. Treasury securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value(1)(2) | 131,252 | 87,422 | ||
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 | Loans | Reverse 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 | 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- | 44 | 83 | ||
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- | 4,846 | 3,366 | ||
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- | 96,399 | 117,022 | ||
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- | 1,524 | 7,985 | ||
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- | 77 | |||
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- | 1,056 | 1,137 | ||
Fair Value, Measurements, Recurring | Level 2 | Investment in unconsolidated entities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investment in unconsolidated entities, at fair value | 0 | 0 | ||
Servicing Asset at Fair Value, Amount | 0 | 0 | ||
Servicing related asset | 0 | 0 | ||
Loan commitments, at fair value | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total assets | 12,237,648 | 12,034,361 | ||
Total liabilities | (9,695,833) | (9,518,871) | ||
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 | |||
Fair Value, Measurements, Recurring | Level 3 | Other secured borrowings, at fair value | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other secured borrowings, at fair value | (1,534,592) | (1,539,881) | ||
Senior notes, at fair value | 185,325 | 191,835 | ||
HMBS-related obligations, at fair value | (7,975,916) | (7,787,155) | ||
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)(2) | 6,193 | 7,027 | ||
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)(2) | 156,277 | 132,502 | ||
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)(2) | 11,767 | 12,649 | ||
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)(2) | 28,674 | 24,598 | ||
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)(2) | 72,200 | 73,644 | ||
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) | 8,347 | 7,533 | ||
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)(2) | 11,102 | 11,111 | ||
Fair Value, Measurements, Recurring | Level 3 | Securities | U.S. Treasury securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Securities, at fair value(1)(2) | 0 | 0 | ||
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 | 3,024,744 | 3,115,518 | ||
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 | 374,233 | 404,324 | ||
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 | 3,969 | 4,843 | ||
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 | 4,920 | 4,086 | ||
Fair Value, Measurements, Recurring | Level 3 | Loans | Reverse mortgage loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Loans, at fair value | 8,404,701 | 8,097,237 | ||
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- | 76 | 76 | ||
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 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 | |||
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 | 0 | ||
Fair Value, Measurements, Recurring | Level 3 | Investment in unconsolidated entities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Investment in unconsolidated entities, at fair value | 118,747 | 127,046 | ||
Servicing Asset at Fair Value, Amount | 8,100 | 8,108 | ||
Servicing related asset | 299 | 999 | ||
Loan commitments, at fair value | $ 3,299 | $ 3,060 | ||
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Valuation (Schedule of Signific
Valuation (Schedule of Significant Unobservable Inputs, Qualitative Information) (Details) - Level 3 | 3 Months Ended | 6 Months Ended | |
Mar. 31, 2023 USD ($) $ / shares | Jun. 30, 2022 | Dec. 31, 2022 USD ($) $ / shares | |
Non-Agency RMBS | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 156,277,000 | $ 132,502,000 | |
Fair Value of Level 3 Assets, Negative Yield | $ 200,000 | ||
Non-Agency RMBS | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair Value Inputs, Yield Including Negative | 11.90% | ||
Non-Agency RMBS | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0 | 0 | |
Non-Agency RMBS | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.941 | 0.957 | |
Non-Agency RMBS | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.114 | 0.121 | |
Non-Agency RMBS | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0 | 0 | |
Non-Agency RMBS | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 1 | 1 | |
Non-Agency RMBS | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.513 | 0.520 | |
Non-Agency RMBS | Measurement Input, Default Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0 | 0 | |
Non-Agency RMBS | Measurement Input, Default Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.965 | 0.974 | |
Non-Agency RMBS | Measurement Input, Default Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.113 | 0.165 | |
Non-Agency RMBS | Measurement Input, Projected Collateral Recoveries | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0 | 0 | |
Non-Agency RMBS | Measurement Input, Projected Collateral Recoveries | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.998 | 0.695 | |
Non-Agency RMBS | Measurement Input, Projected Collateral Recoveries | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.133 | 0.154 | |
CMBS | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 11,767,000 | $ 12,649,000 | |
CMBS | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.110 | 0.094 | |
CMBS | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.178 | 0.175 | |
CMBS | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.154 | 0.127 | |
CMBS | Measurement Input, Default Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.018 | 0.012 | |
CMBS | Measurement Input, Default Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.490 | 0.398 | |
CMBS | Measurement Input, Default Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.064 | 0.058 | |
CMBS | Measurement Input, Projected Collateral Recoveries | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.510 | 0.602 | |
CMBS | Measurement Input, Projected Collateral Recoveries | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.968 | 0.965 | |
CMBS | Measurement Input, Projected Collateral Recoveries | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.920 | 0.928 | |
CLOs | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 28,674,000 | $ 24,598,000 | |
Fair Value of Level 3 Assets, Negative Yield | $ 600,000 | ||
CLOs | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair Value Inputs, Yield Including Negative | 22.30% | ||
CLOs | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.033 | 0.132 | |
CLOs | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.401 | 0.361 | |
CLOs | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.196 | 0.233 | |
Agency RMBS | Interest only securities | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 6,193,000 | $ 7,027,000 | |
Agency RMBS | Interest only securities | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.262 | 0.232 | |
Agency RMBS | Interest only securities | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 1 | 1 | |
Agency RMBS | Interest only securities | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.587 | 0.553 | |
Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.069 | 0.067 | |
Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.229 | 0.279 | |
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 | 0.132 | 0.135 | |
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 | |
Asset-backed securities, backed by consumer loans | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.209 | 0.183 | |
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 | 0.150 | 0.144 | |
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 | 0.006 | |
Asset-backed securities, backed by consumer loans | Measurement Input, Default Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.284 | 0.352 | |
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 | 0.203 | 0.213 | |
Investment in unconsolidated entities | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 118,747,000 | $ 127,046,000 | |
Valuation, Market Approach | Non-Agency RMBS | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 80,813,000 | $ 59,831,000 | |
Valuation, Market Approach | Non-Agency RMBS | Measurement Input, Quoted Price | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 0.48 | 0.45 | |
Valuation, Market Approach | Non-Agency RMBS | Measurement Input, Quoted Price | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 137.63 | 159.91 | |
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 | 78.99 | 69.79 | |
Valuation, Market Approach | CMBS | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 10,588,000 | $ 12,080,000 | |
Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 5.22 | 5.54 | |
Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 42.76 | 69.07 | |
Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 29.37 | 38.37 | |
Valuation, Market Approach | CLOs | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 20,630,000 | $ 17,925,000 | |
Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 25 | 3.96 | |
Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 94.68 | 92 | |
Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | $ / shares | 79.09 | 57.94 | |
Valuation, Market Approach | Agency RMBS | Interest only securities | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 2,340,000 | $ 2,358,000 | |
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 | 3.38 | 11.83 | |
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 | 20.75 | 20.44 | |
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 | 13.72 | 16.54 | |
Valuation, Market Approach | Other secured borrowings, at fair value | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ (1,534,592,000) | $ (1,539,881,000) | |
Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Quoted Price | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 39.43 | 54.94 | |
Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Quoted Price | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 99.43 | 98.22 | |
Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Quoted Price | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 87.55 | 87.34 | |
Valuation, Market 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 | 0.059 | 0.037 | |
Valuation, Market 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 | 0.095 | 0.085 | |
Valuation, Market 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 | 0.068 | 0.069 | |
Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 0.930 | 0.933 | |
Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 0.951 | 0.963 | |
Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 0.940 | 0.945 | |
Valuation, Market Approach | Mortgage servicing rights | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Servicing Asset, Measurement Input | 0.120 | 0.120 | |
Valuation, Market Approach | Mortgage servicing rights | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Servicing Asset, Measurement Input | 0.120 | 0.120 | |
Valuation, Market Approach | Mortgage servicing rights | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Servicing Asset, Measurement Input | 0.120 | 0.120 | |
Valuation, Market Approach | Mortgage servicing rights | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Servicing Asset, Measurement Input | 0.110 | 0.110 | |
Valuation, Market Approach | Mortgage servicing rights | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Servicing Asset, Measurement Input | 0.371 | 0.371 | |
Valuation, Market Approach | Mortgage servicing rights | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Servicing Asset, Measurement Input | 0.139 | 0.147 | |
Valuation, Market Approach | Servicing-related asset | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Servicing Asset, Measurement Input | 0.117 | 0.117 | |
Valuation, Market Approach | Servicing-related asset | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Servicing Asset, Measurement Input | 0.117 | 0.117 | |
Valuation, Market Approach | Servicing-related asset | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Servicing Asset, Measurement Input | 0.117 | 0.117 | |
Valuation, Market Approach | Loan commitments | Measurement Input pullthrough rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Servicing Asset, Measurement Input | 0.574 | 0.562 | |
Valuation, Market Approach | Loan commitments | Measurement Input pullthrough rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Servicing Asset, Measurement Input | 1 | 1 | |
Valuation, Market Approach | Loan commitments | Measurement Input pullthrough rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Servicing Asset, Measurement Input | 0.759 | 0.737 | |
Valuation, Market Approach | Loan commitments | measurement input cost to originate loan | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Servicing Asset, Measurement Input | 0.020 | 0.024 | |
Valuation, Market Approach | Loan commitments | measurement input cost to originate loan | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Servicing Asset, Measurement Input | 0.066 | 0.071 | |
Valuation, Market Approach | Loan commitments | measurement input cost to originate loan | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Servicing Asset, Measurement Input | 0.048 | 0.044 | |
Valuation, Market Approach | HMBS-related obligations | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ (7,975,916,000) | $ (7,787,155,000) | |
Valuation, Market Approach | HMBS-related obligations | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 0.031 | 0.041 | |
Valuation, Market Approach | HMBS-related obligations | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 0.061 | 0.061 | |
Valuation, Market Approach | HMBS-related obligations | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 0.041 | 0.051 | |
Valuation, Market Approach | HMBS-related obligations | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 0.071 | 0.073 | |
Valuation, Market Approach | HMBS-related obligations | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 0.439 | 0.367 | |
Valuation, Market Approach | HMBS-related obligations | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 0.093 | 0.098 | |
Valuation, Market Approach | Senior Notes | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ (185,325,000) | $ (191,835,000) | |
Valuation, Market Approach | Senior Notes | Measurement Input, Quoted Price | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 88.25 | 91.35 | |
Valuation, Market Approach | Senior Notes | Measurement Input, Quoted Price | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 88.25 | 91.35 | |
Valuation, Market Approach | Senior Notes | Measurement Input, Quoted Price | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Debt instrument, measurement input | 88.25 | 91.35 | |
Valuation, Income Approach | Non-Agency RMBS | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 75,464,000 | $ 72,671,000 | |
Valuation, Income Approach | CMBS | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | 1,179,000 | 569,000 | |
Valuation, Income Approach | CLOs | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | 8,044,000 | 6,673,000 | |
Valuation, Income Approach | Agency RMBS | Interest only securities | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | 3,853,000 | 4,669,000 | |
Fair Value of Agency IOs, negative OAS measurement input | $ 500,000 | $ 600,000 | |
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 | 0.0057 | |
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 | 0.4232 | 0.4217 | |
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 | 0.0626 | 0.0554 | |
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 | 0.0492 | 0.0437 | |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 72,200,000 | $ 73,644,000 | |
Valuation, Income Approach | Corporate debt and equity | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 19,449,000 | $ 18,644,000 | |
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 | 0 | |
Valuation, Income Approach | Corporate debt and equity | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Securities, measurement input | 0.605 | 0.496 | |
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 | 0.153 | 0.164 | |
Valuation, Income Approach | Consumer loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 3,969,000 | $ 4,843,000 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.106 | 0.106 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.366 | 0.282 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.176 | 0.176 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0 | 0.001 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.197 | 0.217 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.113 | 0.122 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0 | 0.004 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.463 | 0.612 | |
Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.132 | 0.132 | |
Valuation, Income Approach | Corporate loan [Member] | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 4,920,000 | $ 4,086,000 | |
Valuation, Income Approach | Corporate loan [Member] | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.060 | 0.060 | |
Valuation, Income Approach | Corporate loan [Member] | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.125 | 0.130 | |
Valuation, Income Approach | Corporate loan [Member] | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.077 | 0.071 | |
Valuation, Income Approach | Credit default swaps on asset-backed securities | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 76,000 | $ 76,000 | |
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 | 0.229 | 0.229 | |
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 | 0.229 | 0.229 | |
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 | 0.229 | 0.229 | |
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 | 0.086 | 0.086 | |
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 | 0.086 | 0.086 | |
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 | 0.086 | 0.086 | |
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 | 0.123 | 0.123 | |
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 | 0.123 | 0.123 | |
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 | 0.123 | 0.123 | |
Valuation, Income Approach | HECM loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 8,201,512,000 | $ 7,993,635,000 | |
Valuation, Income Approach | HECM loans | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.032 | 0.042 | |
Valuation, Income Approach | HECM loans | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.061 | 0.063 | |
Valuation, Income Approach | HECM loans | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.042 | 0.052 | |
Valuation, Income Approach | HECM loans | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.071 | 0.018 | |
Valuation, Income Approach | HECM loans | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.439 | 0.446 | |
Valuation, Income Approach | HECM loans | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.093 | 0.098 | |
Valuation, Income Approach | Proprietary reverse mortgage loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 138,234,000 | $ 103,602,000 | |
Valuation, Income Approach | Proprietary reverse mortgage loans | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.074 | 0.065 | |
Valuation, Income Approach | Proprietary reverse mortgage loans | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.083 | 0.086 | |
Valuation, Income Approach | Proprietary reverse mortgage loans | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.076 | 0.081 | |
Valuation, Income Approach | Proprietary reverse mortgage loans | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.110 | 0.110 | |
Valuation, Income Approach | Proprietary reverse mortgage loans | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.371 | 0.371 | |
Valuation, Income Approach | Proprietary reverse mortgage loans | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.148 | 0.138 | |
Valuation, Income Approach | Mortgage servicing rights | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 8,100,000 | $ 8,108,000 | |
Valuation, Income Approach | Servicing-related asset | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | 299,000 | 999,000 | |
Valuation, Income Approach | Loan commitments | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | 3,299,000 | 3,060,000 | |
Enterprise Value | Investment in unconsolidated entities | Measurement Input, Equity Price-to-Book | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | 35,088,000 | 37,099,000 | |
Value of investments excluded from range calculation | 7,800,000 | 7,300,000 | |
Enterprise Value | Investment in unconsolidated entities | Measurement Input, Net Asset Value | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 83,117,000 | $ 88,905,000 | |
measurement input equity multiple | 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 | 0.9 | 1 | |
measurement input equity multiple | 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 | 1.2 | 1.8 | |
measurement input equity multiple | 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 | 1.1 | |
Valuation, Cost Approach | Investment in unconsolidated entities | Measurement Input, Exercise Price | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 542,000 | $ 1,042,000 | |
Valuation, Cost Approach | HECM loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 64,955,000 | ||
Including amounts excluded from range calculation | 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 | 9.2 | 3.2 | |
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 | 0.033 | 0.005 | |
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 | 0.222 | 0.535 | |
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 | 0.085 | 0.087 | |
Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 346,116,000 | $ 17,583,000 | |
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 | 0.061 | 0.230 | |
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 | 0.139 | 0.251 | |
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 | 0.108 | 0.248 | |
Performing and/or Re-performing | Valuation, Income Approach | Residential mortgage loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 1,304,959,000 | $ 1,416,951,000 | |
Securitized loans [Member] | Residential mortgage loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | 1,662,848,000 | 1,665,070,000 | |
Securitized loans [Member] | Valuation, Market Approach | Residential mortgage loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 1,577,130,000 | $ 1,539,170,000 | |
Securitized loans [Member] | Valuation, Market Approach | Residential mortgage loans | Measurement Input, Quoted Price | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.70 | 0.54 | |
Securitized loans [Member] | Valuation, Market Approach | Residential mortgage loans | Measurement Input, Quoted Price | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 99.43 | 98.22 | |
Securitized loans [Member] | Valuation, Market Approach | Residential mortgage loans | Measurement Input, Quoted Price | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 85.93 | 86.45 | |
Securitized loans [Member] | Valuation, Income Approach | Residential mortgage loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 85,718,000 | $ 125,900,000 | |
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 | 0.037 | 0.044 | |
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 | 0.505 | 0.408 | |
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 | 0.078 | 0.083 | |
Non-performing | Residential mortgage loans | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.002 | 0.037 | |
Non-performing | Residential mortgage loans | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.713 | 0.796 | |
Non-performing | Residential mortgage loans | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.091 | 0.137 | |
Non-performing | Residential mortgage loans | Measurement Input recovery amount | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input, Recovery Amount | $ 0.018 | $ 0.015 | |
Non-performing | Residential mortgage loans | Measurement Input recovery amount | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input, Recovery Amount | 2.188 | 2.206 | |
Non-performing | Residential mortgage loans | Measurement Input recovery amount | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input, Recovery Amount | 0.926 | $ 0.214 | |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 28,117,000 | ||
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Investment, measurement input, recovery time | 2 months 24 days | 1 month 24 days | |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Investment, measurement input, recovery time | 3 months 24 days | 5 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 | 3 months 6 days | 2 months 9 days | |
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 | 0.123 | 1 | |
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 | 0.521 | 1.005 | |
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 | 0.174 | 1.004 | |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input recovery amount | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input, Recovery Amount | $ 1 | $ 1.8 | |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input recovery amount | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input, Recovery Amount | 1.006 | 5.8 | |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input recovery amount | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input, Recovery Amount | 1.005 | 2.3 | |
Non-performing | Valuation, Income Approach | Residential mortgage loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 56,937,000 | 33,497,000 | |
Non-performing | Valuation, Income Approach | Residential mortgage loans | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Investment, measurement input, recovery time | 8 months 27 days | 3 months | |
Non-performing | Valuation, Income Approach | Residential mortgage loans | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Investment, measurement input, recovery time | 80 months 15 days | 105 months 18 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 | 29 months 3 days | 16 months 24 days | |
Non-performing securitized residential mortgage loans [Member] | Valuation, Income Approach | Residential mortgage loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 10,100,000 | $ 9,000,000 | |
Performing commercial mortgage loans | Residential mortgage loans | Measurement Input, Discount Rate | Minimum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.052 | ||
Performing commercial mortgage loans | Residential mortgage loans | Measurement Input, Discount Rate | Maximum | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.165 | ||
Performing commercial mortgage loans | Residential mortgage loans | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Loans, Measurement Input | 0.105 | ||
Performing commercial mortgage loans | Valuation, Income Approach | Residential mortgage loans | |||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |||
Fair value | $ 386,741,000 |
Valuation (Significant Unobserv
Valuation (Significant Unobservable Inputs Rollforward) (Details) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2023 USD ($) $ / shares | Mar. 31, 2022 USD ($) | Dec. 31, 2022 USD ($) $ / shares | |
Fair Value, Measurements, Recurring | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 13,436,592 | $ 13,357,204 | |
Level 3 | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 12,034,361 | $ 2,881,539 | |
Assets, Accreted Discounts/Amortized Premiums | (3,233) | (8,488) | |
Assets, Realized Gain (Loss) | (3,337) | 7,433 | |
Assets, Change In Net Unrealized Gain/(Loss) | 218,706 | (84,296) | |
Assets, Purchases | 856,154 | 1,174,093 | |
Assets, Sales | (888,564) | (604,284) | |
Assets, Transfers into Level 3 | 25,486 | 13,300 | |
Assets, Transfers out of Level 3 | (1,925) | (30,471) | |
Assets, Ending Balance | 12,237,648 | 3,348,826 | |
Liabilities, Begining Balance | (9,518,871) | (984,168) | |
Liabilities, Accreted Discounts/Amortized Premiums | (402) | 0 | |
Liabilities, Realized Gain/(Loss) | 0 | 0 | |
Liabilities, Change In Net Unrealized Gain/(Loss) | (154,704) | 55,641 | |
Liabilities Purchases/Payments | 310,989 | 114,754 | |
Liabilities, Sales/Issuance | (332,845) | (612,769) | |
Liabilities, Transfers into Level 3 | 0 | 0 | |
Liabilities, Transfers out of Level 3 | 0 | 0 | |
Liabilities, Ending Balance | (9,695,833) | (1,426,542) | |
Level 3 | Fair Value, Measurements, Recurring | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | 12,237,648 | 12,034,361 | |
Level 3 | Non-Agency RMBS | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | 156,277 | 132,502 | |
Level 3 | Non-Agency RMBS | Valuation, Income Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | 75,464 | 72,671 | |
Level 3 | Non-Agency RMBS | Valuation, Market Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 80,813 | $ 59,831 | |
Level 3 | Non-Agency RMBS | Measurement Input, Quoted Price | Valuation, Market Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | $ / shares | 0.48 | 0.45 | |
Level 3 | Non-Agency RMBS | Measurement Input, Quoted Price | Valuation, Market Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | $ / shares | 137.63 | 159.91 | |
Level 3 | Non-Agency RMBS | Measurement Input, Quoted Price | Valuation, Market Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | $ / shares | 78.99 | 69.79 | |
Level 3 | Non-Agency RMBS | Measurement Input, Discount Rate | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0 | 0 | |
Level 3 | Non-Agency RMBS | Measurement Input, Discount Rate | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.941 | 0.957 | |
Level 3 | Non-Agency RMBS | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.114 | 0.121 | |
Level 3 | Non-Agency RMBS | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0 | 0 | |
Level 3 | Non-Agency RMBS | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 1 | 1 | |
Level 3 | Non-Agency RMBS | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.513 | 0.520 | |
Level 3 | Non-Agency RMBS | Measurement Input, Default Rate | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0 | 0 | |
Level 3 | Non-Agency RMBS | Measurement Input, Default Rate | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.965 | 0.974 | |
Level 3 | Non-Agency RMBS | Measurement Input, Default Rate | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.113 | 0.165 | |
Level 3 | CMBS | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 11,767 | $ 12,649 | |
Level 3 | CMBS | Valuation, Income Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | 1,179 | 569 | |
Level 3 | CMBS | Valuation, Market Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 10,588 | $ 12,080 | |
Level 3 | CMBS | Measurement Input, Quoted Price | Valuation, Market Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | $ / shares | 5.22 | 5.54 | |
Level 3 | CMBS | Measurement Input, Quoted Price | Valuation, Market Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | $ / shares | 42.76 | 69.07 | |
Level 3 | CMBS | Measurement Input, Quoted Price | Valuation, Market Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | $ / shares | 29.37 | 38.37 | |
Level 3 | CMBS | Measurement Input, Discount Rate | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.110 | 0.094 | |
Level 3 | CMBS | Measurement Input, Discount Rate | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.178 | 0.175 | |
Level 3 | CMBS | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.154 | 0.127 | |
Level 3 | CMBS | Measurement Input, Default Rate | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.018 | 0.012 | |
Level 3 | CMBS | Measurement Input, Default Rate | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.490 | 0.398 | |
Level 3 | CMBS | Measurement Input, Default Rate | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.064 | 0.058 | |
Level 3 | CLOs | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 28,674 | $ 24,598 | |
Level 3 | CLOs | Valuation, Income Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | 8,044 | 6,673 | |
Level 3 | CLOs | Valuation, Market Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 20,630 | $ 17,925 | |
Level 3 | CLOs | Measurement Input, Quoted Price | Valuation, Market Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | $ / shares | 25 | 3.96 | |
Level 3 | CLOs | Measurement Input, Quoted Price | Valuation, Market Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | $ / shares | 94.68 | 92 | |
Level 3 | CLOs | Measurement Input, Quoted Price | Valuation, Market Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | $ / shares | 79.09 | 57.94 | |
Level 3 | CLOs | Measurement Input, Discount Rate | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.033 | 0.132 | |
Level 3 | CLOs | Measurement Input, Discount Rate | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.401 | 0.361 | |
Level 3 | CLOs | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.196 | 0.233 | |
Level 3 | Asset-backed securities, backed by consumer loans | Valuation, Income Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 72,200 | $ 73,644 | |
Level 3 | Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.069 | 0.067 | |
Level 3 | Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.229 | 0.279 | |
Level 3 | Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.132 | 0.135 | |
Level 3 | Asset-backed securities, backed by consumer loans | Measurement Input, Prepayment Rate | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0 | 0 | |
Level 3 | Asset-backed securities, backed by consumer loans | Measurement Input, Prepayment Rate | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.209 | 0.183 | |
Level 3 | Asset-backed securities, backed by consumer loans | Measurement Input, Prepayment Rate | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.150 | 0.144 | |
Level 3 | Asset-backed securities, backed by consumer loans | Measurement Input, Default Rate | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0 | 0.006 | |
Level 3 | Asset-backed securities, backed by consumer loans | Measurement Input, Default Rate | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.284 | 0.352 | |
Level 3 | Asset-backed securities, backed by consumer loans | Measurement Input, Default Rate | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Securities, measurement input | 0.203 | 0.213 | |
Level 3 | Residential mortgage loans | Valuation, Income Approach | Performing Financial Instruments [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 1,304,959 | $ 1,416,951 | |
Level 3 | Residential mortgage loans | Measurement Input, Discount Rate | Performing Financial Instruments [Member] | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.033 | 0.005 | |
Level 3 | Residential mortgage loans | Measurement Input, Discount Rate | Performing Financial Instruments [Member] | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.222 | 0.535 | |
Level 3 | Residential mortgage loans | Measurement Input, Discount Rate | Performing Financial Instruments [Member] | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.085 | 0.087 | |
Level 3 | Commercial mortgage loans | Valuation, Income Approach | Performing Financial Instruments [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 346,116 | $ 17,583 | |
Level 3 | Commercial mortgage loans | Measurement Input, Discount Rate | Valuation, Income Approach | Performing Financial Instruments [Member] | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.061 | 0.230 | |
Level 3 | Commercial mortgage loans | Measurement Input, Discount Rate | Valuation, Income Approach | Performing Financial Instruments [Member] | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.139 | 0.251 | |
Level 3 | Commercial mortgage loans | Measurement Input, Discount Rate | Valuation, Income Approach | Performing Financial Instruments [Member] | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.108 | 0.248 | |
Level 3 | Consumer loans | Valuation, Income Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 3,969 | $ 4,843 | |
Level 3 | Consumer loans | Measurement Input, Discount Rate | Valuation, Income Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.106 | 0.106 | |
Level 3 | Consumer loans | Measurement Input, Discount Rate | Valuation, Income Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.366 | 0.282 | |
Level 3 | Consumer loans | Measurement Input, Discount Rate | Valuation, Income Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.176 | 0.176 | |
Level 3 | Consumer loans | Measurement Input, Prepayment Rate | Valuation, Income Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0 | 0.001 | |
Level 3 | Consumer loans | Measurement Input, Prepayment Rate | Valuation, Income Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.197 | 0.217 | |
Level 3 | Consumer loans | Measurement Input, Prepayment Rate | Valuation, Income Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.113 | 0.122 | |
Level 3 | Consumer loans | Measurement Input, Default Rate | Valuation, Income Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0 | 0.004 | |
Level 3 | Consumer loans | Measurement Input, Default Rate | Valuation, Income Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.463 | 0.612 | |
Level 3 | Consumer loans | Measurement Input, Default Rate | Valuation, Income Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.132 | 0.132 | |
Level 3 | Corporate loan [Member] | Valuation, Income Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 4,920 | $ 4,086 | |
Level 3 | Corporate loan [Member] | Measurement Input, Discount Rate | Valuation, Income Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.060 | 0.060 | |
Level 3 | Corporate loan [Member] | Measurement Input, Discount Rate | Valuation, Income Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.125 | 0.130 | |
Level 3 | Corporate loan [Member] | Measurement Input, Discount Rate | Valuation, Income Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.077 | 0.071 | |
Level 3 | Credit default swaps on asset-backed securities | Valuation, Income Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 76 | $ 76 | |
Level 3 | Other secured borrowings, at fair value | Valuation, Market Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Fair value | $ (1,534,592) | $ (1,539,881) | |
Level 3 | Other secured borrowings, at fair value | Measurement Input, Quoted Price | Valuation, Market Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 39.43 | 54.94 | |
Level 3 | Other secured borrowings, at fair value | Measurement Input, Quoted Price | Valuation, Market Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 99.43 | 98.22 | |
Level 3 | Other secured borrowings, at fair value | Measurement Input, Quoted Price | Valuation, Market Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 87.55 | 87.34 | |
Level 3 | Other secured borrowings, at fair value | Measurement Input, Discount Rate | Valuation, Market Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 0.059 | 0.037 | |
Level 3 | Other secured borrowings, at fair value | Measurement Input, Discount Rate | Valuation, Market Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 0.095 | 0.085 | |
Level 3 | Other secured borrowings, at fair value | Measurement Input, Discount Rate | Valuation, Market Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 0.068 | 0.069 | |
Level 3 | Other secured borrowings, at fair value | Measurement Input, Prepayment Rate | Valuation, Market Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 0.930 | 0.933 | |
Level 3 | Other secured borrowings, at fair value | Measurement Input, Prepayment Rate | Valuation, Market Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 0.951 | 0.963 | |
Level 3 | Other secured borrowings, at fair value | Measurement Input, Prepayment Rate | Valuation, Market Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 0.940 | 0.945 | |
Level 3 | Investment in unconsolidated entities | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 118,747 | $ 127,046 | |
Level 3 | Investment in unconsolidated entities | Measurement Input, Net Asset Value | Enterprise Value | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | 83,117 | 88,905 | |
Level 3 | Investment in unconsolidated entities | Measurement Input, Exercise Price | Valuation, Cost Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | 542 | 1,042 | |
Level 3 | Senior Notes | Valuation, Market Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Fair value | $ (185,325) | $ (191,835) | |
Level 3 | Senior Notes | Measurement Input, Quoted Price | Valuation, Market Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 88.25 | 91.35 | |
Level 3 | Senior Notes | Measurement Input, Quoted Price | Valuation, Market Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 88.25 | 91.35 | |
Level 3 | Senior Notes | Measurement Input, Quoted Price | Valuation, Market Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 88.25 | 91.35 | |
Level 3 | HECM loans | Valuation, Cost Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 64,955 | ||
Level 3 | HECM loans | Valuation, Income Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 8,201,512 | $ 7,993,635 | |
Level 3 | HECM loans | Measurement Input, Discount Rate | Valuation, Income Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.032 | 0.042 | |
Level 3 | HECM loans | Measurement Input, Discount Rate | Valuation, Income Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.061 | 0.063 | |
Level 3 | HECM loans | Measurement Input, Discount Rate | Valuation, Income Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.042 | 0.052 | |
Level 3 | HECM loans | Measurement Input, Prepayment Rate | Valuation, Income Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.071 | 0.018 | |
Level 3 | HECM loans | Measurement Input, Prepayment Rate | Valuation, Income Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.439 | 0.446 | |
Level 3 | HECM loans | Measurement Input, Prepayment Rate | Valuation, Income Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.093 | 0.098 | |
Level 3 | Proprietary reverse mortgage loans | Valuation, Income Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 138,234 | $ 103,602 | |
Level 3 | Proprietary reverse mortgage loans | Measurement Input, Discount Rate | Valuation, Income Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.074 | 0.065 | |
Level 3 | Proprietary reverse mortgage loans | Measurement Input, Discount Rate | Valuation, Income Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.083 | 0.086 | |
Level 3 | Proprietary reverse mortgage loans | Measurement Input, Discount Rate | Valuation, Income Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.076 | 0.081 | |
Level 3 | Proprietary reverse mortgage loans | Measurement Input, Prepayment Rate | Valuation, Income Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.110 | 0.110 | |
Level 3 | Proprietary reverse mortgage loans | Measurement Input, Prepayment Rate | Valuation, Income Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.371 | 0.371 | |
Level 3 | Proprietary reverse mortgage loans | Measurement Input, Prepayment Rate | Valuation, Income Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Loans, Measurement Input | 0.148 | 0.138 | |
Level 3 | Mortgage servicing rights | Valuation, Income Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 8,100 | $ 8,108 | |
Level 3 | Mortgage servicing rights | Measurement Input, Discount Rate | Valuation, Market Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Servicing Asset, Measurement Input | 0.120 | 0.120 | |
Level 3 | Mortgage servicing rights | Measurement Input, Discount Rate | Valuation, Market Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Servicing Asset, Measurement Input | 0.120 | 0.120 | |
Level 3 | Mortgage servicing rights | Measurement Input, Discount Rate | Valuation, Market Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Servicing Asset, Measurement Input | 0.120 | 0.120 | |
Level 3 | Mortgage servicing rights | Measurement Input, Prepayment Rate | Valuation, Market Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Servicing Asset, Measurement Input | 0.110 | 0.110 | |
Level 3 | Mortgage servicing rights | Measurement Input, Prepayment Rate | Valuation, Market Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Servicing Asset, Measurement Input | 0.371 | 0.371 | |
Level 3 | Mortgage servicing rights | Measurement Input, Prepayment Rate | Valuation, Market Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Servicing Asset, Measurement Input | 0.139 | 0.147 | |
Level 3 | Servicing-related asset | Valuation, Income Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 299 | $ 999 | |
Level 3 | Servicing-related asset | Measurement Input, Discount Rate | Valuation, Market Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Servicing Asset, Measurement Input | 0.117 | 0.117 | |
Level 3 | Servicing-related asset | Measurement Input, Discount Rate | Valuation, Market Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Servicing Asset, Measurement Input | 0.117 | 0.117 | |
Level 3 | Servicing-related asset | Measurement Input, Discount Rate | Valuation, Market Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Servicing Asset, Measurement Input | 0.117 | 0.117 | |
Level 3 | Loan commitments | Valuation, Income Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Total assets | $ 3,299 | $ 3,060 | |
Level 3 | Loan commitments | Measurement Input pullthrough rate | Valuation, Market Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Servicing Asset, Measurement Input | 0.574 | 0.562 | |
Level 3 | Loan commitments | Measurement Input pullthrough rate | Valuation, Market Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Servicing Asset, Measurement Input | 1 | 1 | |
Level 3 | Loan commitments | Measurement Input pullthrough rate | Valuation, Market Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Servicing Asset, Measurement Input | 0.759 | 0.737 | |
Level 3 | Loan commitments | measurement input cost to originate loan | Valuation, Market Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Servicing Asset, Measurement Input | 0.020 | 0.024 | |
Level 3 | Loan commitments | measurement input cost to originate loan | Valuation, Market Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Servicing Asset, Measurement Input | 0.066 | 0.071 | |
Level 3 | Loan commitments | measurement input cost to originate loan | Valuation, Market Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Servicing Asset, Measurement Input | 0.048 | 0.044 | |
Level 3 | HMBS-related obligations | Valuation, Market Approach | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Fair value | $ (7,975,916) | $ (7,787,155) | |
Level 3 | HMBS-related obligations | Measurement Input, Discount Rate | Valuation, Market Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 0.031 | 0.041 | |
Level 3 | HMBS-related obligations | Measurement Input, Discount Rate | Valuation, Market Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 0.061 | 0.061 | |
Level 3 | HMBS-related obligations | Measurement Input, Discount Rate | Valuation, Market Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 0.041 | 0.051 | |
Level 3 | HMBS-related obligations | Measurement Input, Prepayment Rate | Valuation, Market Approach | Minimum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 0.071 | 0.073 | |
Level 3 | HMBS-related obligations | Measurement Input, Prepayment Rate | Valuation, Market Approach | Maximum | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 0.439 | 0.367 | |
Level 3 | HMBS-related obligations | Measurement Input, Prepayment Rate | Valuation, Market Approach | Weighted Average | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Debt instrument, measurement input | 0.093 | 0.098 | |
Level 3 | Other secured borrowings, at fair value | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Liabilities, Payments | 114,754 | ||
Liabilities, Issuances | (402,769) | ||
Liabilities, Begining Balance | $ (1,539,881) | (984,168) | |
Liabilities, Accreted Discounts/Amortized Premiums | (402) | 0 | |
Liabilities, Realized Gain/(Loss) | 0 | 0 | |
Liabilities, Change In Net Unrealized Gain/(Loss) | (29,680) | 55,641 | |
Liabilities Purchases/Payments | 35,371 | ||
Liabilities, Sales/Issuance | 0 | ||
Liabilities, Transfers into Level 3 | 0 | 0 | |
Liabilities, Transfers out of Level 3 | 0 | 0 | |
Liabilities, Ending Balance | (1,534,592) | (1,216,542) | |
Change in unrealized gains (losses), liabilities | (29,700) | 55,600 | |
Level 3 | Senior notes | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Liabilities, Begining Balance | (191,835) | 0 | |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | |
Liabilities, Realized Gain/(Loss) | 0 | 0 | |
Liabilities, Change In Net Unrealized Gain/(Loss) | 6,510 | 0 | |
Liabilities Purchases/Payments | 0 | 0 | |
Liabilities, Sales/Issuance | 0 | (210,000) | |
Liabilities, Transfers into Level 3 | 0 | 0 | |
Liabilities, Transfers out of Level 3 | 0 | 0 | |
Liabilities, Ending Balance | (185,325) | (210,000) | |
Level 3 | Senior Notes | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Change in unrealized gains (losses), liabilities | 6,500 | ||
Level 3 | HMBS-related obligations | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Liabilities, Begining Balance | (7,787,155) | ||
Liabilities, Accreted Discounts/Amortized Premiums | 0 | ||
Liabilities, Realized Gain/(Loss) | 0 | ||
Liabilities, Change In Net Unrealized Gain/(Loss) | (131,534) | ||
Liabilities Purchases/Payments | 275,618 | ||
Liabilities, Sales/Issuance | (332,845) | ||
Liabilities, Transfers into Level 3 | 0 | ||
Liabilities, Transfers out of Level 3 | 0 | ||
Liabilities, Ending Balance | (7,975,916) | ||
Change in unrealized gains (losses), liabilities | (131,500) | ||
Level 3 | Securities | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Change in unrealized gain (loss), assets | (3,600) | (4,300) | |
Level 3 | Securities | Agency RMBS | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 7,027 | 9,710 | |
Assets, Accreted Discounts/Amortized Premiums | (349) | (573) | |
Assets, Realized Gain (Loss) | (13) | 362 | |
Assets, Change In Net Unrealized Gain/(Loss) | 156 | (1,211) | |
Assets, Purchases | 141 | 399 | |
Assets, Sales | (872) | (514) | |
Assets, Transfers into Level 3 | 194 | 1,500 | |
Assets, Transfers out of Level 3 | (91) | (1,052) | |
Assets, Ending Balance | 6,193 | 8,621 | |
Level 3 | Securities | Non-Agency RMBS | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 132,502 | 134,888 | |
Assets, Accreted Discounts/Amortized Premiums | 132 | 479 | |
Assets, Realized Gain (Loss) | 891 | (126) | |
Assets, Change In Net Unrealized Gain/(Loss) | (4,376) | (2,391) | |
Assets, Purchases | 30,533 | 3,401 | |
Assets, Sales | (23,422) | (6,688) | |
Assets, Transfers into Level 3 | 21,582 | 5,998 | |
Assets, Transfers out of Level 3 | (1,565) | (18,785) | |
Assets, Ending Balance | 156,277 | 116,776 | |
Level 3 | Securities | CMBS | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 12,649 | 13,134 | |
Assets, Accreted Discounts/Amortized Premiums | 50 | 41 | |
Assets, Realized Gain (Loss) | 0 | 1,143 | |
Assets, Change In Net Unrealized Gain/(Loss) | (1,421) | (747) | |
Assets, Purchases | 0 | 3,101 | |
Assets, Sales | 0 | (2,234) | |
Assets, Transfers into Level 3 | 758 | 2,926 | |
Assets, Transfers out of Level 3 | 269 | 7,838 | |
Assets, Ending Balance | 11,767 | 9,526 | |
Level 3 | Securities | CLOs | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 24,598 | 26,678 | |
Assets, Accreted Discounts/Amortized Premiums | 169 | (716) | |
Assets, Realized Gain (Loss) | 89 | 953 | |
Assets, Change In Net Unrealized Gain/(Loss) | (614) | 1,610 | |
Assets, Purchases | 1,481 | 0 | |
Assets, Sales | (1) | (5,781) | |
Assets, Transfers into Level 3 | 2,952 | 2,876 | |
Assets, Transfers out of Level 3 | 0 | (2,796) | |
Assets, Ending Balance | 28,674 | 22,824 | |
Level 3 | Securities | Asset-backed securities, backed by consumer loans | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 73,644 | 73,108 | |
Assets, Accreted Discounts/Amortized Premiums | (1,327) | (1,113) | |
Assets, Realized Gain (Loss) | 78 | (274) | |
Assets, Change In Net Unrealized Gain/(Loss) | (2,072) | (2,023) | |
Assets, Purchases | 12,140 | 18,792 | |
Assets, Sales | (10,263) | (11,986) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 72,200 | 76,504 | |
Level 3 | Securities | Corporate debt securities | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 7,533 | 5,198 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |
Assets, Realized Gain (Loss) | (258) | 1,535 | |
Assets, Change In Net Unrealized Gain/(Loss) | 271 | (1,508) | |
Assets, Purchases | 2,895 | 1,728 | |
Assets, Sales | (2,094) | (6,453) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 8,347 | 500 | |
Level 3 | Securities | Corporate equity securities | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 11,111 | 7,556 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |
Assets, Realized Gain (Loss) | 0 | 1,625 | |
Assets, Change In Net Unrealized Gain/(Loss) | (40) | (829) | |
Assets, Purchases | 31 | 4,127 | |
Assets, Sales | 0 | (2,638) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 11,102 | 9,841 | |
Level 3 | Loans | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Change in unrealized gain (loss), assets | 225,500 | (70,300) | |
Level 3 | Loans | Residential mortgage loans | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 3,115,518 | 2,016,228 | |
Assets, Accreted Discounts/Amortized Premiums | (1,662) | (4,467) | |
Assets, Realized Gain (Loss) | (5,588) | 1,511 | |
Assets, Change In Net Unrealized Gain/(Loss) | 53,645 | (70,512) | |
Assets, Purchases | 320,212 | 723,095 | |
Assets, Sales | (457,381) | (232,848) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 3,024,744 | 2,433,007 | |
Level 3 | Loans | Commercial mortgage loans | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 404,324 | 326,197 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |
Assets, Realized Gain (Loss) | (2) | 10 | |
Assets, Change In Net Unrealized Gain/(Loss) | 340 | 164 | |
Assets, Purchases | 36,220 | 267,642 | |
Assets, Sales | (66,649) | (164,059) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 374,233 | 429,954 | |
Level 3 | Loans | Consumer loans | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 4,843 | 62,365 | |
Assets, Accreted Discounts/Amortized Premiums | (246) | (2,139) | |
Assets, Realized Gain (Loss) | 96 | (180) | |
Assets, Change In Net Unrealized Gain/(Loss) | (254) | (466) | |
Assets, Purchases | 300 | 10,946 | |
Assets, Sales | (770) | (60,648) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 3,969 | 9,878 | |
Level 3 | Loans | Corporate loan [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 4,086 | 10,531 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |
Assets, Realized Gain (Loss) | (100) | 0 | |
Assets, Change In Net Unrealized Gain/(Loss) | 1 | 0 | |
Assets, Purchases | 936 | 1,650 | |
Assets, Sales | (3) | (393) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 4,920 | 11,788 | |
Level 3 | Loans | Reverse mortgage loans | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 8,097,237 | ||
Assets, Accreted Discounts/Amortized Premiums | 0 | ||
Assets, Realized Gain (Loss) | (3) | ||
Assets, Change In Net Unrealized Gain/(Loss) | 171,567 | ||
Assets, Purchases | 420,478 | ||
Assets, Sales | (284,578) | ||
Assets, Transfers into Level 3 | 0 | ||
Assets, Transfers out of Level 3 | 0 | ||
Assets, Ending Balance | 8,404,701 | ||
Level 3 | Investment in unconsolidated entities | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 127,046 | 195,643 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |
Assets, Realized Gain (Loss) | 1,472 | 878 | |
Assets, Change In Net Unrealized Gain/(Loss) | 1,972 | (6,384) | |
Assets, Purchases | 30,787 | 139,208 | |
Assets, Sales | (42,530) | (110,042) | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 118,747 | 219,303 | |
Change in unrealized gain (loss), assets | (1,900) | (7,800) | |
Level 3 | Financial Derivatives - Assets | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Change in unrealized gain (loss), assets | 1 | ||
Level 3 | 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 | 76 | 303 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |
Assets, Realized Gain (Loss) | 1 | (4) | |
Assets, Change In Net Unrealized Gain/(Loss) | 0 | 1 | |
Assets, Purchases | 0 | 4 | |
Assets, Sales | (1) | 0 | |
Assets, Transfers into Level 3 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | |
Assets, Ending Balance | 76 | $ 304 | |
Level 3 | Mortgage servicing rights | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 8,108 | ||
Assets, Accreted Discounts/Amortized Premiums | 0 | ||
Assets, Realized Gain (Loss) | 0 | ||
Assets, Change In Net Unrealized Gain/(Loss) | (8) | ||
Assets, Purchases | 0 | ||
Assets, Sales | 0 | ||
Assets, Transfers into Level 3 | 0 | ||
Assets, Transfers out of Level 3 | 0 | ||
Assets, Ending Balance | 8,100 | ||
Change in unrealized gain (loss), assets | (8) | ||
Level 3 | Servicing-related asset | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 999 | ||
Assets, Accreted Discounts/Amortized Premiums | 0 | ||
Assets, Realized Gain (Loss) | 0 | ||
Assets, Change In Net Unrealized Gain/(Loss) | (700) | ||
Assets, Purchases | 0 | ||
Assets, Sales | 0 | ||
Assets, Transfers into Level 3 | 0 | ||
Assets, Transfers out of Level 3 | 0 | ||
Assets, Ending Balance | 299 | ||
Change in unrealized gain (loss), assets | (700) | ||
Level 3 | Loan commitments | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Assets, Beginning Balance | 3,060 | ||
Assets, Accreted Discounts/Amortized Premiums | 0 | ||
Assets, Realized Gain (Loss) | 0 | ||
Assets, Change In Net Unrealized Gain/(Loss) | 239 | ||
Assets, Purchases | 0 | ||
Assets, Sales | 0 | ||
Assets, Transfers into Level 3 | 0 | ||
Assets, Transfers out of Level 3 | 0 | ||
Assets, Ending Balance | 3,299 | ||
Change in unrealized gain (loss), assets | $ 200 |
Valuation (Fair Value of Other
Valuation (Fair Value of Other Financial Instruments) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||
Mar. 31, 2023 | Dec. 31, 2022 | Mar. 31, 2022 | Dec. 31, 2021 | |||
Assets: | ||||||
Cash and cash equivalents | $ 188,555 | $ 217,053 | [1] | $ 363,529 | $ 92,661 | |
Restricted cash | 1,600 | 4,800 | ||||
Due from brokers | 24,291 | 36,761 | ||||
Reverse repurchase agreements | 180,934 | 226,444 | ||||
Liabilities: | ||||||
Repurchase agreements | [1] | 2,285,898 | 2,609,685 | |||
Other secured borrowings | [1] | 363,640 | 276,058 | |||
Due to brokers | 35,431 | 34,507 | ||||
Credit Default Swap, Selling Protection [Member] | ||||||
Liabilities: | ||||||
Total net up-front payments received | 800 | 800 | ||||
Fair Value | ||||||
Assets: | ||||||
Cash and cash equivalents | 188,555 | 217,053 | ||||
Restricted cash | 1,601 | 4,816 | ||||
Due from brokers | 24,291 | 36,761 | ||||
Reverse repurchase agreements | 180,934 | 226,444 | ||||
Liabilities: | ||||||
Repurchase agreements | 2,285,898 | 2,609,685 | ||||
Other secured borrowings | 363,640 | 276,058 | ||||
Due to brokers | 35,431 | 34,507 | ||||
Carrying Value | ||||||
Assets: | ||||||
Cash and cash equivalents | 188,555 | 217,053 | ||||
Restricted cash | 1,601 | 4,816 | ||||
Due from brokers | 24,291 | 36,761 | ||||
Reverse repurchase agreements | 180,934 | 226,444 | ||||
Liabilities: | ||||||
Repurchase agreements | 2,285,898 | 2,609,685 | ||||
Other secured borrowings | 363,640 | 276,058 | ||||
Due to brokers | $ 35,431 | $ 34,507 | ||||
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 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 | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2023 | Dec. 31, 2022 | ||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 1,429,611 | $ 1,466,617 | |
Unamortized Premium (Discount) | (189,626) | (164,198) | |
Amortized Cost | 1,340,721 | 1,399,411 | |
Gross Unrealized Gains | 31,600 | 30,549 | |
Gross Unrealized Losses | (141,076) | (179,698) | |
Investment Owned At Fair Value, Net | 1,231,245 | 1,250,262 | |
Securities, at fair value(1)(2) | [1],[2] | 1,389,547 | 1,459,465 |
Securities sold short, at fair value | $ (158,302) | $ (209,203) | |
Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 1.44% | 1.58% | |
Weighted Average Yield | 4.97% | 4.41% | |
Weighted average life | 6 years 3 months 7 days | 6 years 8 months 1 day | |
Long | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 1,597,619 | $ 1,692,787 | |
Unamortized Premium (Discount) | (190,404) | (168,822) | |
Amortized Cost | 1,507,951 | 1,620,957 | |
Gross Unrealized Gains | 22,646 | 17,475 | |
Gross Unrealized Losses | (141,050) | (178,967) | |
Securities, at fair value(1)(2) | $ 1,389,547 | $ 1,459,465 | |
Long | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 1.45% | 1.59% | |
Weighted Average Yield | 5.31% | 4.70% | |
Weighted average life | 6 years 7 months 2 days | 6 years 11 months 4 days | |
Long | 15-year fixed-rate mortgages | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 82,439 | $ 140,409 | |
Unamortized Premium (Discount) | 1,090 | 4,613 | |
Amortized Cost | 83,529 | 145,022 | |
Gross Unrealized Gains | 111 | 0 | |
Gross Unrealized Losses | (6,554) | (14,892) | |
Securities, at fair value(1)(2) | $ 77,086 | $ 130,130 | |
Long | 15-year fixed-rate mortgages | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 2.55% | 2.59% | |
Weighted Average Yield | 2.04% | 1.73% | |
Weighted average life | 3 years 11 months 1 day | 4 years 3 months 18 days | |
Long | 20-year fixed-rate mortgages | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 7,023 | $ 7,253 | |
Unamortized Premium (Discount) | 366 | 380 | |
Amortized Cost | 7,389 | 7,633 | |
Gross Unrealized Gains | 0 | 0 | |
Gross Unrealized Losses | (1,194) | (1,301) | |
Securities, at fair value(1)(2) | $ 6,195 | $ 6,332 | |
Long | 20-year fixed-rate mortgages | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 2.41% | 2.41% | |
Weighted Average Yield | 1.57% | 1.57% | |
Weighted average life | 6 years 9 months 7 days | 6 years 11 months 12 days | |
Long | 30-year fixed-rate mortgages | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 761,446 | $ 846,582 | |
Unamortized Premium (Discount) | 14,982 | 20,961 | |
Amortized Cost | 776,428 | 867,543 | |
Gross Unrealized Gains | 1,185 | 228 | |
Gross Unrealized Losses | (57,240) | (89,105) | |
Securities, at fair value(1)(2) | $ 720,373 | $ 778,666 | |
Long | 30-year fixed-rate mortgages | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.78% | 3.54% | |
Weighted Average Yield | 3.33% | 3.12% | |
Weighted average life | 7 years 8 months 26 days | 8 years 6 months 25 days | |
Long | Adjustable rate mortgages | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 5,952 | $ 6,410 | |
Unamortized Premium (Discount) | 574 | 581 | |
Amortized Cost | 6,526 | 6,991 | |
Gross Unrealized Gains | 0 | 0 | |
Gross Unrealized Losses | (645) | (737) | |
Securities, at fair value(1)(2) | $ 5,881 | $ 6,254 | |
Long | Adjustable rate mortgages | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.49% | 3.41% | |
Weighted Average Yield | 2.22% | 2.20% | |
Weighted average life | 4 years 8 months 19 days | 4 years 9 months 14 days | |
Long | Reverse mortgages | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 28,159 | $ 29,658 | |
Unamortized Premium (Discount) | 3,486 | 3,511 | |
Amortized Cost | 31,645 | 33,169 | |
Gross Unrealized Gains | 0 | 0 | |
Gross Unrealized Losses | (3,007) | (3,180) | |
Securities, at fair value(1)(2) | $ 28,638 | $ 29,989 | |
Long | Reverse mortgages | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.17% | 3.50% | |
Weighted Average Yield | 2.61% | 2.60% | |
Weighted average life | 4 years 11 months 4 days | 4 years 10 months 2 days | |
Long | Interest only securities | |||
Securities, Available-for-sale [Line Items] | |||
Amortized Cost | $ 14,717 | $ 17,365 | |
Gross Unrealized Gains | 1,093 | 1,179 | |
Gross Unrealized Losses | (871) | (1,652) | |
Securities, at fair value(1)(2) | $ 14,939 | $ 16,892 | |
Long | Interest only securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 1.29% | 1.36% | |
Weighted Average Yield | 10.68% | 10.11% | |
Weighted average life | 5 years 3 months 25 days | 5 years 3 months 25 days | |
Long | Non-Agency RMBS | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 393,738 | $ 388,304 | |
Unamortized Premium (Discount) | (135,108) | (130,167) | |
Amortized Cost | 258,630 | 258,137 | |
Gross Unrealized Gains | 5,943 | 5,228 | |
Gross Unrealized Losses | (29,365) | (24,475) | |
Securities, at fair value(1)(2) | $ 235,208 | $ 238,890 | |
Long | Non-Agency RMBS | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.61% | 4.33% | |
Weighted Average Yield | 8.53% | 7.29% | |
Weighted average life | 6 years 6 months 7 days | 5 years 8 months 26 days | |
Long | CMBS | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 38,996 | $ 38,996 | |
Unamortized Premium (Discount) | (17,527) | (17,722) | |
Amortized Cost | 21,469 | 21,274 | |
Gross Unrealized Gains | 337 | 287 | |
Gross Unrealized Losses | (8,681) | (6,992) | |
Securities, at fair value(1)(2) | $ 13,125 | $ 14,569 | |
Long | CMBS | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 2.54% | 2.54% | |
Weighted Average Yield | 8.32% | 8.43% | |
Weighted average life | 8 years 6 months 18 days | 8 years 3 months 29 days | |
Long | Non-Agency IOs | |||
Securities, Available-for-sale [Line Items] | |||
Amortized Cost | $ 29,771 | $ 24,588 | |
Gross Unrealized Gains | 5,214 | 3,566 | |
Gross Unrealized Losses | (1,952) | (1,182) | |
Securities, at fair value(1)(2) | $ 33,033 | $ 26,972 | |
Long | Non-Agency IOs | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.18% | 0.18% | |
Weighted Average Yield | 14.87% | 14.21% | |
Weighted average life | 6 years 11 months 19 days | 7 years 7 months 24 days | |
Long | CLOs | |||
Securities, Available-for-sale [Line Items] | |||
Amortized Cost | $ 46,990 | $ 45,240 | |
Gross Unrealized Gains | 2,922 | 3,217 | |
Gross Unrealized Losses | (17,744) | (17,396) | |
Securities, at fair value(1)(2) | $ 32,168 | $ 31,061 | |
Long | CLOs | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 2.09% | 2.16% | |
Weighted Average Yield | 8.72% | 9.37% | |
Weighted average life | 2 years 11 months 1 day | 3 years 21 days | |
Long | Asset-backed securities, backed by consumer loans | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 118,319 | $ 115,604 | |
Unamortized Premium (Discount) | (35,170) | (28,282) | |
Amortized Cost | 83,149 | 87,322 | |
Gross Unrealized Gains | 341 | 278 | |
Gross Unrealized Losses | (11,290) | (13,956) | |
Securities, at fair value(1)(2) | $ 72,200 | $ 73,644 | |
Long | Asset-backed securities, backed by consumer loans | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 12% | 11.87% | |
Weighted Average Yield | 13.67% | 13.42% | |
Weighted average life | 1 year 2 months 26 days | 1 year 2 months 15 days | |
Long | Corporate debt securities | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 31,394 | $ 30,872 | |
Unamortized Premium (Discount) | (23,316) | (23,337) | |
Amortized Cost | 8,078 | 7,535 | |
Gross Unrealized Gains | 819 | 551 | |
Gross Unrealized Losses | (550) | (553) | |
Securities, at fair value(1)(2) | $ 8,347 | $ 7,533 | |
Long | Corporate debt securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0% | 0% | |
Weighted Average Yield | 0% | 0% | |
Weighted average life | 2 years 6 months 18 days | 2 years 1 month 28 days | |
Long | Corporate equity securities | |||
Securities, Available-for-sale [Line Items] | |||
Amortized Cost | $ 9,258 | $ 9,799 | |
Gross Unrealized Gains | 3,141 | 2,941 | |
Gross Unrealized Losses | (1,297) | (1,629) | |
Securities, at fair value(1)(2) | 11,102 | 11,111 | |
Long | U.S. Treasury securities | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | 130,153 | 88,699 | |
Unamortized Premium (Discount) | 219 | 640 | |
Amortized Cost | 130,372 | 89,339 | |
Gross Unrealized Gains | 1,540 | 0 | |
Gross Unrealized Losses | (660) | (1,917) | |
Securities, at fair value(1)(2) | $ 131,252 | $ 87,422 | |
Long | U.S. Treasury securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.73% | 3.58% | |
Weighted Average Yield | 3.67% | 3.46% | |
Weighted average life | 6 years 5 months 4 days | 7 years 21 days | |
Short | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ (168,008) | $ (226,170) | |
Unamortized Premium (Discount) | 778 | 4,624 | |
Investment Sold, Not yet Purchased, Sale Proceeds | (167,230) | (221,546) | |
Gross Unrealized Gains | 8,954 | 13,074 | |
Gross Unrealized Losses | (26) | (731) | |
Securities sold short, at fair value | $ (158,302) | $ (209,203) | |
Short | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 1.78% | 1.94% | |
Weighted Average Yield | 1.98% | 2.29% | |
Weighted average life | 3 years 6 months | 4 years 9 months 25 days | |
Short | Corporate debt securities | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ (200,850) | ||
Unamortized Premium (Discount) | 6,132 | ||
Investment Sold, Not yet Purchased, Sale Proceeds | (194,718) | ||
Gross Unrealized Gains | 10,025 | ||
Gross Unrealized Losses | (731) | ||
Securities sold short, at fair value | $ (185,424) | ||
Short | Corporate debt securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 2.18% | ||
Weighted Average Yield | 2.60% | ||
Weighted average life | 5 years 1 month 28 days | ||
Short | U.S. Treasury securities | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ (141,340) | ||
Unamortized Premium (Discount) | 1,803 | ||
Investment Sold, Not yet Purchased, Sale Proceeds | (139,537) | ||
Gross Unrealized Gains | 6,501 | ||
Gross Unrealized Losses | (26) | ||
Securities sold short, at fair value | $ (133,062) | ||
Short | U.S. Treasury securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 2.11% | ||
Weighted Average Yield | 2.34% | ||
Weighted average life | 3 years 9 months 14 days | ||
Short | European sovereign bonds | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ (26,668) | $ (25,320) | |
Unamortized Premium (Discount) | (1,025) | (1,508) | |
Investment Sold, Not yet Purchased, Sale Proceeds | (27,693) | (26,828) | |
Gross Unrealized Gains | 2,453 | 3,049 | |
Gross Unrealized Losses | 0 | 0 | |
Securities sold short, at fair value | $ (25,240) | $ (23,779) | |
Short | European sovereign bonds | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.01% | 0.01% | |
Weighted Average Yield | 0.15% | 0.04% | |
Weighted average life | 1 year 11 months 4 days | 2 years 2 months 1 day | |
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Investment in Securities (Matur
Investment in Securities (Maturities of Securities) (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 | |
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | [1],[2] | $ 1,389,547 | $ 1,459,465 |
Amortized Cost | $ 1,340,721 | $ 1,399,411 | |
Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 1.44% | 1.58% | |
Long | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 1,389,547 | $ 1,459,465 | |
Amortized Cost | $ 1,507,951 | $ 1,620,957 | |
Long | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 1.45% | 1.59% | |
Long | Agency RMBS | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 838,173 | $ 951,371 | |
Amortized Cost | $ 905,517 | $ 1,060,358 | |
Long | Agency RMBS | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.66% | 3.40% | |
Long | Agency RMBS | Less than three years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 19,952 | $ 20,547 | |
Amortized Cost | $ 20,363 | $ 21,976 | |
Long | Agency RMBS | Less than three years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.72% | 3.57% | |
Long | Agency RMBS | Greater than three years less than seven years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 316,968 | $ 242,472 | |
Amortized Cost | $ 336,873 | $ 267,229 | |
Long | Agency RMBS | Greater than three years less than seven years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.16% | 3.46% | |
Long | Agency RMBS | Greater than seven years less than eleven [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 499,799 | $ 685,742 | |
Amortized Cost | $ 546,523 | $ 768,041 | |
Long | Agency RMBS | Greater than seven years less than eleven [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.37% | 3.38% | |
Long | Agency RMBS | Greater than eleven year [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 1,454 | $ 2,610 | |
Amortized Cost | $ 1,758 | $ 3,112 | |
Long | Agency RMBS | Greater than eleven year [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 2.50% | 2.72% | |
Long | Agency RMBS | Interest only securities | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 14,939 | $ 16,892 | |
Amortized Cost | $ 14,717 | $ 17,365 | |
Long | Agency RMBS | Interest only securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 1.29% | 1.36% | |
Long | Agency RMBS | Interest only securities | Less than three years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 1,985 | $ 2,202 | |
Amortized Cost | $ 2,168 | $ 2,501 | |
Long | Agency RMBS | Interest only securities | Less than three years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.69% | 0.90% | |
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)(2) | $ 10,081 | $ 11,081 | |
Amortized Cost | $ 9,705 | $ 11,343 | |
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 | 1.96% | 1.58% | |
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)(2) | $ 2,596 | $ 3,345 | |
Amortized Cost | $ 2,518 | $ 3,207 | |
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 | 1.58% | 1.94% | |
Long | Agency RMBS | Interest only securities | Greater than eleven year [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 277 | $ 264 | |
Amortized Cost | $ 326 | $ 314 | |
Long | Agency RMBS | Interest only securities | Greater than eleven year [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.69% | 0.68% | |
Long | Non-Agency RMBS and CMBS | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 248,333 | $ 253,459 | |
Amortized Cost | $ 280,099 | $ 279,411 | |
Long | Non-Agency RMBS and CMBS | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.42% | 4.17% | |
Long | Non-Agency RMBS and CMBS | Less than three years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 81,904 | $ 81,122 | |
Amortized Cost | $ 85,166 | $ 84,695 | |
Long | Non-Agency RMBS and CMBS | Less than three years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.62% | 3.66% | |
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)(2) | $ 80,754 | $ 109,722 | |
Amortized Cost | $ 86,740 | $ 115,716 | |
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 | 5.61% | 5.41% | |
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)(2) | $ 52,894 | $ 36,179 | |
Amortized Cost | $ 67,798 | $ 44,611 | |
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 | 4.26% | 3.05% | |
Long | Non-Agency RMBS and CMBS | Greater than eleven year [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 32,781 | $ 26,436 | |
Amortized Cost | $ 40,395 | $ 34,389 | |
Long | Non-Agency RMBS and CMBS | Greater than eleven year [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.48% | 3.53% | |
Long | Non-Agency RMBS | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 235,208 | $ 238,890 | |
Amortized Cost | $ 258,630 | $ 258,137 | |
Long | Non-Agency RMBS | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.61% | 4.33% | |
Long | Non-Agency RMBS | Interest only securities | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 33,033 | $ 26,972 | |
Amortized Cost | $ 29,771 | $ 24,588 | |
Long | Non-Agency RMBS | Interest only securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.18% | 0.18% | |
Long | Non-Agency RMBS | Interest only securities | Less than three years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 7,267 | $ 4,347 | |
Amortized Cost | $ 6,653 | $ 3,913 | |
Long | Non-Agency RMBS | Interest only securities | Less than three years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.15% | 0.15% | |
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)(2) | $ 3,089 | $ 3,723 | |
Amortized Cost | $ 3,704 | $ 4,247 | |
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 | 1.50% | 1.47% | |
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)(2) | $ 22,351 | $ 18,902 | |
Amortized Cost | $ 19,124 | $ 16,428 | |
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 | 0.16% | 0.16% | |
Long | Non-Agency RMBS | Interest only securities | Greater than eleven year [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 326 | $ 0 | |
Amortized Cost | $ 290 | $ 0 | |
Long | Non-Agency RMBS | Interest only securities | Greater than eleven year [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 1.24% | 0% | |
Long | CLOs And Other Securities [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 243,967 | $ 199,660 | |
Amortized Cost | $ 268,589 | $ 229,436 | |
Long | CLOs And Other Securities [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.78% | 4.91% | |
Long | CLOs And Other Securities [Member] | Less than three years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 97,458 | $ 96,371 | |
Amortized Cost | $ 118,386 | $ 120,086 | |
Long | CLOs And Other Securities [Member] | Less than three years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 5.47% | 5.42% | |
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)(2) | $ 133,695 | $ 53,804 | |
Amortized Cost | $ 137,301 | $ 59,754 | |
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 | 3.51% | 3.69% | |
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)(2) | $ 12,814 | $ 49,485 | |
Amortized Cost | $ 12,902 | $ 49,596 | |
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 | 4.13% | 4.01% | |
Long | CLOs And Other Securities [Member] | Greater than eleven year [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 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% | 0% | |
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Investment in Securities (Sum_2
Investment in Securities (Summary of Investment Income) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Securities, Available-for-sale [Line Items] | ||
Interest Income | $ 87,174 | $ 51,074 |
Level 3 | ||
Securities, Available-for-sale [Line Items] | ||
Assets, Transfers into Level 3 | 25,486 | 13,300 |
Agency RMBS | ||
Securities, Available-for-sale [Line Items] | ||
Coupon Interest | 9,349 | 14,335 |
Net Amortization | (2,228) | (6,137) |
Interest Income | 7,121 | 8,198 |
Non-Agency RMBS and CMBS | ||
Securities, Available-for-sale [Line Items] | ||
Coupon Interest | 6,431 | 4,086 |
Net Amortization | 161 | 28 |
Interest Income | 6,592 | 4,114 |
CLOs | ||
Securities, Available-for-sale [Line Items] | ||
Coupon Interest | 953 | 1,729 |
Net Amortization | 187 | (585) |
Interest Income | 1,140 | 1,144 |
Other Securities | ||
Securities, Available-for-sale [Line Items] | ||
Coupon Interest | 5,843 | 5,557 |
Net Amortization | (1,374) | (1,113) |
Interest Income | 4,469 | 4,444 |
Securities Investment [Member] | ||
Securities, Available-for-sale [Line Items] | ||
Coupon Interest | 22,576 | 25,707 |
Net Amortization | (3,254) | (7,807) |
Interest Income | $ 19,322 | $ 17,900 |
Investment in Securities (Proce
Investment in Securities (Proceeds, Realized Gains (Losses) on Sales) (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Securities, Available-for-sale [Line Items] | ||
Proceeds | $ 506,748,000 | $ 430,496,000 |
Available-for-sale Securities, Gross Realized Gains | 2,289,000 | 8,614,000 |
Available-for-sale Securities, Gross Realized Losses | 28,100,000 | 13,473,000 |
Available-for-sale Securities, Gross Realized Gain (Loss) | (25,811,000) | (4,859,000) |
Available-for-sale securities Realizes Losses - adjustments to cost basis of certain securities | (5,700,000) | (1,600,000) |
Agency RMBS | ||
Securities, Available-for-sale [Line Items] | ||
Proceeds | 205,504,000 | 391,924,000 |
Available-for-sale Securities, Gross Realized Gains | 796,000 | 1,203,000 |
Available-for-sale Securities, Gross Realized Losses | 26,336,000 | 12,500,000 |
Available-for-sale Securities, Gross Realized Gain (Loss) | (25,540,000) | (11,297,000) |
Non-Agency RMBS and CMBS | ||
Securities, Available-for-sale [Line Items] | ||
Proceeds | 27,188,000 | 6,509,000 |
Available-for-sale Securities, Gross Realized Gains | 1,084,000 | 1,957,000 |
Available-for-sale Securities, Gross Realized Losses | 15,000 | 39,000 |
Available-for-sale Securities, Gross Realized Gain (Loss) | 1,069,000 | 1,918,000 |
CLOs | ||
Securities, Available-for-sale [Line Items] | ||
Proceeds | 0 | 16,366,000 |
Available-for-sale Securities, Gross Realized Gains | 89,000 | 1,981,000 |
Available-for-sale Securities, Gross Realized Losses | 0 | 619,000 |
Available-for-sale Securities, Gross Realized Gain (Loss) | 89,000 | 1,362,000 |
Other Securities | ||
Securities, Available-for-sale [Line Items] | ||
Proceeds | 274,056,000 | 15,697,000 |
Available-for-sale Securities, Gross Realized Gains | 320,000 | 3,473,000 |
Available-for-sale Securities, Gross Realized Losses | 1,749,000 | 315,000 |
Available-for-sale Securities, Gross Realized Gain (Loss) | $ (1,429,000) | $ 3,158,000 |
Investment in Securities (Unrea
Investment in Securities (Unrealized Loss Positions Securities) (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | $ 374,926 | $ 720,249 |
Unrealized Losses, Less than 12 Months | (13,906) | (60,343) |
Fair Value, Greater than 12 Months | 487,617 | 365,355 |
Unrealized Losses, Greater than 12 Months | (69,649) | (66,704) |
Fair Value, Total | 862,543 | 1,085,604 |
Unrealized Loss, Total | (83,555) | (127,047) |
Agency RMBS | ||
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | 281,597 | 577,047 |
Unrealized Losses, Less than 12 Months | (10,070) | (51,817) |
Fair Value, Greater than 12 Months | 440,429 | 326,223 |
Unrealized Losses, Greater than 12 Months | (58,421) | (57,564) |
Fair Value, Total | 722,026 | 903,270 |
Unrealized Loss, Total | (68,491) | (109,381) |
Non-Agency RMBS | ||
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | 32,147 | 46,644 |
Unrealized Losses, Less than 12 Months | (2,724) | (5,205) |
Fair Value, Greater than 12 Months | 31,886 | 26,194 |
Unrealized Losses, Greater than 12 Months | (7,850) | (4,959) |
Fair Value, Total | 64,033 | 72,838 |
Unrealized Loss, Total | (10,574) | (10,164) |
CLOs | ||
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | 0 | 6,035 |
Unrealized Losses, Less than 12 Months | 0 | (466) |
Fair Value, Greater than 12 Months | 14,157 | 12,212 |
Unrealized Losses, Greater than 12 Months | (2,531) | (3,488) |
Fair Value, Total | 14,157 | 18,247 |
Unrealized Loss, Total | (2,531) | (3,954) |
Other Securities | ||
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | 61,182 | 90,523 |
Unrealized Losses, Less than 12 Months | (1,112) | (2,855) |
Fair Value, Greater than 12 Months | 1,145 | 726 |
Unrealized Losses, Greater than 12 Months | (847) | (693) |
Fair Value, Total | 62,327 | 91,249 |
Unrealized Loss, Total | $ (1,959) | $ (3,548) |
Investment in Securities (Narra
Investment in Securities (Narrative) (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | |
Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Allowance for Credit Loss | $ 36,600 | $ 35,100 | |
Available-for-sale securities Realizes Losses - Write offs | (5,700) | $ (1,600) | |
Catch-up premium amortization adjustment | (500) | $ (600) | |
Residential mortgage loans | Loans held-for-investment [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Financing Receivable, Allowance for Credit Loss | $ 23,400 | $ 23,700 |
Investment in Loans (Schedule o
Investment in Loans (Schedule of Investments in Loans) (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | $ 11,685,456 | $ 11,609,077 | |
Fair Value | [1],[2] | 11,812,567 | 11,626,008 |
Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | 3,261,327 | 3,404,544 | |
Fair Value | 3,024,744 | 3,115,518 | |
Commercial mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | 376,291 | 406,721 | |
Fair Value | 374,233 | 404,324 | |
Consumer loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | 4,341 | 5,190 | |
Fair Value | 3,969 | 4,843 | |
Corporate loan [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | 4,965 | 4,132 | |
Fair Value | 4,920 | 4,086 | |
Reverse mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | 8,038,532 | 7,788,490 | |
Fair Value | $ 8,404,701 | $ 8,097,237 | |
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Investment in Loans (Schedule_2
Investment in Loans (Schedule of 90 Days or More Past Due) (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | $ 11,685,456 | $ 11,609,077 | ||
Loans, at fair value | [1],[2] | 11,812,567 | 11,626,008 | |
Proceeds from the disposition of loans (non-cash) | 174,181 | $ 0 | ||
Commercial mortgage loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | 376,291 | 406,721 | ||
Loans, at fair value | 374,233 | 404,324 | ||
Residential mortgage loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | 3,261,327 | 3,404,544 | ||
Loans, at fair value | 3,024,744 | 3,115,518 | ||
Consumer loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | 4,341 | 5,190 | ||
Loans, at fair value | 3,969 | 4,843 | ||
Non-accrual status [Member] | Commercial mortgage loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Loans, at fair value | 17,600 | |||
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 | 28,261 | 17,656 | ||
Loans, at fair value | 28,117 | 17,583 | ||
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 | 72,398 | 50,994 | ||
Loans, at fair value | 68,094 | 47,022 | ||
Non-accrual status [Member] | Consumer loans | 90 Days or More Past Due [Member] | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | 124 | 170 | ||
Loans, at fair value | $ 102 | $ 145 | ||
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Investment in Loans (Schedule_3
Investment in Loans (Schedule of Residential Mortgage Loans) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2023 | Dec. 31, 2022 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 11,685,456 | $ 11,609,077 | |
Unamortized Premium (Discount) | (189,626) | (164,198) | |
Fair Value | [1],[2] | $ 11,812,567 | $ 11,626,008 |
Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 1.44% | 1.58% | |
Weighted Average Yield | 4.97% | 4.41% | |
Weighted average life | 6 years 3 months 7 days | 6 years 8 months 1 day | |
Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 3,261,327 | $ 3,404,544 | |
Unamortized Premium (Discount) | 44,117 | ||
Amortized Cost | 3,448,661 | ||
Gains | 2,607 | ||
Losses | (335,750) | ||
Fair Value | 3,024,744 | 3,115,518 | |
Residential mortgage loans | Non-performing | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 71,211 | 49,144 | |
Fair Value | 67,030 | $ 45,110 | |
Residential mortgage loans | Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 6.41% | ||
Weighted Average Yield | 5.99% | ||
Weighted average life | 3 years 7 months 2 days | ||
Consolidated securitization trusts [Member] | Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Losses | 251,700 | $ 291,700 | |
Loans held-for-investment [Member] | Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 3,261,327 | 3,225,997 | |
Unamortized Premium (Discount) | 42,841 | 43,806 | |
Amortized Cost | 3,304,168 | 3,269,803 | |
Gains | 3,882 | 2,143 | |
Losses | (283,306) | (327,316) | |
Fair Value | $ 3,024,744 | $ 2,944,630 | |
Loans held-for-investment [Member] | Residential mortgage loans | Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 6.56% | 6.39% | |
Weighted Average Yield | 6.17% | 5.97% | |
Weighted average life | 4 years 2 months 19 days | 3 years 6 months 25 days | |
Loans held-for-sale | Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 178,547 | ||
Unamortized Premium (Discount) | 311 | ||
Amortized Cost | 178,858 | ||
Gains | 464 | ||
Losses | (8,434) | ||
Fair Value | $ 170,888 | ||
Loans held-for-sale | Residential mortgage loans | Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 6.68% | ||
Weighted Average Yield | 6.44% | ||
Weighted average life | 3 years 11 months 26 days | ||
Non-QM loan securitization | Residential mortgage loans | Consolidated Entities [Member] | Securitized loans [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Fair Value | $ 1,662,848 | $ 1,665,070 | |
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
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] | 3 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Dec. 31, 2022 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 100% | 100% |
CALIFORNIA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 32.10% | 33.20% |
Florida [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 18.20% | 17.20% |
Texas [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 10.20% | 10.30% |
Colorado [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.60% | 1.70% |
MASSACHUSETTS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.90% | 1.90% |
WASHINGTON | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.60% | 1.70% |
NEVADA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.70% | 1.80% |
OREGON | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.20% | 1.30% |
ARIZONA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 3% | 3.10% |
UTAH | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 3.40% | 3.40% |
NEW YORK | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.40% | 1.40% |
CONNECTICUT | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1% | 0.90% |
MARYLAND | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1% | 1% |
NORTH CAROLINA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.80% | 2.80% |
NEW JERSEY | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2% | 1.80% |
ILLINOIS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.70% | 1.60% |
Other [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 6.80% | 6.80% |
GEORGIA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.70% | 2.60% |
Tennessee [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.10% | 2.10% |
NEW JERSEY | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.50% | 2.30% |
OHIO | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.10% | 1.10% |
Investment in Loans Investment
Investment in Loans Investment in Loans (Schedule of Residential Mortgage Loans: Performance) (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 11,685,456 | $ 11,609,077 | |
Loans, at fair value | [1],[2] | 11,812,567 | 11,626,008 |
Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 3,261,327 | 3,404,544 | |
Loans, at fair value | 3,024,744 | 3,115,518 | |
Residential mortgage loans | Performing Financial Instruments [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 9,475 | 9,903 | |
Loans, at fair value | 8,190 | 8,836 | |
Residential mortgage loans | Non-performing | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 71,211 | 49,144 | |
Loans, at fair value | 67,030 | 45,110 | |
Residential mortgage loans | Securitized loans [Member] | Consolidated Entities [Member] | Non-QM loan securitization | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Loans, at fair value | $ 1,662,848 | $ 1,665,070 | |
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Investment in Loans (Narrative)
Investment in Loans (Narrative) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Loans, at fair value | [1],[2] | $ 11,812,567 | $ 11,626,008 | |
Unpaid Principal Balance | 11,685,456 | 11,609,077 | ||
Unpaid principal balance on unactive loans | 296,500 | 267,000 | ||
Loans purchased in private transaction | 80,100 | |||
Loans purchased in private transaction - held | 65,000 | |||
Accrued expenses and other liabilities | [1] | 91,115 | 73,819 | |
Due to MLPS Counterparty | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Accrued expenses and other liabilities | 4,400 | |||
Government Guaranteed Mortgage Loans upon Foreclosure Receivable | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid principal balance on unactive loans | 299,200 | 265,900 | ||
Residential mortgage loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Loans, at fair value | 3,024,744 | 3,115,518 | ||
Losses | (335,750) | |||
Mortgage Loans in Process of Foreclosure, Amount | 43,400 | 27,700 | ||
Unpaid Principal Balance | 3,261,327 | 3,404,544 | ||
Consumer loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Loans, at fair value | 3,969 | 4,843 | ||
Losses | (832) | (645) | ||
Unpaid Principal Balance | 4,341 | 5,190 | ||
Delinquent loans, charged off | 200 | $ 1,300 | ||
Financing Receivable, Allowance for Credit Loss | 500 | 500 | ||
Fair value of charged-off loans | 100 | 200 | ||
Non-performing | Residential mortgage loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Loans, at fair value | 67,030 | 45,110 | ||
Unpaid Principal Balance | 71,211 | 49,144 | ||
Performing Financial Instruments [Member] | Residential mortgage loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Loans, at fair value | 8,190 | 8,836 | ||
Unpaid Principal Balance | 9,475 | 9,903 | ||
Loans held-for-investment [Member] | Residential mortgage loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Loans, at fair value | 3,024,744 | 2,944,630 | ||
Losses | (283,306) | (327,316) | ||
Unpaid Principal Balance | 3,261,327 | 3,225,997 | ||
Financing Receivable, Allowance for Credit Loss | 23,400 | $ 23,700 | ||
Loans held-for-investment [Member] | Consumer loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Realized Losses, Write offs on loans | $ (300) | $ (26) | ||
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Investment in Loans (Schedule_5
Investment in Loans (Schedule of Commercial Mortgage Loans) (Details) (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2023 USD ($) loan | Dec. 31, 2022 USD ($) loan | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 11,685,456 | $ 11,609,077 | |
Unamortized Premium (Discount) | (189,626) | (164,198) | |
Loans, at fair value | [1],[2] | $ 11,812,567 | $ 11,626,008 |
Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 1.44% | 1.58% | |
Weighted Average Yield | 4.97% | 4.41% | |
Weighted average life | 6 years 3 months 7 days | 6 years 8 months 1 day | |
Commercial mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 376,291 | $ 406,721 | |
Unamortized Premium (Discount) | 0 | 0 | |
Investments, at fair value, Cost | 376,291 | 406,721 | |
Gains | 2 | 1 | |
Losses | (2,060) | (2,398) | |
Loans, at fair value | 374,233 | 404,324 | |
Financing Receivable, Allowance for Credit Loss | 2,100 | 2,400 | |
Commercial mortgage loans | Non-performing | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 28,300 | 17,700 | |
Loans, at fair value | $ 28,100 | $ 17,600 | |
Number of loans | loan | 3 | 2 | |
Commercial mortgage loans | Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 11.26% | 10.76% | |
Weighted Average Yield | 11.12% | 10.66% | |
Weighted average life | 9 months 25 days | 11 months 4 days | |
Non-accrual status [Member] | Commercial mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Loans, at fair value | $ 17,600 | ||
Non-accrual status [Member] | Commercial mortgage loans | Non-performing | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Loans, at fair value | $ 28,100 | ||
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Investment in Loans (Schedule_6
Investment in Loans (Schedule of Commercial Loans: Geographic Distribution) (Details) - Geographic Concentration Risk [Member] - Commercial mortgage loans - Financing Receivables, Unpaid Principal Balance [Member] | 3 Months Ended | 6 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Jun. 30, 2022 | Dec. 31, 2022 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 100% | 100% | |
Florida [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 19.20% | 20.50% | |
NEW YORK | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 14.20% | 9.40% | |
NEW JERSEY | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 0% | 1.50% | |
CONNECTICUT | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 2.40% | 2.20% | |
MASSACHUSETTS | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 5.50% | 6.20% | |
MASSACHUSETTS | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 6.30% | 5.50% | |
ARIZONA | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 7.70% | 9% | |
PENNSYLVANIA | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 4% | 3.70% | |
ILLINOIS | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 5% | 4.60% | |
Other [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 1% | 0.40% | |
OHIO | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 4.10% | 3.80% | |
MICHIGAN | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 6% | 5.50% | |
NEW HAMPSHIRE | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 0% | 2.20% | |
Texas [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 14.40% | 13.40% | |
GEORGIA | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 4% | 5.40% | |
OKLAHOMA | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 4.50% | 4.20% | |
RHODE ISLAND | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 0% | 1% | |
LOUISIANA | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Percentage of Total Outstanding Unpaid Principal Balance | 1.70% | 1.50% |
Investment in Loans (Schedule_7
Investment in Loans (Schedule of Consumer Loans) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2023 | Dec. 31, 2022 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 11,685,456 | $ 11,609,077 | |
Unamortized Premium (Discount) | (189,626) | (164,198) | |
Loans, at fair value | [1],[2] | $ 11,812,567 | $ 11,626,008 |
Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted average life | 6 years 3 months 7 days | 6 years 8 months 1 day | |
Consumer loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Fair value of charged-off loans | $ 100 | $ 200 | |
Unpaid Principal Balance | 4,341 | 5,190 | |
Unamortized Premium (Discount) | 186 | (43) | |
Investments, at fair value, Cost | 4,527 | 5,147 | |
Gains | 274 | 341 | |
Losses | (832) | (645) | |
Loans, at fair value | $ 3,969 | $ 4,843 | |
Consumer loans | Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted average life | 9 months 10 days | 9 months 21 days | |
Delinquency (Days) | 11 days | 10 days | |
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Investment in Loans (Schedule_8
Investment in Loans (Schedule of Consumer Loans: Delinquency Status) (Details) - Consumer loans | Mar. 31, 2023 | Dec. 31, 2022 |
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 100% | 100% |
Financial Asset, 1 to 29 Days Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 89.30% | 90.30% |
30 to 59 Days Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 4.50% | 4.20% |
60 to 89 Days Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 3.40% | 2.30% |
90-119 Days or More Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 2.60% | 3.10% |
Financing Receivables, Equal to Greater than 120 Days Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 0.20% | 0.10% |
Investment in Loans Investmen_2
Investment in Loans Investment in Loans (Schedule of Corporate Loans) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | $ 11,685,456 | $ 11,609,077 | ||
Loans, at fair value | [1],[2] | 11,812,567 | 11,626,008 | |
Corporate loan [Member] | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | 4,965 | 4,132 | ||
Loans, at fair value | $ 4,920 | $ 4,086 | ||
Weighted Average | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Weighted Average Coupon | 1.44% | 1.58% | ||
Weighted average life | 6 years 3 months 7 days | 6 years 8 months 1 day | ||
Weighted Average | Corporate loan [Member] | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Weighted Average Coupon | 8.05% | 5.47% | ||
Weighted average life | 2 years 4 months 9 days | 2 years 8 months 26 days | ||
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Investment in Loans Schedule of
Investment in Loans Schedule of Geographic concentration - Reverse Mortgage Loans (Details) - Financing Receivables, Unpaid Principal Balance [Member] - Geographic Concentration Risk [Member] - Reverse mortgage loans | 3 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Dec. 31, 2022 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 100% | 100% |
CALIFORNIA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 27.90% | 31.50% |
Florida [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 9.20% | 9.10% |
Colorado [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 6.70% | 6.40% |
ARIZONA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 5.90% | 5.70% |
WASHINGTON | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 5.20% | 4.90% |
UTAH | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 4.80% | 4.50% |
Texas [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 4.30% | 4% |
OREGON | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 3% | 2.80% |
MASSACHUSETTS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.60% | 2.40% |
IDAHO | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.60% | 2.30% |
NEW YORK | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.40% | 2.20% |
NEVADA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.20% | 2.10% |
NORTH CAROLINA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2% | 1.90% |
Virginia [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.80% | 1.70% |
OHIO | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.60% | 1.50% |
MARYLAND | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.50% | 1.40% |
NEW JERSEY | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.40% | 1.40% |
SOUTH CAROLINA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.40% | 1.40% |
GEORGIA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.50% | 1.30% |
NEW JERSEY | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.30% | 1.20% |
Tennessee [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.20% | 1.10% |
Other [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 9.50% | 9.20% |
Investment in Loans - Reverse M
Investment in Loans - Reverse Mortgage Loans Summary (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | $ 11,685,456 | $ 11,609,077 | ||
Loans, at fair value | [1],[2] | $ 11,812,567 | $ 11,626,008 | |
Weighted Average | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Investment Interest Rate | 1.44% | 1.58% | ||
Weighted average life | 6 years 3 months 7 days | 6 years 8 months 1 day | ||
Corporate loan [Member] | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | $ 4,965 | $ 4,132 | ||
Loans, at fair value | $ 4,920 | $ 4,086 | ||
Corporate loan [Member] | Weighted Average | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Investment Interest Rate | 8.05% | 5.47% | ||
Weighted average life | 2 years 4 months 9 days | 2 years 8 months 26 days | ||
Reverse mortgage loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | $ 8,038,532 | $ 7,788,490 | ||
Loans, at fair value | 8,404,701 | 8,097,237 | ||
Reverse mortgage loans | Reverse mortgage loans, held for investment | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | 7,909,416 | 7,688,050 | ||
Loans, at fair value | 8,266,467 | 7,993,635 | ||
Reverse mortgage loans | Reverse mortgage loans, held for investment | Securitized loans [Member] | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | 7,723,014 | 7,577,139 | ||
Loans, at fair value | 8,078,684 | 7,873,964 | ||
Reverse mortgage loans | Reverse mortgage loans, held for investment | Unsecuritized loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | 186,402 | 110,911 | ||
Loans, at fair value | 187,783 | 119,671 | ||
Reverse mortgage loans | Loans held-for-sale | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | 129,116 | 100,440 | ||
Loans, at fair value | 138,234 | $ 103,602 | ||
Reverse mortgage loans | Unpoolable HECM loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | 80,547 | |||
Loans, at fair value | $ 72,726 | |||
Reverse mortgage loans | Weighted Average | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Investment Interest Rate | 6.21% | 5.87% | ||
Weighted average life | 5 years 3 months 10 days | 5 years 2 months 4 days | ||
Reverse mortgage loans | Weighted Average | Reverse mortgage loans, held for investment | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Investment Interest Rate | 6.14% | 5.81% | ||
Weighted average life | 5 years 1 month 2 days | 5 years 7 days | ||
Reverse mortgage loans | Weighted Average | Reverse mortgage loans, held for investment | Securitized loans [Member] | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Investment Interest Rate | 6.12% | 5.80% | ||
Weighted average life | 5 years 1 month 6 days | 4 years 11 months 26 days | ||
Reverse mortgage loans | Weighted Average | Reverse mortgage loans, held for investment | Unsecuritized loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Investment Interest Rate | 6.69% | 6.53% | ||
Weighted average life | 4 years 8 months 23 days | 7 years 1 month 24 days | ||
Reverse mortgage loans | Weighted Average | Loans held-for-sale | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Investment Interest Rate | 10.47% | 10.35% | ||
Weighted average life | 16 years 9 months 21 days | 17 years 7 months 17 days | ||
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Investment in Loans - Schedule
Investment in Loans - Schedule of Unpoolable HECM Loans (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 11,685,456 | $ 11,609,077 | |
Loans, at fair value | [1],[2] | 11,812,567 | 11,626,008 |
Reverse mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 8,038,532 | 7,788,490 | |
Loans, at fair value | 8,404,701 | 8,097,237 | |
Reverse mortgage loans | Reverse mortgage loans, held for investment | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 7,909,416 | 7,688,050 | |
Loans, at fair value | 8,266,467 | 7,993,635 | |
Reverse mortgage loans | Reverse mortgage loans, held for investment | Securitized loans [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 7,723,014 | 7,577,139 | |
Loans, at fair value | 8,078,684 | $ 7,873,964 | |
Reverse mortgage loans | Unpoolable HECM loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 80,547 | ||
Loans, at fair value | 72,726 | ||
Reverse mortgage loans | Unpoolable HECM loans | Assignable buyout | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 55,656 | ||
Loans, at fair value | 51,963 | ||
Reverse mortgage loans | Unpoolable HECM loans | Non-assignable buyout | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 20,499 | ||
Loans, at fair value | 16,352 | ||
Reverse mortgage loans | Unpoolable HECM loans | Inactive HECM tail loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 4,392 | ||
Loans, at fair value | $ 4,411 | ||
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Mortgage Servicing Rights (Deta
Mortgage Servicing Rights (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | |
Mortgage Servicing Rights [Abstract] | |||
Unpaid principal balance of reverse mortgage loans in servicing portfolio | $ 784,600 | $ 774,600 | |
Servicing Asset at Fair Value, Amount | 8,100 | 8,108 | |
Other, net | 3,504 | $ 1,220 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Unpaid principal balance of reverse mortgage loans in servicing portfolio | 784,600 | 774,600 | |
Servicing Asset at Fair Value, Amount | 8,100 | $ 8,108 | |
Other, net | 3,504 | $ 1,220 | |
Mortgage servicing rights | |||
Mortgage Servicing Rights [Abstract] | |||
Other, net | (8) | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other, net | $ (8) |
Investments in Unconsolidated_3
Investments in Unconsolidated Entities (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | ||
Schedule of Equity Method Investments [Line Items] | ||||
Investment in unconsolidated entities, at fair value | [1] | $ 118,747 | $ 127,046 | |
Earnings (losses) from investments in unconsolidated entities | 3,444 | $ (5,506) | ||
LendSure Mortgage Corp [Member] | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Earnings (losses) from investments in unconsolidated entities | (1,500) | $ (4,300) | ||
Investment in Loan Originator | LendSure Mortgage Corp [Member] | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Investment in unconsolidated entities, at fair value | 25,200 | 26,700 | ||
Variable Interest Entity, Not Primary Beneficiary | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Investment in unconsolidated entities, at fair value | $ 81,800 | $ 82,400 | ||
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 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) | Mar. 31, 2023 | Dec. 31, 2022 |
LendSure Mortgage Corp [Member] | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 49.90% | 49.90% |
LendSure Mortgage Corp [Member] | Nonvoting Common Stock [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 13.80% | |
LendSure Mortgage Corp [Member] | Nonvoting Common Stock [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 13.80% | |
Jepson Holdings Limited | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 1.80% | 1.90% |
Elizon DB 2015-1 LLC [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Effective Ownership Percentage | 56.70% | 62.40% |
Elizon DB 2015-1 LLC [Member] | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 17.10% | 14.60% |
Elizon NM CRE 2020-1 LLC | ||
Schedule of Equity Method Investments [Line Items] | ||
Effective Ownership Percentage | 63.10% | 54.20% |
Elizon NM CRE 2020-1 LLC | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 15.90% | 20.20% |
Elizon CH CRE 2020-1 LLC | ||
Schedule of Equity Method Investments [Line Items] | ||
Effective Ownership Percentage | 56% | 57.40% |
Elizon CH CRE 2020-1 LLC | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 30.30% | 34.20% |
Elizon NAT CRE 2020-1 LLC | ||
Schedule of Equity Method Investments [Line Items] | ||
Effective Ownership Percentage | 60.60% | 66.60% |
Elizon NAT CRE 2020-1 LLC | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 12.20% | 15.50% |
Minimum | Other Equity Method Investments [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 6.10% | 9.90% |
Minimum | Loan Originator - Other | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 24.70% | 24.70% |
Minimum | Equity investments in securitization-related risk retention vehicles | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 24.60% | 24.60% |
Maximum | Other Equity Method Investments [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 79% | 79% |
Maximum | Loan Originator - Other | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 50% | 80% |
Maximum | Equity investments in securitization-related risk retention vehicles | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 84.50% | 56.30% |
Investments in Unconsolidated_5
Investments in Unconsolidated Entities (Summarized Financial Information) (Details) - USD ($) | 3 Months Ended | ||||||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2023 | Dec. 31, 2022 | ||||
Schedule of Equity Method Investments [Line Items] | |||||||
Net income (loss) attributable to common stockholders | $ 38,916,000 | $ (9,902,000) | |||||
Other assets | 90,105,000 | [1] | $ 90,105,000 | $ 76,791,000 | [1] | ||
Liabilities | 12,736,762,000 | 12,736,762,000 | 12,865,000,000 | ||||
Stockholders' Equity Attributable to Parent | 1,349,832,000 | 1,195,967,000 | |||||
Total Liabilities and Equity | 14,111,525,000 | 14,085,886,000 | |||||
Equity Method Investment, Summarized Financial Information [Abstract] | |||||||
Total Assets | 14,111,525,000 | $ 14,111,525,000 | 14,085,886,000 | ||||
Interest income | 87,174,000 | 51,074,000 | |||||
Interest expense | (59,617,000) | (14,017,000) | |||||
Interest Income (Expense), Net | 27,557,000 | 37,057,000 | |||||
Noninterest Income | 51,675,000 | (25,442,000) | |||||
Operating Expenses | 37,902,000 | 19,567,000 | |||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 44,753,000 | (6,498,000) | |||||
Income Tax Expense (Benefit) | 21,000 | (6,960,000) | |||||
Other, net | 3,504,000 | 1,220,000 | |||||
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | 41,330,000 | (7,952,000) | |||||
Earnings (losses) from investments in unconsolidated entities | 3,444,000 | (5,506,000) | |||||
Investment in unconsolidated entities, at fair value | [1] | 118,747,000 | 127,046,000 | ||||
LendSure Mortgage Corp [Member] | |||||||
Equity Method Investment, Summarized Financial Information [Abstract] | |||||||
Earnings (losses) from investments in unconsolidated entities | (1,500,000) | (4,300,000) | |||||
LendSure Mortgage Corp [Member] | Investment in Loan Originator | |||||||
Equity Method Investment, Summarized Financial Information [Abstract] | |||||||
Investment in unconsolidated entities, at fair value | 25,200,000 | $ 26,700,000 | |||||
LendSure Mortgage Corp [Member] | Significant non-consolidated entity | |||||||
Schedule of Equity Method Investments [Line Items] | |||||||
Revenues | 6,561,000 | 15,562,000 | |||||
Net income (loss) attributable to common stockholders | $ (1,365,000) | $ 399,000 | |||||
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Real Estate Owned Schedule of R
Real Estate Owned Schedule of Real Estate Owned Activity (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 USD ($) property | Mar. 31, 2022 USD ($) property | |
Number of Properties | ||
Beginning Balance | property | 97 | 7 |
Transfers from mortgage loans | property | 12 | 2 |
Disposals | property | (11) | (1) |
Ending Balance | property | 98 | 8 |
Carrying Value | ||
Beginning Balance | $ 28,403 | $ 24,681 |
Transfers from mortgage loans | 3,140 | 948 |
Capital expenditures and other adjustments to cost | 180 | 0 |
Adjustments to record at the lower of cost or fair value | (69) | (570) |
Disposals | (4,937) | (526) |
Ending Balance | 26,717 | 24,533 |
Interest income | 87,174 | 51,074 |
Interest expense | (59,617) | (14,017) |
Interest Income (Expense), Net | 27,557 | 37,057 |
Other, net | 3,504 | 1,220 |
Noninterest Income | $ 51,675 | $ (25,442) |
Real Estate Owned (Details)
Real Estate Owned (Details) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2023 USD ($) property | Mar. 31, 2022 USD ($) property | Dec. 31, 2022 USD ($) | |
Real Estate Owned, Disclosure of Detailed Components [Abstract] | |||
Real Estate Acquired Through Foreclosure, Disposals, Number Of Properties | property | 11 | 1 | |
Realized Gain (Loss) on Sale of Properties | $ (100) | $ (27) | |
REO, fair value | 20,600 | $ 20,600 | |
Realized gains (losses) on real estate owned, net | $ (56) | $ (27) |
Financial Derivatives (Schedule
Financial Derivatives (Schedule of Financial Derivatives) (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 104,033 | $ 132,518 |
Financial derivatives–liabilities, at fair value- | (24,245) | (54,198) |
Total | 79,788 | 78,320 |
TBA Securities, Purchase Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 1,482 | 0 |
Financial derivatives–liabilities, at fair value- | (15) | (2,007) |
TBA Securities, Sale Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 42 | 7,985 |
Financial derivatives–liabilities, at fair value- | (5,608) | 0 |
Interest rate swaps | Short | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 80,708 | 116,768 |
Financial derivatives–liabilities, at fair value- | (2,360) | (1,408) |
Interest rate swaps | Long | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 15,691 | 254 |
Financial derivatives–liabilities, at fair value- | (10,851) | (48,882) |
Credit default swaps on asset-backed securities | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 76 | 76 |
Credit default swaps on asset-backed indices | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 4,846 | 3,366 |
Financial derivatives–liabilities, at fair value- | (33) | (33) |
Credit default swaps on corporate bonds | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–liabilities, at fair value- | (277) | (259) |
Credit default swaps on corporate bond indices | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 44 | 83 |
Financial derivatives–liabilities, at fair value- | (1,720) | (1,513) |
Futures | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 88 | 2,772 |
Financial derivatives–liabilities, at fair value- | (3,076) | (96) |
Futures | Short | ||
Derivatives, Fair Value [Line Items] | ||
Total | (2,988) | 2,676 |
Forwards | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 0 | 77 |
Financial derivatives–liabilities, at fair value- | (305) | 0 |
Warrants | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 1,056 | $ 1,137 |
Financial Derivatives (Interest
Financial Derivatives (Interest Rate Swaps) (Details) - Interest rate swaps - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Dec. 31, 2022 | |
Long | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,212,360 | $ 1,775,733 |
Fair Value | 4,840 | (48,628) |
Long | 2023 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 41,407 | |
Fair Value | (84) | |
Long | 2024 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 427,234 | 818,037 |
Fair Value | 1,102 | (25,569) |
Long | 2025 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 132,418 | 328,775 |
Fair Value | 1,779 | (5,468) |
Long | 2026 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 419,686 | 215,852 |
Fair Value | (4,343) | (11,312) |
Long | 2027 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 11,591 | 311,007 |
Fair Value | 124 | (1,067) |
Long | 2028 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 188,179 | |
Fair Value | 6,252 | |
Long | 2032 | ||
Derivative [Line Items] | ||
Notional Amount | 2,700 | 59,155 |
Fair Value | (133) | (4,596) |
Long | 2035 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | (135) | (145) |
Long | 2040 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | (165) | (175) |
Long | 2050 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | (202) | $ (212) |
Long | 2033 | ||
Derivative [Line Items] | ||
Notional Amount | 29,052 | |
Fair Value | $ 561 | |
Long | Weighted Average | ||
Derivative [Line Items] | ||
Pay Rate | 4.30% | 2.79% |
Receive Rate | 4.87% | 4.30% |
Remaining Years to Maturity | 2 years 8 months 4 days | 2 years 9 months 3 days |
Long | Weighted Average | 2023 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2% | |
Receive Rate | 4.74% | |
Remaining Years to Maturity | 2 months 19 days | |
Long | Weighted Average | 2024 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 5.17% | 2.39% |
Receive Rate | 4.87% | 4.27% |
Remaining Years to Maturity | 1 year | 1 year 4 months 24 days |
Long | Weighted Average | 2025 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 4.88% | 3.48% |
Receive Rate | 4.87% | 4.30% |
Remaining Years to Maturity | 1 year 11 months 8 days | 2 years 10 months 2 days |
Long | Weighted Average | 2026 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 3.41% | 2.26% |
Receive Rate | 4.87% | 4.32% |
Remaining Years to Maturity | 2 years 11 months 15 days | 3 years 3 months |
Long | Weighted Average | 2027 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 3.74% | 3.67% |
Receive Rate | 4.87% | 4.30% |
Remaining Years to Maturity | 4 years 7 months 17 days | 4 years 10 months 20 days |
Long | Weighted Average | 2028 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 4.14% | |
Receive Rate | 4.87% | |
Remaining Years to Maturity | 4 years 11 months 8 days | |
Long | Weighted Average | 2032 | ||
Derivative [Line Items] | ||
Pay Rate | 2.62% | 2.58% |
Receive Rate | 4.87% | 4.30% |
Remaining Years to Maturity | 9 years 1 month 2 days | 9 years 6 months 29 days |
Long | Weighted Average | 2035 | ||
Derivative [Line Items] | ||
Pay Rate | 0.74% | 0.74% |
Receive Rate | 4.87% | 4.30% |
Remaining Years to Maturity | 12 years 6 months 21 days | 12 years 9 months 21 days |
Long | Weighted Average | 2040 | ||
Derivative [Line Items] | ||
Pay Rate | 0.84% | 0.84% |
Receive Rate | 4.87% | 4.30% |
Remaining Years to Maturity | 17 years 6 months 25 days | 17 years 9 months 25 days |
Long | Weighted Average | 2050 | ||
Derivative [Line Items] | ||
Pay Rate | 0.90% | 0.90% |
Receive Rate | 4.87% | 4.30% |
Remaining Years to Maturity | 27 years 6 months 29 days | 27 years 9 months 25 days |
Long | Weighted Average | 2033 | ||
Derivative [Line Items] | ||
Pay Rate | 3.45% | |
Receive Rate | 4.87% | |
Remaining Years to Maturity | 9 years 10 months 20 days | |
Short | ||
Derivative [Line Items] | ||
Notional Amount | $ 2,386,333 | $ 2,822,170 |
Fair Value | 78,348 | 115,360 |
Short | 2023 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 334,060 | 664,398 |
Fair Value | 6,655 | 13,576 |
Short | 2024 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 627,333 | 817,850 |
Fair Value | 8,793 | 17,326 |
Short | 2025 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 216,224 | 382,793 |
Fair Value | 5,263 | 11,747 |
Short | 2026 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 59,600 | 100 |
Fair Value | 179 | 12 |
Short | 2027 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 209,841 | 264,500 |
Fair Value | 6,731 | 8,218 |
Short | 2028 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 160,255 | 114,119 |
Fair Value | 8,871 | 14,230 |
Short | 2029 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 54,428 | 54,428 |
Fair Value | 3,504 | 4,485 |
Short | 2030 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 68,300 | 68,300 |
Fair Value | 4,614 | 5,763 |
Short | 2031 | ||
Derivative [Line Items] | ||
Notional Amount | 161,009 | 161,009 |
Fair Value | 20,352 | 23,799 |
Short | 2032 | ||
Derivative [Line Items] | ||
Notional Amount | 183,517 | 236,277 |
Fair Value | 6,220 | 10,161 |
Short | 2035 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | 132 | 142 |
Short | 2036 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 1,100 | 1,100 |
Fair Value | 239 | 267 |
Short | 2037 | ||
Derivative [Line Items] | ||
Notional Amount | 45,000 | 45,000 |
Fair Value | 2,347 | 3,578 |
Short | 2040 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | 159 | 171 |
Short | 2049 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 5,796 | 5,796 |
Fair Value | 484 | 630 |
Short | 2050 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | 191 | 203 |
Short | 2052 | ||
Derivative [Line Items] | ||
Notional Amount | 5,000 | 5,000 |
Fair Value | 876 | $ 1,052 |
Short | 2033 | ||
Derivative [Line Items] | ||
Notional Amount | 253,370 | |
Fair Value | $ 2,738 | |
Short | Weighted Average | ||
Derivative [Line Items] | ||
Pay Rate | 2.52% | 2.27% |
Receive Rate | 4.89% | 4.39% |
Remaining Years to Maturity | 4 years 5 months 15 days | 3 years 5 months 19 days |
Short | Weighted Average | 2023 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 0.55% | 0.64% |
Receive Rate | 4.92% | 4.51% |
Remaining Years to Maturity | 3 months 29 days | 4 months 17 days |
Short | Weighted Average | 2024 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 3.17% | 3.03% |
Receive Rate | 4.89% | 4.35% |
Remaining Years to Maturity | 1 year 4 months 9 days | 1 year 6 months 18 days |
Short | Weighted Average | 2025 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.98% | 2.89% |
Receive Rate | 4.87% | 4.32% |
Remaining Years to Maturity | 2 years 1 month 13 days | 2 years 6 months 3 days |
Short | Weighted Average | 2026 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 3.67% | 0.79% |
Receive Rate | 4.87% | 4.41% |
Remaining Years to Maturity | 2 years 11 months 1 day | 3 years 6 months 29 days |
Short | Weighted Average | 2027 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.78% | 3.01% |
Receive Rate | 4.87% | 4.30% |
Remaining Years to Maturity | 4 years 2 months 12 days | 4 years 6 months 10 days |
Short | Weighted Average | 2028 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.39% | 1.44% |
Receive Rate | 4.87% | 4.37% |
Remaining Years to Maturity | 5 years 10 days | 5 years 5 months 26 days |
Short | Weighted Average | 2029 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.45% | 2.45% |
Receive Rate | 4.97% | 4.65% |
Remaining Years to Maturity | 6 years 25 days | 6 years 3 months 21 days |
Short | Weighted Average | 2030 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.30% | 2.30% |
Receive Rate | 4.88% | 4.36% |
Remaining Years to Maturity | 7 years 1 month 20 days | 7 years 4 months 20 days |
Short | Weighted Average | 2031 | ||
Derivative [Line Items] | ||
Pay Rate | 1.71% | 1.71% |
Receive Rate | 4.92% | 4.48% |
Remaining Years to Maturity | 8 years 2 months 15 days | 8 years 5 months 15 days |
Short | Weighted Average | 2032 | ||
Derivative [Line Items] | ||
Pay Rate | 2.81% | 2.98% |
Receive Rate | 4.87% | 4.30% |
Remaining Years to Maturity | 9 years 3 months 25 days | 9 years 7 months 17 days |
Short | Weighted Average | 2035 | ||
Derivative [Line Items] | ||
Pay Rate | 0.78% | 0.78% |
Receive Rate | 4.83% | 4.33% |
Remaining Years to Maturity | 12 years 6 months 21 days | 12 years 9 months 21 days |
Short | Weighted Average | 2036 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 1.45% | 1.45% |
Receive Rate | 4.92% | 4.67% |
Remaining Years to Maturity | 12 years 10 months 20 days | 13 years 1 month 17 days |
Short | Weighted Average | 2037 | ||
Derivative [Line Items] | ||
Pay Rate | 2.81% | 2.81% |
Receive Rate | 4.87% | 4.30% |
Remaining Years to Maturity | 14 years 4 months 28 days | 14 years 7 months 28 days |
Short | Weighted Average | 2040 | ||
Derivative [Line Items] | ||
Pay Rate | 0.90% | 0.90% |
Receive Rate | 4.83% | 4.33% |
Remaining Years to Maturity | 17 years 6 months 25 days | 17 years 9 months 25 days |
Short | Weighted Average | 2049 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.89% | 2.89% |
Receive Rate | 4.77% | 3.74% |
Remaining Years to Maturity | 25 years 9 months 10 days | 26 years 7 days |
Short | Weighted Average | 2050 | ||
Derivative [Line Items] | ||
Pay Rate | 0.98% | 0.98% |
Receive Rate | 4.83% | 4.33% |
Remaining Years to Maturity | 27 years 6 months 29 days | 27 years 9 months 25 days |
Short | Weighted Average | 2052 | ||
Derivative [Line Items] | ||
Pay Rate | 2.07% | 2.07% |
Receive Rate | 4.87% | 4.30% |
Remaining Years to Maturity | 29 years 7 days | 29 years 3 months 7 days |
Short | Weighted Average | 2033 | ||
Derivative [Line Items] | ||
Pay Rate | 3.09% | |
Receive Rate | 4.87% | |
Remaining Years to Maturity | 9 years 11 months 1 day |
Financial Derivatives (Credit D
Financial Derivatives (Credit Default Swaps) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Dec. 31, 2022 | |
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 104,033 | $ 132,518 |
Financial derivatives–liabilities, at fair value- | (24,245) | (54,198) |
Fair Value | (79,788) | (78,320) |
Credit default swaps on asset-backed indices | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | 4,846 | 3,366 |
Financial derivatives–liabilities, at fair value- | (33) | (33) |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Short | ||
Derivative [Line Items] | ||
Notional Amount | (51,995) | (58,004) |
Financial derivatives–assets, at fair value- | 4,843 | 3,362 |
Credit default swaps on asset-backed securities | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | 76 | 76 |
Credit default swaps on asset-backed securities | Financial Derivatives - Assets | Short | ||
Derivative [Line Items] | ||
Notional Amount | (220) | (220) |
Financial derivatives–assets, at fair value- | 76 | 76 |
Credit default swaps | ||
Derivative [Line Items] | ||
Notional Amount | (202,633) | (238,773) |
Fair Value | (2,936) | (1,720) |
Credit default swaps on corporate bond indices | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | 44 | 83 |
Financial derivatives–liabilities, at fair value- | (1,720) | (1,513) |
Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Short | ||
Derivative [Line Items] | ||
Notional Amount | 0 | (1,498) |
Financial derivatives–assets, at fair value- | $ 0 | $ 43 |
Remaining Years to Maturity | 0 days | 11 months 19 days |
Financial Derivatives (Futures)
Financial Derivatives (Futures) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Dec. 31, 2022 | |
Derivative [Line Items] | ||
Fair Value | $ 79,788 | $ 78,320 |
Financial derivatives–assets, at fair value- | 104,033 | 132,518 |
Derivative Liability | $ 24,245 | 54,198 |
Futures | ||
Derivative [Line Items] | ||
Remaining Years to Maturity | 2 months 23 days | |
Financial derivatives–assets, at fair value- | $ 88 | 2,772 |
Derivative Liability | 3,076 | 96 |
Short | Futures | ||
Derivative [Line Items] | ||
Notional Amount | 189,400 | 315,200 |
Fair Value | (2,988) | $ 2,676 |
Remaining Years to Maturity | 2 months 23 days | |
Financial Derivatives - Liabilities | Short | U.S. Treasury futures | ||
Derivative [Line Items] | ||
Notional Amount | $ 191,300 | $ 49,800 |
Remaining Years to Maturity | 2 months 23 days | 3 months |
Derivative Liability | $ (3,076) | $ (31) |
Financial Derivatives - Liabilities | Long | U.S. Treasury futures | ||
Derivative [Line Items] | ||
Notional Amount | 0 | $ 1,900 |
Remaining Years to Maturity | 2 months 19 days | |
Derivative Liability | 0 | $ (65) |
Financial Derivatives - Assets | Short | U.S. Treasury futures | ||
Derivative [Line Items] | ||
Notional Amount | 0 | $ 267,300 |
Remaining Years to Maturity | 2 months 19 days | |
Financial derivatives–assets, at fair value- | 0 | $ 2,772 |
Financial Derivatives - Assets | Long | U.S. Treasury futures | ||
Derivative [Line Items] | ||
Notional Amount | $ (1,900) | 0 |
Remaining Years to Maturity | 2 months 23 days | |
Financial derivatives–assets, at fair value- | $ 88 | $ 0 |
Financial Derivatives (TBAs) (D
Financial Derivatives (TBAs) (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 104,033 | $ 132,518 |
Derivative Liability | 24,245 | 54,198 |
Derivative Assets (Liabilities), at Fair Value, Net | 79,788 | 78,320 |
TBA securities | ||
Derivative [Line Items] | ||
Notional Amount | 314,466 | 528,441 |
Derivative, Cost Basis | (288,116) | (494,953) |
Market Value Underlying | (292,215) | (488,975) |
Derivative Assets (Liabilities), at Fair Value, Net | (4,099) | 5,978 |
TBA securities | Long | ||
Derivative [Line Items] | ||
Notional Amount | 110,335 | 163,127 |
Derivative, Cost Basis | 104,597 | 157,096 |
Market Value Underlying | 106,064 | 155,089 |
Derivative Assets (Liabilities), at Fair Value, Net | 1,467 | (2,007) |
TBA securities | Short | ||
Derivative [Line Items] | ||
Notional Amount | 424,801 | 691,568 |
Derivative, Cost Basis | (392,713) | (652,049) |
Market Value Underlying | (398,279) | (644,064) |
Derivative Assets (Liabilities), at Fair Value, Net | (5,566) | 7,985 |
Financial Derivatives - Assets | TBA securities | Long | ||
Derivative [Line Items] | ||
Notional Amount | 86,380 | 0 |
Derivative, Cost Basis | 80,854 | 0 |
Market Value Underlying | 82,336 | 0 |
Financial derivatives–assets, at fair value- | 1,482 | 0 |
Financial Derivatives - Assets | TBA securities | Short | ||
Derivative [Line Items] | ||
Notional Amount | 77,947 | 691,568 |
Derivative, Cost Basis | (72,266) | (652,049) |
Market Value Underlying | (72,224) | (644,064) |
Financial derivatives–assets, at fair value- | 42 | 7,985 |
Financial Derivatives - Liabilities | TBA securities | Long | ||
Derivative [Line Items] | ||
Notional Amount | 23,955 | 163,127 |
Derivative, Cost Basis | 23,743 | 157,096 |
Market Value Underlying | 23,728 | 155,089 |
Derivative Liability | (15) | (2,007) |
Financial Derivatives - Liabilities | TBA securities | Short | ||
Derivative [Line Items] | ||
Notional Amount | 346,854 | 0 |
Derivative, Cost Basis | (320,447) | 0 |
Market Value Underlying | (326,055) | 0 |
Derivative Liability | $ (5,608) | $ 0 |
Financial Derivatives (Schedu_2
Financial Derivatives (Schedule of Gains and Losses on Derivative Contracts) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Derivative [Line Items] | ||
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | $ 5,791 | $ (1,702) |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (31,238) | 25,037 |
Realized gains (losses) on financial derivatives, net | (25,447) | 23,335 |
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | 3,452 | 561 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (684) | 44,738 |
Unrealized gains (losses) on financial derivatives, net | 2,768 | 45,299 |
Derivative [Member] | ||
Derivative [Line Items] | ||
Foreign currency translation | 5 | (8) |
Interest rate swaps | Interest Rate Risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | 5,791 | (1,702) |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (31,075) | (2,149) |
Realized gains (losses) on financial derivatives, net | (25,284) | (3,851) |
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | 3,452 | 561 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 13,173 | 34,051 |
Unrealized gains (losses) on financial derivatives, net | 16,625 | 34,612 |
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 | (4) |
Realized gains (losses) on financial derivatives, net | 1 | (4) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 0 | 1 |
Unrealized gains (losses) on financial derivatives, net | 0 | 1 |
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 | (275) | 15 |
Realized gains (losses) on financial derivatives, net | (275) | 15 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 2,158 | 407 |
Unrealized gains (losses) on financial derivatives, net | 2,158 | 407 |
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 | (1,348) | (177) |
Realized gains (losses) on financial derivatives, net | (1,348) | (177) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 207 | 306 |
Unrealized gains (losses) on financial derivatives, net | 207 | 306 |
Credit default swaps on corporate bonds | Credit Risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (41) | (8) |
Realized gains (losses) on financial derivatives, net | (41) | (8) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (19) | 16 |
Unrealized gains (losses) on financial derivatives, net | (19) | 16 |
TBA securities | Interest Rate Risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 4,292 | 0 |
Realized gains (losses) on financial derivatives, net | 4,292 | 0 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (10,077) | (30) |
Unrealized gains (losses) on financial derivatives, net | (10,077) | (30) |
Futures | Interest Rate Risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (2,933) | 6,659 |
Realized gains (losses) on financial derivatives, net | (2,933) | 6,659 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (5,664) | 5,260 |
Unrealized gains (losses) on financial derivatives, net | (5,664) | 5,260 |
Forwards | Currency risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 141 | 326 |
Realized gains (losses) on financial derivatives, net | 141 | 326 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (382) | 136 |
Unrealized gains (losses) on financial derivatives, net | (382) | 136 |
Warrants | Equity Market/Credit Risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 0 | (413) |
Realized gains (losses) on financial derivatives, net | 0 | (413) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (80) | 766 |
Unrealized gains (losses) on financial derivatives, net | (80) | 766 |
Options | Credit Risk [Member] | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 0 | 20,788 |
Realized gains (losses) on financial derivatives, net | 0 | 20,788 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 0 | 3,825 |
Unrealized gains (losses) on financial derivatives, net | $ 0 | $ 3,825 |
Financial Derivatives (Schedu_3
Financial Derivatives (Schedule of Derivative Activity) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended |
Mar. 31, 2023 | Jun. 30, 2022 | |
Interest rate swaps | ||
Derivative [Line Items] | ||
Average Monthly Notional | $ 4,283,193 | $ 3,292,243 |
TBA securities | ||
Derivative [Line Items] | ||
Average Monthly Notional | 721,556 | 796,003 |
Credit default swaps | ||
Derivative [Line Items] | ||
Average Monthly Notional | 254,288 | 130,819 |
Total return swaps | ||
Derivative [Line Items] | ||
Average Monthly Notional | 0 | 688 |
Futures | ||
Derivative [Line Items] | ||
Average Monthly Notional | 300,675 | 186,446 |
Options | ||
Derivative [Line Items] | ||
Average Monthly Notional | 0 | 13,846 |
Forwards | ||
Derivative [Line Items] | ||
Average Monthly Notional | 12,253 | 13,676 |
Warrants | ||
Derivative [Line Items] | ||
Average Monthly Notional | $ 3,110 | $ 3,378 |
Financial Derivatives (Schedu_4
Financial Derivatives (Schedule of Credit Derivatives) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Dec. 31, 2022 | |
Credit Derivatives [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 104,033 | $ 132,518 |
Derivative Liability | (24,245) | (54,198) |
Derivative Assets (Liabilities), at Fair Value, Net | 79,788 | 78,320 |
Credit default swaps on asset-backed indices | ||
Credit Derivatives [Line Items] | ||
Financial derivatives–assets, at fair value- | 4,846 | 3,366 |
Derivative Liability | (33) | (33) |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Long | ||
Credit Derivatives [Line Items] | ||
Notional value | 248 | 253 |
Financial derivatives–assets, at fair value- | $ 3 | $ 4 |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Long | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 14 years 9 months | 14 years 11 months 26 days |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Short | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 51,995 | $ 58,004 |
Financial derivatives–assets, at fair value- | $ 4,843 | $ 3,362 |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Short | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 34 years 6 months 21 days | 35 years 8 months 12 days |
Credit default swaps on asset-backed indices | Financial Derivatives - Liabilities | Long | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 65 | $ 65 |
Derivative Liability | $ (33) | $ (33) |
Credit default swaps on asset-backed indices | Financial Derivatives - Liabilities | Long | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 26 years 2 months 23 days | 26 years 5 months 23 days |
Credit default swaps on corporate bond indices | ||
Credit Derivatives [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 44 | $ 83 |
Derivative Liability | (1,720) | (1,513) |
Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Long | ||
Credit Derivatives [Line Items] | ||
Notional value | 2,067 | 2,037 |
Financial derivatives–assets, at fair value- | $ 44 | $ 40 |
Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Long | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 8 months 19 days | 11 months 19 days |
Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Short | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 0 | $ 1,498 |
Financial derivatives–assets, at fair value- | $ 0 | $ 43 |
Remaining Years to Maturity | 0 days | 11 months 19 days |
Credit default swaps on corporate bond indices | Financial Derivatives - Liabilities | Short | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 136,398 | $ 165,006 |
Remaining Years to Maturity | 5 years 2 months 4 days | 4 years 11 months 8 days |
Derivative Liability | $ (1,720) | $ (1,513) |
Credit default swaps on asset-backed securities | ||
Credit Derivatives [Line Items] | ||
Financial derivatives–assets, at fair value- | 76 | 76 |
Credit default swaps on asset-backed securities | Financial Derivatives - Assets | Short | ||
Credit Derivatives [Line Items] | ||
Notional value | 220 | 220 |
Financial derivatives–assets, at fair value- | $ 76 | $ 76 |
Credit default swaps on asset-backed securities | Financial Derivatives - Assets | Short | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 12 years 4 months 9 days | 12 years 7 months 9 days |
Credit default swaps on corporate bonds | ||
Credit Derivatives [Line Items] | ||
Derivative Liability | $ (277) | $ (259) |
Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | ||
Credit Derivatives [Line Items] | ||
Notional value | 16,400 | 16,400 |
Derivative Liability | $ (277) | $ (259) |
Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 3 years 9 months 21 days | 4 years 21 days |
Credit default swaps | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 202,633 | $ 238,773 |
Derivative Assets (Liabilities), at Fair Value, Net | $ 2,936 | $ 1,720 |
Credit default swaps | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 12 years 7 months 20 days | 12 years 4 months 6 days |
Credit Default Swap, Selling Protection [Member] | ||
Credit Derivatives [Line Items] | ||
Fair Value | $ 14 | $ 11 |
Notional value | $ 2,380 | $ 2,355 |
Financial Derivatives (Narrativ
Financial Derivatives (Narrative) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Dec. 31, 2022 | |
Derivative [Line Items] | ||
Spread on written credit derivatives | 2.27% | |
Written credit derivative spread threshold | 20% | 20% |
Credit Default Swap, Selling Protection [Member] | ||
Derivative [Line Items] | ||
Credit risk derivative in excess of threshold, at fair value, net | $ (33) | $ (33) |
Total net up-front payments received | $ 800 | $ 800 |
Minimum | ||
Derivative [Line Items] | ||
Upfront points on written credit derivative in excess of threshold | 46.3 | 46.3 |
Maximum | ||
Derivative [Line Items] | ||
Spread on written credit derivatives | 3.10% | |
Upfront points on written credit derivative in excess of threshold | 88.8 | 88.8 |
Financial Derivatives Schedule
Financial Derivatives Schedule of Warrant Contracts (Details) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Dec. 31, 2022 | |
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 104,033 | $ 132,518 |
Warrants | ||
Derivative [Line Items] | ||
Number of Shares Underlying Warrant Contracts | 3,115 | 3,105 |
Financial derivatives–assets, at fair value- | $ 1,056 | $ 1,137 |
Remaining Years to Maturity | 6 months 10 days | 9 months 7 days |
Financial Derivatives (Options)
Financial Derivatives (Options) (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Financial derivatives–assets, at fair value- | $ 104,033 | $ 132,518 |
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 104,033 | $ 132,518 |
Other Assets - Schedule of Othe
Other Assets - Schedule of Other Assets (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2023 | |||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||||
Receivables and claims related to reverse mortgage loans repurchased from HMBS | $ 54,357 | $ 65,784 | |||
Prepaid expenses and deferred offering costs | 7,541 | 7,271 | |||
Operating Lease, Right-of-Use Asset | $ 3,682 | 3,838 | 3,682 | ||
Intangible Assets, Net (Excluding Goodwill) | 3,049 | 3,275 | 3,049 | ||
Accrued Fees and Other Revenue Receivable | 2,418 | 2,286 | |||
Prepaid scheduled draws on reverse mortgage loans | 2,105 | 5,085 | |||
Property, Plant and Equipment, Net | 1,406 | 1,372 | |||
Servicing Agreement Asset | 300 | 999 | 299 | ||
Certificates of deposit, security deposits, and escrow cash | 460 | 780 | |||
Other Assets, Miscellaneous | 392 | 497 | |||
Other assets | 90,105 | [1] | 76,791 | [1] | $ 90,105 |
Intangible Assets, Gross (Excluding Goodwill) | 3,500 | 3,500 | |||
Acquired Finite-Lived Intangible Assets [Line Items] | |||||
Intangible Assets, Gross (Excluding Goodwill) | 3,500 | 3,500 | |||
Finite-Lived Intangible Assets, Accumulated Amortization | (451) | (225) | |||
Software and Software Development Costs | |||||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||||
Intangible Assets, Net (Excluding Goodwill) | 1,167 | 1,284 | |||
Intangible Assets, Gross (Excluding Goodwill) | 1,400 | 1,400 | |||
Acquired Finite-Lived Intangible Assets [Line Items] | |||||
Intangible Assets, Gross (Excluding Goodwill) | 1,400 | 1,400 | |||
Finite-Lived Intangible Assets, Accumulated Amortization | $ (233) | $ (116) | |||
Finite-Lived Intangible Asset, Useful Life | 36 months | 36 months | |||
Trademarks and Trade Names | |||||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||||
Intangible Assets, Net (Excluding Goodwill) | $ 1,200 | $ 1,200 | |||
Intangible Assets, Gross (Excluding Goodwill) | 1,200 | 1,200 | |||
Acquired Finite-Lived Intangible Assets [Line Items] | |||||
Intangible Assets, Gross (Excluding Goodwill) | 1,200 | 1,200 | |||
Finite-Lived Intangible Assets, Accumulated Amortization | 0 | 0 | |||
Customer Relationships | |||||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||||
Intangible Assets, Net (Excluding Goodwill) | 682 | 691 | |||
Intangible Assets, Gross (Excluding Goodwill) | 700 | 700 | |||
Acquired Finite-Lived Intangible Assets [Line Items] | |||||
Intangible Assets, Gross (Excluding Goodwill) | 700 | 700 | |||
Finite-Lived Intangible Assets, Accumulated Amortization | $ (18) | $ (9) | |||
Finite-Lived Intangible Asset, Useful Life | 240 months | 240 months | |||
Noncompete Agreements | |||||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||||
Intangible Assets, Net (Excluding Goodwill) | $ 0 | $ 100 | |||
Intangible Assets, Gross (Excluding Goodwill) | 200 | 200 | |||
Acquired Finite-Lived Intangible Assets [Line Items] | |||||
Intangible Assets, Gross (Excluding Goodwill) | 200 | 200 | |||
Finite-Lived Intangible Assets, Accumulated Amortization | $ (200) | $ (100) | |||
Finite-Lived Intangible Asset, Useful Life | 6 months | 6 months | |||
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Other Assets Schedule of Change
Other Assets Schedule of Change in Intangible Assets (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2023 | Dec. 31, 2023 | Dec. 31, 2022 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
Intangible Assets, Net (Excluding Goodwill) | $ 3,049 | $ 3,049 | $ 3,275 |
Amortization of Intangible Assets | 226 | ||
Acquired Finite-Lived Intangible Assets [Line Items] | |||
Intangible Assets, Net (Excluding Goodwill) | 3,049 | 3,049 | 3,275 |
Amortization of Intangible Assets | 226 | ||
Noncompete Agreements | |||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
Intangible Assets, Net (Excluding Goodwill) | 0 | 100 | |
Amortization of Intangible Assets | 100 | ||
Acquired Finite-Lived Intangible Assets [Line Items] | |||
Intangible Assets, Net (Excluding Goodwill) | 0 | 100 | |
Amortization of Intangible Assets | 100 | ||
Customer Relationships | |||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
Intangible Assets, Net (Excluding Goodwill) | 682 | 691 | |
Amortization of Intangible Assets | 9 | ||
Acquired Finite-Lived Intangible Assets [Line Items] | |||
Intangible Assets, Net (Excluding Goodwill) | 682 | 691 | |
Amortization of Intangible Assets | 9 | ||
Trademarks and Trade Names | |||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
Intangible Assets, Net (Excluding Goodwill) | 1,200 | 1,200 | |
Amortization of Intangible Assets | 0 | ||
Acquired Finite-Lived Intangible Assets [Line Items] | |||
Intangible Assets, Net (Excluding Goodwill) | 1,200 | 1,200 | |
Amortization of Intangible Assets | 0 | ||
Software and Software Development Costs | |||
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||
Intangible Assets, Net (Excluding Goodwill) | 1,167 | 1,284 | |
Amortization of Intangible Assets | 117 | ||
Acquired Finite-Lived Intangible Assets [Line Items] | |||
Intangible Assets, Net (Excluding Goodwill) | $ 1,167 | $ 1,284 | |
Amortization of Intangible Assets | $ 117 |
Other Assets - Schedule Amortiz
Other Assets - Schedule Amortization, Intangible Assets (Details) $ in Thousands | Dec. 31, 2023 USD ($) |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Finite-Lived Intangible Asset, Expected Amortization, Year One | $ 376 |
Finite-Lived Intangible Asset, Expected Amortization, Year Two | 502 |
Finite-Lived Intangible Asset, Expected Amortization, Year Three | 385 |
Finite-Lived Intangible Asset, Expected Amortization, Year Four | 35 |
Finite-Lived Intangible Asset, Expected Amortization, Year Five | 35 |
Finite-Lived Intangible Asset, Expected Amortization, after Year Five | 516 |
Finite-Lived Intangible Assets, Net | $ 1,849 |
Other Assets - Schedule of Inta
Other Assets - Schedule of Intangible Assets (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2023 | |
Acquired Finite-Lived Intangible Assets [Line Items] | |||
Intangible Assets, Gross (Excluding Goodwill) | $ 3,500 | $ 3,500 | |
Finite-Lived Intangible Assets, Accumulated Amortization | (451) | (225) | |
Intangible Assets, Net (Excluding Goodwill) | 3,049 | 3,275 | $ 3,049 |
Software and Software Development Costs | |||
Acquired Finite-Lived Intangible Assets [Line Items] | |||
Intangible Assets, Gross (Excluding Goodwill) | 1,400 | 1,400 | |
Finite-Lived Intangible Assets, Accumulated Amortization | (233) | (116) | |
Intangible Assets, Net (Excluding Goodwill) | $ 1,167 | $ 1,284 | |
Finite-Lived Intangible Asset, Useful Life | 36 months | 36 months | |
Trademarks and Trade Names | |||
Acquired Finite-Lived Intangible Assets [Line Items] | |||
Intangible Assets, Gross (Excluding Goodwill) | $ 1,200 | $ 1,200 | |
Finite-Lived Intangible Assets, Accumulated Amortization | 0 | 0 | |
Intangible Assets, Net (Excluding Goodwill) | 1,200 | 1,200 | |
Customer Relationships | |||
Acquired Finite-Lived Intangible Assets [Line Items] | |||
Intangible Assets, Gross (Excluding Goodwill) | 700 | 700 | |
Finite-Lived Intangible Assets, Accumulated Amortization | (18) | (9) | |
Intangible Assets, Net (Excluding Goodwill) | $ 682 | $ 691 | |
Finite-Lived Intangible Asset, Useful Life | 240 months | 240 months | |
Noncompete Agreements | |||
Acquired Finite-Lived Intangible Assets [Line Items] | |||
Intangible Assets, Gross (Excluding Goodwill) | $ 200 | $ 200 | |
Finite-Lived Intangible Assets, Accumulated Amortization | (200) | (100) | |
Intangible Assets, Net (Excluding Goodwill) | $ 0 | $ 100 | |
Finite-Lived Intangible Asset, Useful Life | 6 months | 6 months |
Consolidated VIEs (Details)
Consolidated VIEs (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 | Mar. 31, 2022 | Dec. 31, 2021 | |||
Assets | ||||||||
Cash and cash equivalents | $ 188,555 | $ 217,053 | [1] | $ 363,529 | $ 92,661 | |||
Restricted cash | 1,601 | 4,816 | [1] | 175 | 175 | |||
Securities, at fair value(1)(2) | [1],[2] | 1,389,547 | 1,459,465 | |||||
Loans, at fair value | [1],[2] | 11,812,567 | 11,626,008 | |||||
Investment in unconsolidated entities, at fair value | [1] | 118,747 | 127,046 | |||||
Real estate owned | [1],[2] | 26,717 | 28,403 | |||||
Investment related receivables | [1] | 163,029 | 139,413 | |||||
Other assets | $ 90,105 | 90,105 | [1] | 76,791 | [1] | |||
Total Assets | 14,111,525 | 14,111,525 | 14,085,886 | |||||
Liabilities | ||||||||
Repurchase agreements | [1] | 2,285,898 | 2,609,685 | |||||
Investment related payables | 48,373 | 49,323 | ||||||
Other secured borrowings | [1] | 363,640 | 276,058 | |||||
Other secured borrowings, at fair value | [1] | 1,534,592 | 1,539,881 | |||||
Interest payable | [1] | 14,926 | 22,452 | |||||
Accrued expenses and other liabilities | [1] | 91,115 | 73,819 | |||||
Total Liabilities | 12,736,762 | 12,736,762 | 12,865,000 | |||||
Total Stockholders' Equity | 1,349,832 | 1,195,967 | ||||||
Non-controlling interests | [1] | 24,931 | 24,919 | |||||
Total Equity | $ 1,374,763 | 1,374,763 | 1,220,886 | $ 1,322,938 | $ 1,323,556 | |||
Total Liabilities and Equity | 14,111,525 | 14,085,886 | ||||||
Due from brokers | 24,291 | 36,761 | ||||||
Primary Beneficiary | ||||||||
Assets | ||||||||
Cash and cash equivalents | 11,623 | 2,444 | ||||||
Securities, at fair value(1)(2) | 72,200 | 73,644 | ||||||
Loans, at fair value | 3,402,949 | 3,524,685 | ||||||
Investment in unconsolidated entities, at fair value | 61,131 | 68,574 | ||||||
Real estate owned | 21,400 | 21,121 | ||||||
Investment related receivables | 27,684 | 21,893 | ||||||
Other assets | 1,321 | 1,577 | ||||||
Total Assets | 3,598,308 | 3,713,938 | ||||||
Liabilities | ||||||||
Repurchase agreements | 1,227,769 | 1,333,098 | ||||||
Other secured borrowings | 34,281 | 37,812 | ||||||
Other secured borrowings, at fair value | 1,534,592 | 1,539,881 | ||||||
Interest payable | 2,566 | 2,012 | ||||||
Accrued expenses and other liabilities | 1,321 | 1,460 | ||||||
Total Liabilities | 2,800,529 | 2,914,263 | ||||||
Total Stockholders' Equity | 787,846 | 789,625 | ||||||
Non-controlling interests | 9,933 | 10,050 | ||||||
Total Equity | 797,779 | 799,675 | ||||||
Total Liabilities and Equity | $ 3,598,308 | $ 3,713,938 | ||||||
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Securitization Transactions Nar
Securitization Transactions Narrative (Details) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2023 USD ($) | Dec. 31, 2023 USD ($) | Dec. 31, 2022 USD ($) | ||
Securitization Transactions [Line Items] | ||||
Securities, at fair value(1)(2) | [1],[2] | $ 1,389,547 | $ 1,459,465 | |
Investment in unconsolidated entities, at fair value | [1] | $ 118,747 | $ 127,046 | |
Number of HMBS pools being serviced | 865 | 832 | ||
Unpaid principal balance of HECM loans pooled into HMBS | $ 313,400 | |||
Unpaid principal balance of loans in HMBS - Servicing | 7,700,000 | $ 7,600,000 | ||
Servicing Agreement Asset | 300 | $ 299 | 999 | |
HMBS buyouts | 159,300 | |||
HMBS buyouts transferred to third party | 157,500 | |||
Participation in Multi-Seller Consumer Loan Securitization [Member] | ||||
Securitization Transactions [Line Items] | ||||
Investment in unconsolidated entities, at fair value | $ 5,600 | 9,700 | ||
Non-QM loan securitization | ||||
Securitization Transactions [Line Items] | ||||
Threshold for exercising Optional Redemption | 30% | |||
Percentage used to calculate servicing administrator fee | 0.03% | |||
Non-QM loan securitization | November 2019 [Member] | ||||
Securitization Transactions [Line Items] | ||||
Total Face Amount of Certificates Issued | $ 267,255 | |||
Non-QM loan securitization | The Company [Member] | November 2019 [Member] | ||||
Securitization Transactions [Line Items] | ||||
Principal Balance of Loans Transferred to the Depositor | 267,255 | |||
Non-QM loan securitization, not consolidated | ||||
Securitization Transactions [Line Items] | ||||
Securities, at fair value(1)(2) | 39,000 | 37,600 | ||
Non-QM loan securitization, not consolidated | December 2022 | ||||
Securitization Transactions [Line Items] | ||||
Total Face Amount of Certificates Issued | 365,262 | |||
Non-QM loan securitization, not consolidated | December 2022 | Participated Risk Retention Vehicle | ||||
Securitization Transactions [Line Items] | ||||
Investment in unconsolidated entities, at fair value | 8,900 | $ 2,600 | ||
Non-QM loan securitization, not consolidated | The Company [Member] | December 2022 | ||||
Securitization Transactions [Line Items] | ||||
Principal Balance of Loans Transferred to the Depositor | 309,998 | |||
Non-QM loan securitization, not consolidated | non-QM co-participant | December 2022 | ||||
Securitization Transactions [Line Items] | ||||
Principal Balance of Loans Transferred to the Depositor | $ 55,264 | |||
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Securitization Transactions (Sc
Securitization Transactions (Schedule of CLO Securitization Transactions) (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 | |
Securitization Transactions [Line Items] | |||
Securities, at fair value(1)(2) | [1],[2] | $ 1,389,547 | $ 1,459,465 |
CLOs | Related Party CLO securitization [Member] | |||
Securitization Transactions [Line Items] | |||
Securities, at fair value(1)(2) | $ 10,000 | $ 11,300 | |
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Securitization Transactions (_2
Securitization Transactions (Schedule of Residential Loan Securitizations) (Details) - Non-QM loan securitization $ in Thousands | 3 Months Ended |
Mar. 31, 2023 USD ($) | |
February 2021 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | $ 251,771 |
November 2019 [Member] | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 267,255 |
June 2020 [Member] | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 259,273 |
November 2020 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 219,732 |
June 2021 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 331,777 |
October 2021 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 257,645 |
February 2022 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 417,188 |
April 2022 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 425,651 |
July 2022 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 345,652 |
The Company [Member] | February 2021 | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 251,771 |
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 |
The Company [Member] | November 2020 | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 219,732 |
The Company [Member] | June 2021 | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 331,777 |
The Company [Member] | October 2021 | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 257,645 |
The Company [Member] | February 2022 | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 417,188 |
The Company [Member] | April 2022 | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 425,651 |
The Company [Member] | July 2022 | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | $ 345,652 |
Securitization Transactions (_3
Securitization Transactions (Schedule of Assets and Liabilities Attributable to Consolidated VIEs) (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 | |
Variable Interest Entity [Line Items] | |||
Other secured borrowings, at fair value | [1] | $ 1,534,592 | $ 1,539,881 |
Loans, at fair value | [1],[2] | 11,812,567 | 11,626,008 |
Real estate owned | [1],[2] | 26,717 | 28,403 |
Investment related receivables | [1] | 163,029 | 139,413 |
Residential mortgage loans | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | 3,024,744 | 3,115,518 | |
Consolidated Entities [Member] | Non-QM loan securitization | |||
Variable Interest Entity [Line Items] | |||
Other secured borrowings, at fair value | 1,534,592 | 1,539,881 | |
Investment related receivables | 9,103 | 4,464 | |
Consolidated Entities [Member] | Residential mortgage loans | Securitized loans [Member] | Non-QM loan securitization | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value | $ 1,662,848 | $ 1,665,070 | |
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Securitization Transactions - P
Securitization Transactions - Participation in Consumer Loan Securitization (Details) - Participation in Multi-Seller Consumer Loan Securitization [Member] $ in Thousands | 3 Months Ended |
Mar. 31, 2023 USD ($) | |
Consumer Loan Securitization - November 2020 | |
Securitization Transactions [Line Items] | |
Aggregate unpaid principal balance of loans sold | $ 205,088 |
Company's share of loans sold | 56.30% |
Principal amount of notes issued | $ 193,650 |
Company's current percentage ownership of jointly owned entity | 56.30% |
Consumer Loan Securitization - March 2022 | |
Securitization Transactions [Line Items] | |
Aggregate unpaid principal balance of loans sold | $ 193,450 |
Company's share of loans sold | 24.70% |
Principal amount of notes issued | $ 400,000 |
Company's current percentage ownership of jointly owned entity | 24.60% |
Consumer Loan Securitization - March 2022 | Transferred by third party | |
Securitization Transactions [Line Items] | |
Aggregate unpaid principal balance of loans sold | $ 227,600 |
Securitization Transactions (_4
Securitization Transactions (Schedule of Non-Consolidated Non-QM Securitizations (Details) - Non-QM loan securitization, not consolidated $ in Thousands | 3 Months Ended |
Mar. 31, 2023 USD ($) | |
December 2022 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | $ 365,262 |
December 2022 | The Company [Member] | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 309,998 |
December 2022 | non-QM co-participant | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 55,264 |
February 2023 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 330,367 |
February 2023 | The Company [Member] | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 176,218 |
February 2023 | non-QM co-participant | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | $ 154,149 |
(Schedule of Reverse Repurchase
(Schedule of Reverse Repurchase Agreements by Maturity) (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2023 USD ($) counterparty | Dec. 31, 2022 USD ($) counterparty | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | [1] | $ 2,285,898 | $ 2,609,685 |
Number of Counterparties with Outstanding Reverse Repurchase Agreements | counterparty | 27 | 26 | |
Total secured borrowings | $ 12,200,000 | $ 12,200,000 | |
Agency RMBS | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 664,279 | 939,653 | |
Agency RMBS | 30 Days or Less | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 342,461 | 668,924 | |
Agency RMBS | 31-60 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 264,755 | 91,048 | |
Agency RMBS | 61-90 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 51,580 | 158,782 | |
Agency RMBS | 91-120 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 0 | 4,751 | |
Agency RMBS | 151 to 180 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 1,320 | 0 | |
Agency RMBS | 121-150 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 0 | 16,148 | |
Agency RMBS | More Than 360 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 4,163 | 0 | |
U.S. Treasury securities | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 132,043 | 69,347 | |
U.S. Treasury securities | 30 Days or Less | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 132,043 | 69,347 | |
Credit | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 1,489,576 | 1,600,685 | |
Credit | 30 Days or Less | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 53,953 | 462,284 | |
Credit | 31-60 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 138,502 | 119,619 | |
Credit | 61-90 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 62,156 | 119,471 | |
Credit | 91-120 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 412,056 | 358,010 | |
Credit | 151 to 180 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 231,703 | 6,981 | |
Credit | Total Credit Assets | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 103,420 | 0 | |
Credit | 121-150 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | 0 | 142,939 | |
Credit | More Than 360 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements | $ 487,786 | $ 391,381 | |
Minimum | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 3.49% | 0.63% | |
Repurchase agreements, remaining days to maturity | 3 days | 3 days | |
Maximum | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 8.79% | 7.97% | |
Repurchase agreements, remaining days to maturity | 788 days | 263 days | |
Weighted Average | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 6.18% | 5.50% | |
Repurchase agreements, remaining days to maturity | 148 days | 78 days | |
Weighted Average | Agency RMBS | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 4.94% | 3.91% | |
Repurchase agreements, remaining days to maturity | 30 days | 29 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 | 4.89% | 4.09% | |
Repurchase agreements, remaining days to maturity | 12 days | 14 days | |
Weighted Average | Agency RMBS | 31-60 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 4.95% | 2.32% | |
Repurchase agreements, remaining days to maturity | 42 days | 45 days | |
Weighted Average | Agency RMBS | 61-90 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 5.15% | 3.96% | |
Repurchase agreements, remaining days to maturity | 76 days | 73 days | |
Weighted Average | Agency RMBS | 91-120 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 0% | 5.20% | |
Repurchase agreements, remaining days to maturity | 0 days | 118 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 | 5.79% | 0% | |
Repurchase agreements, remaining days to maturity | 160 days | 0 days | |
Weighted Average | Agency RMBS | 121-150 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 0% | 4.76% | |
Repurchase agreements, remaining days to maturity | 0 days | 131 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 | 5.62% | 0% | |
Repurchase agreements, remaining days to maturity | 181 days | 0 days | |
Weighted Average | U.S. Treasury securities | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 4.99% | 4.31% | |
Repurchase agreements, remaining days to maturity | 3 days | 3 days | |
Weighted Average | U.S. Treasury securities | 30 Days or Less | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 4.99% | 4.31% | |
Repurchase agreements, remaining days to maturity | 3 days | 3 days | |
Weighted Average | Non-Agency RMBS | Total Credit Assets | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements, remaining days to maturity | 788 days | 0 days | |
Weighted Average | Credit | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 6.84% | 6.48% | |
Repurchase agreements, remaining days to maturity | 214 days | 110 days | |
Weighted Average | Credit | 30 Days or Less | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 6.06% | 6.40% | |
Repurchase agreements, remaining days to maturity | 20 days | 7 days | |
Weighted Average | Credit | 31-60 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 6.21% | 6% | |
Repurchase agreements, remaining days to maturity | 44 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 | 6.44% | 6.13% | |
Repurchase agreements, remaining days to maturity | 79 days | 77 days | |
Weighted Average | Credit | 91-120 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 6.98% | 6.30% | |
Repurchase agreements, remaining days to maturity | 110 days | 116 days | |
Weighted Average | Credit | 151 to 180 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 6.82% | 6.72% | |
Repurchase agreements, remaining days to maturity | 173 days | 156 days | |
Weighted Average | Credit | Total Credit Assets | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 8.08% | 0% | |
Weighted Average | Credit | 121-150 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 0% | 7.12% | |
Repurchase agreements, remaining days to maturity | 0 days | 144 days | |
Weighted Average | Credit | More Than 360 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 6.79% | 6.74% | |
Repurchase agreements, remaining days to maturity | 286 days | 240 days | |
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 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 | Mar. 31, 2023 USD ($) |
Debt Instrument [Line Items] | |
Expected principal repayments related to consolidated residential mortgage loan securitizations | $ 1,141,000 |
Repurchase Agreements | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 2,182,478 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 0 |
2020 Scheduled Repayment of Principal | 103,420 |
2021 Scheduled Repayment of Principal | 0 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 0 |
Total Scheduled Repayment of Principal | 2,285,898 |
Other Secured Borrowings | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 530,347 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 322,754 |
2020 Scheduled Repayment of Principal | 325,502 |
2021 Scheduled Repayment of Principal | 187,053 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 137,651 |
Total Scheduled Repayment of Principal | 1,503,307 |
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 | 0 |
2020 Scheduled Repayment of Principal | 0 |
2021 Scheduled Repayment of Principal | |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 210,000 |
Total Scheduled Repayment of Principal | 210,000 |
Total | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 3,918,574 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 1,474,629 |
2020 Scheduled Repayment of Principal | 1,256,515 |
2021 Scheduled Repayment of Principal | 882,373 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 1,008,070 |
Total Scheduled Repayment of Principal | 8,540,161 |
HMBS-related obligations | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 1,205,749 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 1,151,875 |
2020 Scheduled Repayment of Principal | 827,593 |
2021 Scheduled Repayment of Principal | 695,320 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 660,419 |
Total Scheduled Repayment of Principal | $ 4,540,956 |
Borrowings (Amounts at Risk) (D
Borrowings (Amounts at Risk) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Dec. 31, 2022 | |
Nomura Holdings Inc. | ||
Borrowings [Line Items] | ||
Repurchase Agreement Counterparty, Amount at Risk | $ 228,777 | $ 208,812 |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 265 days | 13 days |
Nomura Holdings Inc. | Fair Value, Concentration of Risk, Maximum Amount of Loss | ||
Borrowings [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 16.60% | 17.10% |
Royal Bank of Canada [Member] | ||
Borrowings [Line Items] | ||
Repurchase Agreement Counterparty, Amount at Risk | $ 135,233 | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 100 days | |
Royal Bank of Canada [Member] | Fair Value, Concentration of Risk, Maximum Amount of Loss | ||
Borrowings [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 11.10% |
Borrowings (Details)
Borrowings (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2023 USD ($) counterparty Rate | Dec. 31, 2022 USD ($) counterparty Rate | ||
Borrowings [Line Items] | |||
Total secured borrowings | $ 12,200,000 | $ 12,200,000 | |
Financial Instruments transferred as collateral for repurchase agreements | 2,900,000 | 3,200,000 | |
Collateral on repurchase agreements, unsettled sales | $ 11,200 | 9,200 | |
Repurchase Agreements amount at risk threshold | 10% | ||
Other secured borrowings | [1] | $ 363,640 | 276,058 |
Other secured borrowings, at fair value | [1] | 1,534,592 | 1,539,881 |
Senior notes, at fair value | $ 185,325 | $ 191,835 | |
Number of Counterparties with Outstanding Reverse Repurchase Agreements | counterparty | 27 | 26 | |
HMBS-related obligations, at fair value | $ 7,975,916 | $ 7,787,155 | |
Secured borrowing facility collateralized by ABS backed by consumer loans [Member] | |||
Borrowings [Line Items] | |||
Other secured borrowings | 34,300 | 37,800 | |
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 69,200 | $ 70,300 | |
Debt Instrument, Interest Rate, Effective Rate | 9.16% | 8.68% | |
Non-QM loan securitization | |||
Borrowings [Line Items] | |||
Other secured borrowings | $ 1,540,000 | ||
Debt Instrument, Interest Rate, Effective Rate | 3.01% | 3% | |
Warehouse facility A | |||
Borrowings [Line Items] | |||
Other secured borrowings | $ 43,302 | $ 59,640 | |
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 48,083 | $ 65,652 | |
Debt Instrument, Interest Rate, Effective Rate | Rate | 8.38% | 8.43% | |
Secured borrowing facility collateralized by HECM tail draws | |||
Borrowings [Line Items] | |||
Other secured borrowings | $ 23,700 | $ 22,600 | |
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 34,400 | $ 35,100 | |
Debt Instrument, Interest Rate, Effective Rate | 8.50% | 8% | |
Secured borrowing facility collateralized by MSRs | |||
Borrowings [Line Items] | |||
Other secured borrowings | $ 45,000 | $ 42,800 | |
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 107,900 | $ 95,600 | |
Debt Instrument, Interest Rate, Effective Rate | 9.66% | 9.37% | |
GNMA HMBS | |||
Borrowings [Line Items] | |||
Debt Instrument, Interest Rate, Effective Rate | 5.48% | 5.23% | |
HMBS-related obligations, at fair value | $ 8,000,000 | $ 7,800,000 | |
Secured borrowing facility collateralized by HECM loans | |||
Borrowings [Line Items] | |||
Other secured borrowings | 58,700 | ||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 56,700 | ||
Debt Instrument, Interest Rate, Effective Rate | 6.78% | ||
MLPS Counterparty | |||
Borrowings [Line Items] | |||
Other secured borrowings | $ 9,700 | ||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 11,600 | ||
Debt Instrument, Interest Rate, Effective Rate | 6.81% | ||
Minimum | |||
Borrowings [Line Items] | |||
Reverse Repurchase Agreements Maturity | 30 days | ||
Repurchase agreements, remaining days to maturity | 3 days | 3 days | |
Repurchase Agreements Interest Rate | 3.49% | 0.63% | |
Maximum | |||
Borrowings [Line Items] | |||
Reverse Repurchase Agreements Maturity | 364 days | ||
Repurchase agreements, remaining days to maturity | 788 days | 263 days | |
Repurchase Agreements Interest Rate | 8.79% | 7.97% | |
Reverse repurchase agreements | |||
Borrowings [Line Items] | |||
Cash collateral posted for securities sold under agreements to repurchase | $ 3,300 | $ 20,300 | |
Securitized residential mortgage loans | |||
Borrowings [Line Items] | |||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | 1,700,000 | 1,700,000 | |
Corporate equity securities | Mortgage-related Commercial | |||
Borrowings [Line Items] | |||
Fair Value | 61,100 | 68,500 | |
HECM loans | GNMA HMBS | |||
Borrowings [Line Items] | |||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | 8,100,000 | $ 7,900,000 | |
5.50% Senior Notes | Senior Notes | |||
Borrowings [Line Items] | |||
Debt Instrument, Face Amount | $ 86,000 | ||
Debt Instrument, Interest Rate, Stated Percentage | 5.50% | ||
Debt Instrument, Maturity Date | Sep. 01, 2022 | ||
Debt Instrument, Interest Rate, Effective Rate | 5.80% | ||
5.875% Senior Notes | Senior Notes | |||
Borrowings [Line Items] | |||
Debt Instrument, Face Amount | $ 210,000 | ||
Debt Instrument, Interest Rate, Stated Percentage | 5.875% | ||
Redemption percentage | 100% | ||
Debt Instrument, Maturity Date | Apr. 01, 2027 | ||
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Borrowings- Warehouse lines of
Borrowings- Warehouse lines of credit (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 | |
Line of Credit Facility [Line Items] | |||
Other secured borrowings | [1] | $ 363,640 | $ 276,058 |
Warehouse facility B | |||
Line of Credit Facility [Line Items] | |||
Other secured borrowings | 67,574 | 64,278 | |
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 62,991 | $ 59,933 | |
Debt Instrument, Interest Rate, Effective Rate | 7.55% | 6.99% | |
Warehouse facility A | |||
Line of Credit Facility [Line Items] | |||
Other secured borrowings | $ 43,302 | $ 59,640 | |
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 48,083 | $ 65,652 | |
Debt Instrument, Interest Rate, Effective Rate | 8.38% | 8.43% | |
Warehouse facility C | |||
Line of Credit Facility [Line Items] | |||
Other secured borrowings | $ 80,480 | $ 48,954 | |
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 111,256 | $ 63,644 | |
Debt Instrument, Interest Rate, Effective Rate | 7.42% | 6.90% | |
Warehouse LOC | Reverse mortgage loans | |||
Line of Credit Facility [Line Items] | |||
Other secured borrowings | $ 191,356 | $ 172,872 | |
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 222,330 | $ 189,229 | |
Debt Instrument, Interest Rate, Effective Rate | 7.68% | 7.46% | |
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Income Taxes Income Taxes (Deta
Income Taxes Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Income Tax Disclosure [Abstract] | ||
Income Tax Expense (Benefit) | $ 21 | $ (6,960) |
Deferred Tax Assets, Gross | $ 8,700 |
Income Taxes - Tax Provision (D
Income Taxes - Tax Provision (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Income Tax Examination [Line Items] | ||
Income Tax Expense (Benefit) | $ 21 | $ (6,960) |
Related Party Transactions (Pro
Related Party Transactions (Promissory Note to Related Party) (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 | |
Related Party Transaction [Line Items] | |||
Unpaid Principal Balance | $ 11,685,456 | $ 11,609,077 | |
Loans, at fair value | [1],[2] | 11,812,567 | 11,626,008 |
Corporate loan [Member] | |||
Related Party Transaction [Line Items] | |||
Unpaid Principal Balance | 4,965 | 4,132 | |
Loans, at fair value | 4,920 | 4,086 | |
Corporate loan [Member] | Equity Method Investee | Promissory note to equity method investee, effective date May 2021 | |||
Related Party Transaction [Line Items] | |||
Unpaid Principal Balance | 3,000 | 3,000 | |
Loans, at fair value | $ 3,000 | $ 3,000 | |
Investment Interest Rate | 6% | 6% | |
Investment Maturity Date | Dec. 31, 2025 | ||
Line of Credit Facility, Maximum Borrowing Capacity | $ 6,000 | ||
Corporate loan [Member] | Equity Method Investee | Promissory note to equity method investee, effective date March 2022 | |||
Related Party Transaction [Line Items] | |||
Unpaid Principal Balance | 500 | $ 475 | |
Loans, at fair value | $ 500 | $ 475 | |
Investment Interest Rate | 7% | 7% | |
Investment Maturity Date | Jan. 31, 2025 | ||
Line of Credit Facility, Maximum Borrowing Capacity | $ 500 | ||
Corporate loan [Member] | Equity Method Investee | Promissory note to equity method investee, effective date November 2022 | |||
Related Party Transaction [Line Items] | |||
Unpaid Principal Balance | $ 50 | ||
Loans, at fair value | $ 50 | ||
Investment Interest Rate | 10% | ||
Investment Maturity Date | Jan. 31, 2025 | ||
Line of Credit Facility, Maximum Borrowing Capacity | $ 500 | ||
Corporate loan [Member] | Equity Method Investee | Promissory note to equity method investee, effective date December 2022 | |||
Related Party Transaction [Line Items] | |||
Unpaid Principal Balance | 1,176 | $ 515 | |
Loans, at fair value | $ 1,176 | $ 515 | |
Investment Interest Rate | 15% | 15% | |
Investment Maturity Date | Dec. 16, 2024 | ||
Line of Credit Facility, Maximum Borrowing Capacity | $ 3,500 | ||
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[2]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Related Party Transactions (Det
Related Party Transactions (Details) $ in Thousands | 3 Months Ended | |||||||
Mar. 31, 2023 USD ($) period | Mar. 31, 2022 USD ($) | Dec. 31, 2023 USD ($) | Dec. 31, 2022 USD ($) numberOfWarrants | |||||
Related Party Transaction [Line Items] | ||||||||
Annual base management fee percentage | 1.50% | |||||||
Base management fee to affiliate | [1] | $ 4,956 | $ 4,266 | |||||
Base management fee, gross | 5,100 | 4,900 | ||||||
Management Fee Expense, Rebates | $ 172 | 657 | [1] | |||||
Incentive fee rate | 25% | |||||||
Incentive fee hurdle rate fixed | 9% | |||||||
Incentive fee hurdle rate floating | 3% | |||||||
Minimum percentage of incentive fee to be paid in share | 10% | |||||||
Termination Fee, Number Of Periods | period | 2 | |||||||
Termination Fee, Period | 12 months | |||||||
Expense Reimbursement Period | 60 days | |||||||
Expense Reimbursement - Manager | $ 4,800 | 5,700 | ||||||
Real estate owned | [2],[3] | 26,717 | $ 28,403 | |||||
Securities, at fair value(1)(2) | [2],[3] | 1,389,547 | 1,459,465 | |||||
Non-controlling interests | [2] | 24,931 | 24,919 | |||||
Accrued expenses and other liabilities | [2] | 91,115 | 73,819 | |||||
Reverse repurchase agreements | 2,285,898 | 2,609,685 | ||||||
Other assets | 90,105 | [2] | $ 90,105 | 76,791 | [2] | |||
Unpaid Principal Balance | 11,685,456 | 11,609,077 | ||||||
Related Party Transaction, Purchases from Related Party | 1,100 | |||||||
Securities Collateral relating to Reverse Repurchase Agreements | 2,900,000 | 3,200,000 | ||||||
Income Tax Expense (Benefit) | 21 | (6,960) | ||||||
Loans, at fair value | [2],[3] | 11,812,567 | 11,626,008 | |||||
Earnings (losses) from investments in unconsolidated entities | 3,444 | (5,506) | ||||||
Payments to Acquire Equity Method Investments | 5,654 | 2,678 | ||||||
Investment in unconsolidated entities, at fair value | [2] | 118,747 | 127,046 | |||||
Realized gains (losses) on securities and loans, net | (36,767) | 806 | ||||||
Corporate loan [Member] | ||||||||
Related Party Transaction [Line Items] | ||||||||
Unpaid Principal Balance | 4,965 | 4,132 | ||||||
Loans, at fair value | 4,920 | 4,086 | ||||||
Related Party-Consumer Loans Titled in Name of Related Party | ||||||||
Related Party Transaction [Line Items] | ||||||||
Fair value of loans held in related party trust | 72,200 | 70,200 | ||||||
Affiliated Entity [Member] | ||||||||
Related Party Transaction [Line Items] | ||||||||
Accounts payable and accrued expenses | [2] | 3,200 | 4,100 | |||||
Mortgage Originator | ||||||||
Related Party Transaction [Line Items] | ||||||||
Warehouse facility, monetary amount | $ 5,000 | |||||||
Interest rate | 15% | |||||||
Advances made under warehouse facility | $ 0 | 0 | ||||||
Purchasing Entity | ||||||||
Related Party Transaction [Line Items] | ||||||||
Fair value of loans held in related party trust | 3,600 | 4,300 | ||||||
Related party trust - Residential Mortgage Loans and REO | ||||||||
Related Party Transaction [Line Items] | ||||||||
Fair value of loans held in related party trust | 1,400,000 | 1,500,000 | ||||||
Jepson Holdings Limited | ||||||||
Related Party Transaction [Line Items] | ||||||||
Investment in unconsolidated entities, at fair value | 700 | $ 600 | ||||||
LendSure Mortgage Corp [Member] | ||||||||
Related Party Transaction [Line Items] | ||||||||
Earnings (losses) from investments in unconsolidated entities | (1,500) | $ (4,300) | ||||||
Promissory note to equity method investee, effective date November 2022 | Equity Method Investee | Corporate loan [Member] | ||||||||
Related Party Transaction [Line Items] | ||||||||
Investment Interest Rate | 10% | |||||||
Unpaid Principal Balance | $ 50 | |||||||
Loans, at fair value | 50 | |||||||
Realized gains (losses) on securities and loans, net | (500) | |||||||
Commercial mortgage loans and REO | ||||||||
Related Party Transaction [Line Items] | ||||||||
Reverse repurchase agreements | 251,700 | 274,400 | ||||||
Fair Value | 2,200 | 2,200 | ||||||
Investment in Loan Originator | LendSure Mortgage Corp [Member] | ||||||||
Related Party Transaction [Line Items] | ||||||||
Investment in unconsolidated entities, at fair value | 25,200 | $ 26,700 | ||||||
Investment in Loan Originator | Loan Originator - Other | ||||||||
Related Party Transaction [Line Items] | ||||||||
Earnings (losses) from investments in unconsolidated entities | (100) | |||||||
Warrants | Mortgage Originator | ||||||||
Related Party Transaction [Line Items] | ||||||||
Derivative, Number of Instruments Held | numberOfWarrants | 8,280,000 | |||||||
Long | ||||||||
Related Party Transaction [Line Items] | ||||||||
Securities, at fair value(1)(2) | 1,389,547 | $ 1,459,465 | ||||||
Warrants | Mortgage Originator | ||||||||
Related Party Transaction [Line Items] | ||||||||
Investment in unconsolidated entities, at fair value | 10,900 | 11,500 | ||||||
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 | 300 | 300 | ||||||
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 | 400 | 400 | ||||||
Mortgage-related Commercial | Corporate equity securities | ||||||||
Related Party Transaction [Line Items] | ||||||||
Fair Value | 61,100 | 68,500 | ||||||
Participation in multi-borrower financing facility | ||||||||
Related Party Transaction [Line Items] | ||||||||
Outstanding debt of related party | 772,500 | 872,500 | ||||||
Warehouse facilities - CLO securitizations | ||||||||
Related Party Transaction [Line Items] | ||||||||
Investment in unconsolidated entities, at fair value | $ 600 | $ 500 | ||||||
[1]See Note 15 for further details on management fee rebates.[2]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.[3]Includes assets pledged as collateral to counterparties. See Note 13 for additional details on the Company's borrowings and related collateral. |
Long-Term Incentive Plan Unit_2
Long-Term Incentive Plan Units (Narrative) (Details) - USD ($) $ in Millions | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Capital shares reserved for future issuance (in shares) | 1,509,481 | 1,509,481 | |
Share-based long term incentive plan unit expense | $ 0.3 | $ 0.3 | |
Long-Term Incentive Plan Units [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Grants in Period (in shares) | 113,615 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Gross | 0 | 40,254 | |
Director [Member] | Long-Term Incentive Plan Units [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Grants in Period (in shares) | 24,796 | ||
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, Grants in Period, Gross | 0 | 0 | |
Non 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, Grants in Period, Gross | 0 | 40,254 |
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] | 3 Months Ended |
Mar. 31, 2023 shares | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 113,615 |
Director [Member] | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 24,796 |
Grant Date | Sep. 13, 2022 |
Vesting Date(1) | Sep. 12, 2023 |
Vest December 16, 2023 | Dedicated or partially dedicated personnel [Member] | Grant Date December 16, 2021 | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 15,789 |
Grant Date | Dec. 16, 2021 |
Vesting Date(1) | Dec. 16, 2023 |
Vest December 31, 2023 | Dedicated or partially dedicated personnel [Member] | Grant Date March 7, 2022 | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 40,254 |
Grant Date | Mar. 07, 2022 |
Vesting Date(1) | Dec. 31, 2023 |
Vest December 15, 2023 | Dedicated or partially dedicated personnel [Member] | Grant Date December 15, 2022 | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 18,068 |
Grant Date | Dec. 15, 2022 |
Vesting Date(1) | Dec. 15, 2023 |
Vest December 15, 2024 | Dedicated or partially dedicated personnel [Member] | Grant Date December 15, 2022 | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 14,708 |
Grant Date | Dec. 15, 2022 |
Vesting Date(1) | Dec. 15, 2024 |
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 | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||
LTIP Units Outstanding, beginning of period | 769,573 | 675,813 |
Granted | 0 | 40,254 |
LTIP Units Outstanding, end of period | 769,573 | 716,067 |
OP LTIP Units Unvested and Outstanding end of period | 113,615 | 120,140 |
OP LTIP Units Vested and Outstanding end of period | 655,958 | 595,927 |
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 | 365,518 |
Granted | 0 | 0 |
LTIP Units Outstanding, end of period | 365,518 | 365,518 |
OP LTIP Units Unvested and Outstanding end of period | 0 | 0 |
OP LTIP Units Vested and Outstanding end of period | 365,518 | 365,518 |
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 | 404,055 | 310,295 |
Granted | 0 | 40,254 |
LTIP Units Outstanding, end of period | 404,055 | 350,549 |
OP LTIP Units Unvested and Outstanding end of period | 113,615 | 120,140 |
OP LTIP Units Vested and Outstanding end of period | 290,440 | 230,409 |
Non-controlling Interests (Deta
Non-controlling Interests (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | ||
Noncontrolling Interest [Line Items] | ||||
Non-controlling interests | [1] | $ 24,931 | $ 24,919 | |
Longbridge Financial LLC [Member] | ||||
Noncontrolling Interest [Line Items] | ||||
Business Combination, Step Acquisition, Equity Interest in Acquiree, Including Subsequent Acquisition, Percentage | 99.60% | 99.50% | ||
Non-controlling interest of joint venture partner | Non-controlling Interest | ||||
Noncontrolling Interest [Line Items] | ||||
Non-controlling interests | $ 9,900 | $ 10,000 | ||
Operating Partnership | Non-controlling Interest | ||||
Noncontrolling Interest [Line Items] | ||||
Operating Partnership LTIP Units (in units) | 769,573 | 769,573 | ||
Operating Partnership Units (in units) | 46,360 | 46,360 | ||
Ownership Percentage | 0.90% | 1% | ||
Noncontrolling Interest in Operating Partnerships | $ 12,500 | $ 12,400 | ||
Longbridge Financial LLC [Member] | Non-controlling Interest | ||||
Noncontrolling Interest [Line Items] | ||||
Non-controlling interests | $ 2,400 | $ 2,400 | ||
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Equity (Narrative) (Details)
Equity (Narrative) (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | ||||||
Feb. 06, 2023 | Mar. 31, 2023 | Mar. 31, 2022 | Mar. 21, 2023 | Dec. 31, 2022 | Jun. 13, 2018 | ||
Subsidiary, Sale of Stock [Line Items] | |||||||
Preferred Stock, Shares Issued | 13,420,421 | 9,420,421 | |||||
Proceeds from Issuance of Preferred Stock and Preference Stock | [1] | $ 96,850 | $ 506 | ||||
Preferred Stock, Shares Authorized | 100,000,000 | 100,000,000 | |||||
Preferred Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 | |||||
Common stock, shares authorized (in shares) | 100,000,000 | 100,000,000 | |||||
Common Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 | |||||
Dividends declared (in usd per share) | $ 0.45 | $ 0.45 | |||||
Dividends paid | $ (33,981) | $ (29,105) | |||||
Common shares issued and outstanding upon conversion of all convertible securities (in shares) | 68,001,009 | 64,628,148 | |||||
Number of shares authorized to be repurchased (in shares) | 1,550,000 | ||||||
Shares Issued As Payment of Incentive Fee, Shares | 0 | 19,094 | |||||
Preferred Stock, Shares Outstanding | 13,420,421 | 9,420,421 | |||||
Shares repurchased (in shares) | (1,061,000) | 0 | |||||
Average price per share (USD per share) | $ 11.38 | ||||||
Total cost | $ (12,072) | ||||||
Stock Issued During Period, Shares, New Issues | 4,433,861 | 2,185,000 | |||||
Incentive Fee, Loss Carryforward | $ 45,300 | $ 85,000 | |||||
Stock Repurchase Program, Authorized Amount | $ 46,100 | $ 50,000 | |||||
Preferred ATM Program | |||||||
Subsidiary, Sale of Stock [Line Items] | |||||||
Maximum shares available to be issued under at the market program | 100,000,000 | ||||||
Commissions and offering costs | $ 23 | ||||||
Stock Issued During Period, Shares, New Issues | 20,421 | ||||||
Proceeds from issuance of shares, net | $ 500 | ||||||
Common ATM Program | |||||||
Subsidiary, Sale of Stock [Line Items] | |||||||
Maximum shares available to be issued under at the market program | 10,000,000 | ||||||
Commissions and offering costs | $ 600 | ||||||
Stock Issued During Period, Shares, New Issues | 2,185,000 | ||||||
Proceeds from issuance of shares, net | $ 38,500 | ||||||
Common ATM Programs | |||||||
Subsidiary, Sale of Stock [Line Items] | |||||||
Commissions and offering costs | $ 900 | ||||||
Stock Issued During Period, Shares, New Issues | 4,433,861 | ||||||
Proceeds from issuance of shares, net | $ 60,500 | ||||||
2023 Common ATM Program | |||||||
Subsidiary, Sale of Stock [Line Items] | |||||||
Maximum shares available to be issued under at the market program | 225,000,000 | ||||||
Series C Preferred Stock | |||||||
Subsidiary, Sale of Stock [Line Items] | |||||||
Commissions and offering costs | $ 3,500 | ||||||
Proceeds from issuance of shares, net | $ 96,500 | ||||||
Series A Preferred Stock | |||||||
Subsidiary, Sale of Stock [Line Items] | |||||||
Preferred Stock, Dividend Rate, Percentage | 6.75% | ||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.001 | ||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | ||||||
Preferred Stock Dividend Rate Variable Rate Spread | 5.196% | ||||||
Preferred Stock, Amount of Preferred Dividends in Arrears | $ 3,800 | $ 2,500 | |||||
Preferred Stock, Shares Outstanding | 4,600,000 | 4,600,000 | |||||
Series B Preferred Stock | |||||||
Subsidiary, Sale of Stock [Line Items] | |||||||
Preferred Stock, Dividend Rate, Percentage | 6.25% | ||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.001 | ||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | ||||||
Preferred Stock Dividend Rate Variable Rate Spread | 4.99% | ||||||
Preferred Stock, Shares Outstanding | 4,820,421 | 4,820,421 | |||||
Series C Preferred Stock | |||||||
Subsidiary, Sale of Stock [Line Items] | |||||||
Preferred Stock, Dividend Rate, Percentage | 8.625% | ||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.001 | ||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | ||||||
Preferred Stock Dividend Rate Variable Rate Spread | 5.13% | ||||||
Preferred Stock, Shares Outstanding | 4,000,000 | ||||||
[1]Net of discounts and commissions. |
Equity (Summary of Common Stock
Equity (Summary of Common Stock Outstanding) (Details) - shares | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Noncontrolling Interest [Line Items] | ||
Common stock, shares outstanding | 67,185,076 | 59,662,263 |
Shares repurchased (in shares) | (1,061,000) | 0 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning balance (in shares) | 63,812,215 | 57,458,169 |
Stock Issued During Period, Shares, New Issues | 4,433,861 | 2,185,000 |
Shares Issued As Payment of Incentive Fee, Shares | 0 | 19,094 |
Shares repurchased | 1,061,000 | 0 |
Ending balance (in shares) | 67,185,076 | 59,662,263 |
Equity-Schedule of Shares Issue
Equity-Schedule of Shares Issued to Manager (Details) - shares | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Equity [Abstract] | ||
Shares Issued As Payment of Incentive Fee, Shares | 0 | 19,094 |
Schedule of Capitalization, Equity [Line Items] | ||
Shares Issued As Payment of Incentive Fee, Shares | 0 | 19,094 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Net increase (decrease) in shareholders' equity resulting from operations | ||
Net income (loss) attributable to common stockholders | $ 38,916 | $ (9,902) |
Add: Net income (loss) attributable to Convertible Non-controlling Interests | 476 | (126) |
Net income (loss) related to common stockholders and Convertible Non-controlling Interests | 39,392 | (10,028) |
Dividends Paid: | ||
Dividends | (30,664) | (26,521) |
Undistributed (Distributed in excess of) earnings: | ||
Total undistributed (distributed in excess of) earnings | $ 8,728 | $ (36,549) |
Weighted average shares outstanding (basic and diluted): | ||
Weighted average shares outstanding (basic and diluted) (in shares) | 67,487,982 | 58,347,369 |
Basic earnings per share of common stock: | ||
Distributed (in usd per share) | $ 0.45 | $ 0.45 |
Undistributed (Distributed in excess of) (in usd per share) | 0.13 | (0.62) |
Basic earnings per common share (in usd per share) | 0.58 | (0.17) |
Diluted earnings per share of common stock: | ||
Distributed (in usd per share) | 0.45 | 0.45 |
Undistributed (Distributed in excess of) (usd per share) | 0.13 | (0.62) |
Diluted earnings per common share (in usd per share) | $ 0.58 | $ (0.17) |
Net increase (decrease) in equity resulting from operations | $ 200 | $ (300) |
Net increase (decrease) in equity resulting from operations | 200 | (300) |
Common Stock | ||
Dividends Paid: | ||
Dividends | (30,297) | (26,189) |
Undistributed (Distributed in excess of) earnings: | ||
Total undistributed (distributed in excess of) earnings | $ 8,619 | $ (36,091) |
Weighted average shares outstanding (basic and diluted): | ||
Weighted average shares outstanding (basic and diluted) (in shares) | 66,672,049 | 57,614,015 |
Non-controlling Interest | ||
Dividends Paid: | ||
Dividends | $ (367) | $ (332) |
Undistributed (Distributed in excess of) earnings: | ||
Total undistributed (distributed in excess of) earnings | $ 109 | $ (458) |
Weighted average shares outstanding (basic and diluted): | ||
Weighted average shares outstanding (basic and diluted) (in shares) | 815,933 | 733,354 |
(Schedule of Restricted Cash) (
(Schedule of Restricted Cash) (Details) - USD ($) $ in Millions | Mar. 31, 2023 | Dec. 31, 2022 |
Restricted Cash [Line Items] | ||
Restricted cash | $ 1.6 | $ 4.8 |
Offsetting of Assets and Liab_3
Offsetting of Assets and Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Financial derivatives–assets | ||
Financial derivatives–assets, at fair value- | $ 104,033 | $ 132,518 |
Financial Instruments Available for Offset | (16,142) | (53,229) |
Cash Collateral (Received) Pledged | (27,888) | (32,044) |
Net Amount | 60,003 | 47,245 |
Reverse repurchase agreements | ||
Reverse repurchase agreements | 180,934 | 226,444 |
Financial Instruments Available for Offset | (32,150) | (152,946) |
Cash Collateral (Received) Pledged | 0 | 0 |
Net Amount | 0 | 0 |
Repurchase agreements | ||
Reverse repurchase agreements | (2,285,898) | (2,609,685) |
Financial Instruments Available for Offset | 32,150 | 152,946 |
Cash Collateral (Received) Pledged | 3,306 | 20,267 |
Net Amount | 0 | 0 |
Financial derivatives–liabilities | ||
Financial derivatives–liabilities, at fair value- | (24,245) | (54,198) |
Financial Instruments Available for Offset | 16,142 | 53,229 |
Cash Collateral (Received) Pledged | 3,271 | 534 |
Net Amount | (4,832) | (435) |
Securities Collateral relating to Reverse Repurchase Agreements | 2,900,000 | 3,200,000 |
Financial Derivatives - Assets | ||
Financial derivatives–assets | ||
Financial Instruments Transferred or Pledged as Collateral | 0 | 0 |
Financial derivatives–liabilities | ||
Excess cash collateral | 200 | 400 |
Securities Purchased under Agreements to Resell [Member] | ||
Financial derivatives–assets | ||
Financial Instruments Transferred or Pledged as Collateral | (148,784) | (73,498) |
Financial Derivatives - Liabilities | ||
Financial derivatives–assets | ||
Financial Instruments Transferred or Pledged as Collateral | 0 | 0 |
Financial derivatives–liabilities | ||
Excess cash collateral | 1,100 | 1,800 |
Reverse repurchase agreements | ||
Financial derivatives–assets | ||
Financial Instruments Transferred or Pledged as Collateral | $ 2,250,442 | $ 2,436,472 |
Counterparty Risk (Exposure to
Counterparty Risk (Exposure to Counterparty Risk) (Details) - Counterparty Risk [Member] $ in Thousands | 3 Months Ended | 6 Months Ended |
Mar. 31, 2023 USD ($) counterparty | Jun. 30, 2022 USD ($) counterparty | |
Cash and Cash Equivalents [Member] | ||
Concentration Risk [Line Items] | ||
Amount of Exposure | $ | $ 188,555 | $ 217,053 |
Number of Counterparties with Exposure | counterparty | 13 | 13 |
Percentage of Total Outstanding Unpaid Principal Balance | 37.40% | 41.30% |
Collateral On Repurchase Agreements Held By Dealers [Member] | ||
Concentration Risk [Line Items] | ||
Amount of Exposure | $ | $ 2,905,626 | $ 3,247,276 |
Number of Counterparties with Exposure | counterparty | 27 | 26 |
Percentage of Total Outstanding Unpaid Principal Balance | 24.80% | 21.60% |
Due From Broker [Member] | ||
Concentration Risk [Line Items] | ||
Amount of Exposure | $ | $ 24,291 | $ 36,761 |
Number of Counterparties with Exposure | counterparty | 17 | 20 |
Percentage of Total Outstanding Unpaid Principal Balance | 23% | 22.80% |
Receivable For Securities Sold [Member] | ||
Concentration Risk [Line Items] | ||
Amount of Exposure | $ | $ 21,034 | $ 21,439 |
Number of Counterparties with Exposure | counterparty | 4 | 6 |
Percentage of Total Outstanding Unpaid Principal Balance | 50.90% | 36.40% |
Counterparty Risk (Narrative) (
Counterparty Risk (Narrative) (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 | Mar. 31, 2022 | Dec. 31, 2021 | |
Risks and Uncertainties [Abstract] | |||||
Financial Instruments transferred as collateral for repurchase agreements | $ 2,900,000 | $ 3,200,000 | |||
Cash and cash equivalents | $ 188,555 | $ 217,053 | [1] | $ 363,529 | $ 92,661 |
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 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 | Mar. 31, 2023 | Dec. 31, 2022 | Mar. 31, 2022 | Dec. 31, 2021 | |
Concentration Risk [Line Items] | |||||
Cash and Cash Equivalents, at Carrying Value | $ 188,555 | $ 217,053 | [1] | $ 363,529 | $ 92,661 |
[1]Ellington Financial Inc.'s Condensed Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 11 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2023 | Dec. 31, 2023 | Dec. 31, 2022 | |
Other Commitments [Line Items] | |||
Operating Leases, Future Minimum Payments Due, Next Twelve Months | $ 710 | ||
Operating Leases, Future Minimum Payments, Due in Two Years | 844 | ||
Operating Leases, Future Minimum Payments, Due in Three Years | 799 | ||
Operating Leases, Future Minimum Payments, Due in Four Years | 793 | ||
Operating Leases, Future Minimum Payments, Due in Five Years | 695 | ||
Operating Leases, Future Minimum Payments, Due Thereafter | 953 | ||
Operating Leases, Future Minimum Payments Due | 4,794 | ||
Lessee, Operating Lease, Liability, Undiscounted Excess Amount | (889) | ||
Operating Lease, Liability | $ 3,905 | $ 4,058 | |
Operating Lease, Weighted Average Remaining Lease Term | 5 years 7 months 6 days | 5 years 9 months 18 days | |
Operating Lease, Weighted Average Discount Rate, Percent | 7.20% | 7.20% | |
Operating Lease, Right-of-Use Asset | $ 3,682 | $ 3,682 | $ 3,838 |
Operating Lease, Expense | 300 | ||
Loan commitments, at fair value | 3,300 | $ 3,299 | 3,060 |
Investment in Other Loan Originator | |||
Other Commitments [Line Items] | |||
Unfunded commitment | 5,300 | 6,500 | |
Non-Exchange Traded Equity Investment in Mortgage Originators [Member] | Related party mortgage originator (with flow mortgage loan purchase and sale agreement) [Member] | |||
Other Commitments [Line Items] | |||
Maximum guarantees | 15,000 | ||
Equity investments in securitization-related risk retention vehicle | |||
Other Commitments [Line Items] | |||
Maximum guarantees | 15,500 | ||
Drawn down amount being guaranteed | 10,800 | 10,800 | |
Reverse mortgage loans | |||
Other Commitments [Line Items] | |||
Contractual Obligation | 1,800,000 | 1,700,000 | |
Residential mortgage loans | |||
Other Commitments [Line Items] | |||
Unfunded commitment | 191,800 | 175,700 | |
Residential mortgage loans | Investment in unconsolidated entities | |||
Other Commitments [Line Items] | |||
Unfunded commitment | 163,000 | 181,400 | |
Total Purchase Commitment | 650,000 | ||
Corporate loan [Member] | |||
Other Commitments [Line Items] | |||
Unfunded commitment | 4,200 | 4,200 | |
Corporate loan [Member] | Line of Credit | |||
Other Commitments [Line Items] | |||
Unfunded commitment | 900 | $ 900 | |
Lending Commitment | $ 1,000 |
Segment Reporting (Details)
Segment Reporting (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Segment Reporting [Abstract] | ||
Income Tax Expense (Benefit) | $ 21 | $ (6,960) |
Segment Reporting Information [Line Items] | ||
Interest income | 87,174 | 51,074 |
Interest expense | (59,617) | (14,017) |
Noninterest Income | 51,675 | (25,442) |
Operating Expenses | 37,902 | 19,567 |
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | 41,330 | (7,952) |
Earnings (losses) from investments in unconsolidated entities | 3,444 | (5,506) |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 44,753 | (6,498) |
Net income (loss) attributable to non-controlling interests | 720 | (420) |
Dividends on preferred stock | 5,117 | 3,824 |
Net income (loss) attributable to common stockholders | 38,916 | (9,902) |
Depreciation | 358 | |
Longbridge Segment | ||
Segment Reporting [Abstract] | ||
Income Tax Expense (Benefit) | 0 | |
Segment Reporting Information [Line Items] | ||
Interest income | 2,893 | |
Interest expense | (4,346) | |
Noninterest Income | 33,398 | |
Operating Expenses | 25,447 | |
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | 6,498 | |
Earnings (losses) from investments in unconsolidated entities | 0 | |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 6,498 | |
Net income (loss) attributable to non-controlling interests | 2 | |
Dividends on preferred stock | 0 | |
Net income (loss) attributable to common stockholders | 6,496 | |
Depreciation | 358 | |
Investment Portfolio Segment | ||
Segment Reporting [Abstract] | ||
Income Tax Expense (Benefit) | 0 | 0 |
Segment Reporting Information [Line Items] | ||
Interest income | 82,369 | 51,054 |
Interest expense | (52,136) | (12,698) |
Noninterest Income | 10,929 | (21,771) |
Operating Expenses | 3,505 | 7,752 |
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | 37,657 | 8,833 |
Earnings (losses) from investments in unconsolidated entities | 3,444 | (5,506) |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 41,101 | 3,327 |
Net income (loss) attributable to non-controlling interests | 238 | (298) |
Dividends on preferred stock | 0 | 0 |
Net income (loss) attributable to common stockholders | 40,863 | 3,625 |
Depreciation | 0 | |
Corporate and Other | ||
Segment Reporting [Abstract] | ||
Income Tax Expense (Benefit) | 21 | (6,960) |
Segment Reporting Information [Line Items] | ||
Interest income | 1,912 | 20 |
Interest expense | (3,135) | (1,319) |
Noninterest Income | 7,348 | (3,671) |
Operating Expenses | 8,950 | 11,815 |
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | (2,825) | (16,785) |
Earnings (losses) from investments in unconsolidated entities | 0 | 0 |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | (2,846) | (9,825) |
Net income (loss) attributable to non-controlling interests | 480 | (122) |
Dividends on preferred stock | 5,117 | 3,824 |
Net income (loss) attributable to common stockholders | (8,443) | $ (13,527) |
Depreciation | $ 0 |
Segment Reporting Operating Pro
Segment Reporting Operating Profit and Loss by Segment (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Segment Reporting Information [Line Items] | ||
Interest income | $ 87,174 | $ 51,074 |
Interest expense | (59,617) | (14,017) |
Noninterest Income | 51,675 | (25,442) |
Operating Expenses | 37,902 | 19,567 |
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | 41,330 | (7,952) |
Income Tax Expense (Benefit) | 21 | (6,960) |
Earnings (losses) from investments in unconsolidated entities | 3,444 | (5,506) |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 44,753 | (6,498) |
Net income (loss) attributable to non-controlling interests | 720 | (420) |
Dividends on preferred stock | 5,117 | 3,824 |
Net income (loss) attributable to common stockholders | 38,916 | (9,902) |
Depreciation | 358 | |
Investment Portfolio Segment | ||
Segment Reporting Information [Line Items] | ||
Interest income | 82,369 | 51,054 |
Interest expense | (52,136) | (12,698) |
Noninterest Income | 10,929 | (21,771) |
Operating Expenses | 3,505 | 7,752 |
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | 37,657 | 8,833 |
Income Tax Expense (Benefit) | 0 | 0 |
Earnings (losses) from investments in unconsolidated entities | 3,444 | (5,506) |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 41,101 | 3,327 |
Net income (loss) attributable to non-controlling interests | 238 | (298) |
Dividends on preferred stock | 0 | 0 |
Net income (loss) attributable to common stockholders | 40,863 | 3,625 |
Depreciation | 0 | |
Longbridge Segment | ||
Segment Reporting Information [Line Items] | ||
Interest income | 2,893 | |
Interest expense | (4,346) | |
Noninterest Income | 33,398 | |
Operating Expenses | 25,447 | |
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | 6,498 | |
Income Tax Expense (Benefit) | 0 | |
Earnings (losses) from investments in unconsolidated entities | 0 | |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 6,498 | |
Net income (loss) attributable to non-controlling interests | 2 | |
Dividends on preferred stock | 0 | |
Net income (loss) attributable to common stockholders | 6,496 | |
Depreciation | 358 | |
Corporate and Other | ||
Segment Reporting Information [Line Items] | ||
Interest income | 1,912 | 20 |
Interest expense | (3,135) | (1,319) |
Noninterest Income | 7,348 | (3,671) |
Operating Expenses | 8,950 | 11,815 |
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | (2,825) | (16,785) |
Income Tax Expense (Benefit) | 21 | (6,960) |
Earnings (losses) from investments in unconsolidated entities | 0 | 0 |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | (2,846) | (9,825) |
Net income (loss) attributable to non-controlling interests | 480 | (122) |
Dividends on preferred stock | 5,117 | 3,824 |
Net income (loss) attributable to common stockholders | (8,443) | $ (13,527) |
Depreciation | $ 0 |
Segment Reporting Assets and Li
Segment Reporting Assets and Liabilities by Segment (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 | Mar. 31, 2022 | Dec. 31, 2021 |
Segment Reporting Information [Line Items] | |||||
Total Assets | $ 14,111,525 | $ 14,111,525 | $ 14,085,886 | ||
Liabilities | 12,736,762 | 12,736,762 | 12,865,000 | ||
Total Equity | 1,374,763 | $ 1,374,763 | 1,220,886 | $ 1,322,938 | $ 1,323,556 |
Investment Portfolio Segment | |||||
Segment Reporting Information [Line Items] | |||||
Total Assets | 5,386,586 | 5,635,657 | |||
Liabilities | 4,082,404 | 4,499,669 | |||
Total Equity | 1,304,182 | 1,135,988 | |||
Longbridge Segment | |||||
Segment Reporting Information [Line Items] | |||||
Total Assets | 8,557,559 | ||||
Liabilities | 8,390,816 | ||||
Total Equity | 166,743 | ||||
Corporate and Other | |||||
Segment Reporting Information [Line Items] | |||||
Total Assets | 167,380 | 222,720 | |||
Liabilities | 263,542 | 273,018 | |||
Total Equity | $ (96,162) | $ (50,298) |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | ||||||
May 08, 2023 | Apr. 10, 2023 | Feb. 06, 2023 | Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | ||
Subsequent Event [Line Items] | |||||||
Stock Issued During Period, Shares, New Issues | 4,433,861 | 2,185,000 | |||||
Preferred Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 | |||||
Common ATM Program | |||||||
Subsequent Event [Line Items] | |||||||
Stock Issued During Period, Shares, New Issues | 2,185,000 | ||||||
Proceeds from issuance of shares, net | $ 38,500 | ||||||
Commissions and offering costs | $ 600 | ||||||
Preferred ATM Program | |||||||
Subsequent Event [Line Items] | |||||||
Stock Issued During Period, Shares, New Issues | 20,421 | ||||||
Proceeds from issuance of shares, net | $ 500 | ||||||
Commissions and offering costs | $ 23 | ||||||
Series C Preferred Stock | |||||||
Subsequent Event [Line Items] | |||||||
Proceeds from issuance of shares, net | $ 96,500 | ||||||
Commissions and offering costs | $ 3,500 | ||||||
Common Stock | |||||||
Subsequent Event [Line Items] | |||||||
Stock Issued During Period, Shares, New Issues | [1] | 4,433,861 | 2,185,000 | ||||
Stock Issued During Period, Value, New Issues | [1] | $ 60,465 | $ 38,454 | ||||
Series C Preferred Stock | |||||||
Subsequent Event [Line Items] | |||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.001 | ||||||
Preferred Stock, Dividend Rate, Percentage | 8.625% | ||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | ||||||
Preferred Stock Dividend Rate Variable Rate Spread | 5.13% | ||||||
Subsequent Event [Member] | Common Stock | |||||||
Subsequent Event [Line Items] | |||||||
Dividend Per Share (USD per share) | $ 0.15 | $ 0.15 | |||||
Declared date | May 08, 2023 | Apr. 10, 2023 | |||||
Payment Date | Jun. 26, 2023 | May 25, 2023 | |||||
Record Date | May 31, 2023 | Apr. 28, 2023 | |||||
[1]Net of discounts and commissions and offering costs. |