Cover Page
Cover Page - shares | 6 Months Ended | |
Jun. 30, 2024 | Aug. 02, 2024 | |
Class of Stock [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Jun. 30, 2024 | |
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 | 86,930,047 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2024 | |
Document Fiscal Period Focus | Q2 | |
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, $0.001 par value per share | |
Trading Symbol | EFC | |
Security Exchange Name | NYSE | |
Series A Preferred Stock | ||
Class of Stock [Line Items] | ||
Title of 12(b) Security | 6.750% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | EFC PR A | |
Security Exchange Name | NYSE | |
Series B Preferred Stock | ||
Class of Stock [Line Items] | ||
Title of 12(b) Security | 6.250% Series B Fixed-Rate Reset Cumulative Redeemable Preferred Stock | |
Trading Symbol | EFC PR B | |
Security Exchange Name | NYSE | |
Series C Preferred Stock | ||
Class of Stock [Line Items] | ||
Title of 12(b) Security | 8.625% Series C Fixed-Rate Reset Cumulative Redeemable Preferred Stock | |
Trading Symbol | EFC PR C | |
Security Exchange Name | NYSE | |
Series D Preferred Stock | ||
Class of Stock [Line Items] | ||
Title of 12(b) Security | 7.000% Series D Cumulative Perpetual Redeemable Preferred Stock | |
Trading Symbol | EFC PRD | |
Security Exchange Name | NYSE | |
Series E Preferred Stock | ||
Class of Stock [Line Items] | ||
Title of 12(b) Security | 8.250% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | EFC PRE | |
Security Exchange Name | NYSE |
Consolidated Balance Sheet
Consolidated Balance Sheet - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 | ||
Assets | ||||
Cash and cash equivalents | [1] | $ 198,513 | $ 228,927 | |
Restricted cash | [1] | 6,098 | 1,618 | |
Securities, at fair value(1)(2) | [1],[2] | 1,127,684 | 1,518,377 | |
Loans, at fair value(1)(2) | [1],[2] | 12,846,106 | 12,306,636 | |
Loan commitments, at fair value | 5,623 | 2,584 | ||
Forward MSR-related investments, at fair value(1) | [1] | 158,031 | 163,336 | |
Mortgage servicing rights, at fair value | 29,538 | 29,580 | ||
Investments in unconsolidated entities, at fair value(1) | 163,182 | [1] | 116,414 | |
Real estate owned(1)(2) | [1],[2] | 25,248 | 22,085 | |
Financial derivatives—assets, at fair value | 162,165 | 143,996 | ||
Reverse repurchase agreements | 85,671 | 173,145 | ||
Due from brokers | 22,036 | 51,884 | ||
Investment related receivables(1) | [1] | 195,557 | 480,249 | |
Other assets(1) | [1] | 67,201 | 77,099 | |
Total Assets | 15,092,653 | 15,315,930 | ||
Liabilities | ||||
Securities sold short, at fair value | 51,858 | 154,303 | ||
Repurchase agreements(1) | [1] | 2,301,976 | 2,967,437 | |
Financial derivatives—liabilities, at fair value | 44,064 | 61,776 | ||
Due to brokers | 74,946 | 62,442 | ||
Investment related payables | 38,977 | 37,403 | ||
Other secured borrowings(1) | [1] | 217,225 | 245,827 | |
Other secured borrowings, at fair value(1) | [1] | 1,585,838 | 1,424,668 | |
HMBS-related obligations, at fair value | 8,832,058 | 8,423,235 | ||
Unsecured borrowings, at fair value | 269,069 | 272,765 | ||
Base management fee payable to affiliate | 5,811 | 5,660 | ||
Dividends payable | 15,158 | 11,528 | ||
Interest payable(1) | [1] | 17,174 | 22,933 | |
Accrued expenses and other liabilities(1) | [1] | 64,640 | 90,341 | |
Total Liabilities | 13,518,794 | 13,780,318 | ||
Commitments and contingencies | ||||
ANALYSIS OF EQUITY: | ||||
Preferred stock, par value $0.001 per share, 100,000,000 shares authorized; 14,757,222 and 14,757,222 shares issued and outstanding, and $368,931 and $368,931 aggregate liquidation preference, respectively | 355,551 | 355,551 | ||
Common stock, par value $0.001 per share, 300,000,000 and 200,000,000 shares authorized, respectively; 85,041,913 and 83,000,488 shares issued and outstanding, respectively | 85 | 83 | ||
Additional paid-in-capital | 1,541,002 | 1,514,797 | ||
Retained earnings (accumulated deficit) | (343,853) | (353,360) | ||
Total Stockholders' Equity | 1,552,785 | 1,517,071 | ||
Non-controlling interests(1) | [1] | 21,074 | 18,541 | |
Total Equity | 1,573,859 | 1,535,612 | ||
Total Liabilities and Equity | $ 15,092,653 | $ 15,315,930 | ||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 for additional details on the Company's borrowings and related collateral. |
Consolidated Balance Sheet (Par
Consolidated Balance Sheet (Parenthetical) - USD ($) | Jun. 30, 2024 | Dec. 31, 2023 |
Statement of Financial Position [Abstract] | ||
Common Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 |
Common stock, shares authorized | 300,000,000 | 200,000,000 |
Common stock, shares issued | 85,041,913 | 83,000,488 |
Common stock, shares outstanding | 85,041,913 | 83,000,488 |
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 | 14,757,222 | 14,757,222 |
Preferred Stock, Shares Outstanding | 14,757,222 | 14,757,222 |
Preferred Stock, Liquidation Preference, Value | $ 368,931 | $ 368,931 |
Consolidated Statement of Opera
Consolidated Statement of Operations - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | ||
Net Interest Income | |||||
Interest income | $ 100,470 | $ 88,092 | $ 201,990 | $ 175,266 | |
Interest expense | (66,874) | (63,433) | (137,338) | (123,050) | |
Total net interest income | 33,596 | 24,659 | 64,652 | 52,216 | |
Other Income (Loss) | |||||
Realized gains (losses) on securities and loans, net | (22,968) | (17,388) | (40,176) | (54,155) | |
Realized gains (losses) on financial derivatives, net | 6,313 | 29,780 | 9,791 | 4,333 | |
Realized gains (losses) on real estate owned, net | (1,877) | (1,245) | (3,249) | (1,301) | |
Unrealized gains (losses) on securities and loans, net | 40,271 | (11,383) | 45,844 | 87,874 | |
Unrealized gains (losses) on financial derivatives, net | 7,902 | 8,340 | 38,267 | 11,103 | |
Unrealized gains (losses) on real estate owned, net | 882 | 1,174 | 203 | 1,178 | |
Unrealized gains (losses) on other secured borrowings, at fair value, net | (1,516) | 12,152 | (14,040) | (17,528) | |
Unrealized gains (losses) on unsecured borrowings, at fair value | 1,868 | 0 | 3,696 | 6,510 | |
Net change from HECM reverse mortgage loans, at fair value | 146,706 | 32,120 | 352,202 | 195,241 | |
Net change related to HMBS obligations, at fair value | (127,672) | (24,576) | (305,654) | (156,110) | |
Other, net | 7,652 | 5,689 | 15,161 | 9,193 | |
Total other income (loss) | 57,561 | 34,663 | 102,045 | 86,338 | |
Expenses | |||||
Base management fee to affiliate (Net of fee rebates of $78, $111, $164, and $283, respectively)(1) | [1] | 5,811 | 4,913 | 11,541 | 9,869 |
Other investment related expenses | |||||
Servicing expense | 5,782 | 4,968 | 11,470 | 9,775 | |
Debt issuance costs related to Other secured borrowings, at fair value | 0 | 0 | 3,113 | 0 | |
Other | 5,305 | 4,422 | 9,740 | 8,291 | |
Professional fees | 2,438 | 6,351 | 5,407 | 9,907 | |
Compensation and benefits | 16,353 | 15,537 | 30,996 | 30,586 | |
Other expenses | 7,296 | 6,441 | 14,373 | 12,106 | |
Total expenses | 42,985 | 42,632 | 86,640 | 80,534 | |
Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities | 48,172 | 16,690 | 80,057 | 58,020 | |
Income tax expense (benefit) | 142 | 83 | 202 | 104 | |
Earnings (losses) from investments in unconsolidated entities | 12,042 | (5,868) | 14,268 | (2,424) | |
Net Income (Loss) | 60,072 | 10,739 | 94,123 | 55,492 | |
Net income (loss) attributable to non-controlling interests | 900 | 1,861 | 1,382 | 2,581 | |
Dividends on preferred stock | 6,825 | 5,980 | 13,479 | 11,097 | |
Net Income (Loss) Attributable to Common Stockholders | $ 52,347 | $ 2,898 | $ 79,262 | $ 41,814 | |
Net Income (Loss) per Share of Common Stock: | |||||
Basic and Diluted (USD per share) | $ 0.62 | $ 0.04 | $ 0.94 | $ 0.62 | |
[1] See Note 16 for further details on management fee rebates. |
Consolidated Statement of Ope_2
Consolidated Statement of Operations (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | ||
Consolidated Statement of Operations (Parenthetical) [Abstract] | |||||
Base management fee to affiliate (Net of fee rebates of $78, $111, $164, and $283, respectively)(1) | $ 78 | $ 111 | $ 164 | $ 283 | [1] |
Dividends declared (in usd per share) | $ 0.39 | $ 0.45 | $ 0.82 | $ 0.90 | |
Preferred Stock, Dividends Per Share, Declared | $ 2.50614 | $ 1.35156 | $ 4.81083 | $ 2.66719 | |
[1] See Note 16 for further details on management fee rebates. |
Consolidated Statement of Chang
Consolidated Statement of Changes in Equity - USD ($) $ in Thousands | Total | Total Stockholder's Equity | Common Stock | Additional Paid-in Capital | Retained Earnings/(Accumulated Deficit) | Non-controlling Interest | Common Stock | Common Stock Total Stockholder's Equity | Common Stock Common Stock | Common Stock Additional Paid-in Capital | Preferred Stock | Preferred Stock Total Stockholder's Equity | ||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||
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, Shares, New Issues | [1] | 4,433,861 | ||||||||||||
Stock Issued During Period, Value, New Issues | [1] | $ 60,465 | $ 60,465 | $ 4 | $ 60,461 | 96,488 | $ 96,488 | |||||||
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 | |||||||||||||
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 | ||||||||
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 | $ 55,492 | |||||||||||||
Stock Issued During Period, Shares, New Issues | 4,433,861 | |||||||||||||
Repurchase of shares of common stock (in shares) | 1,084,336 | |||||||||||||
Repurchase of shares of common stock | $ (12,400) | |||||||||||||
Ending balance (in shares) at Jun. 30, 2023 | 67,161,740 | 67,161,740 | ||||||||||||
Ending balance at Jun. 30, 2023 | $ 1,344,657 | 1,322,558 | $ 67 | 1,308,158 | (309,587) | 22,099 | ||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||
Dividends declared (in usd per share) | $ 0.90 | |||||||||||||
Preferred Stock, Dividends Per Share, Declared | $ 2.66719 | |||||||||||||
Preferred Stock, Value, Outstanding | 323,920 | |||||||||||||
Beginning balance (in shares) at Mar. 31, 2023 | 67,185,076 | 67,185,076 | ||||||||||||
Beginning 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 | ||||||||||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $ 10,739 | 8,878 | 8,878 | 1,861 | ||||||||||
Stock Issued During Period, Shares, New Issues | 0 | |||||||||||||
Contributions from non-controlling interests | $ 842 | 842 | ||||||||||||
Dividends | [2] | (30,590) | (30,223) | (30,223) | (367) | |||||||||
Dividends, Preferred Stock, Cash | [3] | (5,980) | (5,980) | (5,980) | ||||||||||
Distributions to non-controlling interests | $ (5,172) | (5,172) | ||||||||||||
Repurchase of shares of common stock (in shares) | 23,336 | 23,336 | ||||||||||||
Repurchase of shares of common stock | $ (280) | (280) | (280) | $ 0 | ||||||||||
Share-based long term incentive plan unit awards | $ 335 | 331 | 331 | 4 | ||||||||||
Ending balance (in shares) at Jun. 30, 2023 | 67,161,740 | 67,161,740 | ||||||||||||
Ending balance at Jun. 30, 2023 | $ 1,344,657 | 1,322,558 | $ 67 | 1,308,158 | (309,587) | 22,099 | ||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||
Dividends declared (in usd per share) | $ 0.45 | |||||||||||||
Preferred Stock, Dividends Per Share, Declared | $ 1.35156 | |||||||||||||
Preferred Stock, Value, Outstanding | 323,920 | |||||||||||||
Preferred Stock, Value, Outstanding | $ 355,551 | 355,551 | ||||||||||||
Beginning balance (in shares) at Dec. 31, 2023 | 83,000,488 | 83,000,488 | ||||||||||||
Beginning balance at Dec. 31, 2023 | $ 1,535,612 | 1,517,071 | $ 83 | 1,514,797 | (353,360) | 18,541 | ||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 34,051 | 33,569 | 33,569 | 482 | ||||||||||
Stock Issued During Period, Shares, New Issues | [1] | 2,103,725 | ||||||||||||
Stock Issued During Period, Value, New Issues | [1] | 26,856 | 26,856 | $ 2 | 26,854 | |||||||||
Contributions from non-controlling interests | 2,084 | 2,084 | ||||||||||||
Dividends | [2] | (36,936) | (36,589) | (36,589) | (347) | |||||||||
Dividends, Preferred Stock, Cash | [3] | (6,654) | (6,654) | (6,654) | ||||||||||
Distributions to non-controlling interests | (1,589) | (1,589) | ||||||||||||
Adjustment to non-controlling interests | (524) | (524) | 524 | |||||||||||
Repurchase of shares of common stock (in shares) | 47,565 | |||||||||||||
Repurchase of shares of common stock | (524) | (524) | (524) | $ 0 | ||||||||||
Share-based long term incentive plan unit awards | $ 256 | 254 | 254 | 2 | ||||||||||
Ending balance (in shares) at Mar. 31, 2024 | 85,056,648 | 85,056,648 | ||||||||||||
Ending balance at Mar. 31, 2024 | $ 1,553,156 | 1,533,459 | $ 85 | 1,540,857 | (363,034) | 19,697 | ||||||||
Beginning balance (in shares) at Dec. 31, 2023 | 83,000,488 | 83,000,488 | ||||||||||||
Beginning balance at Dec. 31, 2023 | $ 1,535,612 | 1,517,071 | $ 83 | 1,514,797 | (353,360) | 18,541 | ||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $ 94,123 | |||||||||||||
Stock Issued During Period, Shares, New Issues | 2,103,725 | |||||||||||||
Repurchase of shares of common stock (in shares) | 62,300 | |||||||||||||
Repurchase of shares of common stock | $ (700) | |||||||||||||
Ending balance (in shares) at Jun. 30, 2024 | 85,041,913 | 85,041,913 | ||||||||||||
Ending balance at Jun. 30, 2024 | $ 1,573,859 | 1,552,785 | $ 85 | 1,541,002 | (343,853) | 21,074 | ||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||
Dividends declared (in usd per share) | $ 0.82 | |||||||||||||
Preferred Stock, Dividends Per Share, Declared | $ 4.81083 | |||||||||||||
Preferred Stock, Value, Outstanding | 355,551 | |||||||||||||
Beginning balance (in shares) at Mar. 31, 2024 | 85,056,648 | 85,056,648 | ||||||||||||
Beginning balance at Mar. 31, 2024 | $ 1,553,156 | 1,533,459 | $ 85 | 1,540,857 | (363,034) | 19,697 | ||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $ 60,072 | 59,172 | 59,172 | 900 | ||||||||||
Stock Issued During Period, Shares, New Issues | 0 | 0 | [1] | |||||||||||
Stock Issued During Period, Value, New Issues | [1] | $ 0 | $ 0 | $ 0 | $ 0 | |||||||||
Contributions from non-controlling interests | $ 7,133 | 7,133 | ||||||||||||
Dividends | [2] | (33,492) | (33,166) | (33,166) | (326) | |||||||||
Dividends, Preferred Stock, Cash | [3] | (6,825) | (6,825) | (6,825) | ||||||||||
Distributions to non-controlling interests | $ (6,334) | (6,334) | ||||||||||||
Adjustment to non-controlling interests | (1) | (1) | 1 | |||||||||||
Repurchase of shares of common stock (in shares) | 14,735 | 14,735 | ||||||||||||
Repurchase of shares of common stock | $ (161) | (161) | (161) | $ 0 | ||||||||||
Share-based long term incentive plan unit awards | $ 310 | 307 | 307 | 3 | ||||||||||
Ending balance (in shares) at Jun. 30, 2024 | 85,041,913 | 85,041,913 | ||||||||||||
Ending balance at Jun. 30, 2024 | $ 1,573,859 | $ 1,552,785 | $ 85 | $ 1,541,002 | $ (343,853) | $ 21,074 | ||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||
Dividends declared (in usd per share) | $ 0.39 | |||||||||||||
Preferred Stock, Dividends Per Share, Declared | $ 2.50614 | |||||||||||||
Preferred Stock, Value, Outstanding | $ 355,551 | $ 355,551 | ||||||||||||
[1] Net of discounts and commissions and offering costs. For the three-month periods ended June 30, 2024 and 2023, dividends totaling $0.39 and $0.45, respectively, per share of common stock and convertible unit outstanding were declared. For the six-month periods ended June 30, 2024 and 2023, dividends totaling $0.82 and $0.90, respectively, per share of common stock and convertible unit outstanding were declared. For the three-month periods ended June 30, 2024 and 2023, dividends totaling $2.50614 and $1.35156, respectively, per share of preferred stock were declared. For the six-month periods ended June 30, 2024 and 2023, dividends totaling $4.81083 and $2.66719, respectively, per share of preferred stock were declared. |
Consolidated Statement of Cash
Consolidated Statement of Cash Flows - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | ||
Cash flows provided by (used in) operating activities: | |||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $ 94,123 | $ 55,492 | |
Realized (gains) losses on securities and loans, net | 40,176 | 54,155 | |
Realized (gains) losses on financial derivatives, net | (9,791) | (4,333) | |
Realized gains (losses) on real estate owned, net | 3,249 | 1,301 | |
Unrealized gains (losses) on securities and loans, net | (45,844) | (87,874) | |
Unrealized gains (losses) on financial derivatives, net | (38,267) | (11,103) | |
Unrealized gains (losses) on real estate owned, net | (203) | (1,178) | |
Net change related to HMBS obligations, at fair value | 305,654 | 156,110 | |
Earnings (losses) from investments in unconsolidated entities | (14,268) | 2,424 | |
Net cash provided by (used in) operating activities | (148,056) | (92,010) | |
Cash Flows from Investing Activities: | |||
Purchase of securities | (505,138) | (1,243,577) | |
Purchase and origination of loans | (1,790,386) | (1,452,192) | |
Proceeds from Sale of Forward MSR-related Investments | 15,491 | 0 | |
Capital improvements of real estate owned | 0 | (29) | |
Proceeds from disposition of securities | 938,798 | 1,130,556 | |
Proceeds from disposition of loans | 173,729 | 17,984 | |
Contributions to investments in unconsolidated entities | (53,968) | (44,555) | |
Distributions from investments in unconsolidated entities | 154,831 | 87,804 | |
Proceeds from disposition of real estate owned | 20,739 | 19,109 | |
Proceeds from FHA insurance claims and other receivables on HECM loans | 24,540 | 64,727 | |
Proceeds from principal payments of securities | 85,211 | 87,527 | |
Proceeds from principal payments of loans | 1,346,362 | 1,198,081 | |
Proceeds from securities sold short | 62,791 | 171,429 | |
Repurchase of securities sold short | (164,178) | (219,746) | |
Payments on financial derivatives | (117,798) | (157,895) | |
Proceeds from financial derivatives | 128,609 | 145,458 | |
Payments made on reverse repurchase agreements | (13,936,362) | (18,857,421) | |
Proceeds from reverse repurchase agreements | 14,023,105 | 18,901,283 | |
Due from brokers, net | 28,624 | 3,891 | |
Due to brokers, net | 27,471 | 12,299 | |
Net cash provided by (used in) investing activities | 469,261 | (135,267) | |
Cash flows provided by (used in) financing activities: | |||
Net proceeds from issuance of common stock | [1] | 26,903 | 60,611 |
Proceeds from Issuance of Preferred Stock and Preference Stock | [1] | 0 | 96,850 |
Offering costs paid | (505) | (501) | |
Payments for Repurchase of Common Stock | (685) | (12,352) | |
Dividends paid | (80,277) | (70,411) | |
Contributions from non-controlling interests | 8,798 | 1,829 | |
Distributions to non-controlling interests | (7,923) | (6,237) | |
Proceeds from issuance of other secured borrowings | 784,870 | 859,817 | |
Principal payments on other secured borrowings | (813,472) | (962,585) | |
Borrowings under repurchase agreements | 30,566,951 | 20,231,187 | |
Repayments of repurchase agreements | (30,928,401) | (20,141,555) | |
Proceeds from Issuance of Other Secured Borrowings, at fair value | 18,271 | 0 | |
Proceeds from issuance of HMBS | 650,724 | 728,139 | |
Principal payments on HMBS related obligations, at fair value | 560,014 | 587,784 | |
Due from brokers, net | 515 | 5,255 | |
Due to brokers, net | (12,894) | (658) | |
Net cash provided by (used in) financing activities | (347,139) | 201,605 | |
Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash | (25,934) | (25,672) | |
Cash, Cash Equivalents, and Restricted Cash, Beginning of Period | 230,545 | 221,869 | |
Cash, Cash Equivalents, and Restricted Cash, End of Period | 204,611 | 196,197 | |
Cash and Cash Equivalents, at Carrying Value | [2] | 198,513 | 194,595 |
Restricted cash | [2] | 6,098 | 1,602 |
Supplemental disclosure of cash flow information: | |||
Interest paid | 143,097 | 126,492 | |
Income tax paid | 260 | (470) | |
Dividends payable | 15,158 | 14,183 | |
Transfers from mortgage loans to real estate owned (non-cash) | 26,948 | 10,190 | |
Transfers from mortgage loans to other sales and claims receivable (non-cash) | 26,031 | 61,904 | |
Transfers from mortgage loans to investments in non-consolidated entities (non-cash) | 122,836 | 28,425 | |
Transfers from corporate loans to investments in unconsolidated entities (non-cash) | 0 | 665 | |
Contributions to investments in non-consolidated entities (non-cash) | (10,527) | (7,957) | |
Purchase of investments (non-cash) | (16,488) | (25,580) | |
Purchase of Loans Non Cash | 0 | 69,610 | |
Proceeds from the disposition of loans (non-cash) | 189,921 | 174,181 | |
Proceeds from principal payments of investments (non-cash) | 69,559 | 85,704 | |
Principal payments on Other secured borrowings, at fair value (non-cash) | (74,196) | (85,704) | |
Proceeds received from Other secured borrowings, at fair value (non-cash) | 144,218 | 0 | |
Proceeds from issuance of Other secured borrowings (non-cash) | 0 | 69,610 | |
Repayments of repurchase agreement (non-cash) | (304,011) | (141,453) | |
Transfers from corporate loans to investments in unconsolidated entities (non-cash) | 0 | 665 | |
Transfers from Securities to Corporate Loans (Non-Cash) | 500 | 0 | |
Transfers from Securities to Residential Mortgage Loans (Non-Cash) | 60 | 0 | |
Increase in cash resulting from consolidation of securitization trust, net | 6,790 | 0 | |
Other secured borrowings, at fair value assumed in consolidation of securitization trust (non-cash) | 58,195 | 0 | |
Loans acquired in consolidation of securitization trust, net (non-cash) | (52,368) | 0 | |
Proceeds from the disposition of loans (non-cash) | 189,921 | 174,181 | |
Proceeds from principal payments of investments (non-cash) | 69,559 | 85,704 | |
Principal payments on Other secured borrowings, at fair value (non-cash) | 74,196 | 85,704 | |
Proceeds received from Other secured borrowings, at fair value (non-cash) | $ 144,218 | $ 0 | |
[1] Net of discounts and commissions. Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Organization and Investment Obj
Organization and Investment Objective | 6 Months Ended |
Jun. 30, 2024 | |
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 99.2% 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. Additionally, on December 14, 2023, Arlington Asset Investment Corp., a Virginia corporation (“Arlington”), merged with and into EF Merger Sub Inc., a direct wholly-owned subsidiary of the Company, pursuant to the agreement and plan of merger (the “Arlington Merger Agreement”) which was entered into on May 29, 2023 (the “Arlington Merger”). |
Significant Accounting Policies
Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2024 | |
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, 2023. (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, loan purchase commitments, mortgage servicing rights, or "MSRs," Forward MSR-related investments, other secured borrowings, at fair value, HMBS-related obligations, at fair value, and Unsecured borrowings, 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 and Forward MSR-related investments. It determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. MSRs and Forward MSR-related investments are classified as Level 3. The Company has securitized certain mortgage loans, including residential mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Financial Protection Bureau, or "non-QM loans," and proprietary reverse mortgage loans. The Company's securitized loans, which include non-QM loans, certain European residential mortgage loans, and reverse mortgage 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 13 " Securitization Transactions, — Consolidated Residential Mortgage Loan Securitizations, — Residential Mortgage Loan Securitizations — European Residential Mortgage Loans, and — Proprietary Reverse 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 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 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 market pricing for instruments with similar characteristics in determining fair value. The valuation process incorporates 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. The Company has elected the FVO for loan purchase commitments related to certain residential mortgage loans, and uses the agreed-upon loan purchase price with adjustments made for interest rate and credit spread movements in determining fair value. The Company's loan purchase 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, corporate loans, and propriety reverse mortgage loans are included as a component of Unrealized gains (losses) on securities and loans, net. Changes in fair value on HECM reverse mortgage loans held-for-investment is included as a component of Net change from HECM 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 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, commercial, and proprietary reverse mortgage loans 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 HECM 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 HECM reverse mortgage loans, at fair value. For Forward MSR-related investments, the Company recognizes interest income based on the effective interest method. For purposes of estimating future expected cash flows, management uses various assumptions about the mortgage loans underlying the MSRs, including but not limited to the timing and amount of prepayments. 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 investments based on the updated expected future cash flows. Interest income on Forward MSR-related investments is included on the Condensed Consolidated Statement of Operations as a component of Interest Income. 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; MSRs can also be acquired in the secondary market. 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 Othe |
Valuation
Valuation | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024 and December 31, 2023: June 30, 2024: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value: Agency RMBS $ — $ 450,218 $ 7,482 $ 457,700 Non-Agency RMBS — 83,324 84,811 168,135 CMBS — 24,597 18,245 42,842 CLOs — 46,962 35,697 82,659 Asset-backed securities, backed by consumer loans — — 68,924 68,924 Other ABS — — 31,196 31,196 Corporate debt securities — — 15,066 15,066 Corporate equity securities 5,950 — 10,162 16,112 U.S. Treasury securities — 245,050 — 245,050 Loans, at fair value: Residential mortgage loans — — 3,101,615 3,101,615 Commercial mortgage loans — — 266,220 266,220 Consumer loans — — 949 949 Corporate loans — — 4,933 4,933 Reverse mortgage loans — — 9,472,389 9,472,389 Forward MSR-related investments, at fair value — — 158,031 158,031 MSRs, at fair value — — 29,538 29,538 Loan commitments, at fair value — — 5,623 5,623 Loan purchase commitments, at fair value — — 275 275 Investment in unconsolidated entities, at fair value — — 163,182 163,182 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities — — 8 8 Credit default swaps on asset-backed indices — 2,136 — 2,136 Credit default swaps on corporate bonds — 70 — 70 Credit default swaps on corporate bond indices — 6,387 — 6,387 Interest rate swaps — 151,492 — 151,492 Total return swaps — — 3 3 TBAs — 1,598 — 1,598 Warrants — 53 — 53 Futures 222 — — 222 Forwards — 196 — 196 Total assets $ 6,172 $ 1,012,083 $ 13,474,349 $ 14,492,604 Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Liabilities: Securities sold short, at fair value: Government debt $ — $ (51,858) $ — $ (51,858) Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed indices — (32) — (32) Credit default swaps on corporate bonds — (227) — (227) Credit default swaps on corporate bond indices — (16,722) — (16,722) Interest rate swaps — (21,413) — (21,413) TBAs — (810) — (810) Futures (4,860) — — (4,860) Forwards — — — — Servicing liability, at fair value — — (232) (232) Other secured borrowings, at fair value — — (1,585,838) (1,585,838) HMBS-related obligations, at fair value — — (8,832,058) (8,832,058) Unsecured borrowings, at fair value — — (269,069) (269,069) Total liabilities $ (4,860) $ (91,062) $ (10,687,197) $ (10,783,119) December 31, 2023: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value: Agency RMBS $ — $ 847,712 $ 5,512 $ 853,224 Non-Agency RMBS — 150,349 155,240 305,589 CMBS — 31,289 14,143 45,432 CLOs — 17,539 20,439 37,978 Asset-backed securities, backed by consumer loans — — 74,226 74,226 Other ABS — — 7,696 7,696 Corporate debt securities — — 8,041 8,041 Corporate equity securities 8,834 — 12,294 21,128 U.S. Treasury securities — 165,063 — 165,063 Loans, at fair value: Residential mortgage loans — — 3,093,912 3,093,912 Commercial mortgage loans — — 266,595 266,595 Consumer loans — — 1,759 1,759 Corporate loans — — 5,819 5,819 Reverse mortgage loans — — 8,938,551 8,938,551 Forward MSR-related investments, at fair value — — 163,336 163,336 MSRs, at fair value — — 29,580 29,580 Servicing asset, at fair value — — 1,327 1,327 Loan commitments, at fair value — — 2,584 2,584 Investment in unconsolidated entities, at fair value — — 116,414 116,414 Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities $ — $ — $ 8 $ 8 Credit default swaps on asset-backed indices — 3,318 — 3,318 Credit default swaps on corporate bonds — 25 — 25 Credit default swaps on corporate bond indices — 7,259 — 7,259 Interest rate swaps — 129,239 — 129,239 Total return swaps — — 6 6 TBAs — 2,182 — 2,182 Warrants — 1,702 — 1,702 Futures 245 — — 245 Forwards — 12 — 12 Total assets $ 9,079 $ 1,355,689 $ 12,917,482 $ 14,282,250 Liabilities: Securities sold short, at fair value: Government debt $ — $ (154,303) $ — $ (154,303) Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed indices — (32) — (32) Credit default swaps on corporate bonds — (225) — (225) Credit default swaps on corporate bond indices — (15,894) — (15,894) Interest rate swaps — (31,745) — (31,745) TBAs — (5,820) — (5,820) Futures (7,990) — — (7,990) Forwards — (70) — (70) Other secured borrowings, at fair value — — (1,424,668) (1,424,668) HMBS-related obligations, at fair value — — (8,423,235) (8,423,235) Unsecured borrowings, at fair value — — (272,765) (272,765) Total liabilities $ (7,990) $ (208,089) $ (10,120,668) $ (10,336,747) The tables below include roll-forwards of the Company's financial instruments for the three- and six-month periods ended June 30, 2024 and 2023 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Three-Month Period Ended June 30, 2024 (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 $ 6,722 $ (232) $ (33) $ (182) $ — $ — $ 1,302 $ (95) $ 7,482 Non-Agency RMBS 100,777 (540) (8,650) 15,412 16,898 (35,002) 998 (5,082) 84,811 CMBS 14,695 203 — (1,300) 4,069 — 578 — 18,245 CLOs 23,377 (866) (3,882) 1,477 61,855 (43,057) 2,500 (5,707) 35,697 Asset-backed securities backed by consumer loans 71,545 (1,755) (913) (481) 7,808 (7,280) — — 68,924 Other ABS 14,689 (214) — 2,003 15,401 (683) — — 31,196 Corporate debt securities 12,929 — (511) 50 4,252 (1,654) — — 15,066 Corporate equity securities 10,428 — (189) (50) 164 (191) — — 10,162 Loans, at fair value: Residential mortgage loans 3,160,176 (1,572) (2,970) 14,691 679,169 (747,879) — — 3,101,615 Commercial mortgage loans 294,100 — (43) 2,928 109,453 (140,218) — — 266,220 Consumer loans 1,289 (112) 53 (17) 31 (295) — — 949 Corporate loans 6,219 — — — 143 (1,429) — — 4,933 Reverse mortgage loans (3) 9,182,448 — — 152,146 421,712 (283,917) — — 9,472,389 Forward MSR-related investments, at fair value 160,009 3,646 — 1,330 — (6,954) — — 158,031 MSRs, at fair value (3) 29,889 — — (351) — — — — 29,538 Servicing asset, at fair value 324 — — (324) — — — — — Loan commitments, at fair value 3,917 — — 1,706 — — — — 5,623 Loan purchase commitments, at fair value — — — 275 — — — — 275 Investments in unconsolidated entities, at fair value 125,366 — 6,776 5,266 153,072 (127,298) — — 163,182 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 8 — (1) — 1 — — — 8 Total return swaps 6 — 17 (3) — (17) — — 3 Total assets, at fair value $ 13,218,913 $ (1,442) $ (10,346) $ 194,576 $ 1,474,028 $ (1,395,874) $ 5,378 $ (10,884) $ 13,474,349 Liabilities: Servicing liability, at fair value $ — $ — $ — $ (232) $ — $ — $ — $ — $ (232) Other secured borrowings, at fair value (1,569,149) 10 — (1,516) 43,012 (58,195) — — (1,585,838) Unsecured borrowings, at fair value (270,936) — — 1,867 — — — — (269,069) HMBS-related obligations, at fair value (8,619,463) — — (127,671) 273,098 (358,022) — — (8,832,058) Total liabilities, at fair value $ (10,459,548) $ 10 $ — $ (127,552) $ 316,110 $ (416,217) $ — $ — $ (10,687,197) (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 June 30, 2024, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2024. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2024. (In thousands) Three-Month Period Ended June 30, 2024 Securities, at fair value $ (3,622) Loans, at fair value 169,607 Forward MSR-related investments 1,330 MSRs (351) Servicing asset (liability) (556) Loan commitments 1,706 Loan purchase commitments 275 Investments in unconsolidated entities 2,949 Financial derivatives-assets (2) Other secured borrowings, at fair value (1,516) Unsecured borrowings, at fair value 1,867 HMBS-related obligations, at fair value (127,671) At June 30, 2024, the Company transferred $10.9 million of assets from Level 3 to Level 2 and $5.4 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. Three-Month Period Ended June 30, 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 $ 6,193 $ (322) $ (176) $ 3 $ 195 $ — $ 959 $ (1,497) $ 5,355 Non-Agency RMBS 156,277 (85) 1,035 (3,873) 1,134 (8,742) 29,517 (6,654) 168,609 CMBS 11,767 54 — (1,083) 2,126 — 2,016 (2,572) 12,308 CLOs 28,674 (229) 354 (954) 2,751 (10,863) — — 19,733 Asset-backed securities backed by consumer loans 72,200 (991) (6,787) 4,209 17,553 (9,045) — — 77,139 Corporate debt securities 8,347 — (832) 469 8,359 (6,710) — — 9,633 Corporate equity securities 11,102 — (4) 422 1,062 (1,846) — — 10,736 Loans, at fair value: Residential mortgage loans 3,024,744 (2,571) (2,938) (15,200) 359,090 (369,442) — — 2,993,683 Commercial mortgage loans 374,233 — — 4,254 27,225 (57,352) — — 348,360 Consumer loans 3,969 (230) (292) 210 151 (749) — — 3,059 Corporate loans 4,920 — 454 9 2,481 (1,332) — — 6,532 Reverse mortgage loans (3) 8,404,701 — — 39,393 424,893 (397,926) — — 8,471,061 MSRs, at fair value (3) 8,100 — — (627) — — — — 7,473 Servicing asset, at fair value 299 — — 1,005 — — — — 1,304 Loan commitments, at fair value 3,299 — — 501 — — — — 3,800 Investments in unconsolidated entities, at fair value 118,747 — (1,245) (4,623) 50,816 (45,275) — — 118,420 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 76 — — — — — — — 76 Total assets, at fair value $ 12,237,648 $ (4,374) $ (10,431) $ 24,115 $ 897,836 $ (909,282) $ 32,492 $ (10,723) $ 12,257,281 Liabilities: Other secured borrowings, at fair value $ (1,534,592) $ (261) $ — $ 12,152 $ 50,333 $ — $ — $ — $ (1,472,368) Unsecured borrowings, at fair value (185,325) — — — — — — — (185,325) HMBS-related obligations, at fair value (7,975,916) — — (24,577) 340,499 (395,294) — — (8,055,288) Total liabilities, at fair value $ (9,695,833) $ (261) $ — $ (12,425) $ 390,832 $ (395,294) $ — $ — $ (9,712,981) (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 June 30, 2023, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2023. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2023. (In thousands) Three-Month Period Ended June 30, 2023 Securities, at fair value $ (6,600) Loans, at fair value 28,198 MSRs (627) Servicing asset 1,005 Loan commitments 501 Investments in unconsolidated entities (6,713) Other secured borrowings, at fair value 12,152 HMBS-related obligations, at fair value (24,577) At June 30, 2023, the Company transferred $10.7 million of assets from Level 3 to Level 2 and $32.5 million of assets 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. Six-Month Period Ended June 30, 2024 (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 $ 5,512 $ (441) $ (32) $ (320) $ 315 $ (131) $ 2,673 $ (94) $ 7,482 Non-Agency RMBS 155,240 (1,502) (3,874) 20,616 20,755 (101,831) 2,320 (6,913) 84,811 CMBS 14,143 390 136 (643) 4,405 (1,097) 911 — 18,245 CLOs 20,439 (982) (3,616) 1,222 64,498 (45,497) 5,340 (5,707) 35,697 Asset-backed securities backed by consumer loans 74,226 (3,824) (2,266) 80 16,099 (15,391) — — 68,924 Other ABS 7,696 154 — 1,646 22,394 (694) — — 31,196 Corporate debt securities 8,041 — (477) 680 9,409 (2,587) — — 15,066 Corporate equity securities 12,294 — 549 (507) 164 (2,338) — — 10,162 Loans, at fair value: Residential mortgage loans 3,093,912 (1,824) (5,465) 20,776 1,195,243 (1,201,027) — — 3,101,615 Commercial mortgage loans 266,595 — (44) 1,818 215,409 (217,558) — — 266,220 Consumer loans 1,759 (234) 26 3 140 (745) — — 949 Corporate loans 5,819 — — (101) 729 (1,514) — — 4,933 Reverse mortgage loans (3) 8,938,551 — — 351,452 738,763 (556,377) — — 9,472,389 Forward MSR-related investments, at fair value 163,336 7,243 — 2,943 — (15,491) — — 158,031 MSRs, at fair value (3) 29,580 — — (42) — — — — 29,538 Servicing asset, at fair value 1,327 — — (1,327) — — — — — Loan commitments, at fair value 2,584 — — 3,039 — — — — 5,623 Loan purchase commitments, at fair value — — — 275 — — — — 275 Investments in unconsolidated entities, at fair value 116,414 — 7,948 6,320 187,331 (154,831) — — 163,182 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 8 — (1) — 1 — — — 8 Total return swaps 6 — 37 (3) — (37) — — 3 Total assets, at fair value $ 12,917,482 $ (1,020) $ (7,079) $ 407,927 $ 2,475,655 $ (2,317,146) $ 11,244 $ (12,714) $ 13,474,349 Liabilities: Servicing liability, at fair value $ — $ — $ — $ (232) $ — $ — $ — $ — $ (232) Other secured borrowings, at fair value (1,424,668) (642) — (14,040) 74,196 (220,684) — — (1,585,838) Unsecured borrowings, at fair value (272,765) — — 3,696 — — — — (269,069) HMBS-related obligations, at fair value (8,423,235) — — (305,654) 547,555 (650,724) — — (8,832,058) Total liabilities, at fair value $ (10,120,668) $ (642) $ — $ (316,230) $ 621,751 $ (871,408) $ — $ — $ (10,687,197) (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 June 30, 2024, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2024. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2024. (In thousands) Six-Month Period Ended June 30, 2024 Securities, at fair value $ 1,063 Loans, at fair value 373,679 Forward MSR-related investments 2,943 MSRs (42) Servicing asset (liability) (1,559) Loan purchase commitments 275 Loan commitments 3,039 Investments in unconsolidated entities 3,419 Financial derivatives-assets (3) Other secured borrowings, at fair value (14,040) Unsecured borrowings, at fair value 3,696 HMBS-related obligations, at fair value (305,654) At June 30, 2024, the Company transferred $12.7 million of assets from Level 3 to Level 2 and $11.2 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. Six-Month Period Ended June 30, 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 $ (641) $ (464) $ 421 $ 336 $ (964) $ 1,136 $ (1,496) $ 5,355 Non-Agency RMBS 132,502 101 1,926 (7,917) 28,889 (31,391) 51,229 (6,730) 168,609 CMBS 12,649 103 — (2,488) 2,127 — 2,742 (2,825) 12,308 CLOs 24,598 (64) 239 (2,232) 728 (6,874) 3,338 — 19,733 Asset-backed securities backed by consumer loans 73,644 (2,318) (6,709) 2,137 29,693 (19,308) — — 77,139 Corporate debt securities 7,533 — (1,089) 740 11,253 (8,804) — — 9,633 Corporate equity securities 11,111 — (3) 381 1,094 (1,847) — — 10,736 Loans, at fair value: Residential mortgage loans 3,115,518 (4,232) (8,526) 38,444 679,302 (826,823) — — 2,993,683 Commercial mortgage loans 404,324 — (1) 4,594 63,445 (124,002) — — 348,360 Consumer loans 4,843 (476) (196) (44) 451 (1,519) — — 3,059 Corporate loans 4,086 — 354 10 3,417 (1,335) — — 6,532 Reverse mortgage loans (3) 8,097,237 — (4) 210,961 845,371 (682,504) — — 8,471,061 MSRs, at fair value (3) 8,108 — — (635) — — — — 7,473 Servicing asset, at fair value 999 — — 305 — — — — 1,304 Loan commitments, at fair value 3,060 — — 740 — — — — 3,800 Investments in unconsolidated entities, at fair value 127,046 — 227 (2,651) 81,602 (87,804) — — 118,420 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 $ (7,527) $ (14,245) $ 242,766 $ 1,747,708 $ (1,793,176) $ 58,445 $ (11,051) $ 12,257,281 Liabilities: Other secured borrowings, at fair value $ (1,539,881) $ (664) $ — $ (17,527) $ 85,704 $ — $ — $ — $ (1,472,368) Unsecured borrowings, at fair value (191,835) — — 6,510 — — — — (185,325) HMBS-related obligations, at fair value (7,787,155) — — (156,111) 616,117 (728,139) — — (8,055,288) Total liabilities, at fair value $ (9,518,871) $ (664) $ — $ (167,128) $ 701,821 $ (728,139) $ — $ — $ (9,712,981) (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 June 30, 2023, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2023. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2023. (In thousands) Six-Month Period Ended June 30, 2023 Securities, at fair value $ (11,999) Loans, at fair value 42,663 MSRs, at fair value (635) Servicing asset, at fair value 305 Loan commitments, at fair value 740 Investments in unconsolidated entities, at fair value (8,793) Other secured borrowings, at fair value (17,527) Unsecured borrowings, at fair value 6,510 HMBS-related obligations, at fair value (156,111) At June 30, 2023, the Company transferred $11.1 million of assets from Level 3 to Level 2 and $58.4 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 (In thousands) Fair Value Carrying Value Fair Value Carrying Value Other financial instruments Assets: Cash and cash equivalents $ 198,513 $ 198,513 $ 228,927 $ 228,927 Restricted cash 6,098 6,098 1,618 1,618 Due from brokers 22,036 22,036 51,884 51,884 Reverse repurchase agreements 85,671 85,671 173,145 173,145 Liabilities: Repurchase agreements 2,301,976 2,301,976 2,967,437 2,967,437 Other secured borrowings 217,225 217,225 245,827 245,827 Due to brokers 74,946 74,946 62,442 62,442 Cash and cash equivalents generally includes cash held in interest bearing overnight accounts, for which fair value equals the carrying value, and investments which are liquid in nature, such as investments in money market accounts or U.S. Treasury Bills, for which fair value equals the carrying value; such assets are considered Level 1. Restricted cash includes cash held in a segregated account for which fair value equals the carrying value; such assets are considered Level 1. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items is approximated by carrying value and such items are considered Level 1. The Company's reverse repurchase agreements, repurchase agreements, and other secured borrowings are carried at cost, which approximates fair value due to their short term nature. Reverse repurchase agreements, repurchase agreements, and other secured borrowings are classified as Level 2 based on the adequacy of the collateral and their short term nature. The following table identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2024: June 30, 2024: Fair Value Valuation Unobservable Input Range Weighted Description Min Max (In thousands) Non-Agency RMBS $ 37,298 Market Quotes Non Binding Third-Party Valuation $ 0.85 $ 124.93 $ 70.54 47,513 Discounted Cash Flows 84,811 Yield 0.0 % 99.9 % 11.6 % Projected Collateral Prepayments 0.0 % 100.0 % 44.1 % Projected Collateral Losses 0.0 % 62.6 % 13.9 % Projected Collateral Recoveries 0.0 % 43.8 % 11.1 % Non-Agency CMBS 15,238 Market Quotes Non Binding Third-Party Valuation $ 5.31 $ 96.91 $ 54.94 3,007 Discounted Cash Flows 18,245 Yield 7.7 % 23.4 % 13.3 % Projected Collateral Losses 0.0 % 80.0 % 4.8 % Projected Collateral Recoveries 20.0 % 100.0 % 94.2 % CLOs 23,149 Market Quotes Non Binding Third-Party Valuation $ 13.51 $ 100.00 $ 67.25 12,548 Discounted Cash Flows 35,697 Yield 10.8 % 220.3 % 19.1 % Agency interest only RMBS 2,281 Market Quotes Non Binding Third-Party Valuation $ 2.66 $ 19.34 $ 11.66 5,201 Option Adjusted Spread ("OAS") 7,482 LIBOR OAS (1) 53 3,287 431 Projected Collateral Prepayments 15.6 % 100.0 % 55.1 % ABS 22,669 Market Quotes $ 4.58 $ 84.50 $ 68.51 77,451 Discounted Cash Flows 100,120 Yield 8.9 % 28.0 % 12.9 % Projected Collateral Prepayments 0.0 % 82.9 % 18.1 % Projected Collateral Losses 0.0 % 34.8 % 19.2 % Corporate debt and equity 25,228 Discounted Cash Flows Yield 0.0 % 47.1 % 14.4 % Performing and re-performing residential mortgage loans 1,442,025 Discounted Cash Flows Yield 0.4 % 75.2 % 9.1 % Securitized residential mortgage loans (2)(3) 1,423,657 Market Quotes Non Binding Third-Party Valuation $ 24.97 $ 100.65 $ 87.95 122,345 Discounted Cash Flows 1,546,002 Yield 2.5 % 14.9 % 5.0 % Non-performing residential mortgage loans 113,588 Discounted Cash Flows Yield 3.7 % 47.3 % 17.9 % Recovery Amount 14.7 % 140.3 % 103.7 % Months to Resolution 7.1 138.4 21.2 Performing commercial mortgage loans 216,740 Discounted Cash Flows Yield 9.7 % 12.9 % 11.4 % Non-performing commercial mortgage loans 49,480 Discounted Cash Flows Yield — % 20.3 % 15.0 % Recovery Amount 60.2 % 103.2 % 90.3 % Months to Resolution 3.1 8.0 6.5 Fair Value Valuation Unobservable Input Range Weighted Description Min Max (continued) (In thousands) Consumer loans 949 Discounted Cash Flows Yield 8.8 % 15.5 % 11.6 % Projected Collateral Prepayments — % 13.8 % 5.5 % Projected Collateral Losses 0.3 % 71.2 % 20.1 % Corporate loans 4,933 Discounted Cash Flows Yield 6.9 % 28.5 % 13.4 % Reverse Mortgage Loans—HECM 9,011,953 Discounted Cash Flows Yield 2.2 % 6.9 % 4.6 % Conditional Prepayment Rate 1.7 % 42.9 % 7.4 % Reverse Mortgage Loans—HECM buyouts 14,957 Discounted Cash Flows Yield 7.7 % 14.1 % 11.0 % Months to Resolution 1.0 60.0 27.0 Reverse Mortgage Loans—Unsecuritized Proprietary 264,406 Discounted Cash Flows Yield 7.5 % 9.0 % 8.4 % Conditional Prepayment Rate 12.2 % 51.3 % 15.0 % Reverse Mortgage Loans—Securitized Proprietary 181,073 Market Quotes Non Binding Third-Party Valuation $ 88.00 $ 105.00 $ 103.70 Yield 6.9 % 10.2 % 7.1 % Forward MSR-related investments 158,031 Discounted Cash Flows Yield 9.8 % 9.8 % 9.8 % Conditional Prepayment Rate 6.2 % 6.2 % 6.2 % MSRs 29,538 Discounted Cash Flows Yield 17.4 % 17.4 % 17.4 % Conditional Prepayment Rate 11.7 % 54.0 % 14.2 % Servicing Liability (232) Discounted Cash Flows Yield 15.0 % 15.0 % 15.0 % Loan Purchase Commitments 275 Transaction Price Yield 7.6 % 7.8 % 7.7 % Loan Commitments 5,623 Discounted Cash Flows Pull-through rate 61.7 % 100.0 % 71.6 % Cost to originate 3.3 % 7.8 % 5.2 % Investment in unconsolidated entities—Loan origination entities 33,589 Enterprise Value Equity Price-to-Book (4) 1.2x 1.5x 1.3x Investment in unconsolidated entities—Other 129,593 Enterprise Value Net Asset Value n/a n/a n/a 163,182 Total return swaps 3 Discounted Cash Flows Yield 0.0 % 0.0 % 0.0 % Credit default swaps on asset-backed securities 8 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 (2) (1,585,838) Market Quotes Non Binding Third-Party Valuation $ 50.00 $ 100.65 $ 88.20 Yield 5.9% 9.9% 6.6% Projected Collateral Prepayments 9.5% 100.0% 96.3% HMBS-related obligations, at fair value (8,832,058) Discounted Cash Flows Yield 2.1% 6.8% 4.5% Conditional Prepayment Rate 6.6% 42.9% 7.4% Unsecured borrowings, at fair value (269,069) Market Quotes Non Binding Third-Party Valuation $ 73.88 $ 97.40 $ 90.54 (1) Shown in basis points. (2) Securitized residential mortgage loans, Reverse Mortgage Loans—Securitized Proprietary, and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2. (3) Includes $47.5 million of non-performing securitized residential mortgage loans. (4) 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 price-to-book ratio, excludes investments in unconsolidated entities with a total fair value of $2.9 million. Including such investments the weighted average price-to-book ratio was 1.6x. Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's or third-party 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 (which are calculated by using an assumed spread over projected SOFR 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. |
Investment in Securities
Investment in Securities | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024 and December 31, 2023. June 30, 2024: Gross Unrealized Weighted Average ($ in thousands) Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon (1)(2) Yield Life (Years) (3) Long: Agency RMBS: 15-year fixed-rate mortgages $ 30,438 $ 162 $ 30,600 $ — $ (2,144) $ 28,456 2.76 % 2.60 % 3.01 30-year fixed-rate mortgages 415,601 (2,224) 413,377 823 (28,971) 385,229 4.17 % 4.04 % 7.03 Reverse mortgages 32,256 3,361 35,617 261 (2,025) 33,853 6.15 % 3.56 % 4.77 Interest only securities n/a n/a 9,880 946 (664) 10,162 1.27 % 11.99 % 5.75 Non-Agency RMBS 206,214 (77,068) 129,146 12,452 (8,447) 133,151 6.05 % 9.36 % 5.08 CMBS 82,455 (30,250) 52,205 1,151 (13,062) 40,294 4.12 % 10.16 % 4.83 Non-Agency interest only securities n/a n/a 32,026 6,350 (844) 37,532 0.16 % 13.48 % 7.75 CLOs n/a n/a 88,334 1,914 (7,589) 82,659 2.91 % 12.05 % 5.89 ABS 230,253 (200,939) 29,314 1,943 (61) 31,196 2.91 % 18.54 % 3.34 ABS backed by consumer loans 152,082 (73,313) 78,769 1,381 (11,226) 68,924 12.00 % 10.24 % 1.59 Corporate debt 44,540 (30,443) 14,097 1,461 (492) 15,066 — % — % 2.02 Corporate equity n/a n/a 21,441 1,318 (6,647) 16,112 n/a n/a n/a U.S. Treasury securities 244,883 2,080 246,963 220 (2,133) 245,050 4.34 % 4.08 % 7.24 Total Long 1,438,722 (408,634) 1,181,769 30,220 (84,305) 1,127,684 4.98 % 6.60 % 6.01 Short: U.S. Treasury securities (27,400) 261 (27,139) 1,062 — (26,077) 2.64 % 2.98 % 2.84 European sovereign bonds (26,405) (1,326) (27,731) 1,950 — (25,781) 0.01 % 0.15 % 0.69 Total Short (53,805) (1,065) (54,870) 3,012 — (51,858) 1.35 % 1.55 % 1.77 Total $ 1,384,917 $ (409,699) $ 1,126,899 $ 33,232 $ (84,305) $ 1,075,826 4.84 % 6.37 % 5.82 (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) Total long, total short, and total weighted average coupon exclude interest only securities, CLOs, and corporate equity. (3) 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, 2023: Gross Unrealized Weighted Average ($ in thousands) Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon (1)(2) Yield Life (Years) (3) Long: Agency RMBS: 15-year fixed-rate mortgages $ 57,987 $ 252 $ 58,239 $ 22 $ (4,225) $ 54,036 2.58 % 2.42 % 3.48 20-year fixed-rate mortgages 2,368 114 2,482 — (404) 2,078 2.29 % 1.48 % 6.25 30-year fixed-rate mortgages 783,123 (6,744) 776,379 4,313 (38,595) 742,097 4.04 % 4.04 % 6.61 Adjustable rate mortgages 5,252 568 5,820 — (690) 5,130 3.81 % 2.09 % 4.42 Reverse mortgages 36,196 3,928 40,124 34 (2,987) 37,171 5.37 % 3.55 % 4.76 Interest only securities n/a n/a 11,891 1,320 (499) 12,712 1.08 % 13.18 % 5.36 Non-Agency RMBS 427,431 (139,654) 287,777 11,369 (29,672) 269,474 5.07 % 8.96 % 4.73 CMBS 74,591 (20,389) 54,202 349 (11,780) 42,771 4.87 % 8.93 % 4.72 Non-Agency interest only securities n/a n/a 35,214 6,212 (2,650) 38,776 0.17 % 14.57 % 7.46 CLOs n/a n/a 44,939 1,873 (8,834) 37,978 2.27 % 11.81 % 4.46 ABS 16,416 (8,956) 7,460 256 (20) 7,696 7.16 % 13.85 % 2.49 ABS backed by consumer loans 151,310 (67,159) 84,151 1,577 (11,502) 74,226 12.00 % 11.38 % 1.50 Corporate debt 30,944 (23,191) 7,753 579 (291) 8,041 — % — % 1.93 Corporate equity n/a n/a 23,066 1,851 (3,789) 21,128 n/a n/a n/a U.S. Treasury securities 212,433 (49,289) 163,144 2,415 (496) 165,063 4.25 % 4.01 % 7.43 Total Long 1,798,051 (310,520) 1,602,641 32,170 (116,434) 1,518,377 4.95 % 5.99 % 5.80 Short: U.S. Treasury securities (130,121) 533 (129,588) 2,094 (619) (128,113) 3.47 % 3.61 % 1.88 European sovereign bonds (27,159) (557) (27,716) 1,526 — (26,190) 0.01 % 0.15 % 1.20 Total Short (157,280) (24) (157,304) 3,620 (619) (154,303) 2.87 % 3.00 % 1.77 Total $ 1,640,771 $ (310,544) $ 1,445,337 $ 35,790 $ (117,053) $ 1,364,074 4.78 % 5.71 % 5.42 (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) Total long, total short, and total weighted average coupon excludes interest only securities, CLOs, and corporate equity. (3) 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 June 30, 2024 and December 31, 2023. June 30, 2024: ($ 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 $ 41,219 $ 41,689 5.08 % $ 986 $ 1,122 0.80 % Greater than three years and less than seven years 159,805 167,299 5.29 % 5,774 5,650 1.46 % Greater than seven years and less than eleven years 246,514 270,606 3.45 % 3,142 2,822 1.68 % Greater than eleven years — — — % 260 286 0.68 % Total $ 447,538 $ 479,594 4.21 % $ 10,162 $ 9,880 1.27 % (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, 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 $ 89,649 $ 89,955 5.39 % $ 1,541 $ 1,546 0.57 % Greater than three years and less than seven years 346,074 360,574 4.49 % 8,227 7,601 1.77 % Greater than seven years and less than eleven years 404,789 432,515 3.30 % 2,676 2,448 1.84 % Greater than eleven years — — — % 268 296 0.68 % Total $ 840,512 $ 883,044 3.99 % $ 12,712 $ 11,891 1.08 % (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 June 30, 2024 and December 31, 2023. June 30, 2024: ($ 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 $ 65,054 $ 66,591 4.97 % $ 3,755 $ 3,765 0.12 % $ 98,311 $ 109,950 5.76 % Greater than three years and less than seven years 62,157 57,730 7.16 % 9,235 9,741 0.16 % 183,317 184,759 3.96 % Greater than seven years and less than eleven years 39,211 49,480 4.50 % 24,220 18,274 0.16 % 161,267 162,768 3.72 % Greater than eleven years 7,023 7,550 7.09 % 322 246 1.24 % — — — % Total $ 173,445 $ 181,351 5.50 % $ 37,532 $ 32,026 0.16 % $ 442,895 $ 457,477 4.61 % (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, 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, 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 $ 116,076 $ 117,707 4.41 % $ 3,885 $ 4,535 0.10 % $ 99,770 $ 114,709 6.02 % Greater than three years and less than seven years 131,314 135,591 7.05 % 11,014 11,343 0.28 % 106,529 107,727 5.13 % Greater than seven years and less than eleven years 58,741 74,401 5.04 % 23,555 19,072 0.15 % 86,705 85,011 4.12 % Greater than eleven years 6,114 14,280 0.38 % 322 264 1.25 % — — — % Total $ 312,245 $ 341,979 5.04 % $ 38,776 $ 35,214 0.17 % $ 293,004 $ 307,447 5.40 % (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- and six-month periods ended June 30, 2024 and 2023: Three-Month Period Ended (In thousands) June 30, 2024 June 30, 2023 Security Type Coupon Interest Net Amortization Interest Income Coupon Interest Net Amortization Interest Income Agency RMBS $ 6,731 $ 128 $ 6,859 $ 9,503 $ (1,687) $ 7,816 Non-Agency RMBS and CMBS 6,118 (557) 5,561 7,387 (202) 7,185 CLOs 3,728 (1,104) 2,624 880 (206) 674 Other securities (1) 7,780 (3,077) 4,703 5,640 (1,021) 4,619 Total $ 24,357 $ (4,610) $ 19,747 $ 23,410 $ (3,116) $ 20,294 (1) Other securities includes ABS, corporate debt securities, and U.S. Treasury securities. Six-Month Period Ended (In thousands) June 30, 2024 June 30, 2023 Security Type Coupon Interest Net Amortization Interest Income Coupon Interest Net Amortization Interest Income Agency RMBS $ 15,797 $ (1,870) $ 13,927 $ 18,852 $ (3,916) $ 14,936 Non-Agency RMBS and CMBS 14,805 (1,407) 13,398 13,818 (41) 13,777 CLOs 5,614 (1,480) 4,134 1,833 (18) 1,815 Other securities (1) 14,904 (5,735) 9,169 11,483 (2,395) 9,088 Total $ 51,120 $ (10,492) $ 40,628 $ 45,986 $ (6,370) $ 39,616 (1) Other securities includes ABS, corporate debt securities, and U.S. Treasury securities. For the three-month periods ended June 30, 2024 and 2023 the Catch-Up Amortization Adjustment was $0.7 million and $(0.5) million, respectively. For the six-month periods ended June 30, 2024 and 2023 the Catch-Up Amortization Adjustment was $(0.6) million and $(1.0) million, respectively. The following tables present proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three- and six-month periods ended June 30, 2024 and 2023. (In thousands) Three-Month Period Ended June 30, 2024 Three-Month Period Ended June 30, 2023 Security Type Proceeds (1) Gross Realized Gains Gross Realized Losses (2) Net Realized Gain (Loss) Proceeds (1) Gross Realized Gains Gross Realized Losses (2) Net Realized Gain (Loss) Agency RMBS $ 181,602 $ 90 $ (14,251) $ (14,161) $ 182,522 $ 65 $ (14,517) $ (14,452) Non-Agency RMBS and CMBS 105,021 1,783 (6,712) (4,929) 14,042 1,345 (50) 1,295 CLOs 42,843 98 (1) 97 — 354 — 354 Other securities (3) 93,649 264 (1,337) (1,073) 436,139 1,843 (1,777) 66 Total $ 423,115 $ 2,235 $ (22,301) $ (20,066) $ 632,703 $ 3,607 $ (16,344) $ (12,737) (1) Includes proceeds on sales of securities not yet settled as of period end. (2) Excludes realized losses of $(1.1) million and $(2.7) million for the three-month periods ended June 30, 2024 and 2023, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities cost basis to be uncollectible. (3) Other securities includes ABS backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. (In thousands) Six-Month Period Ended June 30, 2024 Six-Month Period Ended June 30, 2023 Security Type Proceeds (1) Gross Realized Gains Gross Realized Losses (2) Net Realized Gain (Loss) Proceeds (1) Gross Realized Gains Gross Realized Losses (2) Net Realized Gain (Loss) Agency RMBS $ 418,204 $ 1,154 $ (27,469) $ (26,315) $ 388,026 $ 852 $ (40,844) $ (39,992) Non-Agency RMBS and CMBS 217,814 8,560 (7,540) 1,020 41,230 2,429 (65) 2,364 CLOs 45,155 486 (123) 363 — 442 — 442 Other securities (3) 148,919 1,626 (1,793) (167) 710,195 2,163 (3,526) (1,363) Total $ 830,092 $ 11,826 $ (36,925) $ (25,099) $ 1,139,451 $ 5,886 $ (44,435) $ (38,549) (1) Includes proceeds on sales of securities not yet settled as of period end. (2) Excludes realized losses of $(10.8) million and $(8.4) million for the six-month period ended June 30, 2024 and 2023, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities cost basis to be uncollectible. (3) Other securities includes ABS, 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 basis, by length of time that such securities have been in an unrealized loss position at June 30, 2024 and December 31, 2023. June 30, 2024: (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 $ 78,561 $ (1,169) $ 262,276 $ (31,839) $ 340,837 $ (33,008) Non-Agency RMBS and CMBS 23,031 (1,658) 5,530 (1,641) 28,561 (3,299) CLOs 29,313 (1,164) 2,995 (1,142) 32,308 (2,306) Other securities (1) 220,957 (7,339) 1,258 (1,456) 222,215 (8,795) Total $ 351,862 $ (11,330) $ 272,059 $ (36,078) $ 623,921 $ (47,408) (1) Other securities includes ABS and corporate debt and equity securities. December 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 $ 125,112 $ (730) $ 426,834 $ (45,854) $ 551,946 $ (46,584) Non-Agency RMBS and CMBS 10,301 (200) 14,195 (882) 24,496 (1,082) CLOs 7,152 (69) 5 — 7,157 (69) Other securities (1) 15,930 (2,276) 10,958 (2,029) 26,888 (4,305) Total $ 158,495 $ (3,275) $ 451,992 $ (48,765) $ 610,487 $ (52,040) (1) Other securities includes ABS and 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 June 30, 2024 and December 31, 2023, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $23.4 million and $32.6 million, respectively, related to adverse changes in estimated future cash flows on its securities. Certain of the Company's securities, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination and the Company has established an initial estimate for credit losses on such securities; as of December 31, 2023, the estimated credit losses on such securities was $1.1 million; no such securities were held at June 30, 2024. The Company has determined for certain securities that a portion of such securities' cost basis is not collectible. For the three-month periods ended June 30, 2024 and 2023, the Company recognized realized losses on these securities of $(1.1) million and $(2.7) million, respectively. For the six-month periods ended June 30, 2024 and 2023, the Company recognized realized losses on these securities of $(10.8) million and $(8.4) 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 | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024 and December 31, 2023: (In thousands) June 30, 2024 December 31, 2023 Loan Type Unpaid Principal Balance Fair Unpaid Principal Balance Fair Residential mortgage loans $ 3,301,036 $ 3,101,615 $ 3,305,757 $ 3,093,912 Commercial mortgage loans 277,254 266,220 281,531 266,595 Consumer loans 1,124 949 2,081 1,759 Corporate loans 5,773 4,933 6,379 5,819 Reverse mortgage loans 9,015,645 9,472,389 8,568,271 8,938,551 Total $ 12,600,832 $ 12,846,106 $ 12,164,019 $ 12,306,636 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 the 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 June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 (In thousands) Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value 90 days or more past due—non-accrual status Residential mortgage loans $ 216,799 $ 205,277 $ 127,685 $ 120,087 Commercial mortgage loans 60,236 49,479 47,736 33,314 Consumer loans 56 36 94 66 Residential Mortgage Loans The tables below detail certain information regarding the Company's residential mortgage loans as of June 30, 2024 and December 31, 2023. June 30, 2024: 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) $ 3,301,036 $ 30,646 $ 3,331,682 $ 4,886 $ (234,953) $ 3,101,615 7.46 % 7.00 % 4.49 (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 $1.494 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $(211.0) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 13 for additional information. December 31, 2023: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Gains Losses Fair Value Coupon Yield Life (Years) (1) Residential mortgage loans, held-for-investment (2) $ 3,305,757 $ 37,831 $ 3,343,588 $ 5,554 $ (255,230) $ 3,093,912 7.17 % 6.77 % 4.17 (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 $1.555 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $(228.0) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 13 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 June 30, 2024 and December 31, 2023: Property Location June 30, 2024 December 31, 2023 North America: United States: California 31.3 % 32.2 % Florida 21.6 % 21.4 % Texas 8.8 % 9.5 % Utah 2.9 % 3.2 % Pennsylvania 2.7 % 2.7 % Arizona 2.7 % 2.7 % Georgia 2.5 % 2.6 % New Jersey 2.2 % 2.1 % North Carolina 2.1 % 2.2 % Washington 2.0 % 1.8 % Illinois 1.9 % 1.8 % Colorado 1.6 % 1.5 % Nevada 1.4 % 1.5 % New York 1.4 % 1.2 % Massachusetts 1.4 % 1.5 % Tennessee 1.3 % 1.5 % Oregon 1.3 % 1.2 % Other 9.2 % 9.4 % 98.3 % 100.0 % Europe: United Kingdom 1.7 % — % 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 June 30, 2024 and December 31, 2023. June 30, 2024 December 31, 2023 (In thousands) Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value Re-performing $ 53,193 $ 52,906 $ 4,252 $ 3,761 Non-performing 173,310 161,137 127,085 119,524 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 June 30, 2024 and December 31, 2023, 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 $20.0 million and $17.2 million, respectively, related to its residential mortgage loans. As of June 30, 2024 and December 31, 2023, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $121.7 million and $85.6 million, respectively. Commercial Mortgage Loans The tables below detail certain information regarding the Company's commercial mortgage loans as of June 30, 2024 and December 31, 2023: June 30, 2024: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield (1) Life (Years) (2) Commercial mortgage loans, held-for-investment $ 277,254 $ (8,788) $ 268,466 $ 4,913 $ (7,159) $ 266,220 11.03 % 11.40 % 1.04 (1) Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $49.5 million. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2023: Gross Unrealized Weighted Average ($ 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 $ 281,531 $ (13,648) $ 267,883 $ — $ (1,288) $ 266,595 11.44 % 11.45 % 0.79 (1) Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $33.3 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 June 30, 2024 and December 31, 2023: Property Location by U.S. State June 30, 2024 December 31, 2023 Illinois 20.5 % 18.6 % Florida 16.5 % 13.9 % Texas 9.5 % 15.6 % New York 7.1 % 8.9 % Connecticut 6.7 % 3.2 % Georgia 6.4 % 5.3 % Ohio 5.6 % 5.5 % Michigan 4.5 % 4.5 % Pennsylvania 4.4 % — % Colorado 4.2 % — % Arizona 3.1 % 7.5 % North Carolina 2.8 % 2.7 % Alabama 2.4 % 2.3 % Louisiana 2.3 % 2.2 % New Jersey 2.2 % 3.8 % Indiana 1.0 % — % Oklahoma — % 6.0 % Other 0.8 % — % 100.0 % 100.0 % As of June 30, 2024, the Company had four non-performing commercial mortgage loans with an unpaid principal balance and fair value of $60.2 million and $49.5 million, respectively. As of December 31, 2023, the Company had three non- performing commercial mortgage loans with an unpaid principal balance and fair value of $47.7 million and $33.3 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 June 30, 2024 and December 31, 2023, the expected future credit losses, which the Company tracks for purposes of calculating interest income, of $7.2 million and $1.3 million, related to adverse changes in estimated future cash flows on its commercial mortgage loans. As of December 31, 2023, the Company had two commercial mortgage loans in the process of foreclosure; such loans had an unpaid principal balance and fair value of $25.9 million and $25.1 million, respectively. The Company did not have any commercial mortgage loans in the process of foreclosure as of June 30, 2024. Consumer Loans The tables below detail certain information regarding the Company's consumer loans as of June 30, 2024 and December 31, 2023: June 30, 2024: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Life (Years) (1) Delinquency (Days) Consumer loans, held-for-investment $ 1,124 $ 24 $ 1,148 $ 109 $ (308) $ 949 0.77 16 (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. December 31, 2023: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Life (Years) (1) Delinquency (Days) Consumer loans, held-for-investment $ 2,081 $ (120) $ 1,961 $ 127 $ (329) $ 1,759 0.75 18 (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. 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 June 30, 2024 and December 31, 2023. Days Past Due June 30, 2024 December 31, 2023 Current 83.9 % 81.0 % 30-59 Days 7.9 % 7.9 % 60-89 Days 3.2 % 6.6 % 90-119 Days 4.1 % 4.0 % >120 Days 0.9 % 0.5 % 100.0 % 100.0 % During the three-month periods ended June 30, 2024 and 2023, the Company charged off $17 thousand and $0.1 million, respectively, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. During the six-month periods ended June 30, 2024 and 2023, the Company charged off $0.1 million and $0.3 million, respectively, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. As of June 30, 2024 and December 31, 2023, the Company held charged-off consumer loans with an aggregate fair value of $22 thousand and $35 thousand, 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 June 30, 2024 and December 31, 2023, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $0.3 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 period ended June 30, 2023, the Company recognized realized losses on these loans of $(0.1) million; no such losses were recognized for the three-month period ended June 30, 2024. For the six-month periods ended June 30, 2024 and 2023, the Company recognized realized losses on these loans of $(0.1) million and $(0.4) million, respectively. Corporate Loans The tables below detail certain information regarding the Company's corporate loans as of June 30, 2024 and December 31, 2023: June 30, 2024: Gross Unrealized Weighted Average ($ in thousands) Unpaid Premium (Discount) Amortized Cost Gains Losses Fair Value Rate Remaining Term (Years) Corporate loans, held-for-investment (1) $ 5,773 $ (179) $ 5,594 $ — $ (661) $ 4,933 10.57 % 0.90 (1) See Note 24 for further details on the Company's unfunded commitments related to certain of its corporate loans. December 31, 2023: Weighted Average ($ in thousands) Unpaid Fair Value Rate Remaining Term (Years) Corporate loans, held-for-investment (1) $ 6,379 $ 5,819 10.13 % 1.52 (1) See Note 24 for further details on the Company's unfunded commitments related to certain of its corporate loans. As described in Note 2, the Company evaluates the cost basis of its corporate loans for impairment on at least a quarterly basis. As of June 30, 2024 and December 31, 2023, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $0.7 million and $0.6 million, respectively. Reverse Mortgage Loans The table below details certain information regarding the Company's reverse mortgage loans as of June 30, 2024 and December 31, 2023. June 30, 2024: Weighted Average ($ in thousands) Unpaid Principal Balance Fair Value Coupon Life (Years) Reverse mortgage loans, held-for-investment HECM loans HECM loans collateralizing HMBS $ 8,495,445 $ 8,923,242 6.94 % 4.99 Unsecuritized HECM loans (1) 103,033 103,668 7.19 % 6.47 Proprietary reverse mortgage loans Securitized proprietary reverse mortgage loans 171,465 181,073 10.38 % 9.27 Unsecuritized proprietary reverse mortgage loans 127,856 137,282 10.67 % 17.02 Total reverse mortgage loans, held-for-investment 8,897,799 9,345,265 7.07 % 5.26 Reverse mortgage loans, held-for-sale Unsecuritized proprietary reverse mortgage loans 117,846 127,124 10.58 % 17.02 Total reverse mortgage loans $ 9,015,645 $ 9,472,389 7.11 % 5.42 (1) Includes unpoolable HECM loans with an unpaid principal balance of $25.2 million. December 31, 2023: Weighted Average ($ in thousands) Unpaid Principal Balance Fair Value Coupon Life (Years) Reverse mortgage loans, held-for-investment HECM loans collateralizing HMBS $ 8,166,222 $ 8,506,423 6.82 % 5.10 Unsecuritized HECM loans (1) 103,063 102,553 7.15 % 6.12 Total reverse mortgage loans, held-for-investment 8,269,285 8,608,976 6.83 % 5.11 Reverse mortgage loans, held-for-sale 298,986 329,575 10.67 % 16.78 Total reverse mortgage loans $ 8,568,271 $ 8,938,551 6.96 % 5.54 (1) Includes unpoolable HECM loans with an unpaid principal balance of $28.0 million. During the three- and six-month periods ended June 30, 2024, the Company transferred proprietary reverse mortgage loans held-for-sale with an unpaid principal balance of $87.7 million and $298.2 million, respectively, to held-for-investment. Unpoolable HECM loans can include unsecuritized 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." Active HECM loans that have reached 98% of 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 June 30, 2024 and December 31, 2023: (In thousands) June 30, 2024 December 31, 2023 Unpoolable HECM Loan Type Unpaid Fair Value Unpaid Fair Value ABOs $ 6,505 $ 5,079 $ 8,508 $ 6,897 NABOs 14,383 9,878 14,562 10,167 Other HECM loans (1) 4,282 4,309 4,883 4,908 Total unpoolable HECM loans $ 25,170 $ 19,266 $ 27,953 $ 21,972 (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 June 30, 2024 and December 31, 2023, the Company held HECM Buyout Loans purchased under the MLPS Agreement with a fair value of $7.2 million and $8.9 million, respectively, which are included in Loans, at fair value on the Condensed Consolidated Balance Sheet. As of June 30, 2024, the Company had $315.7 million in unpaid principal balance of inactive reverse mortgage loans, of which $299.6 million related to HECM loans and the remainder related to proprietary reverse mortgage loans. As of December 31, 2023, the Company had $290.4 million in unpaid principal balance of inactive reverse mortgage loans, of which $280.6 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 June 30, 2024 and December 31, 2023. Property Location by U.S. State June 30, 2024 December 31, 2023 California 28.8 % 28.7 % Florida 8.8 % 8.8 % Colorado 7.2 % 7.1 % Arizona 6.3 % 6.3 % Washington 5.4 % 5.3 % Utah 5.1 % 5.0 % Texas 4.9 % 4.8 % Oregon 2.9 % 3.0 % Idaho 2.7 % 2.7 % Massachusetts 2.3 % 2.4 % New York 2.3 % 2.2 % Nevada 2.1 % 2.1 % North Carolina 2.1 % 2.1 % Georgia 1.6 % 1.6 % Virginia 1.5 % 1.6 % South Carolina 1.4 % 1.4 % Ohio 1.4 % 1.5 % Tennessee 1.4 % 1.3 % New Jersey 1.2 % 1.3 % Maryland 1.1 % 1.1 % Pennsylvania 1.1 % 1.1 % Other 8.4 % 8.6 % 100.0 % 100.0 % |
Mortgage Servicing Rights
Mortgage Servicing Rights | 6 Months Ended |
Jun. 30, 2024 | |
Mortgage Servicing Rights [Abstract] | |
Mortgage Servicing Rights | Mortgage Servicing Rights Certain of the reverse mortgage loans originated by the Company, through Longbridge, are ineligible for inclusion in HMBS, and are not guaranteed by the FHA ("Proprietary reverse mortgage loans"). Longbridge is party to a Sale and Servicing Agreement (the "Sale and Servicing Agreement") with a third party (the "Proprietary Loan Purchaser") whereby Longbridge 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, Longbridge retained the rights and obligations of servicing such loans and an MSR asset was recorded. Additionally, on July 1, 2023, Longbridge assumed the role as servicer for various private label securitization trusts collateralized by either proprietary reverse mortgage loans or HECM buyout loans. Longbridge was appointed servicer through the bankruptcy proceedings of the previous servicer, and Longbridge assumed the rights and obligations of servicing such loans. Such MSRs related to underlying reverse mortgage loans with an aggregate unpaid principal balance of $2.1 billion on July 1, 2023. As of June 30, 2024, the Company's Reverse MSRs related to underlying reverse mortgage loans with an aggregate unpaid principal balance of $2.7 billion, and the fair value of such Reverse MSRs was $29.5 million. As of December 31, 2023, the Company's Reverse MSRs related to underlying reverse mortgage loans with an aggregate unpaid principal balance of $2.8 billion, and the fair value of such Reverse MSRs was $29.6 million. The fair value of the Company's 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. For the three-month periods ended June 30, 2024 and 2023, the Company recognized a gain (loss) related to its Reverse MSRs of $(0.4) million and $(0.6) million, respectively. For the six-month periods ended June 30, 2024 and 2023, the Company recognized a gain (loss) related to its Reverse MSRs of $(42) thousand and $(0.6) million, respectively. Gain (loss) related to Reverse MSRs is included in Other (net) on the Condensed Consolidated Statement of Operations. |
Forward MSR-Related Investments
Forward MSR-Related Investments | 6 Months Ended |
Jun. 30, 2024 | |
Receivables [Abstract] | |
Mortgage Servicing Right Financing Receivable [Abstract] | 7. Forward MSR-related Investments The Company does not hold the requisite licenses to purchase or hold MSRs on forward mortgage loans, or "Forward MSRs," directly. The Company, through certain of its subsidiaries acquired through the Arlington Merger, is party to various agreements (the "Forward MSR Agreements") with a licensed, government-sponsored enterprise ("GSE") approved residential mortgage loan servicer (the "Forward MSR Master Servicer") that enable the Company to participate in the economic returns of a portfolio of Forward MSRs (the "Forward MSR-related investments"). Under the Forward MSR Agreements, MSRs are purchased by the Forward MSR Master Servicer (the "Underlying Forward MSRs") with funding obtained through financing transactions with the Company. Under the terms of the Forward MSR Agreements, for an MSR acquired by the Forward MSR Master Servicer, the Company: (i) purchases the excess servicing spread from the Forward MSR Master Servicer, which entitles the Company to monthly distributions of the servicing fees collected by the Forward MSR Master Servicer in excess of 12.5 basis points per annum (the "Excess Servicing Spread"), and (ii) enters into an agreement with the parent of the Forward MSR Master Servicer (the "Base MSR Counterparty") that references the Underlying Forward MSRs (the "Base MSR Agreement"). Pursuant to the Base MSR Agreement, the Company is entitled to receive an amount generally equivalent to the excess of servicing proceeds (which may include servicing fee revenue, income generated on escrow balances, and reimbursements for previously made servicing advances) over the sum of the Excess Servicing Spread and the actual costs of servicing (including amounts paid for servicing advances, master and subservicing fees, and other costs and expenses). To the extent that servicing proceeds are less than the sum of servicing costs and the Excess Servicing Spread (which would typically result from high levels of servicing advances), the Company is obligated to pay the equivalent of such deficit to the Base MSR Counterparty. Upon a sale of any of the Underlying Forward MSRs, the Forward MSR Agreements also entitle the Company to distributions of the corresponding sale proceeds. Under certain circumstances, the Company can direct the Forward MSR Master Servicer to finance all or some of the Underlying Forward MSRs, alongside other similar MSRs that the Forward MSR Master Servicer oversees on behalf of third parties unrelated to the Company. Proceeds from such financing are distributed to the Company and must be repaid by the Company upon repayment of corresponding financing by the Forward MSR Master Servicer. As of both June 30, 2024 and December 31, 2023, the fair value of the Forward MSR-related investments takes into account the MSR Master Servicer's $13.5 million of outstanding borrowings for the benefit of the Company, which were secured by the Underlying Forward MSRs. The Company has elected the FVO for its investments under the Forward MSR Agreements which are reflected in Forward MSR-related investments, 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 Other, net. As of June 30, 2024 and December 31, 2023, the fair value of the Company's investments in Forward MSR-related investments was $158.0 million and $163.3 million, respectively. The following table presents activity related to Company’s investments in Forward MSR-related investments for the three- and six-month-periods ended June 30, 2024. The Company did not hold Forward MSR-related investments during the six-month period ended June 30, 2023. (In thousands) Three-Month Period Ended June 30, 2024 Six-Month Period Ended June 30, 2024 Forward MSR-related investments, at fair value, beginning balance $ 160,009 $ 163,336 Capital investments — — Distributions (6,954) (15,491) Accretion of interest income 3,646 7,243 Change in unrealized gain (loss) 1,330 2,943 Forward MSR-related investments, at fair value, ending balance $ 158,031 $ 158,031 |
Investments in Unconsolidated E
Investments in Unconsolidated Entities | 6 Months Ended |
Jun. 30, 2024 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Investments in Unconsolidated Entities | Investments in Unconsolidated Entities The 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 June 30, 2024 and December 31, 2023, the Company's investments in unconsolidated entities had an aggregate fair value of $163.2 million and $116.4 million, respectively, which is included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. 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 June 30, 2024 and December 31, 2023, the fair value of the Company's investments in unconsolidated entities that have been deemed to be VIEs was $138.6 million and $87.8 million, respectively. For the three-month periods ended June 30, 2024 and 2023, the Company recognized Earnings (losses) from investments in unconsolidated entities of $12.0 million and $(5.9) million, respectively and for the six-month periods ended June 30, 2024 and 2023, the Company recognized Earnings (losses) from investments in unconsolidated entities of $14.3 million and $(2.4) million, respectively. Gains (losses) recognized from the Company's investments in unconsolidated entities are included in Earnings (losses) from investments in unconsolidated entities, on its Condensed Consolidated Statement of Operations. The following table provides details about the Company's investments in unconsolidated entities as of June 30, 2024 and December 31, 2023: Percentage Ownership Investment in Unconsolidated Entity Form of Investment June 30, 2024 December 31, 2023 Loan Originators: LendSure Mortgage Corp. (1)(2) Common shares 63.7% 49.9% Other (1) Various 45.0%–50.0% 45.0%–50.0% Co-investments with Ellington affiliate(s) (1) : Elizon DB 2015-1 LLC (3)(4) Membership Interest 34.0% 30.4% Elizon NM CRE 2020-1 LLC (3)(5) Membership Interest 19.9% 11.5% Elizon CH CRE 2021-1 LLC (3)(6) Membership Interest 40.8% 29.2% Equity investments in securitization-related vehicles, including risk retention vehicles (7) Membership Interest 24.6%–84.5% 24.6%–84.5% Other: Jepson Holdings Limited (1)(3) Membership Interest 4.2% 7.9% Other (1)(3)(8) Various 6.1%–79.0% 6.1%–79.0% (1) See Note 16 for additional details on the Company's related party transactions. (2) As of June 30, 2024, includes both voting and non-voting equity interests held by the Company; its non-voting stake in the entity was 13.8%. As of December 31, 2023, 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%. See Note 16 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 16 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 16) each consolidate their segregated silos of the Joint Entity (as defined in Note 16). 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 55.5% and 60.0% as of June 30, 2024 and December 31, 2023, respectively. (5) As discussed in Note 16 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 16) each consolidate their segregated silos of the Joint Entity (as defined in Note 16). 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 70.4% and 74.1% as of June 30, 2024 and December 31, 2023, respectively. (6) As discussed in Note 16 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 16) each consolidate their segregated silos of the Joint Entity (as defined in Note 16). 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 53.1% and 52.1% as of June 30, 2024 and December 31, 2023, respectively. (7) Includes interests in Consumer Risk Retention Vehicles, as defined in Note 13 —Participation in Multi-Seller Consumer Loan Securitizations, and Participated Risk Retention Vehicle and Residential Loan JV, as defined in Note 13 —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 13 for additional details on the Company's securitization transactions. (8) Includes interest in warehouse facilities; see Note 16— Participation in CLO Transactions , for additional details. |
Real Estate Owned
Real Estate Owned | 6 Months Ended |
Jun. 30, 2024 | |
Real Estate Owned, Disclosure of Detailed Components [Abstract] | |
Real Estate Owned | Real Estate Owned As discussed in Note 2, the Company obtains possession of REO as a result of foreclosures on the associated mortgage loans. The following tables detail activity in the Company's carrying value of REO for the three- and six-month periods ended June 30, 2024 and 2023: Three-Month Period Ended June 30, 2024 June 30, 2023 Number of Properties Carrying Value Number of Properties Carrying Value (In thousands) (In thousands) Beginning Balance (March 31, 2024 and 2023, respectively) 82 $ 19,999 98 $ 26,717 Transfers from mortgage loans 47 13,891 34 8,494 Capital expenditures and other adjustments to cost 174 492 Adjustments to record at the lower of cost or fair value 592 (38) Dispositions (24) (9,408) (54) (14,589) Ending Balance (June 30, 2024 and 2023, respectively) 105 $ 25,248 78 $ 21,076 Six-Month Period Ended June 30, 2024 June 30, 2023 Number of Properties Carrying Value Number of Properties Carrying Value (In thousands) (In thousands) Beginning Balance (December 31, 2023 and 2022, respectively) 81 $ 22,085 97 $ 28,403 Transfers from mortgage loans 83 25,444 46 11,634 Capital expenditures and other adjustments to cost 374 672 Adjustments to record at the lower of cost or fair value (1,731) (107) Dispositions (59) (20,924) (65) (19,526) Ending Balance (June 30, 2024 and 2023, respectively) 105 $ 25,248 78 $ 21,076 During the three-month period ended June 30, 2024, the Company sold 24 REO properties, realizing a net gain (loss) of approximately $(1.9) million. During the three-month period ended June 30, 2023, the Company sold 54 REO properties, realizing a net gain (loss) of approximately $(1.2) million. During the six-month period ended June 30, 2024, the Company sold 59 REO properties, realizing a net gain (loss) of approximately $(3.2) million. During the six-month period ended June 30, 2023, the Company sold 65 REO properties, realizing a net gain (loss) of approximately $(1.3) million. 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 June 30, 2024 and December 31, 2023, 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, $8.6 million and $16.8 million, were measured at fair value on a non-recurring basis as of June 30, 2024 and December 31, 2023, respectively. |
Financial Derivatives
Financial Derivatives | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 (In thousands) Financial derivatives–assets, at fair value: TBA securities purchase contracts $ 101 $ 2,182 TBA securities sale contracts 1,497 — Fixed payer interest rate swaps 136,126 101,881 Fixed receiver interest rate swaps 15,366 27,358 Credit default swaps on asset-backed securities 8 8 Credit default swaps on asset-backed indices 2,136 3,318 Credit default swaps on corporate bonds 70 25 Credit default swaps on corporate bond indices 6,387 7,259 Total return swaps 3 6 Futures 222 245 Forwards 196 12 Warrants 53 1,702 Total financial derivatives–assets, at fair value 162,165 143,996 Financial derivatives–liabilities, at fair value: TBA securities purchase contracts (655) — TBA securities sale contracts (155) (5,820) Fixed payer interest rate swaps (4,492) (17,944) Fixed receiver interest rate swaps (16,921) (13,801) Credit default swaps on asset-backed indices (32) (32) Credit default swaps on corporate bonds (227) (225) Credit default swaps on corporate bond indices (16,722) (15,894) Futures (4,860) (7,990) Forwards — (70) Total financial derivatives–liabilities, at fair value (44,064) (61,776) Total $ 118,101 $ 82,220 Interest Rate Swaps The following tables provide information about the Company's fixed payer interest rate swaps as of June 30, 2024 and December 31, 2023: June 30, 2024: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2024 $ 436,983 $ 5,464 4.11 % 5.34 % 0.33 2025 414,561 8,305 3.69 5.34 1.16 2026 252,467 2,258 4.33 5.34 2.05 2027 228,250 9,940 2.92 5.33 2.93 2028 586,973 19,371 3.54 5.33 4.03 2029 328,214 8,559 3.63 5.33 4.72 2030 240,079 4,078 3.77 5.34 6.12 2031 169,293 26,335 1.69 5.33 6.95 2032 181,867 16,236 2.80 5.33 8.06 2033 407,506 22,019 3.33 5.33 8.90 2034 261,080 1,651 3.88 5.34 9.84 2035 500 157 0.78 5.33 11.31 2036 1,102 297 1.19 5.33 11.64 2037 45,000 6,169 2.81 5.33 13.16 2038 32,500 116 4.01 5.34 14.17 2039 17,592 153 3.90 5.34 14.69 2040 500 194 0.90 5.33 16.32 2050 500 241 0.98 5.33 26.32 2053 1,600 127 3.32 5.34 29.50 2054 2,200 (36) 3.82 5.34 29.79 Total $ 3,608,767 $ 131,634 3.54 % 5.33 % 4.85 December 31, 2023: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2024 $ 629,547 $ 9,097 3.18 % 5.41 % 0.61 2025 412,701 6,304 3.69 5.06 1.66 2026 189,287 (573) 4.13 5.39 2.66 2027 174,841 8,970 4.04 5.04 3.35 2028 650,990 7,516 3.48 5.38 4.54 2029 53,011 4,378 2.19 5.38 5.32 2030 150,817 1,122 3.50 5.39 6.59 2031 157,766 24,131 1.51 5.38 7.46 2032 181,867 11,069 2.80 5.38 8.56 2033 437,619 6,960 3.40 5.38 9.42 2035 500 132 0.78 5.33 11.81 2036 1,102 280 1.19 5.38 12.13 2037 45,000 3,780 2.81 5.38 13.66 2038 32,500 (1,727) 4.01 5.39 14.67 2040 500 165 0.90 5.33 16.82 2049 5,729 845 2.63 5.38 25.02 2050 500 207 0.98 5.33 26.82 2052 5,000 1,281 2.07 5.38 28.27 Total $ 3,129,277 $ 83,937 3.34 % 5.33 % 4.68 The following tables provide information about the Company's fixed receiver interest rate swaps as of June 30, 2024 and December 31, 2023: June 30, 2024: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2024 $ 52,236 $ (803) 5.44 % 3.56 % 0.34 2025 143,183 (660) 5.33 4.87 0.73 2026 543,794 (1,273) 5.34 4.69 1.74 2027 59,110 (1,226) 5.34 3.84 2.92 2028 459,063 2,493 5.34 4.42 4.11 2029 597,040 5,654 5.34 4.34 4.81 2030 156,262 (9) 5.34 4.11 6.21 2031 42,500 (882) 5.34 3.75 6.59 2033 235,963 (413) 5.34 4.00 9.39 2034 132,687 (400) 5.34 3.94 9.77 2035 500 (161) 5.33 0.74 11.31 2038 36,300 (1,919) 5.34 3.54 14.48 2039 20,377 (421) 5.34 3.79 14.70 2040 500 (201) 5.33 0.84 16.32 2050 500 (253) 5.33 0.90 26.32 2053 13,795 (1,097) 5.34 3.33 29.49 2054 600 16 5.34 3.87 29.88 Total $ 2,494,410 $ (1,555) 5.34 % 4.33 % 4.83 December 31, 2023: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2024 $ 427,234 $ (578) 5.40 % 5.17 % 0.24 2025 143,183 67 5.38 4.87 1.23 2026 461,658 (8,399) 5.39 3.58 2.28 2027 36,591 30 5.39 3.68 3.90 2028 464,799 13,357 5.39 4.33 4.64 2030 67,000 1,737 5.39 3.97 6.77 2033 198,265 7,701 5.39 3.96 9.88 2035 500 (137) 5.38 0.74 11.81 2038 36,300 131 5.39 3.54 14.98 2040 500 (173) 5.38 0.84 16.82 2050 500 (220) 5.38 0.90 26.82 2053 22,800 41 5.39 3.33 29.99 Total $ 1,859,330 $ 13,557 5.39 % 4.28 % 3.93 Credit Default Swaps The following table provides information about the Company's credit default swaps as of June 30, 2024 and December 31, 2023: As of June 30, 2024 December 31, 2023 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 $ 219 $ 12 13.50 $ 230 $ 12 13.99 Credit default swaps on corporate bonds 2,000 70 1.47 2,000 25 1.97 Credit default swaps on corporate bond indices 99,000 6,387 3.98 149,000 7,259 4.47 Short: Credit default swaps on asset-backed securities (46) 8 11.24 (45) 8 11.74 Credit default swaps on asset-backed indices (41,990) 2,124 34.63 (42,101) 3,306 35.11 Liability: Long: Credit default swaps on asset-backed indices 60 (32) 24.72 60 (32) 25.22 Short: Credit default swaps on corporate bonds (13,000) (227) 2.97 (13,000) (225) 3.47 Credit default swaps on corporate bond indices (527,617) (16,722) 4.79 (537,299) (15,894) 4.84 $ (481,374) $ (8,380) 7.52 $ (441,155) $ (5,541) 7.81 (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 June 30, 2024 and December 31, 2023: As of June 30, 2024 December 31, 2023 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 $ 91 3.07 $ 1,900 $ 245 2.63 Short Contracts: U.S. Treasury futures (40,000) 131 3.07 — — — Liabilities: Short Contracts: U.S. Treasury futures (364,600) (4,860) 3.07 (313,100) (7,990) 2.21 Total, net $ (402,700) $ (4,638) 3.07 $ (311,200) $ (7,745) 2.21 Warrants The following table provides information about the Company's warrants contracts to purchase shares as of June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 Description Number of Shares Underlying Warrant Fair Value Remaining Years to Expiration Number of Shares Underlying Warrant Fair Value Remaining Years to Expiration (In thousands) (In thousands) Warrants 102 $ 53 n/a 202 $ 1,702 5.66 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 June 30, 2024 and December 31, 2023, the Company had outstanding TBA purchase and sale contracts as follows: June 30, 2024 December 31, 2023 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 $ 36,232 $ 35,431 $ 35,532 $ 101 $ 375,154 $ 362,129 $ 364,311 $ 2,182 Liabilities 123,424 117,777 117,122 (655) — — — — 159,656 153,208 152,654 (554) 375,154 362,129 364,311 2,182 Sale contracts: Assets (286,350) (278,779) (277,282) 1,497 — — — — Liabilities (13,600) (10,504) (10,659) (155) (433,098) (392,730) (398,550) (5,820) (299,950) (289,283) (287,941) 1,342 (433,098) (392,730) (398,550) (5,820) Total TBA securities, net $ (140,294) $ (136,075) $ (135,287) $ 788 $ (57,944) $ (30,601) $ (34,239) $ (3,638) (1) Notional amount represents the principal balance of the underlying Agency RMBS. (2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3) Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end. (4) Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis, and is reported in Financial derivatives-assets, at fair value and Financial derivatives-liabilities, at fair value on the Condensed Consolidated Balance Sheet. Gains and losses on the Company's derivative contracts for the three- and six-month periods ended June 30, 2024 and 2023 are summarized in the tables below: Three-Month Period Ended June 30, 2024 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 Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps Interest Rate $ 10,751 $ (12,875) $ (2,124) $ (479) $ 9,854 $ 9,375 Credit default swaps on asset-backed indices Credit (232) (232) 189 189 Credit default swaps on corporate bond indices Credit (1,683) (1,683) 1,833 1,833 Credit default swaps on corporate bonds Credit (8) (8) (19) (19) Total return swaps Equity Market/Credit 17 17 (3) (3) TBAs Interest Rate 3,113 3,113 477 477 Futures Interest Rate 6,909 6,909 (3,810) (3,810) Forwards Currency 322 322 (140) (140) Warrants Credit — — — — Total $ 10,751 $ (4,438) $ 6,313 $ (479) $ 8,381 $ 7,902 Three-Month Period Ended June 30, 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 $ 9,236 $ 21,942 $ 31,178 $ 3,314 $ (7,296) $ (3,982) Credit default swaps on asset-backed indices Credit 34 34 (226) (226) Credit default swaps on corporate bond indices Credit (742) (742) (1,173) (1,173) Credit default swaps on corporate bonds Credit (42) (42) (5) (5) TBAs Interest Rate (20) (20) 6,457 6,457 Futures Interest Rate (132) (132) 6,776 6,776 Forwards Currency (496) (496) 346 346 Warrants Equity Market/Credit — — 149 149 Total $ 9,236 $ 20,544 $ 29,780 $ 3,314 $ 5,028 $ 8,342 (1) Includes foreign currency remeasurement on financial derivatives in the amount of $2 thousand for the three-month period ended June 30, 2023, which is included on the Condensed Consolidated Statement of Operations in Other, net. Six-Month Period Ended June 30, 2024 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 Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps Interest Rate $ 26,189 $ (21,528) $ 4,661 $ (4,906) $ 33,745 $ 28,839 Credit default swaps on asset-backed indices Credit (432) (432) (1,182) (1,182) Credit default swaps on corporate bond indices Credit (6,250) (6,250) 3,509 3,509 Credit default swaps on corporate bonds Credit (15) (15) 42 42 Total return swaps Equity Market/Credit 37 37 (3) (3) TBAs Interest Rate 3,929 3,929 4,426 4,426 Futures Interest Rate 7,344 7,344 3,107 3,107 Forwards Currency 432 432 255 255 Warrants Credit 86 86 (726) (726) Total $ 26,189 $ (16,398) $ 9,791 $ (4,906) $ 43,173 $ 38,267 Six-Month Period Ended June 30, 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 $ 15,027 $ (9,133) $ 5,894 $ 6,765 $ 5,878 $ 12,643 Credit default swaps on asset-backed securities Credit 1 1 — — Credit default swaps on asset-backed indices Credit (241) (241) 1,932 1,932 Credit default swaps on corporate bond indices Credit (2,089) (2,089) (965) (965) Credit default swaps on corporate bonds Credit (83) (83) (24) (24) TBAs Interest Rate 4,272 4,272 (3,621) (3,621) Futures Interest Rate (3,065) (3,065) 1,113 1,113 Forwards Currency (356) (356) (37) (37) Warrants Equity Market/Credit — — 68 68 Total $ 15,027 $ (10,694) $ 4,333 $ 6,765 $ 4,344 $ 11,109 (1) Includes foreign currency remeasurement on financial derivatives in the amount of $6 thousand for the six-month period ended June 30, 2023, 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 six-month period ended June 30, 2024 and the year ended December 31, 2023: Derivative Type Six-Month Year Ended (In thousands) Interest rate swaps $ 5,642,765 $ 4,309,089 Credit default swaps 783,205 497,857 TBAs 486,793 603,206 Futures 336,786 246,669 Forwards 23,363 15,567 Total return swaps 1,181 875 Warrants 145 1,926 From time to time the Company enters into credit derivative contracts for which the Company sells credit protection ("written credit derivatives"). As of June 30, 2024 and December 31, 2023, 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 June 30, 2024 and December 31, 2023 are summarized below: Credit Derivatives June 30, 2024 December 31, 2023 (In thousands) Fair Value of Written Credit Derivatives, Net $ 6,437 $ 7,264 Notional Value of Written Credit Derivatives (1) 101,279 151,290 (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 June 30, 2024, the implied credit spread on the Company's outstanding written credit derivative ranged between 259 and 314 basis points as compared to a range of between 51 and 438 basis points as of December 31, 2023. Total net up-front payments (paid) or received relating to written credit derivatives outstanding as of June 30, 2024 and December 31, 2023 was $(0.9) million and $(1.6) million, respectively. |
Other Assets
Other Assets | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024 and December 31, 2023. Other Assets June 30, 2024 December 31, 2023 (In thousands) Receivables and claims related to reverse mortgage loans repurchased from HMBS (1) $ 36,086 $ 48,468 Prepaid expenses and deferred offering costs 12,109 11,602 Leases—right of use assets (2) 5,540 3,279 Accounts receivable 4,959 3,755 Prepaid scheduled draws on reverse mortgage loans and amounts due from sub-servicer 3,038 2,800 Intangible assets 2,422 2,673 Property and equipment (3) 1,479 1,110 Certificates of deposit, security deposits, and escrow cash 753 1,043 Loan purchase commitments, at fair value (4) 275 — Servicing asset, at fair value (5) — 1,327 Other 540 1,042 $ 67,201 $ 77,099 (1) Represents receivables from third-parties and claims to HUD related to loans repurchased from HMBS. See Note 13, Issuance of HMBS for discussion on the maximum claim amount related to reverse mortgage loans in HMBS. (2) See Note 24 for additional details on the Company's leases and ROU assets. (3) Net of accumulated depreciation. (4) See Note 24 for details on loan purchase commitments. (5) See Note 13 for details on the Servicing asset (liability). In connection with the Longbridge Transaction, the Company identified and recognized various intangible assets. The following table details the Company's intangible assets as of June 30, 2024 and December 31, 2023. June 30, 2024 December 31, 2023 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 $ (817) $ 583 36 $ 1,400 $ (583) $ 817 36 Trademarks/trade names 1,200 — 1,200 Indefinite 1,200 — 1,200 Indefinite Customer relationships 700 (61) 639 240 700 (44) 656 240 Total identified intangible assets $ 3,300 $ (878) $ 2,422 $ 3,300 $ (627) $ 2,673 The following table summarizes changes in the net carrying value of the Company's intangible assets for the three- and six-month periods ended June 30, 2024 and 2023. Three-Month Period Ended June 30, 2024 (In thousands) Internally Developed Software Trademarks/Trade Names Customer Relationships Total Net carrying value of intangible assets—Beginning Balance (March 31, 2024) $ 700 $ 1,200 $ 648 $ 2,548 Accumulated Amortization (117) — (9) (126) Net carrying value of intangible assets—Ending Balance (June 30, 2024) $ 583 $ 1,200 $ 639 $ 2,422 Three-Month Period Ended June 30, 2023 (In thousands) Internally Developed Software Trademarks/Trade Names Customer Relationships Total Net carrying value of intangible assets—Beginning Balance (March 31, 2023) $ 1,167 $ 1,200 $ 682 $ 3,049 Accumulated Amortization (117) — (8) (125) Net carrying value of intangible assets—Ending Balance (June 30, 2023) $ 1,050 $ 1,200 $ 674 $ 2,924 Six-Month Period Ended June 30, 2024 (In thousands) Internally Developed Software Trademarks/Trade Names Customer Relationships Total Net carrying value of intangible assets—Beginning Balance (December 31, 2023) $ 817 $ 1,200 $ 656 $ 2,673 Accumulated Amortization (234) — (17) (251) Net carrying value of intangible assets—Ending Balance (June 30, 2024) $ 583 $ 1,200 $ 639 $ 2,422 Six-Month Period Ended June 30, 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 (234) — (17) (100) (351) Net carrying value of intangible assets—Ending Balance (June 30, 2023) $ 1,050 $ 1,200 $ 674 $ — $ 2,924 The following table summarizes the Company's estimated future amortization expense on its intangible assets. (In thousands) June 30, 2024 2024 $ 251 2025 385 2026 35 2027 35 2028 35 Thereafter 481 Total $ 1,222 |
Consolidated VIEs
Consolidated VIEs | 6 Months Ended |
Jun. 30, 2024 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Consolidated VIEs | Consolidated VIEs As discussed in Note 2, the Company has interests in entities that it has determined to be VIEs. The following table summarizes the assets and liabilities of the Company's consolidated VIEs that are included on the Company's Condensed Consolidated Balance Sheet as of June 30, 2024 and December 31, 2023. See Note 13 and Note 16 for additional information on the Company's consolidated VIEs. (In thousands) June 30, 2024 December 31, 2023 Assets Cash and cash equivalents $ 6,889 $ 178 Restricted cash 4,489 — Securities, at fair value 68,923 74,226 Loans, at fair value 3,536,752 3,342,478 Forward MSR-related investments, at fair value 78,473 82,273 Investments in unconsolidated entities, at fair value 96,694 63,701 Real estate owned 19,885 16,100 Investment related receivables 25,838 19,929 Other assets 352 469 Total Assets $ 3,838,295 $ 3,599,354 Liabilities Repurchase agreements $ 1,264,606 $ 1,244,401 Other secured borrowings 29,458 25,787 Other secured borrowings, at fair value 1,585,838 1,424,668 Interest payable 2,852 1,879 Accrued expenses and other liabilities 1,226 451 Total Liabilities 2,883,980 2,697,186 Total Stockholders' Equity 947,611 897,303 Non-controlling interests 6,704 4,865 Total Equity 954,315 902,168 Total Liabilities and Equity $ 3,838,295 $ 3,599,354 |
Securitization Transactions
Securitization Transactions | 6 Months Ended |
Jun. 30, 2024 | |
Securitization Transactions [Abstract] | |
Securitization Transactions | Securitization Transactions Participation in CLO Transactions An affiliate of Ellington 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 June 30, 2024 and December 31, 2023, the fair value of the Company's investment in the notes issued by the CLO Issuers was $2.8 million and $5.1 million, respectively. See Note 16 for further details on the Company's participation in CLO transactions. Residential Mortgage Loan Securitizations—Non-QM loans 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 Issuing Entities included in the Company's Condensed Consolidated Balance Sheet as of June 30, 2024 and December 31, 2023: (In thousands) June 30, 2024 December 31, 2023 Assets: Loans, at fair value $ 1,493,634 $ 1,555,371 Investment related receivables 9,207 1,884 Liabilities: Other secured borrowings, at fair value 1,369,246 1,424,668 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 securitizations that closed after December 2022, 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 (In thousands) EFMT 2024-INV1 4/24 $ 194,497 $ 105,955 $ 300,452 EFMT 2023-1 2/23 176,218 154,149 330,367 EFMT 2022-4 12/22 309,998 55,264 365,262 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 $16.5 million and $8.7 million as of June 30, 2024 and December 31, 2023, respectively. Such interests are included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. The Company and the non-QM Co-Participants also directly purchased, certain of the Certificates issued by the non-consolidated Issuing Entities; the Company subsequently sold various of these Certificates. As of June 30, 2024 and December 31, 2023, the fair value of the Company's investment in such Certificates was $14.4 million and $33.0 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. Residential Mortgage Loan Securitizations—European Residential Mortgage Loans The Company holds an interest in a European RMBS issued by an unaffiliated European securitization trust (the "European RMBS Issuer"). The European RMBS Issuer issued various tranches of notes (the "European Debt Tranches") collateralized by a pool of European residential mortgage loans (the "European Mortgage Loan Securitization"). As of June 30, 2024, as the holder of a majority interest in the most subordinate European Debt Tranche, the Company may, at its sole option, purchase all of the outstanding European Debt Tranches (the "Optional Redemption"). At June 30, 2024, the Company re-evaluated its interest in the European RMBS Issuer, which is a VIE. As of such date, because the Company has the power to direct the activities that most significantly impact such entities' economic performance, the Company determined that the Company is the current primary beneficiary of this VIE, and therefore the Company has consolidated the European RMBS Issuer. Prior to June 30, 2024, the Company determined that it was not the primary beneficiary of this VIE, and did not consolidate the European RMBS Issuer. As of December 31, 2023, the fair value of the Company's investment in the most subordinate European Debt Tranche was $0.1 million and is included in Securities, at fair value on the Condensed Consolidated Balance Sheet. The following table details the assets and liabilities of the European RMBS Issuer included in the Company's Condensed Consolidated Balance Sheet as of June 30, 2024: (In thousands) June 30, 2024 Assets: Cash and cash equivalents $ 6,790 Loans, at fair value 52,368 Investment related receivables 669 Liabilities: Other secured borrowings, at fair value 58,195 Investment related payables 1,572 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 (In thousands) (In thousands) 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 June 30, 2024 and December 31, 2023, the Company's total interest in the Consumer Risk Retention Vehicles, for which the Company has elected the FVO, was $0.8 million and $2.4 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. Proprietary Reverse Mortgage Loan Securitizations In March 2024, the Company, through a wholly owned subsidiary (the "RM Sponsor"), sponsored a $208.1 million securitization transaction (the Reverse Mortgage Securitization") collateralized by a pool of proprietary reverse mortgage loans (the "RM Collateral Pool"). The RM Sponsor transferred such RM Collateral Pool, with an unpaid principal balance of $171.4 million, to a wholly-owned subsidiary (the "RM Depositor"), and on the securitization closing date such RM Collateral Pool was deposited into a newly created securitization trust (the "RM Issuing Entity"). Pursuant to the Reverse Mortgage Securitization, the RM Issuing Entity issued various classes of asset-backed notes (the "RM Notes") which are backed by the cash flows from the underlying proprietary reverse mortgage loans. The two most senior classes of RM Notes were purchased by unrelated parties, while the Company retained the remaining classes of RM Notes. The Company intends to hold, at a minimum, the amount of RM Notes it is required to hold under the Risk Retention Rules. The Company is deemed to be the primary beneficiary of the RM Issuing Entity, which is a VIE. The RM Issuing Entity meets the definition of a CFE and as a result, the assets of the RM Issuing Entity have been valued using the fair value of the liabilities of the RM Issuing Entity, as such liabilities have been assessed to be more observable than such assets. The debt of the RM Issuing Entity is included in Other secured borrowings, at fair value, on the Condensed Consolidated Balance Sheet and is shown net of the RM Notes held by the Company. The following table details the assets and liabilities of the RM Issuing Entity included in the Company's Condensed Consolidated Balance Sheet as of June 30, 2024: June 30, 2024 Assets: (In thousands) Restricted cash $ 4,489 Loans, at fair value 181,073 Liabilities: Other secured borrowings, at fair value 158,397 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 98% of 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. The majority of the related collateral is included as a component of Loans, at fair value, on the Condensed Consolidated Balance Sheet. The Company recognizes interest expense on such HMBS-related obligations based on the stated coupon rate of the respective HMBS. Interest expense and 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 periods ended June 30, 2024 and 2023, the Company pooled HECM loans with an unpaid principal balance of $334.7 million and $379.8 million, respectively, into HMBS. During the six-month periods ended June 30, 2024 and 2023, the Company pooled HECM loans with an unpaid principal balance of $609.0 million and $693.3 million, respectively, into HMBS. As of June 30, 2024, the Company was servicing 1,043 pools of HMBS with an unpaid principal balance of $8.5 billion. As of December 31, 2023, the Company was servicing 974 pools of HMBS with an unpaid principal balance of $8.2 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 Other Assets or Accrued expenses and other liabilities 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 June 30, 2024 and December 31, 2023, the Company has a Servicing Asset/(Liability) related to the HECM CT Agreement of $(0.2) million and $1.3 million, respectively, which is included in Accrued expenses and other liabilities and Other Assets, respectively, on the Condensed Consolidated Balance Sheet. During the three-month periods ended June 30, 2024 and 2023 , the Company repurchased HECM loans from HMBS pools, largely consisting of loans subject to 98% of the MCA requirement, with an unpaid principal balance of $108.6 million and $206.8 million, respectively. Of these repurchases during the three-month periods ended June 30, 2024 and 2023, $102.6 million and $202.6 million, respectively, were subsequently transferred to a third party in accordance with the HECM CT Agreement. During the six-month periods ended June 30, 2024 and 2023 , the Company repurchased HECM loans from HMBS pools, largely consisting of loans subject to 98% of the MCA requirement, with an unpaid principal balance of $256.5 million and $366.1 million , respectively. Of these repurchases during the six-month periods ended June 30, 2024 and 2023, $238.6 million and $360.1 million, respectively, were subsequently transferred to a third party in accordance with the HECM CT Agreement. |
Borrowings
Borrowings | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024 and December 31, 2023, the Company's total secured borrowings were $12.9 billion and $13.1 billion, respectively. Repurchase Agreements The Company enters into repurchase agreements. A repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's repurchase agreements typically range in term from 30 to 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 23 and 26 counterparties as of June 30, 2024 and December 31, 2023, respectively. As of June 30, 2024, remaining days to maturity on the Company's open repurchase agreements ranged from 1 day to 644 days. Interest rates on the Company's open repurchase agreements ranged from 4.57% to 8.86% as of June 30, 2024. As of December 31, 2023, remaining days to maturity on the Company's open repurchase agreements ranged from 2 days to 513 days. Interest rates on the Company's open repurchase agreements ranged from 4.81% to 8.68% as of December 31, 2023. The following table details the Company's outstanding borrowings under repurchase agreements for Agency RMBS, credit assets (which can include non-Agency RMBS, CMBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and commercial mortgage loans and REO), reverse mortgage loans, and U.S. Treasury securities by remaining maturity as of June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 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 $ 308,855 5.46 % 17 $ 1,076,710 5.55 % 17 31-60 Days 71,692 5.51 % 45 15,786 5.81 % 49 61-90 Days 883 6.11 % 73 914 6.16 % 72 151-180 Days 1,979 6.15 % 162 1,931 6.23 % 159 Total Agency RMBS 383,409 5.48 % 23 1,095,341 5.55 % 18 Credit Assets: 30 Days or Less 15,360 6.96 % 18 124,617 6.80 % 22 31-60 Days 134,122 6.75 % 45 136,434 7.03 % 41 61-90 Days 107,561 6.64 % 75 82,992 6.85 % 74 91-120 Days 1,063,288 7.41 % 99 290,215 7.36 % 116 121-150 Days 970 6.58 % 141 — — % — 151-180 Days 15,187 6.69 % 162 5,980 6.68 % 161 181-364 Days 99,631 8.35 % 278 867,983 7.61 % 268 > 364 Days 103,967 7.93 % 482 58,631 8.61 % 513 Total Credit Assets 1,540,086 7.38 % 130 1,566,852 7.44 % 199 Reverse Mortgage Loans: 31-60 Days 26,901 8.86 % 37 — — % — 91-120 Days 104,967 8.59 % 95 — — % — 121-150 Days — — % — — — % — 181-364 Days — — % — 150,228 7.97 % 282 Total Reverse Mortgage Loans 131,868 8.65 % 84 150,228 7.97 % 282 U.S. Treasury Securities: 30 Days or Less 246,613 5.46 % 1 155,016 5.51 % 2 Total U.S. Treasury Securities 246,613 5.46 % 1 155,016 5.51 % 2 Total $ 2,301,976 6.93 % 95 $ 2,967,437 6.67 % 126 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 June 30, 2024 and December 31, 2023, the fair value of investments transferred as collateral under outstanding borrowings under repurchase agreements was $2.9 billion and $3.7 billion, respectively. Collateral transferred under outstanding borrowings under repurchase agreements as of June 30, 2024 and December 31, 2023, include investments in the amount of $32.8 million and $346.6 million, respectively, that were sold prior to period end but for which such sale had not yet settled. As of December 31, 2023, such amount included $341.1 million of Agency RMBS that had been acquired as a result of the Arlington merger and then subsequently sold but for which such sale transaction had not yet settled. In addition, as of June 30, 2024 and December 31, 2023, the Company posted (received) net cash collateral of $1.6 million and $(11.2) million, respectively, to its counterparties. In addition, as of June 30, 2024 additional securities with a fair value of $0.1 million were posted by the Company as a result of margin calls from various 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 June 30, 2024 and December 31, 2023. June 30, 2024: Counterparty Amount at Risk Weighted Average Remaining Days to Maturity Percentage (In thousands) Nomura Holdings Inc. $ 212,043 97 13.5 % December 31, 2023: Counterparty Amount at Risk Weighted Average Remaining Days to Maturity Percentage (In thousands) Nomura Holdings Inc. $ 216,886 246 14.2 % 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 June 30, 2024 and December 31, 2023, the Company had outstanding borrowings under this facility in the amount of $29.5 million and $25.8 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 9.76% and 9.83% as of June 30, 2024 and December 31, 2023, respectively. As of June 30, 2024 and December 31, 2023, the fair value of ABS backed by consumer loans collateralizing this borrowing was $68.6 million and $69.8 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both June 30, 2024 and December 31, 2023, the Company was in compliance with all of its covenants. The Company has completed securitization transactions, as discussed in Note 13, whereby it financed portfolios of non-QM loans. As of June 30, 2024 and December 31, 2023, the fair value of the Company's outstanding liabilities associated with the Company's Consolidated Residential Mortgage Loan Securitizations was $1.37 billion and $1.42 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 3.04% and 3.03% as of June 30, 2024 and December 31, 2023, respectively. As of June 30, 2024 and December 31, 2023, the fair value of non-QM loans held in the Consolidated Residential Mortgage Loan Securitization trusts was $1.5 billion and $1.6 billion, respectively. The Company has completed a securitization transaction, as discussed in Note 13, whereby it financed a portfolio of reverse mortgage loans. As of June 30, 2024, the fair value of the Company's outstanding liabilities associated with the Company's Reverse Mortgage Securitizations was $158.4 million, 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 4.50%. Collateral held in the RM Issuing Entity as of June 30, 2024 includes the fair value of reverse mortgage loans of $181.1 million and $4.5 million of cash held in a securitization reserve fund. As discussed in Note 13, the Company has determined that it is the primary beneficiary of the European RMBS Issuer at June 30, 2024, resulting in consolidation. As of June 30, 2024, the fair value of the outstanding liabilities of the European RMBS Issuer was $58.2 million, representing the fair value of the European Debt Tranches 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 European Debt Tranches held by third parties was 6.92%. Collateral held in the European RMBS Issuer as of June 30, 2024 includes the fair value of residential mortgage loans of $52.4 million and $6.8 million of cash. 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 June 30, 2024 and December 31, 2023, the Company was in compliance with all of these covenants. As of June 30, 2024 and December 31, 2023, the Company had outstanding borrowings under these financing lines of $144.6 million and $160.1 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. June 30, 2024 December 31, 2023 Maturity Outstanding Borrowings Fair Value of Underlying Collateral Effective Interest Rate Outstanding Borrowings Fair Value of Underlying Collateral Effective Interest Rate (In thousands) (In thousands) Facility A July 2024 $ 88,538 $ 99,464 8.60 % $ 83,393 $ 99,340 8.95 % Facility B April 2025 56,088 60,930 8.03 % 76,717 88,251 8.21 % $ 144,626 $ 160,394 8.38 % $ 160,110 $ 187,591 8.60 % 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 August 2024, and accrues interest on a floating-rate basis. As of June 30, 2024 and December 31, 2023, the Company's outstanding borrowings under this facility was $18.3 million and $18.7 million, respectively, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 9.00% as of both June 30, 2024 and December 31, 2023. As of June 30, 2024 and December 31, 2023, the fair value of HECM tail draws collateralizing this borrowing was $29.5 million and $29.2 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 June 30, 2024 and December 31, 2023, 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 June 30, 2024 and December 31, 2023, the Company's outstanding borrowings under this facility were $14.3 million and $26.6 million, respectively, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 10.44% and 10.46% as of June 30, 2024 and December 31, 2023, respectively. As of June 30, 2024 and December 31, 2023, the fair value of MSRs collateralizing this borrowing was $94.6 million and $88.4 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both June 30, 2024 and December 31, 2023, the Company was in compliance with all of its covenants. As discussed in Note 5, the Company is a party to various agreements with the MLPS Counterparty, which provide for the financing of certain HECM Buyout Loans. This facility was executed in March 2023 with a three-year term and accrues interest on a floating-rate basis. As of June 30, 2024 and December 31, 2023, the Company's outstanding borrowings under this facility were $10.5 million and $14.7 million, which are included on the Company's Condensed Consolidated Balance Sheet in Other secured borrowings. The effective interest rate was 7.57% and 7.59% as of June 30, 2024 and December 31, 2023, respectively. As of June 30, 2024 and December 31, 2023, the fair value of HECM Buyout Loans collateralizing this borrowing was $10.7 million and $14.9 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of June 30, 2024 and December 31, 2023, the Company was in compliance with all of its covenants. HMBS-related Obligations As discussed in Note 13, the Company issues pools of HMBS which are accounted for as secured borrowings. As of June 30, 2024 and December 31, 2023, the Company had HMBS-related obligations, at fair value of $8.8 billion and $8.4 billion, respectively. As of June 30, 2024 and December 31, 2023, such HMBS-related obligations are secured by $8.9 billion and $8.5 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 6.58% and 6.46% as of June 30, 2024 and December 31, 2023, respectively. Unsecured Borrowings Senior Notes The Company has 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. 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. Upon the completion of the Arlington Merger, the Company assumed Arlington's liabilities including various unsecured debt. The Company assumed $34.9 million Arlington's 6.75% Senior Notes, which bear interest at a rate of 6.75% and are due March 15, 2025 (the "6.75% Senior Notes"). Interest on the 6.75% Senior Notes is payable quarterly in arrears. The Company may redeem the 6.75% Senior Notes, at its option, in whole or in part, at a redemption price equal to 100% of the outstanding principal amount of the 6.75% Senior Notes being redeemed plus accrued and unpaid interest to, but excluding, the date of redemption. The 6.75% Senior Notes are obligations of a certain subsidiary of the Company and are fully guaranteed by the Company. The Company also assumed $37.8 million of Arlington's 6.00% Senior Notes, which bear interest at a rate of 6.00% and are due August 1, 2026 (the "6.00% Senior Notes"). Interest on the 6.00% Senior Notes is payable quarterly in arrears. The Company may redeem the 6.00% Senior Notes, at its option, in whole or in part, at a redemption price equal to 100% of the outstanding principal amount of the 6.00% Senior Notes being redeemed plus accrued and unpaid interest to the date of redemption. The 6.00% Senior Notes are obligations of a certain subsidiary of the Company and are fully guaranteed by the Company. The Company has elected the FVO for the 5.875% Senior Notes, 6.75% Senior Notes, and 6.00% Senior Notes (collectively the "Senior Notes"), which are included in Unsecured borrowings, at fair value on the Condensed Consolidated Balance Sheet. Change in unrealized gains and losses on the Company's Senior Notes are included in Unrealized gains (losses) on Unsecured borrowings, at fair value, on the Condensed Consolidated Statement of Operations. There are a number of covenants, including several financial covenants, associated with the Senior Notes; as of both June 30, 2024 and December 31, 2023, the Company was in compliance with all of its covenants for its 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. Subordinated Notes The Company also assumed $15.0 million of Arlington's unregistered junior subordinated unsecured debt securities (the "Trust Preferred Debt"). The Trust Preferred Debt includes $10.0 million, which bears interest at a rate of three-month term SOFR plus 3.26%, payable quarterly in arrears, and which matures on October 7, 2033; and $5.0 million, which bears interest at a rate of three-month term SOFR plus 2.51%, payable quarterly in arrears, and which matures on July 7, 2035. The Trust Preferred Debt may be redeemed in whole or in part at any time and from time to time at the Company’s option, at a redemption price equal to the principal amount plus accrued and unpaid interest. The Company has elected the FVO for the Trust Preferred Debt, which is included in Unsecured borrowings, at fair value on the Condensed Consolidated Balance Sheet, and change in unrealized gains and losses on the Company's Trust Preferred Debt are included in Unrealized gains (losses) on Unsecured borrowings, at fair value, on the Condensed Consolidated Statement of Operations. The Trust Preferred Debt is an obligation of a certain subsidiary of the Company and is fully guaranteed by the Company. Schedule of Principal Repayments The following table details the Company's principal repayment schedule, over the next 5 years, for outstanding borrowings as of June 30, 2024: Year Repurchase Agreements (1) Other Secured Borrowings (2) HMBS-related Obligations (3) Unsecured Borrowings (1) Total (In thousands) Next Twelve Months $ 2,254,969 $ 417,119 $ 1,200,450 $ 34,931 $ 3,907,469 Year 2 47,007 254,170 991,074 — 1,292,251 Year 3 — 215,412 928,810 247,750 1,391,972 Year 4 — 183,417 866,802 — 1,050,219 Year 5 — 147,529 942,216 — 1,089,745 Total $ 2,301,976 $ 1,217,647 $ 4,929,352 $ 282,681 $ 8,731,656 (1) Reflects the Company's contractual principal repayment dates. (2) Includes $846.8 million, $113.6 million, and $40.0 million of expected principal repayments related to the Company's consolidated non-QM, reverse mortgage loan, and European Mortgage Loan securitizations, respectively, 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 | 6 Months Ended |
Jun. 30, 2024 | |
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 each of the three-month periods ended June 30, 2024 and 2023, the Company recorded income tax expense (benefit) of $0.1 million. For the six-month periods ended June 30, 2024 and 2023, the Company recorded income tax expense (benefit) of $0.2 million and $0.1 million, respectively. The Company evaluates its deferred tax assets for recoverability using a consistent approach which considers the relative impact of negative and positive evidence, including historical profitability and projections of future taxable income. Based upon the available evidence at June 30, 2024, 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 $65.9 million was recorded to fully reserve against these deferred tax assets. |
Related Party Transactions
Related Party Transactions | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024, the total base management fee incurred was $5.8 million, consisting of $5.9 million of total gross base management fee incurred, less $0.1 million of management fee rebates. For the three-month period ended June 30, 2023, the total base management fee incurred was $4.9 million, consisting of $5.0 million of total gross base management fee incurred, less $0.1 million of management fee rebates. For the six-month period ended June 30, 2024, the total base management fee incurred was $11.5 million, consisting of $11.7 million of total gross base management fee incurred, less $0.2 million of management fee rebates. For the six-month period ended June 30, 2023, the total base management fee incurred was $9.9 million, consisting of $10.2 million of total gross base management fee incurred, less $0.3 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 December 31, 2023, there was a Loss Carryforward of $22.1 million; there was no Loss Carryforward as of June 30, 2024. 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- or six-month periods ended June 30, 2024 or 2023, 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 six-month periods ended June 30, 2024 and 2023, the Company reimbursed the Manager $14.5 million and $9.0 million, respectively, for previously incurred operating expenses. As of June 30, 2024 and December 31, 2023, the outstanding payable to the Manager for operating expenses was $4.9 million and $5.2 million, respectively, which are included in Accrued expenses and other liabilities on the Condensed Consolidated Balance Sheet. Transactions Involving Investments in Unconsolidated Entities—Certain Loan Originators As of June 30, 2024 and December 31, 2023, 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 (the "Related-Party MLPA") 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 June 30, 2024 and December 31, 2023, 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 24, Commitments and Contingencies, for further information on the Company's guarantees of the third-party borrowing arrangements and certain loan purchase commitments under the Related-Party MLPA. Additionally, as of December 31, 2023, the Company held warrants to purchase 8.28 million shares with a fair value of $10.3 million, which were included in Investments in unconsolidated entities on the Condensed Consolidated Balance Sheet. In March 2024, the Company exercised such warrants in exchange for Class B Common Stock of the mortgage loan originator. As of June 30, 2024 and December 31, 2023, the fair value of the Company's investment in this mortgage loan originator was $21.5 million and $23.8 million, respectively. 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, 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 $68.9 million and $74.2 million as of June 30, 2024 and December 31, 2023, 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. In November 2023, the Company entered into various agreements with a residential mortgage loan originator (the "RTL Originator") in which it holds a non-controlling equity investment. Under the terms of such agreements, the Company has the option to purchase additional non-controlling equity interests at certain valuation thresholds. The Company also entered into a Commitment Letter Agreement (the "RTL Commitment Agreement") whereby it committed to purchase eligible loans originated by the RTL Originator; see Note 24, Commitments and Contingencies, for further information on the Company's commitment under the RTL Commitment Agreement. The RTL Originator has been determined to be a VIE. The Company has evaluated the RTL Originator and determined that the Company is not the primary beneficiary of the RTL Originator. As of both June 30, 2024 and December 31, 2023, the fair value of the Company's investment in the RTL Originator was $0.6 million, which is included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. Transactions Involving Investments in Unconsolidated Entities—Certain Loan Origination-Related Entities 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 June 30, 2024 December 31, 2023 June 30, 2024 December 31, 2023 June 30, 2024 December 31, 2023 (In thousands) (In thousands) May 2021 (2) December 31, 2025 $ 6,000 12.0% 9.0% $ 1,000 $ 2,335 $ 1,000 $ 2,335 February 2022 January 31, 2025 750 7.0% 7.0% 625 575 625 575 December 2022 December 16, 2024 3,500 15.0% 15.0% 1,644 1,644 1,233 1,233 (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. 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 $0.9 million and $1.6 million as of June 30, 2024 and December 31, 2023, 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 $1.6 billion as of both June 30, 2024 and December 31, 2023. The Company is 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 June 30, 2024 and December 31, 2023, the aggregate fair value of the Company's investments in the jointly owned limited liability companies was approximately $96.7 million and $63.7 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 June 30, 2024 and December 31, 2023, the Company's equity investment in Jepson Holdings Limited had a fair value of $0.2 million and $0.6 million, respectively. See Note 8 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 June 30, 2024 and December 31, 2023, the Joint Entities had aggregate outstanding issued debt under the repurchase agreements in the amount of $682.4 million and $560.5 million, respectively. The Company's segregated silo of this debt as of June 30, 2024 and December 31, 2023, was $153.2 million and $165.9 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 June 30, 2024 and December 31, 2023, 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 12 and Note 14 for additional information. Participation in CLO Transactions As discussed in Note 13, 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 each of the three-month periods ended June 30, 2024 and 2023, the amount of such management fee rebates was $0.1 million. For the six-month periods ended June 30, 2024 and 2023, the amount of such management fee rebates was $0.2 million and $0.3 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 June 30, 2024 and December 31, 2023, the Company's investment in such warehouse facilities was $33 thousand and $0.2 million, respectively, which are included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities. During the three-month period ended June 30, 2023, the Company purchased $0.7 million, and during the six-month periods ended June 30, 2024 and 2023, the Company purchased $1.2 million and $0.7 million, respectively, of various underperforming corporate debt and equity securities from certain of the Ellington-sponsored CLO Securitizations. No such purchases were made during the three-month period ended June 30, 2024. Such purchases are effected at market prices determined through the procedures set forth in the indentures of the respective Ellington-sponsored CLO Securitizations. Investment in Affiliate In May 2024, the Company executed various agreements with Ellington Real Estate Income Trust, Inc., an affiliate of the Company also managed by Ellington (the "Affiliated REIT"), whereby the Company, Ellington, and various unrelated third-parties (collectively, the "Affiliated REIT Founding Investors") committed to invest in the common stock of the Affiliated REIT. As of June 30, 2024, the Company has not funded any of its commitment. The directors of the Affiliated REIT are currently: Michael Vranos, the Company's Co-Chief Investment Officer; Laurence Penn, the Company's Chief Executive Officer and President and a member of our Board of Directors; and Mark Tecotzky, the Company's Co-Chief Investment Officer. See Note 23 for details of the Company's commitment to the Affiliated REIT. |
Long-Term Incentive Plan Units
Long-Term Incentive Plan Units | 6 Months Ended |
Jun. 30, 2024 | |
Share-Based Payment Arrangement [Abstract] | |
Long-Term Incentive Plan Units | Long-Term Incentive Plan Units OP LTIP Units issued under 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 is presented in Compensation and benefits, on the Statement of Operations. Total expense associated with OP LTIP Units issued under the Company's incentive plans for each of the three-month periods ended June 30, 2024 and 2023 was $0.3 million and for the six-month periods ended June 30, 2024 and 2023 was $0.6 million and $0.7 million, respectively. The below table details unvested OP LTIP Units as of June 30, 2024: Grant Recipient Number of OP LTIP Units Granted Grant Date Vesting Date (1) Directors: 30,628 December 14, 2023 September 13, 2024 Dedicated or partially dedicated personnel: 14,708 December 15, 2022 December 15, 2024 22,135 December 14, 2023 December 14, 2024 17,538 December 14, 2023 December 14, 2025 39,740 March 19, 2024 December 31, 2025 Total unvested OP LTIP Units at June 30, 2024 124,749 (1) Date at which such OP LTIP Units will vest and become non-forfeitable. The following tables summarize issuance and exercise activity of OP LTIP Units for the three- and six-month periods ended June 30, 2024 and 2023: Three-Month Period Ended June 30, 2024 June 30, 2023 Manager Director/ Total Manager Director/ Total OP LTIP Units Outstanding (March 31, 2024 and 2023, respectively) 365,518 423,177 788,695 365,518 404,055 769,573 Granted — — — — — — OP LTIP Units Outstanding (June 30, 2024 and 2023, respectively) 365,518 423,177 788,695 365,518 404,055 769,573 OP LTIP Units Unvested and Outstanding — 124,749 124,749 — 113,615 113,615 OP LTIP Units Vested and Outstanding 365,518 298,428 663,946 365,518 290,440 655,958 Six-Month Period Ended June 30, 2024 June 30, 2023 Manager Director/ Total Manager Director/ Total OP LTIP Units Outstanding (December 31, 2023 and 2022, respectively) 365,518 383,437 748,955 365,518 404,055 769,573 Granted — 39,740 39,740 — — — OP LTIP Units Outstanding (June 30, 2024 and 2023, respectively) 365,518 423,177 788,695 365,518 404,055 769,573 OP LTIP Units Unvested and Outstanding — 124,749 124,749 — 113,615 113,615 OP LTIP Units Vested and Outstanding 365,518 298,428 663,946 365,518 290,440 655,958 There were an aggregate of 1,399,440 and 1,439,180 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 June 30, 2024 and December 31, 2023, respectively. |
Non-controlling Interests
Non-controlling Interests | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024, the Convertible Non-controlling Interests consisted of the outstanding 788,695 OP LTIP Units and 46,360 OP Units, and represented an interest of approximately 0.8% in the Operating Partnership. As of December 31, 2023, the Convertible Non-controlling Interests consisted of the outstanding 748,955 OP LTIP Units and 46,360 OP Units, and represented an interest of approximately 0.7% in the Operating Partnership. As of June 30, 2024 and December 31, 2023, non-controlling interests related to all outstanding Convertible Non-controlling Interests was $11.8 million and $11.1 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 June 30, 2024 and December 31, 2023, the joint venture partners' interests in subsidiaries of the Company were $6.7 million and $4.9 million, respectively. The joint venture partners' interests are not convertible into shares of common stock of the Company or OP Units, nor are the joint venture partners entitled to receive distributions that holders of shares of common stock of the Company receive. Non-Controlling Interests in Longbridge As of both June 30, 2024 and December 31, 2023, the Company owned 99.6% 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. Total expense associated with such options is presented under Compensation and benefits on the Statement of Operations. As of June 30, 2024 and December 31, 2023, the Longbridge Minority Holders' interests in Longbridge were $2.5 million and $2.4 million, respectively. |
Equity
Equity | 6 Months Ended |
Jun. 30, 2024 | |
Stockholders' Equity Note [Abstract] | |
Stockholders' Equity Note Disclosure [Text Block] | Equity Preferred Stock The Company has authorized 100,000,000 shares of preferred stock, $0.001 par value per share. As of both June 30, 2024 and December 31, 2023, the total amount of cumulative preferred dividends in arrears was $4.0 million. As of both June 30, 2024 and December 31, 2023, 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 June 30, 2024 and December 31, 2023, 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 June 30, 2024 and December 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 were issued during the six-month period ended June 30, 2023 and provided $96.5 million of net proceeds after $3.5 million of commissions and offering costs. As of June 30, 2024 and December 31, 2023, there were 379,668 shares of 7.00% Series D Cumulative Perpetual Redeemable Preferred Stock, $0.01 par value per share ("Series D Preferred Stock") outstanding and 957,133 shares of 8.250% Series E Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.01 par value per share ("Series E Preferred Stock") outstanding. On January 20, 2022, the Company commenced an "at-the-market" offering for our Series A Preferred Stock and Series B Preferred Stock, or the "Preferred ATM Program," by entering into equity distribution agreements with 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. The Company did not issue any shares of preferred stock under the Preferred ATM Program during either of the three- or six-month periods ended June 30, 2024 or 2023. As of June 30, 2024, the Company had remaining authorization under the Preferred ATM Program of $99.5 million. The Company's Series A Preferred Stock, Series B Preferred Stock, Series C Preferred Stock, Series D Preferred Stock, and Series E Preferred Stock (collectively the "Series Preferred Stock") rank senior to its common stock and Convertible Non-controlling Interests. Each Series Preferred Stock ranks on a parity with all other Series 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. Series A 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 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 "Series B 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 "Series B Reset Date"), at a rate equal to the five-year treasury rate as measured three business days prior to the Series B 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 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 April 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 "Series C 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 "Series C Reset Date"), at a rate equal to the five-year treasury rate as measured three business days prior to the Series C 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. Series D The Company's Series D Preferred Stock has no stated maturity and is not subject to any sinking fund. The Series D Preferred Stock is redeemable by the Company at its discretion upon not less than 30 nor more than 60 days’ notice. Holders of the Company's Series D Preferred Stock generally do not have any voting rights. Holders of the Series D Preferred Stock are entitled to receive cumulative cash dividends from and including, September 30, 2023, at a fixed rate equal to 7.000% per annum of the $25.00 per share liquidation preference. Dividends are payable quarterly in arrears on or about the 30th day of each March, June, September, and December. Series E The Company's Series E Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. The Series E Preferred Stock is not redeemable by the Company prior to March 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 E Preferred Stock generally do not have any voting rights. Holders of the Series E Preferred Stock are entitled to receive cumulative cash dividends (i) from and including September 30, 2023 to but not including March 30, 2024, at a fixed rate equal to 8.250% per annum of the $25.00 per share liquidation preference and (ii) from and including March 30, 2024, at a floating rate equal to three-month LIBOR plus a spread of 5.664% per annum of the $25.00 per share liquidation preference. Dividends are payable quarterly in arrears on or about the 30th day of each March, June, September, and December. Common Stock The Company has authorized 300,000,000 and 200,000,000 shares of common stock, $0.001 par value per share as of June 30, 2024 and December 31, 2023, respectively. 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. As of June 30, 2024 and December 31, 2023, there were 85,041,913 and 83,000,488 shares of common stock outstanding, respectively. The Company previously commenced an "at-the-market" offering program for shares of its common stock, or the "Common ATM Program," by entering into equity distribution agreements with sales agents under which the Company is authorized to offer and sell up to $225.0 million of common stock from time to time. During the six-month period ended June 30, 2024, the Company issued 2,103,725 shares of common stock under the Common ATM Program which provided $26.9 million of net proceeds after $0.3 million of agent commissions and offering costs. During the six-month period ended June 30, 2023, the Company issued 4,433,861 shares of common stock under the Common ATM Program which provided $60.5 million of net proceeds after $0.9 million of agent commissions and offering costs. The Company did not issue any shares of common stock under the Common ATM Program during either of the three-month periods ended June 30, 2024 or 2023. The following table summarizes issuance, repurchase, and other activity with respect to the Company's common stock for the three- and six-month periods ended June 30, 2024, and 2023: Three-Month Period Ended Six-Month Period Ended June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Shares of Common Stock Outstanding (as of 3/31/2024, 3/31/2023, 12/31/2023, and 12/31/2022, respectively) 85,056,648 67,185,076 83,000,488 63,812,215 Share Activity: Shares of common stock issued — — 2,103,725 4,433,861 Shares of common stock repurchased (14,735) (23,336) (62,300) (1,084,336) Shares of Common Stock Outstanding (as of 6/30/24, 6/30/23, 6/30/24, and 6/30/23, respectively) 85,041,913 67,161,740 85,041,913 67,161,740 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 June 30, 2024 and December 31, 2023, the Company's issued and outstanding shares of common stock would increase to 85,876,968 and 83,795,803 shares, respectively. In March 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"), which extended the Company’s ability to repurchase common stock beyond the 1.55 million shares authorized under the previous plan. The 2023 Repurchase Plan is 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 2023 Repurchase Plan 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 June 30, 2024, the Company repurchased 14,735 shares at an average price per share of $10.95 and a total cost of $0.2 million. During the three-month period ended June 30, 2023, the Company repurchased 23,336 shares at an average price per share of $12.00 and a total cost of $0.3 million. During the six-month period ended June 30, 2024, the Company repurchased 62,300 shares at an average price per share of $11.00 and a total cost of $0.7 million. During the six-month period ended June 30, 2023, the Company repurchased 1,084,336 shares at an average price per share of $11.39 and a total cost of $12.4 million. As of June 30, 2024, the Company has authorization to repurchase an additional $45.1 million of the Company's common stock under the 2023 Repurchase Plan. |
Earnings Per Share
Earnings Per Share | 3 Months Ended |
Jun. 30, 2024 | |
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 Six-Month Period Ended (In thousands except share amounts) June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Net income (loss) attributable to common stockholders $ 52,347 $ 2,898 $ 79,262 $ 41,814 Add: Net income (loss) attributable to Convertible Non-controlling Interests (1) 514 35 769 511 Net income (loss) attributable to common stockholders and Convertible Non-controlling Interests 52,861 2,933 80,031 42,325 Dividends declared: Common stockholders (33,166) (30,223) (69,755) (60,520) Convertible Non-controlling Interests (326) (367) (673) (734) Total dividends declared to common stockholders and Convertible Non-controlling Interests (33,492) (30,590) (70,428) (61,254) Undistributed (Distributed in excess of) earnings: Common stockholders 19,181 (27,325) 9,507 (18,706) Convertible Non-controlling Interests 188 (332) 96 (223) Total undistributed (distributed in excess of) earnings attributable to common stockholders and Convertible Non-controlling Interests $ 19,369 $ (27,657) $ 9,603 $ (18,929) Weighted average shares outstanding (basic and diluted): Weighted average shares of common stock outstanding 85,044,666 67,162,253 84,756,106 66,918,505 Weighted average Convertible Non-controlling Interest Units outstanding 835,055 815,933 818,024 815,933 Weighted average shares of common stock and Convertible Non-controlling Interest Units outstanding 85,879,721 67,978,186 85,574,130 67,734,438 Basic earnings per share of common stock and Convertible Non-controlling Interest Unit: Distributed $ 0.39 $ 0.45 $ 0.82 $ 0.90 Undistributed (Distributed in excess of) 0.23 (0.41) 0.12 (0.28) $ 0.62 $ 0.04 $ 0.94 $ 0.62 Diluted earnings per share of common stock and Convertible Non-controlling Interest Unit: Distributed $ 0.39 $ 0.45 $ 0.82 $ 0.90 Undistributed (Distributed in excess of) 0.23 (0.41) 0.12 (0.28) $ 0.62 $ 0.04 $ 0.94 $ 0.62 (1) For the three-month periods ended June 30, 2024 and 2023, excludes net income (loss) of $0.4 million and $1.8 million, respectively, attributable to joint venture partners and Longbridge, as applicable, which have non-participating interests as described in Note 18. For the six-month periods ended June 30, 2024 and 2023, excludes net income (loss) of $0.6 million and $2.1 million, respectively, attributable to joint venture partners and Longbridge, as applicable, which have non-participating interests as described in Note 18. |
Restricted Cash
Restricted Cash | 6 Months Ended |
Jun. 30, 2024 | |
Restricted Cash and Investments [Abstract] | |
Restricted Cash | Restricted Cash Restricted cash represents cash that the Company can use only for specific purposes. As of June 30, 2024, the Company had $6.1 million of restricted cash including cash balances that are restricted under a warehouse line of credit agreement and cash held in a securitization reserve fund. As of December 31, 2023, the Company had $1.6 million 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 | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024 and December 31, 2023. June 30, 2024: 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 $ 162,165 $ (39,020) $ — $ (71,447) $ 51,698 Reverse repurchase agreements 85,671 (61,989) (23,682) — — Liabilities Financial derivatives–liabilities (44,064) 39,020 — 351 (4,693) Repurchase agreements (2,301,976) 61,989 2,238,350 1,637 — (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 June 30, 2024 was $2.9 billion. As of June 30, 2024, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged (received) of $1.5 million and $(0.2) 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, 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 $ 143,996 $ (50,301) $ — $ (38,812) $ 54,883 Reverse repurchase agreements 173,145 (155,719) (17,426) — — Liabilities Financial derivatives–liabilities (61,776) 50,301 — 3,822 (7,653) Repurchase agreements (2,967,437) 155,719 2,822,912 (11,194) — (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, 2023 was $3.7 billion. As of December 31, 2023, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged of $(13.9) million and $12.1 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. |
Counterparty Risk
Counterparty Risk | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024 and December 31, 2023. June 30, 2024: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (1) (In thousands) Cash and cash equivalents $ 198,513 9 33.6 % Collateral on repurchase agreements held by dealers (2) 2,888,475 24 26.1 % Due from brokers 22,036 18 53.0 % Receivable for securities sold (3) 34,202 9 51.0 % (1) Each counterparty is a financial institution that the Company believes to be creditworthy as of June 30, 2024. (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, 2023: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (In thousands) Cash and cash equivalents $ 228,927 11 28.8 % Collateral on repurchase agreements held by dealers (1) 3,672,278 28 18.6 % Due from brokers 51,884 21 58.5 % Receivable for securities sold (2) 345,429 9 54.3 % (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 | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024 and December 31, 2023, 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 $295.9 million and $288.0 million as of June 30, 2024 and December 31, 2023, respectively. Loan Purchase Commitments The Company is party to mortgage loan purchase and sale flow agreements with various loan originators, or "MLPAs." The Company had commitments, subject to completion of satisfactory due diligence and other terms of the respective MLPA, to purchase residential mortgage loans with a principal balance of $236.3 million. As of June 30, 2024, the fair value of the Company's purchase loan commitments was $0.3 million, which is included in Other Assets on the Condensed Consolidated Balance Sheet. 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 above in —Loan Purchase Commitments, the Company has entered into various MLPAs, including the Related-Party MLPA, as described in Note 16, under which it commits to purchase non-QM loans from a certain mortgage loan originator. As of June 30, 2024, the Company had commitments, subject to the terms of the Related-Party MLPA, to purchase non-QM loans with a principal balance of $32.5 million. As of June 30, 2024, the fair value of such purchase loan commitments was $0.1 million, which is included in Other Assets on the Condensed Consolidated Balance Sheet. The Company has also 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 June 30, 2024 and December 31, 2023 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 June 30, 2024 and December 31, 2023, the estimated fair value of such guarantee was insignificant. As described in Note 16, the Company entered into various secured promissory notes with certain loan originators in which it also holds an equity interest. As of June 30, 2024 and December 31, 2023, the Company had unfunded commitments related to such secured promissory notes of $5.1 million and $5.5 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 December 31, 2023, the amount of the promissory note outstanding, for which the Company provided a guarantee, was $1.0 million; no such amounts were outstanding as of June 30, 2024. As discussed in Note 16, under the terms of the RTL Commitment Agreement, the Company committed to purchase at least $500 million of eligible loans originated by the RTL Originator. As of June 30, 2024 and December 31, 2023, the Company has unfunded commitments under the RTL Commitment Agreement of $404.1 million and $475.4 million, respectively. 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 June 30, 2024 and December 31, 2023, the Company had unfunded commitments related to such investments in the amount of $2.8 million and $3.0 million, respectively. The Company has extended a line of credit whereby the borrower can draw funds up to $1.0 million. As of both June 30, 2024 and December 31, 2023, the Company had unfunded commitments related to such line of credit in the amount of $0.9 million. Commitments to Affiliate As discussed in Note 16, the Company has committed to invest in the common shares of the Affiliated REIT. As of June 30, 2024, the Company had not yet made an initial investment and its remaining commitment to fund capital calls was $25.0 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 June 30, 2024 and December 31, 2023, the fair value of such commitments was $5.6 million and $2.6 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 reverse mortgage loan proceeds available to them. As of June 30, 2024 and December 31, 2023, the Company had unfunded commitments related to such reverse mortgage loans of $2.1 billion and $1.9 billion, respectively. Additionally, the Company has the obligation to advance various other reverse mortgage loan-related amounts such as the borrowers' property taxes and, in the case of HECM reverse mortgage loans, monthly insurance premiums to FHA. Mandatory Repurchase Obligations As detailed in Note 13, the Company is required to purchase from HMBS pools any HECM loan that has reached 98% of 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, a consolidated subsidiary of the Company, leases office space and office equipment, under various operating lease arrangements, which expire on various dates through January 2035. Additionally, as a result of the Arlington Merger, the Company assumed the remaining lease for Arlington's principal office space which expires in October 2024. As discussed in Note 2, the Company makes various assumptions and estimates in recognizing the operating lease ROU assets 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 $0.4 million and $0.3 million for the three-month periods ended June 30, 2024 and 2023, respectively and to $0.8 million and $0.6 million for the six-month periods ended June 30, 2024 and 2023, respectively. Such expense is included in Other expenses on the Condensed Consolidated Statement of Operations. The following table provides details of the Company's outstanding leases as of June 30, 2024 and December 31, 2023. ($ in thousands) June 30, 2024 December 31, 2023 ROU assets $ 5,540 $ 3,279 Lease liabilities 5,959 3,524 Weighted average remaining term (in years) 7.5 5.1 Weighted average discount rate 8.83 % 7.31 % The following table details contractual future minimum lease payments as of June 30, 2024. Minimum Payments (In thousands) Year ended December 31, 2024 $ 541 Year ended December 31, 2025 1,240 Year ended December 31, 2026 1,237 Year ended December 31, 2027 1,140 Year ended December 31, 2028 929 Thereafter 3,467 Total 8,554 Less: implied interest payments (2,595) Lease Liability $ 5,959 |
Segment Reporting
Segment Reporting | 6 Months Ended |
Jun. 30, 2024 | |
Segment Reporting [Abstract] | |
Segment Reporting Disclosure | Segment Reporting On October 3, 2022, the Company completed the acquisition of a controlling interest in 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 is focused on the origination and servicing of, and investments in, reverse mortgage loans, 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 Unsecured borrowings, at fair value 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. The following tables present the Company's results of operations by reportable segment for the three-month periods ended June 30, 2024, and 2023, and various reconciling items to the Company's results of operations overall. Three-Month Period Ended June 30, 2024 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Interest income $ 88,790 $ 9,765 $ 1,915 $ 100,470 Interest expense (53,628) (8,615) (4,631) (66,874) Total other income (loss) 27,584 29,868 109 57,561 Total expenses (5,312) (26,809) (10,864) (42,985) Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 57,434 4,209 (13,471) 48,172 Income tax expense (benefit) — — 142 142 Earnings (losses) from investments in unconsolidated entities 12,042 — — 12,042 Net Income (Loss) 69,476 4,209 (13,613) 60,072 Net income (loss) attributable to non-controlling interests 382 — 518 900 Dividends on preferred stock — — 6,825 6,825 Net Income (Loss) Attributable to Common Stockholders $ 69,094 $ 4,209 $ (20,956) $ 52,347 Non-cash items: Amortization and depreciation expense $ — $ 572 $ — $ 572 Three-Month Period Ended June 30, 2023 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Interest income $ 83,118 $ 3,779 $ 1,195 $ 88,092 Interest expense (54,207) (6,117) (3,109) (63,433) Total other income (loss) 13,352 30,630 (9,319) 34,663 Total expenses (3,865) (25,816) (12,951) (42,632) Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 38,398 2,476 (24,184) 16,690 Income tax expense (benefit) — — 83 83 Earnings (losses) from investments in unconsolidated entities (5,868) — — (5,868) Net Income (Loss) 32,530 2,476 (24,267) 10,739 Net income (loss) attributable to non-controlling interests 1,847 (25) 39 1,861 Dividends on preferred stock — — 5,980 5,980 Net Income (Loss) Attributable to Common Stockholders $ 30,683 $ 2,501 $ (30,286) $ 2,898 Non-cash items: Amortization and depreciation expense $ — $ 352 $ — $ 352 Six-Month Period Ended June 30, 2024 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Interest income $ 180,193 $ 18,006 $ 3,791 $ 201,990 Interest expense (110,939) (17,172) (9,227) (137,338) Total other income (loss) 37,610 68,036 (3,601) 102,045 Total expenses (8,455) (55,907) (22,278) (86,640) Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 98,409 12,963 (31,315) 80,057 Income tax expense (benefit) — — 202 202 Earnings (losses) from investments in unconsolidated entities 14,268 — — 14,268 Net Income (Loss) 112,677 12,963 (31,517) 94,123 Net income (loss) attributable to non-controlling interests 567 38 777 1,382 Dividends on preferred stock — — 13,479 13,479 Net Income (Loss) Attributable to Common Stockholders $ 112,110 $ 12,925 $ (45,773) $ 79,262 Non-cash items: Amortization and depreciation expense $ — $ 842 $ — $ 842 Six-Month Period Ended June 30, 2023 (In thousands) Investment Portfolio Longbridge Segment Corporate/ Other Total Interest income $ 165,487 $ 6,672 $ 3,107 $ 175,266 Interest expense (106,343) (10,463) (6,244) (123,050) Total other income (loss) 24,281 64,028 (1,971) 86,338 Total expenses (7,369) (51,263) (21,902) (80,534) Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 76,056 8,974 (27,010) 58,020 Income tax expense (benefit) — — 104 104 Earnings (losses) from investments in unconsolidated entities (2,424) — — (2,424) Net Income (Loss) 73,632 8,974 (27,114) 55,492 Net income (loss) attributable to non-controlling interests 2,085 (23) 519 2,581 Dividends on preferred stock — — 11,097 11,097 Net Income (Loss) Attributable to Common Stockholders $ 71,547 $ 8,997 $ (38,730) $ 41,814 Non-cash items Amortization and depreciation expense $ — $ 710 $ — $ 710 The following tables present our balance sheet by reportable segment as of June 30, 2024 and December 31, 2023 which reconciles to the Company's financial position overall. June 30, 2024 (In thousands) Investment Portfolio Longbridge Corporate/ Other Total Total Assets $ 5,274,312 $ 9,632,117 $ 186,224 $ 15,092,653 Total Liabilities 3,758,688 9,380,275 379,831 13,518,794 Total Equity 1,515,624 251,842 (193,607) 1,573,859 December 31, 2023 (In thousands) Investment Portfolio Longbridge Corporate/ Other Total Total Assets $ 5,978,988 $ 9,092,840 $ 244,102 $ 15,315,930 Total Liabilities 4,555,212 8,872,153 352,953 13,780,318 Total Equity 1,423,776 220,687 (108,851) 1,535,612 |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2024 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events On July 8, 2024, the Board of Directors approved a dividend in the amount of $0.13 per share of common stock payable on August 26, 2024 to stockholders of record as of July 31, 2024. On August 7, 2024, the Board of Directors approved a dividend in the amount of $0.13 per share of common stock payable on September 25, 2024 to stockholders of record as of August 30, 2024. |
Significant Accounting Polici_2
Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2024 | |
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, 2023. |
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, loan purchase commitments, mortgage servicing rights, or "MSRs," Forward MSR-related investments, other secured borrowings, at fair value, HMBS-related obligations, at fair value, and Unsecured borrowings, 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 and Forward MSR-related investments. It determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. MSRs and Forward MSR-related investments are classified as Level 3. The Company has securitized certain mortgage loans, including residential mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Financial Protection Bureau, or "non-QM loans," and proprietary reverse mortgage loans. The Company's securitized loans, which include non-QM loans, certain European residential mortgage loans, and reverse mortgage 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 13 " Securitization Transactions, — Consolidated Residential Mortgage Loan Securitizations, — Residential Mortgage Loan Securitizations — European Residential Mortgage Loans, and — Proprietary Reverse 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 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 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 market pricing for instruments with similar characteristics in determining fair value. The valuation process incorporates 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. The Company has elected the FVO for loan purchase commitments related to certain residential mortgage loans, and uses the agreed-upon loan purchase price with adjustments made for interest rate and credit spread movements in determining fair value. The Company's loan purchase 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, corporate loans, and propriety reverse mortgage loans are included as a component of Unrealized gains (losses) on securities and loans, net. Changes in fair value on HECM reverse mortgage loans held-for-investment is included as a component of Net change from HECM 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 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, commercial, and proprietary reverse mortgage loans 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 HECM 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 HECM reverse mortgage loans, at fair value. For Forward MSR-related investments, the Company recognizes interest income based on the effective interest method. For purposes of estimating future expected cash flows, management uses various assumptions about the mortgage loans underlying the MSRs, including but not limited to the timing and amount of prepayments. 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 investments based on the updated expected future cash flows. Interest income on Forward MSR-related investments is included on the Condensed Consolidated Statement of Operations as a component of Interest Income. 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. |
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; MSRs can also be acquired in the secondary market. 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. |
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. |
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 11 for additional details on the Company's intangible assets. |
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 12, Note 13, and Note 16 for further information on the Company's investments in 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 13 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. |
Lessee, Leases | Leases : 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 the Condensed Consolidated Balance Sheet. Operating lease liabilities and their corresponding ROU assets are recorded based on the present value of lease payments over the expected remaining lease term. The interest rate implicit in lease contracts is typically not readily determinable, and as a result, the Company utilizes an incremental borrowing rate, which reflects the fixed rate at which the Company could borrow on a collateralized basis the amount of the lease payments for a similar term. Lease expense for lease payments is recognized on a straight-line basis over the lease term. |
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, or the "NYSE," 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 the Company's 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 18 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 federal and state income tax to the extent it distributes its taxable income 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. 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 deficiency dividends) 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% federal 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 elect to treat other current or future subsidiaries as TRSs. In general, a TRS may hold assets and engage in any real estate or non-real estate-related activities that the Company cannot hold or engage in directly. 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. The Company's foreign subsidiaries may be subject to income taxes in their 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 (2020, 2021, 2022, and 2023). 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 Company recognizes interest and penalties, if any, related to uncertain tax positions, as income tax expense included in Income tax expense (benefit) on the Condensed Consolidated Statement of Operations. |
Business Combinations Policy | Business Combinations : In accordance with ASC 805, Business Combinations |
Recent Accounting Pronouncements | (AG) Recent Accounting Pronouncements: In December 2023, the FASB issued ASU 2023-09, Improvements to Income Tax Disclosures ("ASU 2023-09") which requires disaggregated information about a reporting entities effective tax rate reconciliation as well as information on income taxes paid. ASU 2023-09 is effective for annual periods beginning after December 15, 2024, with early adoption permitted. ASU 2023-09 will be applied on a prospective basis with the option to apply ASU 2023-09 retrospectively. ASU 2023-09 is not expected to have a material impact on the Company's consolidated financial statements. In November 2023, the FASB issued ASU 2023-07, Segment Reporting—Improvements to Reportable Segment Disclosures ("ASU 2023-07") which requires incremental disclosures related to an entity's reportable segments, including identifying significant segment expense categories and any multiple measures of segment profit or loss used by the CODM. Additionally, ASU 2023-07 provides further guidance on interim reporting, disclosures required by entities with a single reportable segment, and recasting of previously reported segment information. ASU 2023-07 is effective for fiscal years beginning after December 15, 2023, and interim periods in fiscal years beginning after December 15, 2024, with early adoption permitted. ASU 2023-07 will be applied on a retrospective basis unless it is impracticable to do so. ASU 2023-07 is not expected to have a material impact on the Company's consolidated financial statements. |
Loan purchase commitments | Loan Purchase Commitments : The Company's loan purchase commitments relate to commitments to purchase certain residential mortgage loans originated by third parties. The Company has elected the FVO for certain of its loan purchase commitments which are included in Other Assets on the Condensed Consolidated Balance Sheet. Changes in the fair value of such loan purchase commitments are included in Other, net on the Condensed Consolidated Statement of Operations. |
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 | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 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 June 30, 2024 and December 31, 2023: June 30, 2024: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value: Agency RMBS $ — $ 450,218 $ 7,482 $ 457,700 Non-Agency RMBS — 83,324 84,811 168,135 CMBS — 24,597 18,245 42,842 CLOs — 46,962 35,697 82,659 Asset-backed securities, backed by consumer loans — — 68,924 68,924 Other ABS — — 31,196 31,196 Corporate debt securities — — 15,066 15,066 Corporate equity securities 5,950 — 10,162 16,112 U.S. Treasury securities — 245,050 — 245,050 Loans, at fair value: Residential mortgage loans — — 3,101,615 3,101,615 Commercial mortgage loans — — 266,220 266,220 Consumer loans — — 949 949 Corporate loans — — 4,933 4,933 Reverse mortgage loans — — 9,472,389 9,472,389 Forward MSR-related investments, at fair value — — 158,031 158,031 MSRs, at fair value — — 29,538 29,538 Loan commitments, at fair value — — 5,623 5,623 Loan purchase commitments, at fair value — — 275 275 Investment in unconsolidated entities, at fair value — — 163,182 163,182 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities — — 8 8 Credit default swaps on asset-backed indices — 2,136 — 2,136 Credit default swaps on corporate bonds — 70 — 70 Credit default swaps on corporate bond indices — 6,387 — 6,387 Interest rate swaps — 151,492 — 151,492 Total return swaps — — 3 3 TBAs — 1,598 — 1,598 Warrants — 53 — 53 Futures 222 — — 222 Forwards — 196 — 196 Total assets $ 6,172 $ 1,012,083 $ 13,474,349 $ 14,492,604 Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Liabilities: Securities sold short, at fair value: Government debt $ — $ (51,858) $ — $ (51,858) Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed indices — (32) — (32) Credit default swaps on corporate bonds — (227) — (227) Credit default swaps on corporate bond indices — (16,722) — (16,722) Interest rate swaps — (21,413) — (21,413) TBAs — (810) — (810) Futures (4,860) — — (4,860) Forwards — — — — Servicing liability, at fair value — — (232) (232) Other secured borrowings, at fair value — — (1,585,838) (1,585,838) HMBS-related obligations, at fair value — — (8,832,058) (8,832,058) Unsecured borrowings, at fair value — — (269,069) (269,069) Total liabilities $ (4,860) $ (91,062) $ (10,687,197) $ (10,783,119) December 31, 2023: Description Level 1 Level 2 Level 3 Total (In thousands) Assets: Securities, at fair value: Agency RMBS $ — $ 847,712 $ 5,512 $ 853,224 Non-Agency RMBS — 150,349 155,240 305,589 CMBS — 31,289 14,143 45,432 CLOs — 17,539 20,439 37,978 Asset-backed securities, backed by consumer loans — — 74,226 74,226 Other ABS — — 7,696 7,696 Corporate debt securities — — 8,041 8,041 Corporate equity securities 8,834 — 12,294 21,128 U.S. Treasury securities — 165,063 — 165,063 Loans, at fair value: Residential mortgage loans — — 3,093,912 3,093,912 Commercial mortgage loans — — 266,595 266,595 Consumer loans — — 1,759 1,759 Corporate loans — — 5,819 5,819 Reverse mortgage loans — — 8,938,551 8,938,551 Forward MSR-related investments, at fair value — — 163,336 163,336 MSRs, at fair value — — 29,580 29,580 Servicing asset, at fair value — — 1,327 1,327 Loan commitments, at fair value — — 2,584 2,584 Investment in unconsolidated entities, at fair value — — 116,414 116,414 Description Level 1 Level 2 Level 3 Total (continued) (In thousands) Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities $ — $ — $ 8 $ 8 Credit default swaps on asset-backed indices — 3,318 — 3,318 Credit default swaps on corporate bonds — 25 — 25 Credit default swaps on corporate bond indices — 7,259 — 7,259 Interest rate swaps — 129,239 — 129,239 Total return swaps — — 6 6 TBAs — 2,182 — 2,182 Warrants — 1,702 — 1,702 Futures 245 — — 245 Forwards — 12 — 12 Total assets $ 9,079 $ 1,355,689 $ 12,917,482 $ 14,282,250 Liabilities: Securities sold short, at fair value: Government debt $ — $ (154,303) $ — $ (154,303) Financial derivatives–liabilities, at fair value: Credit default swaps on asset-backed indices — (32) — (32) Credit default swaps on corporate bonds — (225) — (225) Credit default swaps on corporate bond indices — (15,894) — (15,894) Interest rate swaps — (31,745) — (31,745) TBAs — (5,820) — (5,820) Futures (7,990) — — (7,990) Forwards — (70) — (70) Other secured borrowings, at fair value — — (1,424,668) (1,424,668) HMBS-related obligations, at fair value — — (8,423,235) (8,423,235) Unsecured borrowings, at fair value — — (272,765) (272,765) Total liabilities $ (7,990) $ (208,089) $ (10,120,668) $ (10,336,747) | |||
Schedule of Significant Unobservable Inputs, Qualitative Information | The following table identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2024: June 30, 2024: Fair Value Valuation Unobservable Input Range Weighted Description Min Max (In thousands) Non-Agency RMBS $ 37,298 Market Quotes Non Binding Third-Party Valuation $ 0.85 $ 124.93 $ 70.54 47,513 Discounted Cash Flows 84,811 Yield 0.0 % 99.9 % 11.6 % Projected Collateral Prepayments 0.0 % 100.0 % 44.1 % Projected Collateral Losses 0.0 % 62.6 % 13.9 % Projected Collateral Recoveries 0.0 % 43.8 % 11.1 % Non-Agency CMBS 15,238 Market Quotes Non Binding Third-Party Valuation $ 5.31 $ 96.91 $ 54.94 3,007 Discounted Cash Flows 18,245 Yield 7.7 % 23.4 % 13.3 % Projected Collateral Losses 0.0 % 80.0 % 4.8 % Projected Collateral Recoveries 20.0 % 100.0 % 94.2 % CLOs 23,149 Market Quotes Non Binding Third-Party Valuation $ 13.51 $ 100.00 $ 67.25 12,548 Discounted Cash Flows 35,697 Yield 10.8 % 220.3 % 19.1 % Agency interest only RMBS 2,281 Market Quotes Non Binding Third-Party Valuation $ 2.66 $ 19.34 $ 11.66 5,201 Option Adjusted Spread ("OAS") 7,482 LIBOR OAS (1) 53 3,287 431 Projected Collateral Prepayments 15.6 % 100.0 % 55.1 % ABS 22,669 Market Quotes $ 4.58 $ 84.50 $ 68.51 77,451 Discounted Cash Flows 100,120 Yield 8.9 % 28.0 % 12.9 % Projected Collateral Prepayments 0.0 % 82.9 % 18.1 % Projected Collateral Losses 0.0 % 34.8 % 19.2 % Corporate debt and equity 25,228 Discounted Cash Flows Yield 0.0 % 47.1 % 14.4 % Performing and re-performing residential mortgage loans 1,442,025 Discounted Cash Flows Yield 0.4 % 75.2 % 9.1 % Securitized residential mortgage loans (2)(3) 1,423,657 Market Quotes Non Binding Third-Party Valuation $ 24.97 $ 100.65 $ 87.95 122,345 Discounted Cash Flows 1,546,002 Yield 2.5 % 14.9 % 5.0 % Non-performing residential mortgage loans 113,588 Discounted Cash Flows Yield 3.7 % 47.3 % 17.9 % Recovery Amount 14.7 % 140.3 % 103.7 % Months to Resolution 7.1 138.4 21.2 Performing commercial mortgage loans 216,740 Discounted Cash Flows Yield 9.7 % 12.9 % 11.4 % Non-performing commercial mortgage loans 49,480 Discounted Cash Flows Yield — % 20.3 % 15.0 % Recovery Amount 60.2 % 103.2 % 90.3 % Months to Resolution 3.1 8.0 6.5 Fair Value Valuation Unobservable Input Range Weighted Description Min Max (continued) (In thousands) Consumer loans 949 Discounted Cash Flows Yield 8.8 % 15.5 % 11.6 % Projected Collateral Prepayments — % 13.8 % 5.5 % Projected Collateral Losses 0.3 % 71.2 % 20.1 % Corporate loans 4,933 Discounted Cash Flows Yield 6.9 % 28.5 % 13.4 % Reverse Mortgage Loans—HECM 9,011,953 Discounted Cash Flows Yield 2.2 % 6.9 % 4.6 % Conditional Prepayment Rate 1.7 % 42.9 % 7.4 % Reverse Mortgage Loans—HECM buyouts 14,957 Discounted Cash Flows Yield 7.7 % 14.1 % 11.0 % Months to Resolution 1.0 60.0 27.0 Reverse Mortgage Loans—Unsecuritized Proprietary 264,406 Discounted Cash Flows Yield 7.5 % 9.0 % 8.4 % Conditional Prepayment Rate 12.2 % 51.3 % 15.0 % Reverse Mortgage Loans—Securitized Proprietary 181,073 Market Quotes Non Binding Third-Party Valuation $ 88.00 $ 105.00 $ 103.70 Yield 6.9 % 10.2 % 7.1 % Forward MSR-related investments 158,031 Discounted Cash Flows Yield 9.8 % 9.8 % 9.8 % Conditional Prepayment Rate 6.2 % 6.2 % 6.2 % MSRs 29,538 Discounted Cash Flows Yield 17.4 % 17.4 % 17.4 % Conditional Prepayment Rate 11.7 % 54.0 % 14.2 % Servicing Liability (232) Discounted Cash Flows Yield 15.0 % 15.0 % 15.0 % Loan Purchase Commitments 275 Transaction Price Yield 7.6 % 7.8 % 7.7 % Loan Commitments 5,623 Discounted Cash Flows Pull-through rate 61.7 % 100.0 % 71.6 % Cost to originate 3.3 % 7.8 % 5.2 % Investment in unconsolidated entities—Loan origination entities 33,589 Enterprise Value Equity Price-to-Book (4) 1.2x 1.5x 1.3x Investment in unconsolidated entities—Other 129,593 Enterprise Value Net Asset Value n/a n/a n/a 163,182 Total return swaps 3 Discounted Cash Flows Yield 0.0 % 0.0 % 0.0 % Credit default swaps on asset-backed securities 8 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 (2) (1,585,838) Market Quotes Non Binding Third-Party Valuation $ 50.00 $ 100.65 $ 88.20 Yield 5.9% 9.9% 6.6% Projected Collateral Prepayments 9.5% 100.0% 96.3% HMBS-related obligations, at fair value (8,832,058) Discounted Cash Flows Yield 2.1% 6.8% 4.5% Conditional Prepayment Rate 6.6% 42.9% 7.4% Unsecured borrowings, at fair value (269,069) Market Quotes Non Binding Third-Party Valuation $ 73.88 $ 97.40 $ 90.54 (1) Shown in basis points. (2) Securitized residential mortgage loans, Reverse Mortgage Loans—Securitized Proprietary, and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2. (3) Includes $47.5 million of non-performing securitized residential mortgage loans. (4) | |||
Fair Value Measurement Using Significant Unobservable Inputs | The tables below include roll-forwards of the Company's financial instruments for the three- and six-month periods ended June 30, 2024 and 2023 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Three-Month Period Ended June 30, 2024 (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 $ 6,722 $ (232) $ (33) $ (182) $ — $ — $ 1,302 $ (95) $ 7,482 Non-Agency RMBS 100,777 (540) (8,650) 15,412 16,898 (35,002) 998 (5,082) 84,811 CMBS 14,695 203 — (1,300) 4,069 — 578 — 18,245 CLOs 23,377 (866) (3,882) 1,477 61,855 (43,057) 2,500 (5,707) 35,697 Asset-backed securities backed by consumer loans 71,545 (1,755) (913) (481) 7,808 (7,280) — — 68,924 Other ABS 14,689 (214) — 2,003 15,401 (683) — — 31,196 Corporate debt securities 12,929 — (511) 50 4,252 (1,654) — — 15,066 Corporate equity securities 10,428 — (189) (50) 164 (191) — — 10,162 Loans, at fair value: Residential mortgage loans 3,160,176 (1,572) (2,970) 14,691 679,169 (747,879) — — 3,101,615 Commercial mortgage loans 294,100 — (43) 2,928 109,453 (140,218) — — 266,220 Consumer loans 1,289 (112) 53 (17) 31 (295) — — 949 Corporate loans 6,219 — — — 143 (1,429) — — 4,933 Reverse mortgage loans (3) 9,182,448 — — 152,146 421,712 (283,917) — — 9,472,389 Forward MSR-related investments, at fair value 160,009 3,646 — 1,330 — (6,954) — — 158,031 MSRs, at fair value (3) 29,889 — — (351) — — — — 29,538 Servicing asset, at fair value 324 — — (324) — — — — — Loan commitments, at fair value 3,917 — — 1,706 — — — — 5,623 Loan purchase commitments, at fair value — — — 275 — — — — 275 Investments in unconsolidated entities, at fair value 125,366 — 6,776 5,266 153,072 (127,298) — — 163,182 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 8 — (1) — 1 — — — 8 Total return swaps 6 — 17 (3) — (17) — — 3 Total assets, at fair value $ 13,218,913 $ (1,442) $ (10,346) $ 194,576 $ 1,474,028 $ (1,395,874) $ 5,378 $ (10,884) $ 13,474,349 Liabilities: Servicing liability, at fair value $ — $ — $ — $ (232) $ — $ — $ — $ — $ (232) Other secured borrowings, at fair value (1,569,149) 10 — (1,516) 43,012 (58,195) — — (1,585,838) Unsecured borrowings, at fair value (270,936) — — 1,867 — — — — (269,069) HMBS-related obligations, at fair value (8,619,463) — — (127,671) 273,098 (358,022) — — (8,832,058) Total liabilities, at fair value $ (10,459,548) $ 10 $ — $ (127,552) $ 316,110 $ (416,217) $ — $ — $ (10,687,197) (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 June 30, 2024, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2024. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2024. (In thousands) Three-Month Period Ended June 30, 2024 Securities, at fair value $ (3,622) Loans, at fair value 169,607 Forward MSR-related investments 1,330 MSRs (351) Servicing asset (liability) (556) Loan commitments 1,706 Loan purchase commitments 275 Investments in unconsolidated entities 2,949 Financial derivatives-assets (2) Other secured borrowings, at fair value (1,516) Unsecured borrowings, at fair value 1,867 HMBS-related obligations, at fair value (127,671) At June 30, 2024, the Company transferred $10.9 million of assets from Level 3 to Level 2 and $5.4 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. Three-Month Period Ended June 30, 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 $ 6,193 $ (322) $ (176) $ 3 $ 195 $ — $ 959 $ (1,497) $ 5,355 Non-Agency RMBS 156,277 (85) 1,035 (3,873) 1,134 (8,742) 29,517 (6,654) 168,609 CMBS 11,767 54 — (1,083) 2,126 — 2,016 (2,572) 12,308 CLOs 28,674 (229) 354 (954) 2,751 (10,863) — — 19,733 Asset-backed securities backed by consumer loans 72,200 (991) (6,787) 4,209 17,553 (9,045) — — 77,139 Corporate debt securities 8,347 — (832) 469 8,359 (6,710) — — 9,633 Corporate equity securities 11,102 — (4) 422 1,062 (1,846) — — 10,736 Loans, at fair value: Residential mortgage loans 3,024,744 (2,571) (2,938) (15,200) 359,090 (369,442) — — 2,993,683 Commercial mortgage loans 374,233 — — 4,254 27,225 (57,352) — — 348,360 Consumer loans 3,969 (230) (292) 210 151 (749) — — 3,059 Corporate loans 4,920 — 454 9 2,481 (1,332) — — 6,532 Reverse mortgage loans (3) 8,404,701 — — 39,393 424,893 (397,926) — — 8,471,061 MSRs, at fair value (3) 8,100 — — (627) — — — — 7,473 Servicing asset, at fair value 299 — — 1,005 — — — — 1,304 Loan commitments, at fair value 3,299 — — 501 — — — — 3,800 Investments in unconsolidated entities, at fair value 118,747 — (1,245) (4,623) 50,816 (45,275) — — 118,420 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 76 — — — — — — — 76 Total assets, at fair value $ 12,237,648 $ (4,374) $ (10,431) $ 24,115 $ 897,836 $ (909,282) $ 32,492 $ (10,723) $ 12,257,281 Liabilities: Other secured borrowings, at fair value $ (1,534,592) $ (261) $ — $ 12,152 $ 50,333 $ — $ — $ — $ (1,472,368) Unsecured borrowings, at fair value (185,325) — — — — — — — (185,325) HMBS-related obligations, at fair value (7,975,916) — — (24,577) 340,499 (395,294) — — (8,055,288) Total liabilities, at fair value $ (9,695,833) $ (261) $ — $ (12,425) $ 390,832 $ (395,294) $ — $ — $ (9,712,981) (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 June 30, 2023, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2023. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2023. (In thousands) Three-Month Period Ended June 30, 2023 Securities, at fair value $ (6,600) Loans, at fair value 28,198 MSRs (627) Servicing asset 1,005 Loan commitments 501 Investments in unconsolidated entities (6,713) Other secured borrowings, at fair value 12,152 HMBS-related obligations, at fair value (24,577) At June 30, 2023, the Company transferred $10.7 million of assets from Level 3 to Level 2 and $32.5 million of assets 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. Six-Month Period Ended June 30, 2024 (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 $ 5,512 $ (441) $ (32) $ (320) $ 315 $ (131) $ 2,673 $ (94) $ 7,482 Non-Agency RMBS 155,240 (1,502) (3,874) 20,616 20,755 (101,831) 2,320 (6,913) 84,811 CMBS 14,143 390 136 (643) 4,405 (1,097) 911 — 18,245 CLOs 20,439 (982) (3,616) 1,222 64,498 (45,497) 5,340 (5,707) 35,697 Asset-backed securities backed by consumer loans 74,226 (3,824) (2,266) 80 16,099 (15,391) — — 68,924 Other ABS 7,696 154 — 1,646 22,394 (694) — — 31,196 Corporate debt securities 8,041 — (477) 680 9,409 (2,587) — — 15,066 Corporate equity securities 12,294 — 549 (507) 164 (2,338) — — 10,162 Loans, at fair value: Residential mortgage loans 3,093,912 (1,824) (5,465) 20,776 1,195,243 (1,201,027) — — 3,101,615 Commercial mortgage loans 266,595 — (44) 1,818 215,409 (217,558) — — 266,220 Consumer loans 1,759 (234) 26 3 140 (745) — — 949 Corporate loans 5,819 — — (101) 729 (1,514) — — 4,933 Reverse mortgage loans (3) 8,938,551 — — 351,452 738,763 (556,377) — — 9,472,389 Forward MSR-related investments, at fair value 163,336 7,243 — 2,943 — (15,491) — — 158,031 MSRs, at fair value (3) 29,580 — — (42) — — — — 29,538 Servicing asset, at fair value 1,327 — — (1,327) — — — — — Loan commitments, at fair value 2,584 — — 3,039 — — — — 5,623 Loan purchase commitments, at fair value — — — 275 — — — — 275 Investments in unconsolidated entities, at fair value 116,414 — 7,948 6,320 187,331 (154,831) — — 163,182 Financial derivatives–assets, at fair value: Credit default swaps on asset-backed securities 8 — (1) — 1 — — — 8 Total return swaps 6 — 37 (3) — (37) — — 3 Total assets, at fair value $ 12,917,482 $ (1,020) $ (7,079) $ 407,927 $ 2,475,655 $ (2,317,146) $ 11,244 $ (12,714) $ 13,474,349 Liabilities: Servicing liability, at fair value $ — $ — $ — $ (232) $ — $ — $ — $ — $ (232) Other secured borrowings, at fair value (1,424,668) (642) — (14,040) 74,196 (220,684) — — (1,585,838) Unsecured borrowings, at fair value (272,765) — — 3,696 — — — — (269,069) HMBS-related obligations, at fair value (8,423,235) — — (305,654) 547,555 (650,724) — — (8,832,058) Total liabilities, at fair value $ (10,120,668) $ (642) $ — $ (316,230) $ 621,751 $ (871,408) $ — $ — $ (10,687,197) (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 June 30, 2024, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2024. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2024. (In thousands) Six-Month Period Ended June 30, 2024 Securities, at fair value $ 1,063 Loans, at fair value 373,679 Forward MSR-related investments 2,943 MSRs (42) Servicing asset (liability) (1,559) Loan purchase commitments 275 Loan commitments 3,039 Investments in unconsolidated entities 3,419 Financial derivatives-assets (3) Other secured borrowings, at fair value (14,040) Unsecured borrowings, at fair value 3,696 HMBS-related obligations, at fair value (305,654) At June 30, 2024, the Company transferred $12.7 million of assets from Level 3 to Level 2 and $11.2 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. Six-Month Period Ended June 30, 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 $ (641) $ (464) $ 421 $ 336 $ (964) $ 1,136 $ (1,496) $ 5,355 Non-Agency RMBS 132,502 101 1,926 (7,917) 28,889 (31,391) 51,229 (6,730) 168,609 CMBS 12,649 103 — (2,488) 2,127 — 2,742 (2,825) 12,308 CLOs 24,598 (64) 239 (2,232) 728 (6,874) 3,338 — 19,733 Asset-backed securities backed by consumer loans 73,644 (2,318) (6,709) 2,137 29,693 (19,308) — — 77,139 Corporate debt securities 7,533 — (1,089) 740 11,253 (8,804) — — 9,633 Corporate equity securities 11,111 — (3) 381 1,094 (1,847) — — 10,736 Loans, at fair value: Residential mortgage loans 3,115,518 (4,232) (8,526) 38,444 679,302 (826,823) — — 2,993,683 Commercial mortgage loans 404,324 — (1) 4,594 63,445 (124,002) — — 348,360 Consumer loans 4,843 (476) (196) (44) 451 (1,519) — — 3,059 Corporate loans 4,086 — 354 10 3,417 (1,335) — — 6,532 Reverse mortgage loans (3) 8,097,237 — (4) 210,961 845,371 (682,504) — — 8,471,061 MSRs, at fair value (3) 8,108 — — (635) — — — — 7,473 Servicing asset, at fair value 999 — — 305 — — — — 1,304 Loan commitments, at fair value 3,060 — — 740 — — — — 3,800 Investments in unconsolidated entities, at fair value 127,046 — 227 (2,651) 81,602 (87,804) — — 118,420 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 $ (7,527) $ (14,245) $ 242,766 $ 1,747,708 $ (1,793,176) $ 58,445 $ (11,051) $ 12,257,281 Liabilities: Other secured borrowings, at fair value $ (1,539,881) $ (664) $ — $ (17,527) $ 85,704 $ — $ — $ — $ (1,472,368) Unsecured borrowings, at fair value (191,835) — — 6,510 — — — — (185,325) HMBS-related obligations, at fair value (7,787,155) — — (156,111) 616,117 (728,139) — — (8,055,288) Total liabilities, at fair value $ (9,518,871) $ (664) $ — $ (167,128) $ 701,821 $ (728,139) $ — $ — $ (9,712,981) (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 June 30, 2023, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2023. The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2023. (In thousands) Six-Month Period Ended June 30, 2023 Securities, at fair value $ (11,999) Loans, at fair value 42,663 MSRs, at fair value (635) Servicing asset, at fair value 305 Loan commitments, at fair value 740 Investments in unconsolidated entities, at fair value (8,793) Other secured borrowings, at fair value (17,527) Unsecured borrowings, at fair value 6,510 HMBS-related obligations, at fair value (156,111) At June 30, 2023, the Company transferred $11.1 million of assets from Level 3 to Level 2 and $58.4 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. | |||
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 June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 (In thousands) Fair Value Carrying Value Fair Value Carrying Value Other financial instruments Assets: Cash and cash equivalents $ 198,513 $ 198,513 $ 228,927 $ 228,927 Restricted cash 6,098 6,098 1,618 1,618 Due from brokers 22,036 22,036 51,884 51,884 Reverse repurchase agreements 85,671 85,671 173,145 173,145 Liabilities: Repurchase agreements 2,301,976 2,301,976 2,967,437 2,967,437 Other secured borrowings 217,225 217,225 245,827 245,827 Due to brokers 74,946 74,946 62,442 62,442 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. | |||
Schedule of change in unrealized gain/(loss) on Level 3 Assets and Liabilities still held and outstanding | The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2024. (In thousands) Three-Month Period Ended June 30, 2024 Securities, at fair value $ (3,622) Loans, at fair value 169,607 Forward MSR-related investments 1,330 MSRs (351) Servicing asset (liability) (556) Loan commitments 1,706 Loan purchase commitments 275 Investments in unconsolidated entities 2,949 Financial derivatives-assets (2) Other secured borrowings, at fair value (1,516) Unsecured borrowings, at fair value 1,867 HMBS-related obligations, at fair value (127,671) | The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2023. (In thousands) Three-Month Period Ended June 30, 2023 Securities, at fair value $ (6,600) Loans, at fair value 28,198 MSRs (627) Servicing asset 1,005 Loan commitments 501 Investments in unconsolidated entities (6,713) Other secured borrowings, at fair value 12,152 HMBS-related obligations, at fair value (24,577) | The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2024. (In thousands) Six-Month Period Ended June 30, 2024 Securities, at fair value $ 1,063 Loans, at fair value 373,679 Forward MSR-related investments 2,943 MSRs (42) Servicing asset (liability) (1,559) Loan purchase commitments 275 Loan commitments 3,039 Investments in unconsolidated entities 3,419 Financial derivatives-assets (3) Other secured borrowings, at fair value (14,040) Unsecured borrowings, at fair value 3,696 HMBS-related obligations, at fair value (305,654) | The following table details the change in net unrealized gain (loss) for Level 3 financial instruments still held by the Company at June 30, 2023. (In thousands) Six-Month Period Ended June 30, 2023 Securities, at fair value $ (11,999) Loans, at fair value 42,663 MSRs, at fair value (635) Servicing asset, at fair value 305 Loan commitments, at fair value 740 Investments in unconsolidated entities, at fair value (8,793) Other secured borrowings, at fair value (17,527) Unsecured borrowings, at fair value 6,510 HMBS-related obligations, at fair value (156,111) |
Investment in Securities (Table
Investment in Securities (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Investment Holdings | The following tables detail the Company's investment in securities as of June 30, 2024 and December 31, 2023. June 30, 2024: Gross Unrealized Weighted Average ($ in thousands) Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon (1)(2) Yield Life (Years) (3) Long: Agency RMBS: 15-year fixed-rate mortgages $ 30,438 $ 162 $ 30,600 $ — $ (2,144) $ 28,456 2.76 % 2.60 % 3.01 30-year fixed-rate mortgages 415,601 (2,224) 413,377 823 (28,971) 385,229 4.17 % 4.04 % 7.03 Reverse mortgages 32,256 3,361 35,617 261 (2,025) 33,853 6.15 % 3.56 % 4.77 Interest only securities n/a n/a 9,880 946 (664) 10,162 1.27 % 11.99 % 5.75 Non-Agency RMBS 206,214 (77,068) 129,146 12,452 (8,447) 133,151 6.05 % 9.36 % 5.08 CMBS 82,455 (30,250) 52,205 1,151 (13,062) 40,294 4.12 % 10.16 % 4.83 Non-Agency interest only securities n/a n/a 32,026 6,350 (844) 37,532 0.16 % 13.48 % 7.75 CLOs n/a n/a 88,334 1,914 (7,589) 82,659 2.91 % 12.05 % 5.89 ABS 230,253 (200,939) 29,314 1,943 (61) 31,196 2.91 % 18.54 % 3.34 ABS backed by consumer loans 152,082 (73,313) 78,769 1,381 (11,226) 68,924 12.00 % 10.24 % 1.59 Corporate debt 44,540 (30,443) 14,097 1,461 (492) 15,066 — % — % 2.02 Corporate equity n/a n/a 21,441 1,318 (6,647) 16,112 n/a n/a n/a U.S. Treasury securities 244,883 2,080 246,963 220 (2,133) 245,050 4.34 % 4.08 % 7.24 Total Long 1,438,722 (408,634) 1,181,769 30,220 (84,305) 1,127,684 4.98 % 6.60 % 6.01 Short: U.S. Treasury securities (27,400) 261 (27,139) 1,062 — (26,077) 2.64 % 2.98 % 2.84 European sovereign bonds (26,405) (1,326) (27,731) 1,950 — (25,781) 0.01 % 0.15 % 0.69 Total Short (53,805) (1,065) (54,870) 3,012 — (51,858) 1.35 % 1.55 % 1.77 Total $ 1,384,917 $ (409,699) $ 1,126,899 $ 33,232 $ (84,305) $ 1,075,826 4.84 % 6.37 % 5.82 (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) Total long, total short, and total weighted average coupon exclude interest only securities, CLOs, and corporate equity. (3) 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, 2023: Gross Unrealized Weighted Average ($ in thousands) Current Principal Unamortized Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon (1)(2) Yield Life (Years) (3) Long: Agency RMBS: 15-year fixed-rate mortgages $ 57,987 $ 252 $ 58,239 $ 22 $ (4,225) $ 54,036 2.58 % 2.42 % 3.48 20-year fixed-rate mortgages 2,368 114 2,482 — (404) 2,078 2.29 % 1.48 % 6.25 30-year fixed-rate mortgages 783,123 (6,744) 776,379 4,313 (38,595) 742,097 4.04 % 4.04 % 6.61 Adjustable rate mortgages 5,252 568 5,820 — (690) 5,130 3.81 % 2.09 % 4.42 Reverse mortgages 36,196 3,928 40,124 34 (2,987) 37,171 5.37 % 3.55 % 4.76 Interest only securities n/a n/a 11,891 1,320 (499) 12,712 1.08 % 13.18 % 5.36 Non-Agency RMBS 427,431 (139,654) 287,777 11,369 (29,672) 269,474 5.07 % 8.96 % 4.73 CMBS 74,591 (20,389) 54,202 349 (11,780) 42,771 4.87 % 8.93 % 4.72 Non-Agency interest only securities n/a n/a 35,214 6,212 (2,650) 38,776 0.17 % 14.57 % 7.46 CLOs n/a n/a 44,939 1,873 (8,834) 37,978 2.27 % 11.81 % 4.46 ABS 16,416 (8,956) 7,460 256 (20) 7,696 7.16 % 13.85 % 2.49 ABS backed by consumer loans 151,310 (67,159) 84,151 1,577 (11,502) 74,226 12.00 % 11.38 % 1.50 Corporate debt 30,944 (23,191) 7,753 579 (291) 8,041 — % — % 1.93 Corporate equity n/a n/a 23,066 1,851 (3,789) 21,128 n/a n/a n/a U.S. Treasury securities 212,433 (49,289) 163,144 2,415 (496) 165,063 4.25 % 4.01 % 7.43 Total Long 1,798,051 (310,520) 1,602,641 32,170 (116,434) 1,518,377 4.95 % 5.99 % 5.80 Short: U.S. Treasury securities (130,121) 533 (129,588) 2,094 (619) (128,113) 3.47 % 3.61 % 1.88 European sovereign bonds (27,159) (557) (27,716) 1,526 — (26,190) 0.01 % 0.15 % 1.20 Total Short (157,280) (24) (157,304) 3,620 (619) (154,303) 2.87 % 3.00 % 1.77 Total $ 1,640,771 $ (310,544) $ 1,445,337 $ 35,790 $ (117,053) $ 1,364,074 4.78 % 5.71 % 5.42 (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) Total long, total short, and total weighted average coupon excludes interest only securities, CLOs, and corporate equity. (3) 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 June 30, 2024 and December 31, 2023. June 30, 2024: ($ 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 $ 41,219 $ 41,689 5.08 % $ 986 $ 1,122 0.80 % Greater than three years and less than seven years 159,805 167,299 5.29 % 5,774 5,650 1.46 % Greater than seven years and less than eleven years 246,514 270,606 3.45 % 3,142 2,822 1.68 % Greater than eleven years — — — % 260 286 0.68 % Total $ 447,538 $ 479,594 4.21 % $ 10,162 $ 9,880 1.27 % (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, 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 $ 89,649 $ 89,955 5.39 % $ 1,541 $ 1,546 0.57 % Greater than three years and less than seven years 346,074 360,574 4.49 % 8,227 7,601 1.77 % Greater than seven years and less than eleven years 404,789 432,515 3.30 % 2,676 2,448 1.84 % Greater than eleven years — — — % 268 296 0.68 % Total $ 840,512 $ 883,044 3.99 % $ 12,712 $ 11,891 1.08 % (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 June 30, 2024 and December 31, 2023. June 30, 2024: ($ 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 $ 65,054 $ 66,591 4.97 % $ 3,755 $ 3,765 0.12 % $ 98,311 $ 109,950 5.76 % Greater than three years and less than seven years 62,157 57,730 7.16 % 9,235 9,741 0.16 % 183,317 184,759 3.96 % Greater than seven years and less than eleven years 39,211 49,480 4.50 % 24,220 18,274 0.16 % 161,267 162,768 3.72 % Greater than eleven years 7,023 7,550 7.09 % 322 246 1.24 % — — — % Total $ 173,445 $ 181,351 5.50 % $ 37,532 $ 32,026 0.16 % $ 442,895 $ 457,477 4.61 % (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, 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, 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 $ 116,076 $ 117,707 4.41 % $ 3,885 $ 4,535 0.10 % $ 99,770 $ 114,709 6.02 % Greater than three years and less than seven years 131,314 135,591 7.05 % 11,014 11,343 0.28 % 106,529 107,727 5.13 % Greater than seven years and less than eleven years 58,741 74,401 5.04 % 23,555 19,072 0.15 % 86,705 85,011 4.12 % Greater than eleven years 6,114 14,280 0.38 % 322 264 1.25 % — — — % Total $ 312,245 $ 341,979 5.04 % $ 38,776 $ 35,214 0.17 % $ 293,004 $ 307,447 5.40 % (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- and six-month periods ended June 30, 2024 and 2023: Three-Month Period Ended (In thousands) June 30, 2024 June 30, 2023 Security Type Coupon Interest Net Amortization Interest Income Coupon Interest Net Amortization Interest Income Agency RMBS $ 6,731 $ 128 $ 6,859 $ 9,503 $ (1,687) $ 7,816 Non-Agency RMBS and CMBS 6,118 (557) 5,561 7,387 (202) 7,185 CLOs 3,728 (1,104) 2,624 880 (206) 674 Other securities (1) 7,780 (3,077) 4,703 5,640 (1,021) 4,619 Total $ 24,357 $ (4,610) $ 19,747 $ 23,410 $ (3,116) $ 20,294 (1) Other securities includes ABS, corporate debt securities, and U.S. Treasury securities. Six-Month Period Ended (In thousands) June 30, 2024 June 30, 2023 Security Type Coupon Interest Net Amortization Interest Income Coupon Interest Net Amortization Interest Income Agency RMBS $ 15,797 $ (1,870) $ 13,927 $ 18,852 $ (3,916) $ 14,936 Non-Agency RMBS and CMBS 14,805 (1,407) 13,398 13,818 (41) 13,777 CLOs 5,614 (1,480) 4,134 1,833 (18) 1,815 Other securities (1) 14,904 (5,735) 9,169 11,483 (2,395) 9,088 Total $ 51,120 $ (10,492) $ 40,628 $ 45,986 $ (6,370) $ 39,616 (1) Other securities includes ABS, corporate debt securities, and U.S. Treasury securities. |
Schedule of Realized Gain (Loss) | The following tables present proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three- and six-month periods ended June 30, 2024 and 2023. (In thousands) Three-Month Period Ended June 30, 2024 Three-Month Period Ended June 30, 2023 Security Type Proceeds (1) Gross Realized Gains Gross Realized Losses (2) Net Realized Gain (Loss) Proceeds (1) Gross Realized Gains Gross Realized Losses (2) Net Realized Gain (Loss) Agency RMBS $ 181,602 $ 90 $ (14,251) $ (14,161) $ 182,522 $ 65 $ (14,517) $ (14,452) Non-Agency RMBS and CMBS 105,021 1,783 (6,712) (4,929) 14,042 1,345 (50) 1,295 CLOs 42,843 98 (1) 97 — 354 — 354 Other securities (3) 93,649 264 (1,337) (1,073) 436,139 1,843 (1,777) 66 Total $ 423,115 $ 2,235 $ (22,301) $ (20,066) $ 632,703 $ 3,607 $ (16,344) $ (12,737) (1) Includes proceeds on sales of securities not yet settled as of period end. (2) Excludes realized losses of $(1.1) million and $(2.7) million for the three-month periods ended June 30, 2024 and 2023, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities cost basis to be uncollectible. (3) Other securities includes ABS backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. (In thousands) Six-Month Period Ended June 30, 2024 Six-Month Period Ended June 30, 2023 Security Type Proceeds (1) Gross Realized Gains Gross Realized Losses (2) Net Realized Gain (Loss) Proceeds (1) Gross Realized Gains Gross Realized Losses (2) Net Realized Gain (Loss) Agency RMBS $ 418,204 $ 1,154 $ (27,469) $ (26,315) $ 388,026 $ 852 $ (40,844) $ (39,992) Non-Agency RMBS and CMBS 217,814 8,560 (7,540) 1,020 41,230 2,429 (65) 2,364 CLOs 45,155 486 (123) 363 — 442 — 442 Other securities (3) 148,919 1,626 (1,793) (167) 710,195 2,163 (3,526) (1,363) Total $ 830,092 $ 11,826 $ (36,925) $ (25,099) $ 1,139,451 $ 5,886 $ (44,435) $ (38,549) (1) Includes proceeds on sales of securities not yet settled as of period end. (2) Excludes realized losses of $(10.8) million and $(8.4) million for the six-month period ended June 30, 2024 and 2023, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities cost basis to be uncollectible. (3) Other securities includes ABS, 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 basis, by length of time that such securities have been in an unrealized loss position at June 30, 2024 and December 31, 2023. June 30, 2024: (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 $ 78,561 $ (1,169) $ 262,276 $ (31,839) $ 340,837 $ (33,008) Non-Agency RMBS and CMBS 23,031 (1,658) 5,530 (1,641) 28,561 (3,299) CLOs 29,313 (1,164) 2,995 (1,142) 32,308 (2,306) Other securities (1) 220,957 (7,339) 1,258 (1,456) 222,215 (8,795) Total $ 351,862 $ (11,330) $ 272,059 $ (36,078) $ 623,921 $ (47,408) (1) Other securities includes ABS and corporate debt and equity securities. December 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 $ 125,112 $ (730) $ 426,834 $ (45,854) $ 551,946 $ (46,584) Non-Agency RMBS and CMBS 10,301 (200) 14,195 (882) 24,496 (1,082) CLOs 7,152 (69) 5 — 7,157 (69) Other securities (1) 15,930 (2,276) 10,958 (2,029) 26,888 (4,305) Total $ 158,495 $ (3,275) $ 451,992 $ (48,765) $ 610,487 $ (52,040) (1) Other securities includes ABS and corporate debt and equity securities. |
Investment in Loans (Tables)
Investment in Loans (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Receivables [Abstract] | |
Summary of Investments in Loans | The following table is a summary of the Company's investments in loans as of June 30, 2024 and December 31, 2023: (In thousands) June 30, 2024 December 31, 2023 Loan Type Unpaid Principal Balance Fair Unpaid Principal Balance Fair Residential mortgage loans $ 3,301,036 $ 3,101,615 $ 3,305,757 $ 3,093,912 Commercial mortgage loans 277,254 266,220 281,531 266,595 Consumer loans 1,124 949 2,081 1,759 Corporate loans 5,773 4,933 6,379 5,819 Reverse mortgage loans 9,015,645 9,472,389 8,568,271 8,938,551 Total $ 12,600,832 $ 12,846,106 $ 12,164,019 $ 12,306,636 The tables below detail certain information regarding the Company's residential mortgage loans as of June 30, 2024 and December 31, 2023. June 30, 2024: 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) $ 3,301,036 $ 30,646 $ 3,331,682 $ 4,886 $ (234,953) $ 3,101,615 7.46 % 7.00 % 4.49 (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 $1.494 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $(211.0) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 13 for additional information. December 31, 2023: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Gains Losses Fair Value Coupon Yield Life (Years) (1) Residential mortgage loans, held-for-investment (2) $ 3,305,757 $ 37,831 $ 3,343,588 $ 5,554 $ (255,230) $ 3,093,912 7.17 % 6.77 % 4.17 (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 $1.555 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $(228.0) million of gross unrealized losses. See Residential Mortgage Loan Securitizations in Note 13 for additional information. The tables below detail certain information regarding the Company's commercial mortgage loans as of June 30, 2024 and December 31, 2023: June 30, 2024: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield (1) Life (Years) (2) Commercial mortgage loans, held-for-investment $ 277,254 $ (8,788) $ 268,466 $ 4,913 $ (7,159) $ 266,220 11.03 % 11.40 % 1.04 (1) Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $49.5 million. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2023: Gross Unrealized Weighted Average ($ 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 $ 281,531 $ (13,648) $ 267,883 $ — $ (1,288) $ 266,595 11.44 % 11.45 % 0.79 (1) Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $33.3 million. (2) Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The tables below detail certain information regarding the Company's consumer loans as of June 30, 2024 and December 31, 2023: June 30, 2024: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Life (Years) (1) Delinquency (Days) Consumer loans, held-for-investment $ 1,124 $ 24 $ 1,148 $ 109 $ (308) $ 949 0.77 16 (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. December 31, 2023: Gross Unrealized Weighted Average ($ in thousands) Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Life (Years) (1) Delinquency (Days) Consumer loans, held-for-investment $ 2,081 $ (120) $ 1,961 $ 127 $ (329) $ 1,759 0.75 18 (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. The tables below detail certain information regarding the Company's corporate loans as of June 30, 2024 and December 31, 2023: June 30, 2024: Gross Unrealized Weighted Average ($ in thousands) Unpaid Premium (Discount) Amortized Cost Gains Losses Fair Value Rate Remaining Term (Years) Corporate loans, held-for-investment (1) $ 5,773 $ (179) $ 5,594 $ — $ (661) $ 4,933 10.57 % 0.90 (1) See Note 24 for further details on the Company's unfunded commitments related to certain of its corporate loans. December 31, 2023: Weighted Average ($ in thousands) Unpaid Fair Value Rate Remaining Term (Years) Corporate loans, held-for-investment (1) $ 6,379 $ 5,819 10.13 % 1.52 (1) See Note 24 for further details on the Company's unfunded commitments related to certain of its corporate loans. As described in Note 2, the Company evaluates the cost basis of its corporate loans for impairment on at least a quarterly basis. As of June 30, 2024 and December 31, 2023, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $0.7 million and $0.6 million, respectively. The table below details certain information regarding the Company's reverse mortgage loans as of June 30, 2024 and December 31, 2023. June 30, 2024: Weighted Average ($ in thousands) Unpaid Principal Balance Fair Value Coupon Life (Years) Reverse mortgage loans, held-for-investment HECM loans HECM loans collateralizing HMBS $ 8,495,445 $ 8,923,242 6.94 % 4.99 Unsecuritized HECM loans (1) 103,033 103,668 7.19 % 6.47 Proprietary reverse mortgage loans Securitized proprietary reverse mortgage loans 171,465 181,073 10.38 % 9.27 Unsecuritized proprietary reverse mortgage loans 127,856 137,282 10.67 % 17.02 Total reverse mortgage loans, held-for-investment 8,897,799 9,345,265 7.07 % 5.26 Reverse mortgage loans, held-for-sale Unsecuritized proprietary reverse mortgage loans 117,846 127,124 10.58 % 17.02 Total reverse mortgage loans $ 9,015,645 $ 9,472,389 7.11 % 5.42 (1) Includes unpoolable HECM loans with an unpaid principal balance of $25.2 million. December 31, 2023: Weighted Average ($ in thousands) Unpaid Principal Balance Fair Value Coupon Life (Years) Reverse mortgage loans, held-for-investment HECM loans collateralizing HMBS $ 8,166,222 $ 8,506,423 6.82 % 5.10 Unsecuritized HECM loans (1) 103,063 102,553 7.15 % 6.12 Total reverse mortgage loans, held-for-investment 8,269,285 8,608,976 6.83 % 5.11 Reverse mortgage loans, held-for-sale 298,986 329,575 10.67 % 16.78 Total reverse mortgage loans $ 8,568,271 $ 8,938,551 6.96 % 5.54 (1) Includes unpoolable HECM loans with an unpaid principal balance of $28.0 million. |
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 June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 (In thousands) Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value 90 days or more past due—non-accrual status Residential mortgage loans $ 216,799 $ 205,277 $ 127,685 $ 120,087 Commercial mortgage loans 60,236 49,479 47,736 33,314 Consumer loans 56 36 94 66 |
Schedules of Exposure to Counterparty Risk | The following table summarizes the Company's exposure to counterparty risk as of June 30, 2024 and December 31, 2023. June 30, 2024: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (1) (In thousands) Cash and cash equivalents $ 198,513 9 33.6 % Collateral on repurchase agreements held by dealers (2) 2,888,475 24 26.1 % Due from brokers 22,036 18 53.0 % Receivable for securities sold (3) 34,202 9 51.0 % (1) Each counterparty is a financial institution that the Company believes to be creditworthy as of June 30, 2024. (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, 2023: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (In thousands) Cash and cash equivalents $ 228,927 11 28.8 % Collateral on repurchase agreements held by dealers (1) 3,672,278 28 18.6 % Due from brokers 51,884 21 58.5 % Receivable for securities sold (2) 345,429 9 54.3 % (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 June 30, 2024 and December 31, 2023. June 30, 2024 December 31, 2023 (In thousands) Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value Re-performing $ 53,193 $ 52,906 $ 4,252 $ 3,761 Non-performing 173,310 161,137 127,085 119,524 |
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 June 30, 2024 and December 31, 2023. Days Past Due June 30, 2024 December 31, 2023 Current 83.9 % 81.0 % 30-59 Days 7.9 % 7.9 % 60-89 Days 3.2 % 6.6 % 90-119 Days 4.1 % 4.0 % >120 Days 0.9 % 0.5 % 100.0 % 100.0 % |
Schedule of Unpoolable HECM Loans | The following table provides details on the Company's unpoolable HECM loans as of June 30, 2024 and December 31, 2023: (In thousands) June 30, 2024 December 31, 2023 Unpoolable HECM Loan Type Unpaid Fair Value Unpaid Fair Value ABOs $ 6,505 $ 5,079 $ 8,508 $ 6,897 NABOs 14,383 9,878 14,562 10,167 Other HECM loans (1) 4,282 4,309 4,883 4,908 Total unpoolable HECM loans $ 25,170 $ 19,266 $ 27,953 $ 21,972 (1) Includes HECM tail loans where the borrower is not in compliance with the terms of the underlying loan. |
Forward MSR-Related Investmen_2
Forward MSR-Related Investments (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Receivables [Abstract] | |
MSR Financing Receivables | The following table presents activity related to Company’s investments in Forward MSR-related investments for the three- and six-month-periods ended June 30, 2024. The Company did not hold Forward MSR-related investments during the six-month period ended June 30, 2023. (In thousands) Three-Month Period Ended June 30, 2024 Six-Month Period Ended June 30, 2024 Forward MSR-related investments, at fair value, beginning balance $ 160,009 $ 163,336 Capital investments — — Distributions (6,954) (15,491) Accretion of interest income 3,646 7,243 Change in unrealized gain (loss) 1,330 2,943 Forward MSR-related investments, at fair value, ending balance $ 158,031 $ 158,031 |
Investments in Unconsolidated_2
Investments in Unconsolidated Entities (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024 and December 31, 2023: Percentage Ownership Investment in Unconsolidated Entity Form of Investment June 30, 2024 December 31, 2023 Loan Originators: LendSure Mortgage Corp. (1)(2) Common shares 63.7% 49.9% Other (1) Various 45.0%–50.0% 45.0%–50.0% Co-investments with Ellington affiliate(s) (1) : Elizon DB 2015-1 LLC (3)(4) Membership Interest 34.0% 30.4% Elizon NM CRE 2020-1 LLC (3)(5) Membership Interest 19.9% 11.5% Elizon CH CRE 2021-1 LLC (3)(6) Membership Interest 40.8% 29.2% Equity investments in securitization-related vehicles, including risk retention vehicles (7) Membership Interest 24.6%–84.5% 24.6%–84.5% Other: Jepson Holdings Limited (1)(3) Membership Interest 4.2% 7.9% Other (1)(3)(8) Various 6.1%–79.0% 6.1%–79.0% (1) See Note 16 for additional details on the Company's related party transactions. (2) As of June 30, 2024, includes both voting and non-voting equity interests held by the Company; its non-voting stake in the entity was 13.8%. As of December 31, 2023, 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%. See Note 16 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 16 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 16) each consolidate their segregated silos of the Joint Entity (as defined in Note 16). 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 55.5% and 60.0% as of June 30, 2024 and December 31, 2023, respectively. (5) As discussed in Note 16 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 16) each consolidate their segregated silos of the Joint Entity (as defined in Note 16). 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 70.4% and 74.1% as of June 30, 2024 and December 31, 2023, respectively. (6) As discussed in Note 16 Related Party Transactions— Participation in Multi-Borrower Financing Facilities , the Company and the Affiliated Entities (as defined in Note 16) each consolidate their segregated silos of the Joint Entity (as defined in Note 16). 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 53.1% and 52.1% as of June 30, 2024 and December 31, 2023, respectively. (7) Includes interests in Consumer Risk Retention Vehicles, as defined in Note 13 —Participation in Multi-Seller Consumer Loan Securitizations, and Participated Risk Retention Vehicle and Residential Loan JV, as defined in Note 13 —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 13 for additional details on the Company's securitization transactions. (8) Includes interest in warehouse facilities; see Note 16— Participation in CLO Transactions , for additional details. |
Real Estate Owned (Tables)
Real Estate Owned (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Real Estate Owned, Disclosure of Detailed Components [Abstract] | |
Schedule of Real Estate Owned | The following tables detail activity in the Company's carrying value of REO for the three- and six-month periods ended June 30, 2024 and 2023: Three-Month Period Ended June 30, 2024 June 30, 2023 Number of Properties Carrying Value Number of Properties Carrying Value (In thousands) (In thousands) Beginning Balance (March 31, 2024 and 2023, respectively) 82 $ 19,999 98 $ 26,717 Transfers from mortgage loans 47 13,891 34 8,494 Capital expenditures and other adjustments to cost 174 492 Adjustments to record at the lower of cost or fair value 592 (38) Dispositions (24) (9,408) (54) (14,589) Ending Balance (June 30, 2024 and 2023, respectively) 105 $ 25,248 78 $ 21,076 Six-Month Period Ended June 30, 2024 June 30, 2023 Number of Properties Carrying Value Number of Properties Carrying Value (In thousands) (In thousands) Beginning Balance (December 31, 2023 and 2022, respectively) 81 $ 22,085 97 $ 28,403 Transfers from mortgage loans 83 25,444 46 11,634 Capital expenditures and other adjustments to cost 374 672 Adjustments to record at the lower of cost or fair value (1,731) (107) Dispositions (59) (20,924) (65) (19,526) Ending Balance (June 30, 2024 and 2023, respectively) 105 $ 25,248 78 $ 21,076 |
Financial Derivatives (Tables)
Financial Derivatives (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 (In thousands) Financial derivatives–assets, at fair value: TBA securities purchase contracts $ 101 $ 2,182 TBA securities sale contracts 1,497 — Fixed payer interest rate swaps 136,126 101,881 Fixed receiver interest rate swaps 15,366 27,358 Credit default swaps on asset-backed securities 8 8 Credit default swaps on asset-backed indices 2,136 3,318 Credit default swaps on corporate bonds 70 25 Credit default swaps on corporate bond indices 6,387 7,259 Total return swaps 3 6 Futures 222 245 Forwards 196 12 Warrants 53 1,702 Total financial derivatives–assets, at fair value 162,165 143,996 Financial derivatives–liabilities, at fair value: TBA securities purchase contracts (655) — TBA securities sale contracts (155) (5,820) Fixed payer interest rate swaps (4,492) (17,944) Fixed receiver interest rate swaps (16,921) (13,801) Credit default swaps on asset-backed indices (32) (32) Credit default swaps on corporate bonds (227) (225) Credit default swaps on corporate bond indices (16,722) (15,894) Futures (4,860) (7,990) Forwards — (70) Total financial derivatives–liabilities, at fair value (44,064) (61,776) Total $ 118,101 $ 82,220 |
Schedule of Interest Rate Derivatives [Table Text Block] | The following tables provide information about the Company's fixed payer interest rate swaps as of June 30, 2024 and December 31, 2023: June 30, 2024: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2024 $ 436,983 $ 5,464 4.11 % 5.34 % 0.33 2025 414,561 8,305 3.69 5.34 1.16 2026 252,467 2,258 4.33 5.34 2.05 2027 228,250 9,940 2.92 5.33 2.93 2028 586,973 19,371 3.54 5.33 4.03 2029 328,214 8,559 3.63 5.33 4.72 2030 240,079 4,078 3.77 5.34 6.12 2031 169,293 26,335 1.69 5.33 6.95 2032 181,867 16,236 2.80 5.33 8.06 2033 407,506 22,019 3.33 5.33 8.90 2034 261,080 1,651 3.88 5.34 9.84 2035 500 157 0.78 5.33 11.31 2036 1,102 297 1.19 5.33 11.64 2037 45,000 6,169 2.81 5.33 13.16 2038 32,500 116 4.01 5.34 14.17 2039 17,592 153 3.90 5.34 14.69 2040 500 194 0.90 5.33 16.32 2050 500 241 0.98 5.33 26.32 2053 1,600 127 3.32 5.34 29.50 2054 2,200 (36) 3.82 5.34 29.79 Total $ 3,608,767 $ 131,634 3.54 % 5.33 % 4.85 December 31, 2023: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2024 $ 629,547 $ 9,097 3.18 % 5.41 % 0.61 2025 412,701 6,304 3.69 5.06 1.66 2026 189,287 (573) 4.13 5.39 2.66 2027 174,841 8,970 4.04 5.04 3.35 2028 650,990 7,516 3.48 5.38 4.54 2029 53,011 4,378 2.19 5.38 5.32 2030 150,817 1,122 3.50 5.39 6.59 2031 157,766 24,131 1.51 5.38 7.46 2032 181,867 11,069 2.80 5.38 8.56 2033 437,619 6,960 3.40 5.38 9.42 2035 500 132 0.78 5.33 11.81 2036 1,102 280 1.19 5.38 12.13 2037 45,000 3,780 2.81 5.38 13.66 2038 32,500 (1,727) 4.01 5.39 14.67 2040 500 165 0.90 5.33 16.82 2049 5,729 845 2.63 5.38 25.02 2050 500 207 0.98 5.33 26.82 2052 5,000 1,281 2.07 5.38 28.27 Total $ 3,129,277 $ 83,937 3.34 % 5.33 % 4.68 The following tables provide information about the Company's fixed receiver interest rate swaps as of June 30, 2024 and December 31, 2023: June 30, 2024: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2024 $ 52,236 $ (803) 5.44 % 3.56 % 0.34 2025 143,183 (660) 5.33 4.87 0.73 2026 543,794 (1,273) 5.34 4.69 1.74 2027 59,110 (1,226) 5.34 3.84 2.92 2028 459,063 2,493 5.34 4.42 4.11 2029 597,040 5,654 5.34 4.34 4.81 2030 156,262 (9) 5.34 4.11 6.21 2031 42,500 (882) 5.34 3.75 6.59 2033 235,963 (413) 5.34 4.00 9.39 2034 132,687 (400) 5.34 3.94 9.77 2035 500 (161) 5.33 0.74 11.31 2038 36,300 (1,919) 5.34 3.54 14.48 2039 20,377 (421) 5.34 3.79 14.70 2040 500 (201) 5.33 0.84 16.32 2050 500 (253) 5.33 0.90 26.32 2053 13,795 (1,097) 5.34 3.33 29.49 2054 600 16 5.34 3.87 29.88 Total $ 2,494,410 $ (1,555) 5.34 % 4.33 % 4.83 December 31, 2023: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2024 $ 427,234 $ (578) 5.40 % 5.17 % 0.24 2025 143,183 67 5.38 4.87 1.23 2026 461,658 (8,399) 5.39 3.58 2.28 2027 36,591 30 5.39 3.68 3.90 2028 464,799 13,357 5.39 4.33 4.64 2030 67,000 1,737 5.39 3.97 6.77 2033 198,265 7,701 5.39 3.96 9.88 2035 500 (137) 5.38 0.74 11.81 2038 36,300 131 5.39 3.54 14.98 2040 500 (173) 5.38 0.84 16.82 2050 500 (220) 5.38 0.90 26.82 2053 22,800 41 5.39 3.33 29.99 Total $ 1,859,330 $ 13,557 5.39 % 4.28 % 3.93 |
Schedule of Credit Default Swaps [Table Text Block] | The following table provides information about the Company's credit default swaps as of June 30, 2024 and December 31, 2023: As of June 30, 2024 December 31, 2023 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 $ 219 $ 12 13.50 $ 230 $ 12 13.99 Credit default swaps on corporate bonds 2,000 70 1.47 2,000 25 1.97 Credit default swaps on corporate bond indices 99,000 6,387 3.98 149,000 7,259 4.47 Short: Credit default swaps on asset-backed securities (46) 8 11.24 (45) 8 11.74 Credit default swaps on asset-backed indices (41,990) 2,124 34.63 (42,101) 3,306 35.11 Liability: Long: Credit default swaps on asset-backed indices 60 (32) 24.72 60 (32) 25.22 Short: Credit default swaps on corporate bonds (13,000) (227) 2.97 (13,000) (225) 3.47 Credit default swaps on corporate bond indices (527,617) (16,722) 4.79 (537,299) (15,894) 4.84 $ (481,374) $ (8,380) 7.52 $ (441,155) $ (5,541) 7.81 (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 June 30, 2024 and December 31, 2023: As of June 30, 2024 December 31, 2023 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 $ 91 3.07 $ 1,900 $ 245 2.63 Short Contracts: U.S. Treasury futures (40,000) 131 3.07 — — — Liabilities: Short Contracts: U.S. Treasury futures (364,600) (4,860) 3.07 (313,100) (7,990) 2.21 Total, net $ (402,700) $ (4,638) 3.07 $ (311,200) $ (7,745) 2.21 |
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 June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 Description Number of Shares Underlying Warrant Fair Value Remaining Years to Expiration Number of Shares Underlying Warrant Fair Value Remaining Years to Expiration (In thousands) (In thousands) Warrants 102 $ 53 n/a 202 $ 1,702 5.66 |
Schedule of TBA securities [Table Text Block] | As of June 30, 2024 and December 31, 2023, the Company had outstanding TBA purchase and sale contracts as follows: June 30, 2024 December 31, 2023 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 $ 36,232 $ 35,431 $ 35,532 $ 101 $ 375,154 $ 362,129 $ 364,311 $ 2,182 Liabilities 123,424 117,777 117,122 (655) — — — — 159,656 153,208 152,654 (554) 375,154 362,129 364,311 2,182 Sale contracts: Assets (286,350) (278,779) (277,282) 1,497 — — — — Liabilities (13,600) (10,504) (10,659) (155) (433,098) (392,730) (398,550) (5,820) (299,950) (289,283) (287,941) 1,342 (433,098) (392,730) (398,550) (5,820) Total TBA securities, net $ (140,294) $ (136,075) $ (135,287) $ 788 $ (57,944) $ (30,601) $ (34,239) $ (3,638) (1) Notional amount represents the principal balance of the underlying Agency RMBS. (2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3) Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end. (4) Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis, and is reported in Financial derivatives-assets, at fair value and Financial derivatives-liabilities, at fair value on the Condensed Consolidated Balance Sheet. |
Schedule of Gains and Losses on Derivative Contracts | Gains and losses on the Company's derivative contracts for the three- and six-month periods ended June 30, 2024 and 2023 are summarized in the tables below: Three-Month Period Ended June 30, 2024 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 Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps Interest Rate $ 10,751 $ (12,875) $ (2,124) $ (479) $ 9,854 $ 9,375 Credit default swaps on asset-backed indices Credit (232) (232) 189 189 Credit default swaps on corporate bond indices Credit (1,683) (1,683) 1,833 1,833 Credit default swaps on corporate bonds Credit (8) (8) (19) (19) Total return swaps Equity Market/Credit 17 17 (3) (3) TBAs Interest Rate 3,113 3,113 477 477 Futures Interest Rate 6,909 6,909 (3,810) (3,810) Forwards Currency 322 322 (140) (140) Warrants Credit — — — — Total $ 10,751 $ (4,438) $ 6,313 $ (479) $ 8,381 $ 7,902 Three-Month Period Ended June 30, 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 $ 9,236 $ 21,942 $ 31,178 $ 3,314 $ (7,296) $ (3,982) Credit default swaps on asset-backed indices Credit 34 34 (226) (226) Credit default swaps on corporate bond indices Credit (742) (742) (1,173) (1,173) Credit default swaps on corporate bonds Credit (42) (42) (5) (5) TBAs Interest Rate (20) (20) 6,457 6,457 Futures Interest Rate (132) (132) 6,776 6,776 Forwards Currency (496) (496) 346 346 Warrants Equity Market/Credit — — 149 149 Total $ 9,236 $ 20,544 $ 29,780 $ 3,314 $ 5,028 $ 8,342 (1) Includes foreign currency remeasurement on financial derivatives in the amount of $2 thousand for the three-month period ended June 30, 2023, which is included on the Condensed Consolidated Statement of Operations in Other, net. Six-Month Period Ended June 30, 2024 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 Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps Interest Rate $ 26,189 $ (21,528) $ 4,661 $ (4,906) $ 33,745 $ 28,839 Credit default swaps on asset-backed indices Credit (432) (432) (1,182) (1,182) Credit default swaps on corporate bond indices Credit (6,250) (6,250) 3,509 3,509 Credit default swaps on corporate bonds Credit (15) (15) 42 42 Total return swaps Equity Market/Credit 37 37 (3) (3) TBAs Interest Rate 3,929 3,929 4,426 4,426 Futures Interest Rate 7,344 7,344 3,107 3,107 Forwards Currency 432 432 255 255 Warrants Credit 86 86 (726) (726) Total $ 26,189 $ (16,398) $ 9,791 $ (4,906) $ 43,173 $ 38,267 Six-Month Period Ended June 30, 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 $ 15,027 $ (9,133) $ 5,894 $ 6,765 $ 5,878 $ 12,643 Credit default swaps on asset-backed securities Credit 1 1 — — Credit default swaps on asset-backed indices Credit (241) (241) 1,932 1,932 Credit default swaps on corporate bond indices Credit (2,089) (2,089) (965) (965) Credit default swaps on corporate bonds Credit (83) (83) (24) (24) TBAs Interest Rate 4,272 4,272 (3,621) (3,621) Futures Interest Rate (3,065) (3,065) 1,113 1,113 Forwards Currency (356) (356) (37) (37) Warrants Equity Market/Credit — — 68 68 Total $ 15,027 $ (10,694) $ 4,333 $ 6,765 $ 4,344 $ 11,109 (1) Includes foreign currency remeasurement on financial derivatives in the amount of $6 thousand for the six-month period ended June 30, 2023, 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 six-month period ended June 30, 2024 and the year ended December 31, 2023: Derivative Type Six-Month Year Ended (In thousands) Interest rate swaps $ 5,642,765 $ 4,309,089 Credit default swaps 783,205 497,857 TBAs 486,793 603,206 Futures 336,786 246,669 Forwards 23,363 15,567 Total return swaps 1,181 875 Warrants 145 1,926 |
Schedule of Credit Derivatives | Written credit derivatives held by the Company at June 30, 2024 and December 31, 2023 are summarized below: Credit Derivatives June 30, 2024 December 31, 2023 (In thousands) Fair Value of Written Credit Derivatives, Net $ 6,437 $ 7,264 Notional Value of Written Credit Derivatives (1) 101,279 151,290 (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) | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024 and December 31, 2023. Other Assets June 30, 2024 December 31, 2023 (In thousands) Receivables and claims related to reverse mortgage loans repurchased from HMBS (1) $ 36,086 $ 48,468 Prepaid expenses and deferred offering costs 12,109 11,602 Leases—right of use assets (2) 5,540 3,279 Accounts receivable 4,959 3,755 Prepaid scheduled draws on reverse mortgage loans and amounts due from sub-servicer 3,038 2,800 Intangible assets 2,422 2,673 Property and equipment (3) 1,479 1,110 Certificates of deposit, security deposits, and escrow cash 753 1,043 Loan purchase commitments, at fair value (4) 275 — Servicing asset, at fair value (5) — 1,327 Other 540 1,042 $ 67,201 $ 77,099 (1) Represents receivables from third-parties and claims to HUD related to loans repurchased from HMBS. See Note 13, Issuance of HMBS for discussion on the maximum claim amount related to reverse mortgage loans in HMBS. (2) See Note 24 for additional details on the Company's leases and ROU assets. (3) Net of accumulated depreciation. (4) See Note 24 for details on loan purchase commitments. (5) See Note 13 for details on the Servicing asset (liability). |
Schedule of Intangible Assets and Goodwill | The following table details the Company's intangible assets as of June 30, 2024 and December 31, 2023. June 30, 2024 December 31, 2023 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 $ (817) $ 583 36 $ 1,400 $ (583) $ 817 36 Trademarks/trade names 1,200 — 1,200 Indefinite 1,200 — 1,200 Indefinite Customer relationships 700 (61) 639 240 700 (44) 656 240 Total identified intangible assets $ 3,300 $ (878) $ 2,422 $ 3,300 $ (627) $ 2,673 |
Finite-Lived and Indefinite-Lived Intangible Assets Acquired as Part of Business Combination | The following table summarizes changes in the net carrying value of the Company's intangible assets for the three- and six-month periods ended June 30, 2024 and 2023. Three-Month Period Ended June 30, 2024 (In thousands) Internally Developed Software Trademarks/Trade Names Customer Relationships Total Net carrying value of intangible assets—Beginning Balance (March 31, 2024) $ 700 $ 1,200 $ 648 $ 2,548 Accumulated Amortization (117) — (9) (126) Net carrying value of intangible assets—Ending Balance (June 30, 2024) $ 583 $ 1,200 $ 639 $ 2,422 Three-Month Period Ended June 30, 2023 (In thousands) Internally Developed Software Trademarks/Trade Names Customer Relationships Total Net carrying value of intangible assets—Beginning Balance (March 31, 2023) $ 1,167 $ 1,200 $ 682 $ 3,049 Accumulated Amortization (117) — (8) (125) Net carrying value of intangible assets—Ending Balance (June 30, 2023) $ 1,050 $ 1,200 $ 674 $ 2,924 Six-Month Period Ended June 30, 2024 (In thousands) Internally Developed Software Trademarks/Trade Names Customer Relationships Total Net carrying value of intangible assets—Beginning Balance (December 31, 2023) $ 817 $ 1,200 $ 656 $ 2,673 Accumulated Amortization (234) — (17) (251) Net carrying value of intangible assets—Ending Balance (June 30, 2024) $ 583 $ 1,200 $ 639 $ 2,422 Six-Month Period Ended June 30, 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 (234) — (17) (100) (351) Net carrying value of intangible assets—Ending Balance (June 30, 2023) $ 1,050 $ 1,200 $ 674 $ — $ 2,924 |
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) June 30, 2024 2024 $ 251 2025 385 2026 35 2027 35 2028 35 Thereafter 481 Total $ 1,222 |
Consolidated VIEs (Tables)
Consolidated VIEs (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated VIEs | The following table summarizes the assets and liabilities of the Company's consolidated VIEs that are included on the Company's Condensed Consolidated Balance Sheet as of June 30, 2024 and December 31, 2023. See Note 13 and Note 16 for additional information on the Company's consolidated VIEs. (In thousands) June 30, 2024 December 31, 2023 Assets Cash and cash equivalents $ 6,889 $ 178 Restricted cash 4,489 — Securities, at fair value 68,923 74,226 Loans, at fair value 3,536,752 3,342,478 Forward MSR-related investments, at fair value 78,473 82,273 Investments in unconsolidated entities, at fair value 96,694 63,701 Real estate owned 19,885 16,100 Investment related receivables 25,838 19,929 Other assets 352 469 Total Assets $ 3,838,295 $ 3,599,354 Liabilities Repurchase agreements $ 1,264,606 $ 1,244,401 Other secured borrowings 29,458 25,787 Other secured borrowings, at fair value 1,585,838 1,424,668 Interest payable 2,852 1,879 Accrued expenses and other liabilities 1,226 451 Total Liabilities 2,883,980 2,697,186 Total Stockholders' Equity 947,611 897,303 Non-controlling interests 6,704 4,865 Total Equity 954,315 902,168 Total Liabilities and Equity $ 3,838,295 $ 3,599,354 |
Securitization Transactions (Ta
Securitization Transactions (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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 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 (In thousands) EFMT 2024-INV1 4/24 $ 194,497 $ 105,955 $ 300,452 EFMT 2023-1 2/23 176,218 154,149 330,367 EFMT 2022-4 12/22 309,998 55,264 365,262 |
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 (In thousands) (In thousands) 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) |
Borrowings (Tables)
Borrowings (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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, credit assets (which can include non-Agency RMBS, CMBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and commercial mortgage loans and REO), reverse mortgage loans, and U.S. Treasury securities by remaining maturity as of June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 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 $ 308,855 5.46 % 17 $ 1,076,710 5.55 % 17 31-60 Days 71,692 5.51 % 45 15,786 5.81 % 49 61-90 Days 883 6.11 % 73 914 6.16 % 72 151-180 Days 1,979 6.15 % 162 1,931 6.23 % 159 Total Agency RMBS 383,409 5.48 % 23 1,095,341 5.55 % 18 Credit Assets: 30 Days or Less 15,360 6.96 % 18 124,617 6.80 % 22 31-60 Days 134,122 6.75 % 45 136,434 7.03 % 41 61-90 Days 107,561 6.64 % 75 82,992 6.85 % 74 91-120 Days 1,063,288 7.41 % 99 290,215 7.36 % 116 121-150 Days 970 6.58 % 141 — — % — 151-180 Days 15,187 6.69 % 162 5,980 6.68 % 161 181-364 Days 99,631 8.35 % 278 867,983 7.61 % 268 > 364 Days 103,967 7.93 % 482 58,631 8.61 % 513 Total Credit Assets 1,540,086 7.38 % 130 1,566,852 7.44 % 199 Reverse Mortgage Loans: 31-60 Days 26,901 8.86 % 37 — — % — 91-120 Days 104,967 8.59 % 95 — — % — 121-150 Days — — % — — — % — 181-364 Days — — % — 150,228 7.97 % 282 Total Reverse Mortgage Loans 131,868 8.65 % 84 150,228 7.97 % 282 U.S. Treasury Securities: 30 Days or Less 246,613 5.46 % 1 155,016 5.51 % 2 Total U.S. Treasury Securities 246,613 5.46 % 1 155,016 5.51 % 2 Total $ 2,301,976 6.93 % 95 $ 2,967,437 6.67 % 126 |
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 June 30, 2024 and December 31, 2023. June 30, 2024: Counterparty Amount at Risk Weighted Average Remaining Days to Maturity Percentage (In thousands) Nomura Holdings Inc. $ 212,043 97 13.5 % December 31, 2023: Counterparty Amount at Risk Weighted Average Remaining Days to Maturity Percentage (In thousands) Nomura Holdings Inc. $ 216,886 246 14.2 % |
Schedule of Line of Credit Facilities | The following table provides details for each of the warehouse lines of credit. June 30, 2024 December 31, 2023 Maturity Outstanding Borrowings Fair Value of Underlying Collateral Effective Interest Rate Outstanding Borrowings Fair Value of Underlying Collateral Effective Interest Rate (In thousands) (In thousands) Facility A July 2024 $ 88,538 $ 99,464 8.60 % $ 83,393 $ 99,340 8.95 % Facility B April 2025 56,088 60,930 8.03 % 76,717 88,251 8.21 % $ 144,626 $ 160,394 8.38 % $ 160,110 $ 187,591 8.60 % |
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 June 30, 2024: Year Repurchase Agreements (1) Other Secured Borrowings (2) HMBS-related Obligations (3) Unsecured Borrowings (1) Total (In thousands) Next Twelve Months $ 2,254,969 $ 417,119 $ 1,200,450 $ 34,931 $ 3,907,469 Year 2 47,007 254,170 991,074 — 1,292,251 Year 3 — 215,412 928,810 247,750 1,391,972 Year 4 — 183,417 866,802 — 1,050,219 Year 5 — 147,529 942,216 — 1,089,745 Total $ 2,301,976 $ 1,217,647 $ 4,929,352 $ 282,681 $ 8,731,656 (1) Reflects the Company's contractual principal repayment dates. (2) Includes $846.8 million, $113.6 million, and $40.0 million of expected principal repayments related to the Company's consolidated non-QM, reverse mortgage loan, and European Mortgage Loan securitizations, respectively, 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. |
Related Party (Tables)
Related Party (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024 December 31, 2023 June 30, 2024 December 31, 2023 June 30, 2024 December 31, 2023 (In thousands) (In thousands) May 2021 (2) December 31, 2025 $ 6,000 12.0% 9.0% $ 1,000 $ 2,335 $ 1,000 $ 2,335 February 2022 January 31, 2025 750 7.0% 7.0% 625 575 625 575 December 2022 December 16, 2024 3,500 15.0% 15.0% 1,644 1,644 1,233 1,233 (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. |
Long-Term Incentive Plan Units
Long-Term Incentive Plan Units (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Share-Based Payment Arrangement [Abstract] | |
Unvested LTIP Units | The below table details unvested OP LTIP Units as of June 30, 2024: Grant Recipient Number of OP LTIP Units Granted Grant Date Vesting Date (1) Directors: 30,628 December 14, 2023 September 13, 2024 Dedicated or partially dedicated personnel: 14,708 December 15, 2022 December 15, 2024 22,135 December 14, 2023 December 14, 2024 17,538 December 14, 2023 December 14, 2025 39,740 March 19, 2024 December 31, 2025 Total unvested OP LTIP Units at June 30, 2024 124,749 (1) Date at which such OP LTIP Units will vest and become non-forfeitable. |
Roll-Forward of Company's LTIP Units Outstanding | The following tables summarize issuance and exercise activity of OP LTIP Units for the three- and six-month periods ended June 30, 2024 and 2023: Three-Month Period Ended June 30, 2024 June 30, 2023 Manager Director/ Total Manager Director/ Total OP LTIP Units Outstanding (March 31, 2024 and 2023, respectively) 365,518 423,177 788,695 365,518 404,055 769,573 Granted — — — — — — OP LTIP Units Outstanding (June 30, 2024 and 2023, respectively) 365,518 423,177 788,695 365,518 404,055 769,573 OP LTIP Units Unvested and Outstanding — 124,749 124,749 — 113,615 113,615 OP LTIP Units Vested and Outstanding 365,518 298,428 663,946 365,518 290,440 655,958 Six-Month Period Ended June 30, 2024 June 30, 2023 Manager Director/ Total Manager Director/ Total OP LTIP Units Outstanding (December 31, 2023 and 2022, respectively) 365,518 383,437 748,955 365,518 404,055 769,573 Granted — 39,740 39,740 — — — OP LTIP Units Outstanding (June 30, 2024 and 2023, respectively) 365,518 423,177 788,695 365,518 404,055 769,573 OP LTIP Units Unvested and Outstanding — 124,749 124,749 — 113,615 113,615 OP LTIP Units Vested and Outstanding 365,518 298,428 663,946 365,518 290,440 655,958 |
Equity (Tables)
Equity (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Stockholders' Equity Note [Abstract] | |
Summary of Common Shares Outstanding | The following table summarizes issuance, repurchase, and other activity with respect to the Company's common stock for the three- and six-month periods ended June 30, 2024, and 2023: Three-Month Period Ended Six-Month Period Ended June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Shares of Common Stock Outstanding (as of 3/31/2024, 3/31/2023, 12/31/2023, and 12/31/2022, respectively) 85,056,648 67,185,076 83,000,488 63,812,215 Share Activity: Shares of common stock issued — — 2,103,725 4,433,861 Shares of common stock repurchased (14,735) (23,336) (62,300) (1,084,336) Shares of Common Stock Outstanding (as of 6/30/24, 6/30/23, 6/30/24, and 6/30/23, respectively) 85,041,913 67,161,740 85,041,913 67,161,740 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 3 Months Ended |
Jun. 30, 2024 | |
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 Six-Month Period Ended (In thousands except share amounts) June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Net income (loss) attributable to common stockholders $ 52,347 $ 2,898 $ 79,262 $ 41,814 Add: Net income (loss) attributable to Convertible Non-controlling Interests (1) 514 35 769 511 Net income (loss) attributable to common stockholders and Convertible Non-controlling Interests 52,861 2,933 80,031 42,325 Dividends declared: Common stockholders (33,166) (30,223) (69,755) (60,520) Convertible Non-controlling Interests (326) (367) (673) (734) Total dividends declared to common stockholders and Convertible Non-controlling Interests (33,492) (30,590) (70,428) (61,254) Undistributed (Distributed in excess of) earnings: Common stockholders 19,181 (27,325) 9,507 (18,706) Convertible Non-controlling Interests 188 (332) 96 (223) Total undistributed (distributed in excess of) earnings attributable to common stockholders and Convertible Non-controlling Interests $ 19,369 $ (27,657) $ 9,603 $ (18,929) Weighted average shares outstanding (basic and diluted): Weighted average shares of common stock outstanding 85,044,666 67,162,253 84,756,106 66,918,505 Weighted average Convertible Non-controlling Interest Units outstanding 835,055 815,933 818,024 815,933 Weighted average shares of common stock and Convertible Non-controlling Interest Units outstanding 85,879,721 67,978,186 85,574,130 67,734,438 Basic earnings per share of common stock and Convertible Non-controlling Interest Unit: Distributed $ 0.39 $ 0.45 $ 0.82 $ 0.90 Undistributed (Distributed in excess of) 0.23 (0.41) 0.12 (0.28) $ 0.62 $ 0.04 $ 0.94 $ 0.62 Diluted earnings per share of common stock and Convertible Non-controlling Interest Unit: Distributed $ 0.39 $ 0.45 $ 0.82 $ 0.90 Undistributed (Distributed in excess of) 0.23 (0.41) 0.12 (0.28) $ 0.62 $ 0.04 $ 0.94 $ 0.62 (1) For the three-month periods ended June 30, 2024 and 2023, excludes net income (loss) of $0.4 million and $1.8 million, respectively, attributable to joint venture partners and Longbridge, as applicable, which have non-participating interests as described in Note 18. For the six-month periods ended June 30, 2024 and 2023, excludes net income (loss) of $0.6 million and $2.1 million, respectively, attributable to joint venture partners and Longbridge, as applicable, which have non-participating interests as described in Note 18. |
Offsetting of Assets and Liab_2
Offsetting of Assets and Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024 and December 31, 2023. June 30, 2024: 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 $ 162,165 $ (39,020) $ — $ (71,447) $ 51,698 Reverse repurchase agreements 85,671 (61,989) (23,682) — — Liabilities Financial derivatives–liabilities (44,064) 39,020 — 351 (4,693) Repurchase agreements (2,301,976) 61,989 2,238,350 1,637 — (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 June 30, 2024 was $2.9 billion. As of June 30, 2024, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged (received) of $1.5 million and $(0.2) 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, 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 $ 143,996 $ (50,301) $ — $ (38,812) $ 54,883 Reverse repurchase agreements 173,145 (155,719) (17,426) — — Liabilities Financial derivatives–liabilities (61,776) 50,301 — 3,822 (7,653) Repurchase agreements (2,967,437) 155,719 2,822,912 (11,194) — (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, 2023 was $3.7 billion. As of December 31, 2023, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged of $(13.9) million and $12.1 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. |
Counterparty Risk (Tables)
Counterparty Risk (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Risks and Uncertainties [Abstract] | |
Schedules of Exposure to Counterparty Risk | The following table summarizes the Company's exposure to counterparty risk as of June 30, 2024 and December 31, 2023. June 30, 2024: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (1) (In thousands) Cash and cash equivalents $ 198,513 9 33.6 % Collateral on repurchase agreements held by dealers (2) 2,888,475 24 26.1 % Due from brokers 22,036 18 53.0 % Receivable for securities sold (3) 34,202 9 51.0 % (1) Each counterparty is a financial institution that the Company believes to be creditworthy as of June 30, 2024. (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, 2023: Amount of Exposure Number of Counterparties with Exposure Maximum Percentage of Exposure to a Single Counterparty (In thousands) Cash and cash equivalents $ 228,927 11 28.8 % Collateral on repurchase agreements held by dealers (1) 3,672,278 28 18.6 % Due from brokers 51,884 21 58.5 % Receivable for securities sold (2) 345,429 9 54.3 % (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) | 6 Months Ended |
Jun. 30, 2024 | |
Commitments and Contingencies Disclosure [Abstract] | |
Lessee, Operating Lease, Disclosure | The following table provides details of the Company's outstanding leases as of June 30, 2024 and December 31, 2023. ($ in thousands) June 30, 2024 December 31, 2023 ROU assets $ 5,540 $ 3,279 Lease liabilities 5,959 3,524 Weighted average remaining term (in years) 7.5 5.1 Weighted average discount rate 8.83 % 7.31 % |
Schedule of Future Minimum Rental Payments for Operating Leases | The following table details contractual future minimum lease payments as of June 30, 2024. Minimum Payments (In thousands) Year ended December 31, 2024 $ 541 Year ended December 31, 2025 1,240 Year ended December 31, 2026 1,237 Year ended December 31, 2027 1,140 Year ended December 31, 2028 929 Thereafter 3,467 Total 8,554 Less: implied interest payments (2,595) Lease Liability $ 5,959 |
Segment Reporting (Tables)
Segment Reporting (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024, and 2023, and various reconciling items to the Company's results of operations overall. Three-Month Period Ended June 30, 2024 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Interest income $ 88,790 $ 9,765 $ 1,915 $ 100,470 Interest expense (53,628) (8,615) (4,631) (66,874) Total other income (loss) 27,584 29,868 109 57,561 Total expenses (5,312) (26,809) (10,864) (42,985) Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 57,434 4,209 (13,471) 48,172 Income tax expense (benefit) — — 142 142 Earnings (losses) from investments in unconsolidated entities 12,042 — — 12,042 Net Income (Loss) 69,476 4,209 (13,613) 60,072 Net income (loss) attributable to non-controlling interests 382 — 518 900 Dividends on preferred stock — — 6,825 6,825 Net Income (Loss) Attributable to Common Stockholders $ 69,094 $ 4,209 $ (20,956) $ 52,347 Non-cash items: Amortization and depreciation expense $ — $ 572 $ — $ 572 Three-Month Period Ended June 30, 2023 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Interest income $ 83,118 $ 3,779 $ 1,195 $ 88,092 Interest expense (54,207) (6,117) (3,109) (63,433) Total other income (loss) 13,352 30,630 (9,319) 34,663 Total expenses (3,865) (25,816) (12,951) (42,632) Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 38,398 2,476 (24,184) 16,690 Income tax expense (benefit) — — 83 83 Earnings (losses) from investments in unconsolidated entities (5,868) — — (5,868) Net Income (Loss) 32,530 2,476 (24,267) 10,739 Net income (loss) attributable to non-controlling interests 1,847 (25) 39 1,861 Dividends on preferred stock — — 5,980 5,980 Net Income (Loss) Attributable to Common Stockholders $ 30,683 $ 2,501 $ (30,286) $ 2,898 Non-cash items: Amortization and depreciation expense $ — $ 352 $ — $ 352 Six-Month Period Ended June 30, 2024 (In thousands) Investment Portfolio Segment Longbridge Segment Corporate/ Other Total Interest income $ 180,193 $ 18,006 $ 3,791 $ 201,990 Interest expense (110,939) (17,172) (9,227) (137,338) Total other income (loss) 37,610 68,036 (3,601) 102,045 Total expenses (8,455) (55,907) (22,278) (86,640) Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 98,409 12,963 (31,315) 80,057 Income tax expense (benefit) — — 202 202 Earnings (losses) from investments in unconsolidated entities 14,268 — — 14,268 Net Income (Loss) 112,677 12,963 (31,517) 94,123 Net income (loss) attributable to non-controlling interests 567 38 777 1,382 Dividends on preferred stock — — 13,479 13,479 Net Income (Loss) Attributable to Common Stockholders $ 112,110 $ 12,925 $ (45,773) $ 79,262 Non-cash items: Amortization and depreciation expense $ — $ 842 $ — $ 842 Six-Month Period Ended June 30, 2023 (In thousands) Investment Portfolio Longbridge Segment Corporate/ Other Total Interest income $ 165,487 $ 6,672 $ 3,107 $ 175,266 Interest expense (106,343) (10,463) (6,244) (123,050) Total other income (loss) 24,281 64,028 (1,971) 86,338 Total expenses (7,369) (51,263) (21,902) (80,534) Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities 76,056 8,974 (27,010) 58,020 Income tax expense (benefit) — — 104 104 Earnings (losses) from investments in unconsolidated entities (2,424) — — (2,424) Net Income (Loss) 73,632 8,974 (27,114) 55,492 Net income (loss) attributable to non-controlling interests 2,085 (23) 519 2,581 Dividends on preferred stock — — 11,097 11,097 Net Income (Loss) Attributable to Common Stockholders $ 71,547 $ 8,997 $ (38,730) $ 41,814 Non-cash items Amortization and depreciation expense $ — $ 710 $ — $ 710 |
Reconciliation of Assets from Segment to Consolidated | The following tables present our balance sheet by reportable segment as of June 30, 2024 and December 31, 2023 which reconciles to the Company's financial position overall. June 30, 2024 (In thousands) Investment Portfolio Longbridge Corporate/ Other Total Total Assets $ 5,274,312 $ 9,632,117 $ 186,224 $ 15,092,653 Total Liabilities 3,758,688 9,380,275 379,831 13,518,794 Total Equity 1,515,624 251,842 (193,607) 1,573,859 December 31, 2023 (In thousands) Investment Portfolio Longbridge Corporate/ Other Total Total Assets $ 5,978,988 $ 9,092,840 $ 244,102 $ 15,315,930 Total Liabilities 4,555,212 8,872,153 352,953 13,780,318 Total Equity 1,423,776 220,687 (108,851) 1,535,612 |
Organization and Investment O_2
Organization and Investment Objective (Details) | 6 Months Ended |
Jun. 30, 2024 numberOfSegments | |
Organization, Consolidation and Presentation of Financial Statements [Line Items] | |
Number of Reportable Segments | 2 |
Ellington Financial Operating Partnership LLC [Member] | Total Stockholder's Equity | |
Organization, Consolidation and Presentation of Financial Statements [Line Items] | |
Ownership Percentage | 99.20% |
Significant Accounting Polici_3
Significant Accounting Policies (Details) | 6 Months Ended |
Jun. 30, 2024 | |
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 | Jun. 30, 2024 | Mar. 31, 2024 | Dec. 31, 2023 | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | [1],[2] | $ 1,127,684 | $ 1,518,377 | |||
Forward MSR-related investments, at fair value(1) | 158,031 | [1] | $ 160,009 | 163,336 | [1] | |
Mortgage servicing rights, at fair value | 29,538 | 29,580 | ||||
Loan commitments, at fair value | 5,623 | 2,584 | ||||
Loan Purchase Commitments, at Fair Value | 275 | 0 | ||||
Investments in unconsolidated entities, at fair value(1) | 163,182 | [1] | 116,414 | |||
Financial derivatives–assets, at fair value | 162,165 | 143,996 | ||||
Investments sold short, at fair value- | (51,858) | (154,303) | ||||
Financial derivatives–liabilities, at fair value- | (44,064) | (61,776) | ||||
Other secured borrowings, at fair value | [1] | (1,585,838) | (1,424,668) | |||
HMBS-related obligations, at fair value | (8,832,058) | (8,423,235) | ||||
Unsecured borrowings, at fair value | 269,069 | 272,765 | ||||
Level 3 | Non-Agency RMBS | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Total assets | 84,811 | |||||
Level 3 | CMBS | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Total assets | 18,245 | |||||
Level 3 | CLOs | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Total assets | 35,697 | |||||
Level 3 | Asset-backed securities, backed by consumer loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Total assets | 100,120 | |||||
Fair Value, Measurements, Recurring | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Total assets | 14,492,604 | 14,282,250 | ||||
Total liabilities | (10,783,119) | (10,336,747) | ||||
Fair Value, Measurements, Recurring | Investments Sold Short | Government debt | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short, at fair value- | (51,858) | (154,303) | ||||
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- | (32) | (32) | ||||
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- | (227) | (225) | ||||
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- | (16,722) | (15,894) | ||||
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- | (21,413) | (31,745) | ||||
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- | (810) | (5,820) | ||||
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- | (4,860) | (7,990) | ||||
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- | 0 | (70) | ||||
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 | (1,585,838) | (1,424,668) | ||||
HMBS-related obligations, at fair value | (8,832,058) | (8,423,235) | ||||
Fair Value, Measurements, Recurring | Unsecured Borrowings | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Unsecured borrowings, at fair value | 269,069 | 272,765 | ||||
Fair Value, Measurements, Recurring | Servicing Liability | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Servicing liability, at fair value | (232) | |||||
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) | 457,700 | 853,224 | ||||
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) | 168,135 | 305,589 | ||||
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) | 42,842 | 45,432 | ||||
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) | 82,659 | 37,978 | ||||
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) | 68,924 | 74,226 | ||||
Fair Value, Measurements, Recurring | Securities | Other asset-backed securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 31,196 | 7,696 | ||||
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) | 15,066 | 8,041 | ||||
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) | 16,112 | 21,128 | ||||
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) | 245,050 | 165,063 | ||||
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 | 3,101,615 | 3,093,912 | ||||
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 | 266,220 | 266,595 | ||||
Fair Value, Measurements, Recurring | Loans | Consumer loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 949 | 1,759 | ||||
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 | 4,933 | 5,819 | ||||
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 | 9,472,389 | 8,938,551 | ||||
Fair Value, Measurements, Recurring | Forward MSR-related Investments | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Forward MSR-related investments, at fair value(1) | 158,031 | 163,336 | ||||
Fair Value, Measurements, Recurring | Mortgage servicing rights | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Mortgage servicing rights, at fair value | 29,538 | 29,580 | ||||
Fair Value, Measurements, Recurring | Servicing-related asset | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Servicing related asset | 1,327 | |||||
Fair Value, Measurements, Recurring | Loan commitments | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loan commitments, at fair value | 5,623 | 2,584 | ||||
Fair Value, Measurements, Recurring | Investment in unconsolidated entities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments in unconsolidated entities, at fair value(1) | 163,182 | 116,414 | ||||
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 | 8 | 8 | ||||
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 | 2,136 | 3,318 | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on corporate bonds | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value | 70 | 25 | ||||
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 | 6,387 | 7,259 | ||||
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 | 151,492 | 129,239 | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Total return swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value | 3 | 6 | ||||
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 | 1,598 | 2,182 | ||||
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 | 53 | 1,702 | ||||
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 | 222 | 245 | ||||
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 | 196 | 12 | ||||
Fair Value, Measurements, Recurring | Loan Purchase Commitments | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loan Purchase Commitments, at Fair Value | 275 | |||||
Fair Value, Measurements, Recurring | Level 1 | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Total assets | 6,172 | 9,079 | ||||
Total liabilities | (4,860) | (7,990) | ||||
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 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 | 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 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 | 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- | (4,860) | (7,990) | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Forwards | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | 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 | ||||
HMBS-related obligations, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Unsecured Borrowings | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Unsecured borrowings, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Servicing Liability | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Servicing liability, at fair value | 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 | Other asset-backed 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 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) | 5,950 | 8,834 | ||||
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 | Forward MSR-related Investments | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Forward MSR-related investments, at fair value(1) | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Mortgage servicing rights | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Mortgage servicing rights, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Servicing-related asset | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Servicing related asset | 0 | |||||
Fair Value, Measurements, Recurring | Level 1 | Loan commitments | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loan commitments, 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] | ||||||
Investments in unconsolidated entities, at fair value(1) | 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 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 | Credit default swaps on corporate bonds | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value | 0 | 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 | 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 | Total return swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | 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 | 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 | Financial Derivatives - Assets | Futures | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value | 222 | 245 | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Forwards | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Loan Purchase Commitments | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loan Purchase Commitments, at Fair Value | 0 | |||||
Fair Value, Measurements, Recurring | Level 2 | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Total assets | 1,012,083 | 1,355,689 | ||||
Total liabilities | (91,062) | (208,089) | ||||
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short | Government debt | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short, at fair value- | (51,858) | (154,303) | ||||
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- | (32) | (32) | ||||
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- | (227) | (225) | ||||
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- | (16,722) | (15,894) | ||||
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- | (21,413) | (31,745) | ||||
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- | (810) | (5,820) | ||||
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- | 0 | (70) | ||||
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 | ||||
HMBS-related obligations, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | Unsecured Borrowings | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Unsecured borrowings, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | Servicing Liability | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Servicing liability, at fair value | 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) | 450,218 | 847,712 | ||||
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) | 83,324 | 150,349 | ||||
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) | 24,597 | 31,289 | ||||
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) | 46,962 | 17,539 | ||||
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 | Other asset-backed 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 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) | 245,050 | 165,063 | ||||
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 | Forward MSR-related Investments | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Forward MSR-related investments, at fair value(1) | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | Mortgage servicing rights | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Mortgage servicing rights, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | Servicing-related asset | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Servicing related asset | 0 | |||||
Fair Value, Measurements, Recurring | Level 2 | Loan commitments | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loan commitments, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | Investment in unconsolidated entities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments in unconsolidated entities, at fair value(1) | 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 asset-backed indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value | 2,136 | 3,318 | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on corporate bonds | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value | 70 | 25 | ||||
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 | 6,387 | 7,259 | ||||
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 | 151,492 | 129,239 | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Total return swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | TBA securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value | 1,598 | 2,182 | ||||
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 | 53 | 1,702 | ||||
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 | 196 | 12 | ||||
Fair Value, Measurements, Recurring | Level 2 | Loan Purchase Commitments | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loan Purchase Commitments, at Fair Value | 0 | |||||
Fair Value, Measurements, Recurring | Level 3 | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Total assets | 13,474,349 | 12,917,482 | ||||
Total liabilities | (10,687,197) | (10,120,668) | ||||
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 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 | 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 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 | Interest rate swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | TBA securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Futures | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Forwards | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | 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 | (1,585,838) | (1,424,668) | ||||
HMBS-related obligations, at fair value | (8,832,058) | (8,423,235) | ||||
Fair Value, Measurements, Recurring | Level 3 | Unsecured Borrowings | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Unsecured borrowings, at fair value | 269,069 | 272,765 | ||||
Fair Value, Measurements, Recurring | Level 3 | Servicing Liability | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Servicing liability, at fair value | (232) | |||||
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) | 7,482 | 5,512 | ||||
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) | 84,811 | 155,240 | ||||
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) | 18,245 | 14,143 | ||||
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) | 35,697 | 20,439 | ||||
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) | 68,924 | 74,226 | ||||
Fair Value, Measurements, Recurring | Level 3 | Securities | Other asset-backed securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 31,196 | 7,696 | ||||
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) | 15,066 | 8,041 | ||||
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) | 10,162 | 12,294 | ||||
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 | 3,101,615 | 3,093,912 | ||||
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 | 266,220 | 266,595 | ||||
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 | 949 | 1,759 | ||||
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 | 4,933 | 5,819 | ||||
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 | 9,472,389 | 8,938,551 | ||||
Fair Value, Measurements, Recurring | Level 3 | Forward MSR-related Investments | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Forward MSR-related investments, at fair value(1) | 158,031 | 163,336 | ||||
Fair Value, Measurements, Recurring | Level 3 | Mortgage servicing rights | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Mortgage servicing rights, at fair value | 29,538 | 29,580 | ||||
Fair Value, Measurements, Recurring | Level 3 | Servicing-related asset | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Servicing related asset | 1,327 | |||||
Fair Value, Measurements, Recurring | Level 3 | Loan commitments | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loan commitments, at fair value | 5,623 | 2,584 | ||||
Fair Value, Measurements, Recurring | Level 3 | Investment in unconsolidated entities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments in unconsolidated entities, at fair value(1) | 163,182 | 116,414 | ||||
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 | 8 | 8 | ||||
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 | Credit default swaps on corporate bonds | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value | 0 | 0 | ||||
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 | 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 | Total return swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value | 3 | 6 | ||||
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 | 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 | Financial Derivatives - Assets | Futures | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Forwards | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value | 0 | $ 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Loan Purchase Commitments | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loan Purchase Commitments, at Fair Value | $ 275 | |||||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 for additional details on the Company's borrowings and related collateral. |
Valuation (Significant Unobserv
Valuation (Significant Unobservable Inputs Rollforward) (Details) - Level 3 - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | $ 13,218,913 | $ 12,237,648 | $ 12,917,482 | $ 12,034,361 |
Assets, Accreted Discounts/Amortized Premiums | (1,442) | (4,374) | (1,020) | (7,527) |
Assets, Realized Gain (Loss) | (10,346) | (10,431) | (7,079) | (14,245) |
Assets, Change In Net Unrealized Gain/(Loss) | 194,576 | 24,115 | 407,927 | 242,766 |
Assets, Purchases | 1,474,028 | 897,836 | 2,475,655 | 1,747,708 |
Assets, Sales | (1,395,874) | (909,282) | (2,317,146) | (1,793,176) |
Assets, Transfers into Level 3 | 5,378 | 32,492 | 11,244 | 58,445 |
Assets, Transfers out of Level 3 | (10,884) | (10,723) | (12,714) | (11,051) |
Assets, Ending Balance | 13,474,349 | 12,257,281 | 13,474,349 | 12,257,281 |
Liabilities, Beginning Balance | (10,459,548) | (9,695,833) | (10,120,668) | (9,518,871) |
Liabilities, Accreted Discounts/Amortized Premiums | 10 | (261) | (642) | (664) |
Liabilities, Realized Gain/(Loss) | 0 | 0 | 0 | 0 |
Liabilities, Change In Net Unrealized Gain/(Loss) | (127,552) | (12,425) | (316,230) | (167,128) |
Liabilities Purchases/Payments | 316,110 | 390,832 | 621,751 | 701,821 |
Liabilities, Sales/Issuance | (416,217) | (395,294) | (871,408) | (728,139) |
Liabilities, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Ending Balance | (10,687,197) | (9,712,981) | (10,687,197) | (9,712,981) |
Non-Agency RMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Total assets | 84,811 | 84,811 | ||
CMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Total assets | 18,245 | 18,245 | ||
CLOs | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Total assets | 35,697 | 35,697 | ||
Asset-backed securities, backed by consumer loans | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Total assets | 100,120 | 100,120 | ||
Other secured borrowings, at fair value | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Liabilities, Beginning Balance | (1,569,149) | (1,534,592) | (1,424,668) | (1,539,881) |
Liabilities, Accreted Discounts/Amortized Premiums | 10 | (261) | (642) | (664) |
Liabilities, Realized Gain/(Loss) | 0 | 0 | 0 | 0 |
Liabilities, Change In Net Unrealized Gain/(Loss) | (1,516) | 12,152 | (14,040) | (17,527) |
Liabilities Purchases/Payments | 43,012 | 50,333 | 74,196 | 85,704 |
Liabilities, Sales/Issuance | (58,195) | 0 | (220,684) | 0 |
Liabilities, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Ending Balance | (1,585,838) | (1,472,368) | (1,585,838) | (1,472,368) |
Change in unrealized gain (loss), assets | 12,152 | (17,527) | ||
Change in unrealized gains (losses), liabilities | (1,516) | (14,040) | ||
Unsecured Borrowings | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Liabilities, Beginning Balance | (270,936) | (185,325) | (272,765) | (191,835) |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Liabilities, Realized Gain/(Loss) | 0 | 0 | 0 | 0 |
Liabilities, Change In Net Unrealized Gain/(Loss) | 1,867 | 0 | 3,696 | 6,510 |
Liabilities Purchases/Payments | 0 | 0 | 0 | 0 |
Liabilities, Sales/Issuance | 0 | 0 | 0 | 0 |
Liabilities, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Ending Balance | (269,069) | (185,325) | (269,069) | (185,325) |
Change in unrealized gain (loss), assets | 6,510 | |||
Change in unrealized gains (losses), liabilities | 1,867 | 3,696 | ||
HMBS-related obligations | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Liabilities, Beginning Balance | (8,619,463) | (7,975,916) | (8,423,235) | (7,787,155) |
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Liabilities, Realized Gain/(Loss) | 0 | 0 | 0 | 0 |
Liabilities, Change In Net Unrealized Gain/(Loss) | (127,671) | (24,577) | (305,654) | (156,111) |
Liabilities Purchases/Payments | 273,098 | 340,499 | 547,555 | 616,117 |
Liabilities, Sales/Issuance | (358,022) | (395,294) | (650,724) | (728,139) |
Liabilities, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Liabilities, Ending Balance | (8,832,058) | (8,055,288) | (8,832,058) | (8,055,288) |
Change in unrealized gain (loss), assets | (24,577) | (156,111) | ||
Change in unrealized gains (losses), liabilities | (127,671) | (305,654) | ||
Servicing Liability | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Liabilities, Beginning Balance | 0 | 0 | ||
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | ||
Liabilities, Realized Gain/(Loss) | 0 | 0 | ||
Liabilities, Change In Net Unrealized Gain/(Loss) | (232) | (232) | ||
Liabilities Purchases/Payments | 0 | 0 | ||
Liabilities, Sales/Issuance | 0 | 0 | ||
Liabilities, Transfers into Level 3 | 0 | 0 | ||
Liabilities, Transfers out of Level 3 | 0 | 0 | ||
Liabilities, Ending Balance | (232) | (232) | ||
Securities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Change in unrealized gain (loss), assets | (3,622) | (6,600) | 1,063 | (11,999) |
Securities | Agency RMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 6,722 | 6,193 | 5,512 | 7,027 |
Assets, Accreted Discounts/Amortized Premiums | (232) | (322) | (441) | (641) |
Assets, Realized Gain (Loss) | (33) | (176) | (32) | (464) |
Assets, Change In Net Unrealized Gain/(Loss) | (182) | 3 | (320) | 421 |
Assets, Purchases | 0 | 195 | 315 | 336 |
Assets, Sales | 0 | 0 | (131) | (964) |
Assets, Transfers into Level 3 | 1,302 | 959 | 2,673 | 1,136 |
Assets, Transfers out of Level 3 | (95) | (1,497) | (94) | (1,496) |
Assets, Ending Balance | 7,482 | 5,355 | 7,482 | 5,355 |
Securities | Non-Agency RMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 100,777 | 156,277 | 155,240 | 132,502 |
Assets, Accreted Discounts/Amortized Premiums | (540) | (85) | (1,502) | 101 |
Assets, Realized Gain (Loss) | (8,650) | 1,035 | (3,874) | 1,926 |
Assets, Change In Net Unrealized Gain/(Loss) | 15,412 | (3,873) | 20,616 | (7,917) |
Assets, Purchases | 16,898 | 1,134 | 20,755 | 28,889 |
Assets, Sales | (35,002) | (8,742) | (101,831) | (31,391) |
Assets, Transfers into Level 3 | 998 | 29,517 | 2,320 | 51,229 |
Assets, Transfers out of Level 3 | (5,082) | (6,654) | (6,913) | (6,730) |
Assets, Ending Balance | 84,811 | 168,609 | 84,811 | 168,609 |
Securities | CMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 14,695 | 11,767 | 14,143 | 12,649 |
Assets, Accreted Discounts/Amortized Premiums | 203 | 54 | 390 | 103 |
Assets, Realized Gain (Loss) | 0 | 0 | 136 | 0 |
Assets, Change In Net Unrealized Gain/(Loss) | (1,300) | (1,083) | (643) | (2,488) |
Assets, Purchases | 4,069 | 2,126 | 4,405 | 2,127 |
Assets, Sales | 0 | 0 | (1,097) | 0 |
Assets, Transfers into Level 3 | 578 | 2,016 | 911 | 2,742 |
Assets, Transfers out of Level 3 | 0 | (2,572) | 0 | 2,825 |
Assets, Ending Balance | 18,245 | 12,308 | 18,245 | 12,308 |
Securities | CLOs | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 23,377 | 28,674 | 20,439 | 24,598 |
Assets, Accreted Discounts/Amortized Premiums | (866) | (229) | (982) | (64) |
Assets, Realized Gain (Loss) | (3,882) | 354 | (3,616) | 239 |
Assets, Change In Net Unrealized Gain/(Loss) | 1,477 | (954) | 1,222 | (2,232) |
Assets, Purchases | 61,855 | 2,751 | 64,498 | 728 |
Assets, Sales | (43,057) | (10,863) | (45,497) | (6,874) |
Assets, Transfers into Level 3 | 2,500 | 0 | 5,340 | 3,338 |
Assets, Transfers out of Level 3 | (5,707) | 0 | (5,707) | 0 |
Assets, Ending Balance | 35,697 | 19,733 | 35,697 | 19,733 |
Securities | Asset-backed securities, backed by consumer loans | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 71,545 | 72,200 | 74,226 | 73,644 |
Assets, Accreted Discounts/Amortized Premiums | (1,755) | (991) | (3,824) | (2,318) |
Assets, Realized Gain (Loss) | (913) | (6,787) | (2,266) | (6,709) |
Assets, Change In Net Unrealized Gain/(Loss) | (481) | 4,209 | 80 | 2,137 |
Assets, Purchases | 7,808 | 17,553 | 16,099 | 29,693 |
Assets, Sales | (7,280) | (9,045) | (15,391) | (19,308) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 68,924 | 77,139 | 68,924 | 77,139 |
Securities | Other asset-backed securities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 14,689 | 7,696 | ||
Assets, Accreted Discounts/Amortized Premiums | (214) | 154 | ||
Assets, Realized Gain (Loss) | 0 | 0 | ||
Assets, Change In Net Unrealized Gain/(Loss) | 2,003 | 1,646 | ||
Assets, Purchases | 15,401 | 22,394 | ||
Assets, Sales | (683) | (694) | ||
Assets, Transfers into Level 3 | 0 | 0 | ||
Assets, Transfers out of Level 3 | 0 | 0 | ||
Assets, Ending Balance | 31,196 | 31,196 | ||
Securities | Corporate debt securities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 12,929 | 8,347 | 8,041 | 7,533 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | (511) | (832) | (477) | (1,089) |
Assets, Change In Net Unrealized Gain/(Loss) | 50 | 469 | 680 | 740 |
Assets, Purchases | 4,252 | 8,359 | 9,409 | 11,253 |
Assets, Sales | (1,654) | (6,710) | (2,587) | (8,804) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 15,066 | 9,633 | 15,066 | 9,633 |
Securities | Corporate equity securities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 10,428 | 11,102 | 12,294 | 11,111 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | (189) | (4) | 549 | (3) |
Assets, Change In Net Unrealized Gain/(Loss) | (50) | 422 | (507) | 381 |
Assets, Purchases | 164 | 1,062 | 164 | 1,094 |
Assets, Sales | (191) | (1,846) | (2,338) | (1,847) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 10,162 | 10,736 | 10,162 | 10,736 |
Loans | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Change in unrealized gain (loss), assets | 169,607 | 28,198 | 373,679 | 42,663 |
Loans | Residential mortgage loans | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 3,160,176 | 3,024,744 | 3,093,912 | 3,115,518 |
Assets, Accreted Discounts/Amortized Premiums | (1,572) | (2,571) | (1,824) | (4,232) |
Assets, Realized Gain (Loss) | (2,970) | (2,938) | (5,465) | (8,526) |
Assets, Change In Net Unrealized Gain/(Loss) | 14,691 | (15,200) | 20,776 | 38,444 |
Assets, Purchases | 679,169 | 359,090 | 1,195,243 | 679,302 |
Assets, Sales | (747,879) | (369,442) | (1,201,027) | (826,823) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 3,101,615 | 2,993,683 | 3,101,615 | 2,993,683 |
Loans | Commercial mortgage loans | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 294,100 | 374,233 | 266,595 | 404,324 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | (43) | 0 | (44) | (1) |
Assets, Change In Net Unrealized Gain/(Loss) | 2,928 | 4,254 | 1,818 | 4,594 |
Assets, Purchases | 109,453 | 27,225 | 215,409 | 63,445 |
Assets, Sales | (140,218) | (57,352) | (217,558) | (124,002) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 266,220 | 348,360 | 266,220 | 348,360 |
Loans | Consumer loans | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 1,289 | 3,969 | 1,759 | 4,843 |
Assets, Accreted Discounts/Amortized Premiums | (112) | (230) | (234) | (476) |
Assets, Realized Gain (Loss) | 53 | (292) | 26 | (196) |
Assets, Change In Net Unrealized Gain/(Loss) | (17) | 210 | 3 | (44) |
Assets, Purchases | 31 | 151 | 140 | 451 |
Assets, Sales | (295) | (749) | (745) | (1,519) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 949 | 3,059 | 949 | 3,059 |
Loans | Corporate loan [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 6,219 | 4,920 | 5,819 | 4,086 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | 0 | 454 | 0 | 354 |
Assets, Change In Net Unrealized Gain/(Loss) | 0 | 9 | (101) | 10 |
Assets, Purchases | 143 | 2,481 | 729 | 3,417 |
Assets, Sales | (1,429) | (1,332) | (1,514) | (1,335) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 4,933 | 6,532 | 4,933 | 6,532 |
Loans | Reverse mortgage loans | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 9,182,448 | 8,404,701 | 8,938,551 | 8,097,237 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | 0 | 0 | 0 | (4) |
Assets, Change In Net Unrealized Gain/(Loss) | 152,146 | 39,393 | 351,452 | 210,961 |
Assets, Purchases | 421,712 | 424,893 | 738,763 | 845,371 |
Assets, Sales | (283,917) | (397,926) | (556,377) | (682,504) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 9,472,389 | 8,471,061 | 9,472,389 | 8,471,061 |
Forward MSR-related Investments | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 160,009 | 163,336 | ||
Assets, Accreted Discounts/Amortized Premiums | 3,646 | 7,243 | ||
Assets, Realized Gain (Loss) | 0 | 0 | ||
Assets, Change In Net Unrealized Gain/(Loss) | 1,330 | 2,943 | ||
Assets, Purchases | 0 | 0 | ||
Assets, Sales | (6,954) | (15,491) | ||
Assets, Transfers into Level 3 | 0 | 0 | ||
Assets, Transfers out of Level 3 | 0 | 0 | ||
Assets, Ending Balance | 158,031 | 158,031 | ||
Change in unrealized gain (loss), assets | 1,330 | 2,943 | ||
Mortgage servicing rights | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 29,889 | 8,100 | 29,580 | 8,108 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | 0 | 0 | 0 | 0 |
Assets, Change In Net Unrealized Gain/(Loss) | (351) | (627) | (42) | (635) |
Assets, Purchases | 0 | 0 | 0 | 0 |
Assets, Sales | 0 | 0 | 0 | 0 |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 29,538 | 7,473 | 29,538 | 7,473 |
Change in unrealized gain (loss), assets | (351) | (627) | (42) | (635) |
Servicing-related asset | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 324 | 299 | 1,327 | 999 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | 0 | 0 | 0 | 0 |
Assets, Change In Net Unrealized Gain/(Loss) | (324) | 1,005 | (1,327) | 305 |
Assets, Purchases | 0 | 0 | 0 | 0 |
Assets, Sales | 0 | 0 | 0 | 0 |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 0 | 1,304 | 0 | 1,304 |
Change in unrealized gain (loss), assets | (556) | 1,005 | (1,559) | 305 |
Loan commitments | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 3,917 | 3,299 | 2,584 | 3,060 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | 0 | 0 | 0 | 0 |
Assets, Change In Net Unrealized Gain/(Loss) | 1,706 | 501 | 3,039 | 740 |
Assets, Purchases | 0 | 0 | 0 | 0 |
Assets, Sales | 0 | 0 | 0 | 0 |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 5,623 | 3,800 | 5,623 | 3,800 |
Change in unrealized gain (loss), assets | 1,706 | 501 | 3,039 | 740 |
Investment in unconsolidated entities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 125,366 | 118,747 | 116,414 | 127,046 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | 6,776 | (1,245) | 7,948 | 227 |
Assets, Change In Net Unrealized Gain/(Loss) | 5,266 | (4,623) | 6,320 | (2,651) |
Assets, Purchases | 153,072 | 50,816 | 187,331 | 81,602 |
Assets, Sales | (127,298) | (45,275) | (154,831) | (87,804) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 163,182 | 118,420 | 163,182 | 118,420 |
Change in unrealized gain (loss), assets | 2,949 | (6,713) | 3,419 | (8,793) |
Financial Derivatives - Assets | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Change in unrealized gain (loss), assets | (2) | (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 | 8 | 76 | 8 | 76 |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 |
Assets, Realized Gain (Loss) | (1) | 0 | (1) | 1 |
Assets, Change In Net Unrealized Gain/(Loss) | 0 | 0 | 0 | 0 |
Assets, Purchases | 1 | 0 | 1 | 0 |
Assets, Sales | 0 | 0 | 0 | (1) |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 |
Assets, Ending Balance | 8 | $ 76 | 8 | $ 76 |
Financial Derivatives - Assets | Total return swaps | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 6 | 6 | ||
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | ||
Assets, Realized Gain (Loss) | 17 | 37 | ||
Assets, Change In Net Unrealized Gain/(Loss) | (3) | (3) | ||
Assets, Purchases | 0 | 0 | ||
Assets, Sales | (17) | (37) | ||
Assets, Transfers into Level 3 | 0 | 0 | ||
Assets, Transfers out of Level 3 | 0 | 0 | ||
Assets, Ending Balance | 3 | 3 | ||
Loan Purchase Commitments | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Assets, Beginning Balance | 0 | 0 | ||
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | ||
Assets, Realized Gain (Loss) | 0 | 0 | ||
Assets, Change In Net Unrealized Gain/(Loss) | 275 | 275 | ||
Assets, Purchases | 0 | 0 | ||
Assets, Sales | 0 | 0 | ||
Assets, Transfers into Level 3 | 0 | 0 | ||
Assets, Transfers out of Level 3 | 0 | 0 | ||
Assets, Ending Balance | 275 | 275 | ||
Change in unrealized gain (loss), assets | $ 275 | $ 275 |
Valuation (Fair Value of Other
Valuation (Fair Value of Other Financial Instruments) (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 | Jun. 30, 2023 | [1] | Dec. 31, 2022 | |||
Fair Value | ||||||||
Assets: | ||||||||
Cash and cash equivalents | $ 198,513 | $ 228,927 | ||||||
Restricted cash | 6,098 | 1,618 | ||||||
Due from brokers | 22,036 | 51,884 | ||||||
Reverse repurchase agreements | 85,671 | 173,145 | ||||||
Liabilities: | ||||||||
Repurchase agreements(1) | 2,301,976 | 2,967,437 | ||||||
Other secured borrowings(1) | 217,225 | 245,827 | ||||||
Due to brokers | 74,946 | 62,442 | ||||||
Carrying Value | ||||||||
Assets: | ||||||||
Cash and cash equivalents | 198,513 | 228,927 | ||||||
Restricted cash | 6,098 | 1,618 | ||||||
Due from brokers | 22,036 | 51,884 | ||||||
Reverse repurchase agreements | 85,671 | 173,145 | ||||||
Liabilities: | ||||||||
Repurchase agreements(1) | 2,301,976 | 2,967,437 | ||||||
Other secured borrowings(1) | 217,225 | 245,827 | ||||||
Due to brokers | 74,946 | 62,442 | ||||||
Cash and cash equivalents | 198,513 | [1] | 228,927 | [1] | $ 194,595 | $ 217,053 | ||
Restricted cash | 6,100 | 1,600 | ||||||
Due from brokers | 22,036 | 51,884 | ||||||
Reverse repurchase agreements | 85,671 | 173,145 | ||||||
Repurchase agreements(1) | [1] | 2,301,976 | 2,967,437 | |||||
Other secured borrowings(1) | [1] | 217,225 | 245,827 | |||||
Due to brokers | $ 74,946 | $ 62,442 | ||||||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Valuation (Schedule of Signific
Valuation (Schedule of Significant Unobservable Inputs, Qualitative Information) (Details) - Level 3 | 6 Months Ended |
Jun. 30, 2024 USD ($) $ / shares | |
Non-Agency RMBS | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 84,811,000 |
CMBS | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | 18,245,000 |
CLOs | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | 35,697,000 |
Agency RMBS | Interest only securities | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | 7,482,000 |
Asset-backed securities, backed by consumer loans | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | 100,120,000 |
Investment in unconsolidated entities | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | 163,182,000 |
Valuation, Market Approach | Non-Agency RMBS | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 37,298,000 |
Valuation, Market Approach | Non-Agency RMBS | Measurement Input, Quoted Price | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | $ / shares | 0.85 |
Valuation, Market Approach | Non-Agency RMBS | Measurement Input, Quoted Price | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | $ / shares | 124.93 |
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 | 70.54 |
Valuation, Market Approach | CMBS | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 15,238,000 |
Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | $ / shares | 5.31 |
Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | $ / shares | 96.91 |
Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | $ / shares | 54.94 |
Valuation, Market Approach | CLOs | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 23,149,000 |
Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | $ / shares | 13.51 |
Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | $ / shares | 100 |
Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | $ / shares | 67.25 |
Valuation, Market Approach | Agency RMBS | Interest only securities | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 2,281,000 |
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 | 2.66 |
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 | 19.34 |
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 | 11.66 |
Valuation, Market Approach | Asset-backed securities, backed by consumer loans | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 22,669,000 |
Valuation, Market Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Quoted Price | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | $ / shares | 4.58 |
Valuation, Market Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Quoted Price | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | $ / shares | 84.50 |
Valuation, Market Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Quoted Price | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | $ / shares | 68.51 |
Valuation, Market Approach | Other secured borrowings, at fair value | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ (1,585,838,000) |
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 | 50 |
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 | 100.65 |
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 | 88.20 |
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 |
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 | 0.099 |
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 | 0.066 |
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 | 0.095 |
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 | 1 |
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 | 0.963 |
Valuation, Market Approach | Unsecured Borrowings | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ (269,069,000) |
Valuation, Market Approach | Unsecured Borrowings | Measurement Input, Quoted Price | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Debt instrument, measurement input | 73.88 |
Valuation, Market Approach | Unsecured Borrowings | Measurement Input, Quoted Price | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Debt instrument, measurement input | 97.40 |
Valuation, Market Approach | Unsecured Borrowings | Measurement Input, Quoted Price | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Debt instrument, measurement input | 90.54 |
Valuation, Income Approach | Non-Agency RMBS | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 47,513,000 |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0 |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.999 |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.116 |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Prepayment Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0 |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Prepayment Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 1 |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Prepayment Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.441 |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Default Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0 |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Default Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.626 |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Default Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.139 |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Projected Collateral Recoveries | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0 |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Projected Collateral Recoveries | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.438 |
Valuation, Income Approach | Non-Agency RMBS | Measurement Input, Projected Collateral Recoveries | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.111 |
Valuation, Income Approach | CMBS | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 3,007,000 |
Valuation, Income Approach | CMBS | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.077 |
Valuation, Income Approach | CMBS | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.234 |
Valuation, Income Approach | CMBS | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.133 |
Valuation, Income Approach | CMBS | Measurement Input, Default Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0 |
Valuation, Income Approach | CMBS | Measurement Input, Default Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.800 |
Valuation, Income Approach | CMBS | Measurement Input, Default Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.048 |
Valuation, Income Approach | CMBS | Measurement Input, Projected Collateral Recoveries | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.200 |
Valuation, Income Approach | CMBS | Measurement Input, Projected Collateral Recoveries | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 1 |
Valuation, Income Approach | CMBS | Measurement Input, Projected Collateral Recoveries | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.942 |
Valuation, Income Approach | CLOs | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 12,548,000 |
Valuation, Income Approach | CLOs | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.108 |
Valuation, Income Approach | CLOs | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 2.203 |
Valuation, Income Approach | CLOs | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.191 |
Valuation, Income Approach | Agency RMBS | Interest only securities | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 5,201,000 |
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 | 0.0053 |
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 | 0.3287 |
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 | 0.0431 |
Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement Input, Prepayment Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.156 |
Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement Input, Prepayment Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 1 |
Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement Input, Prepayment Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.551 |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 77,451,000 |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.089 |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.280 |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.129 |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Prepayment Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0 |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Prepayment Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.829 |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Prepayment Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.181 |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Default Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0 |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Default Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.348 |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | Measurement Input, Default Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.192 |
Valuation, Income Approach | Corporate debt and equity | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 25,228,000 |
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 |
Valuation, Income Approach | Corporate debt and equity | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Securities, measurement input | 0.471 |
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 | 0.144 |
Valuation, Income Approach | Consumer loans | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 949,000 |
Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.088 |
Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.155 |
Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.116 |
Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0 |
Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.138 |
Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.055 |
Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.003 |
Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.712 |
Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.201 |
Valuation, Income Approach | Corporate loan [Member] | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 4,933,000 |
Valuation, Income Approach | Corporate loan [Member] | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.069 |
Valuation, Income Approach | Corporate loan [Member] | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.285 |
Valuation, Income Approach | Corporate loan [Member] | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.134 |
Valuation, Income Approach | Credit default swaps on asset-backed securities | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 8,000 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
Valuation, Income Approach | Total return swaps | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 3,000 |
Valuation, Income Approach | Total return swaps | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Debt instrument, measurement input | 0 |
Valuation, Income Approach | Total return swaps | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Debt instrument, measurement input | 0 |
Valuation, Income Approach | Total return swaps | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Debt instrument, measurement input | 0 |
Valuation, Income Approach | HECM loans | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 9,011,953,000 |
Valuation, Income Approach | HECM loans | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.022 |
Valuation, Income Approach | HECM loans | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.069 |
Valuation, Income Approach | HECM loans | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.046 |
Valuation, Income Approach | HECM loans | Measurement Input, Prepayment Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.017 |
Valuation, Income Approach | HECM loans | Measurement Input, Prepayment Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.429 |
Valuation, Income Approach | HECM loans | Measurement Input, Prepayment Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.074 |
Valuation, Income Approach | Mortgage servicing rights | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 29,538,000 |
Valuation, Income Approach | Mortgage servicing rights | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Servicing Asset, Measurement Input | 0.174 |
Valuation, Income Approach | Mortgage servicing rights | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Servicing Asset, Measurement Input | 0.174 |
Valuation, Income Approach | Mortgage servicing rights | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Servicing Asset, Measurement Input | 0.174 |
Valuation, Income Approach | Mortgage servicing rights | Measurement Input, Prepayment Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Servicing Asset, Measurement Input | 0.117 |
Valuation, Income Approach | Mortgage servicing rights | Measurement Input, Prepayment Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Servicing Asset, Measurement Input | 0.540 |
Valuation, Income Approach | Mortgage servicing rights | Measurement Input, Prepayment Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Servicing Asset, Measurement Input | 0.142 |
Valuation, Income Approach | Servicing-related asset | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ (232,000) |
Valuation, Income Approach | Servicing-related asset | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Servicing Asset, Measurement Input | 0.150 |
Valuation, Income Approach | Servicing-related asset | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Servicing Asset, Measurement Input | 0.150 |
Valuation, Income Approach | Servicing-related asset | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Servicing Asset, Measurement Input | 0.150 |
Valuation, Income Approach | Loan commitments | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 5,623,000 |
Valuation, Income Approach | Loan commitments | Measurement Input pullthrough rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loan Commitments, Measurement Input | 0.617 |
Valuation, Income Approach | Loan commitments | Measurement Input pullthrough rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loan Commitments, Measurement Input | 1 |
Valuation, Income Approach | Loan commitments | Measurement Input pullthrough rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loan Commitments, Measurement Input | 0.716 |
Valuation, Income Approach | Loan commitments | measurement input cost to originate loan | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loan Commitments, Measurement Input | 0.033 |
Valuation, Income Approach | Loan commitments | measurement input cost to originate loan | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loan Commitments, Measurement Input | 0.078 |
Valuation, Income Approach | Loan commitments | measurement input cost to originate loan | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loan Commitments, Measurement Input | 0.052 |
Valuation, Income Approach | HMBS-related obligations | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ (8,832,058,000) |
Valuation, Income Approach | HMBS-related obligations | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Debt instrument, measurement input | 0.021 |
Valuation, Income Approach | HMBS-related obligations | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Debt instrument, measurement input | 0.068 |
Valuation, Income Approach | HMBS-related obligations | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Debt instrument, measurement input | 0.045 |
Valuation, Income Approach | HMBS-related obligations | Measurement Input, Prepayment Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Debt instrument, measurement input | 0.066 |
Valuation, Income Approach | HMBS-related obligations | Measurement Input, Prepayment Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Debt instrument, measurement input | 0.429 |
Valuation, Income Approach | HMBS-related obligations | Measurement Input, Prepayment Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Debt instrument, measurement input | 0.074 |
Valuation, Income Approach | HECM buyout loans | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 14,957,000 |
Valuation, Income Approach | HECM buyout loans | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Investment, measurement input, recovery time | 1 month |
Valuation, Income Approach | HECM buyout loans | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Investment, measurement input, recovery time | 60 months |
Valuation, Income Approach | HECM buyout loans | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Investment, measurement input, recovery time | 27 months |
Valuation, Income Approach | HECM buyout loans | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.077 |
Valuation, Income Approach | HECM buyout loans | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.141 |
Valuation, Income Approach | HECM buyout loans | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.110 |
Valuation, Income Approach | Forward MSR-related Investments | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 158,031,000 |
Valuation, Income Approach | Forward MSR-related Investments | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Forward MSR-related Investments, Value Input | 0.098 |
Valuation, Income Approach | Forward MSR-related Investments | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Forward MSR-related Investments, Value Input | 0.098 |
Valuation, Income Approach | Forward MSR-related Investments | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Forward MSR-related Investments, Value Input | 0.098 |
Valuation, Income Approach | Forward MSR-related Investments | Measurement Input, Prepayment Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Forward MSR-related Investments, Value Input | 0.062 |
Valuation, Income Approach | Forward MSR-related Investments | Measurement Input, Prepayment Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Forward MSR-related Investments, Value Input | 0.062 |
Valuation, Income Approach | Forward MSR-related Investments | Measurement Input, Prepayment Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Forward MSR-related Investments, Value Input | 0.062 |
Valuation, Income Approach | Loan Purchase Commitments | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 275,000 |
Enterprise Value | Investment in unconsolidated entities | Measurement Input, Equity Price-to-Book | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | 33,589,000 |
Value of investments excluded from range calculation | 2,900,000 |
Enterprise Value | Investment in unconsolidated entities | Measurement Input, Net Asset Value | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 129,593,000 |
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 | 1.2 |
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 | 1.5 |
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 | 1.3 |
Valuation, Cost Approach | Loan Purchase Commitments | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Servicing Asset, Measurement Input | 0.076 |
Valuation, Cost Approach | Loan Purchase Commitments | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Servicing Asset, Measurement Input | 0.078 |
Valuation, Cost Approach | Loan Purchase Commitments | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Servicing Asset, Measurement Input | 0.077 |
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 | 1.6 |
Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 216,740,000 |
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 | 0.097 |
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 | 0.129 |
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 | 0.114 |
Performing and/or Re-performing | Valuation, Income Approach | Residential mortgage loans | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 1,442,025,000 |
Performing and/or Re-performing | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.004 |
Performing and/or Re-performing | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.752 |
Performing and/or Re-performing | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.091 |
Securitized loans [Member] | Residential mortgage loans | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 1,546,002,000 |
Securitized loans [Member] | Valuation, Market Approach | Residential mortgage loans | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 1,423,657,000 |
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 | 24.97 |
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 | 100.65 |
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 | 87.95 |
Securitized loans [Member] | Valuation, Market Approach | Proprietary reverse mortgage loans | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 181,073,000 |
Securitized loans [Member] | Valuation, Market Approach | Proprietary reverse mortgage loans | Measurement Input, Quoted Price | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 88 |
Securitized loans [Member] | Valuation, Market Approach | Proprietary reverse mortgage loans | Measurement Input, Quoted Price | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 105 |
Securitized loans [Member] | Valuation, Market Approach | Proprietary reverse mortgage loans | Measurement Input, Quoted Price | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 103.70 |
Securitized loans [Member] | Valuation, Market Approach | Proprietary reverse mortgage loans | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.069 |
Securitized loans [Member] | Valuation, Market Approach | Proprietary reverse mortgage loans | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.102 |
Securitized loans [Member] | Valuation, Market Approach | Proprietary reverse mortgage loans | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.071 |
Securitized loans [Member] | Valuation, Income Approach | Residential mortgage loans | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 122,345,000 |
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 | 0.025 |
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 | 0.149 |
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 | 0.050 |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 49,480,000 |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Investment, measurement input, recovery time | 3 months 2 days |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Investment, measurement input, recovery time | 8 months |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Investment, measurement input, recovery time | 6 months 14 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 |
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 | 0.203 |
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 | 0.150 |
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 | $ 0.602 |
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 | 1.032 |
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 | 0.903 |
Non-performing | Valuation, Income Approach | Residential mortgage loans | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 113,588,000 |
Non-performing | Valuation, Income Approach | Residential mortgage loans | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Investment, measurement input, recovery time | 7 months 3 days |
Non-performing | Valuation, Income Approach | Residential mortgage loans | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Investment, measurement input, recovery time | 138 months 12 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 | 21 months 6 days |
Non-performing | 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 |
Non-performing | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.473 |
Non-performing | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.179 |
Non-performing | Valuation, Income Approach | Residential mortgage loans | Measurement Input recovery amount | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input, Recovery Amount | $ 0.147 |
Non-performing | Valuation, Income Approach | Residential mortgage loans | Measurement Input recovery amount | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input, Recovery Amount | 1.403 |
Non-performing | Valuation, Income Approach | Residential mortgage loans | Measurement Input recovery amount | Weighted Average | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input, Recovery Amount | 1.037 |
Non-performing securitized residential mortgage loans [Member] | Valuation, Income Approach | Residential mortgage loans | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | 47,500,000 |
Unsecuritized loans | Valuation, Income Approach | Proprietary reverse mortgage loans | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Fair value | $ 264,406,000 |
Unsecuritized loans | Valuation, Income Approach | Proprietary reverse mortgage loans | Measurement Input, Discount Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.075 |
Unsecuritized loans | Valuation, Income Approach | Proprietary reverse mortgage loans | Measurement Input, Discount Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.090 |
Unsecuritized loans | 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 | 0.084 |
Unsecuritized loans | Valuation, Income Approach | Proprietary reverse mortgage loans | Measurement Input, Prepayment Rate | Minimum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.122 |
Unsecuritized loans | Valuation, Income Approach | Proprietary reverse mortgage loans | Measurement Input, Prepayment Rate | Maximum | |
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | |
Loans, Measurement Input | 0.513 |
Unsecuritized loans | 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 | 0.150 |
Investment in Securities (Summa
Investment in Securities (Summary of Investment in Securities) (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2024 | Dec. 31, 2023 | ||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 1,384,917 | $ 1,640,771 | |
Unamortized Premium (Discount) | (409,699) | (310,544) | |
Debt Securities, Available-for-Sale, Amortized Cost | 1,126,899 | 1,445,337 | |
Gross Unrealized Gains | 33,232 | 35,790 | |
Gross Unrealized Losses | (84,305) | (117,053) | |
Investment Owned At Fair Value, Net | 1,075,826 | 1,364,074 | |
Securities, at fair value(1)(2) | [1],[2] | 1,127,684 | 1,518,377 |
Securities sold short, at fair value | $ (51,858) | $ (154,303) | |
Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.84% | 4.78% | |
Weighted Average Yield | 6.37% | 5.71% | |
Weighted average life | 5 years 9 months 25 days | 5 years 5 months 1 day | |
Long | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 1,438,722 | $ 1,798,051 | |
Unamortized Premium (Discount) | (408,634) | (310,520) | |
Debt Securities, Available-for-Sale, Amortized Cost | 1,181,769 | 1,602,641 | |
Gross Unrealized Gains | 30,220 | 32,170 | |
Gross Unrealized Losses | (84,305) | (116,434) | |
Securities, at fair value(1)(2) | $ 1,127,684 | $ 1,518,377 | |
Long | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.98% | 4.95% | |
Weighted Average Yield | 6.60% | 5.99% | |
Weighted average life | 6 years 3 days | 5 years 9 months 18 days | |
Long | 15-year fixed-rate mortgages | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 30,438 | $ 57,987 | |
Unamortized Premium (Discount) | 162 | 252 | |
Debt Securities, Available-for-Sale, Amortized Cost | 30,600 | 58,239 | |
Gross Unrealized Gains | 0 | 22 | |
Gross Unrealized Losses | (2,144) | (4,225) | |
Securities, at fair value(1)(2) | $ 28,456 | $ 54,036 | |
Long | 15-year fixed-rate mortgages | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 2.76% | 2.58% | |
Weighted Average Yield | 2.60% | 2.42% | |
Weighted average life | 3 years 3 days | 3 years 5 months 23 days | |
Long | 20-year fixed-rate mortgages | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 2,368 | ||
Unamortized Premium (Discount) | 114 | ||
Debt Securities, Available-for-Sale, Amortized Cost | 2,482 | ||
Gross Unrealized Gains | 0 | ||
Gross Unrealized Losses | (404) | ||
Securities, at fair value(1)(2) | $ 2,078 | ||
Long | 20-year fixed-rate mortgages | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 2.29% | ||
Weighted Average Yield | 1.48% | ||
Weighted average life | 6 years 3 months | ||
Long | 30-year fixed-rate mortgages | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 415,601 | $ 783,123 | |
Unamortized Premium (Discount) | (2,224) | (6,744) | |
Debt Securities, Available-for-Sale, Amortized Cost | 413,377 | 776,379 | |
Gross Unrealized Gains | 823 | 4,313 | |
Gross Unrealized Losses | (28,971) | (38,595) | |
Securities, at fair value(1)(2) | $ 385,229 | $ 742,097 | |
Long | 30-year fixed-rate mortgages | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.17% | 4.04% | |
Weighted Average Yield | 4.04% | 4.04% | |
Weighted average life | 7 years 10 days | 6 years 7 months 9 days | |
Long | Adjustable rate mortgages | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 5,252 | ||
Unamortized Premium (Discount) | 568 | ||
Debt Securities, Available-for-Sale, Amortized Cost | 5,820 | ||
Gross Unrealized Gains | 0 | ||
Gross Unrealized Losses | (690) | ||
Securities, at fair value(1)(2) | $ 5,130 | ||
Long | Adjustable rate mortgages | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.81% | ||
Weighted Average Yield | 2.09% | ||
Weighted average life | 4 years 5 months 1 day | ||
Long | Reverse mortgages | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 32,256 | $ 36,196 | |
Unamortized Premium (Discount) | 3,361 | 3,928 | |
Debt Securities, Available-for-Sale, Amortized Cost | 35,617 | 40,124 | |
Gross Unrealized Gains | 261 | 34 | |
Gross Unrealized Losses | (2,025) | (2,987) | |
Securities, at fair value(1)(2) | $ 33,853 | $ 37,171 | |
Long | Reverse mortgages | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 6.15% | 5.37% | |
Weighted Average Yield | 3.56% | 3.55% | |
Weighted average life | 4 years 9 months 7 days | 4 years 9 months 3 days | |
Long | Interest only securities | |||
Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-Sale, Amortized Cost | $ 9,880 | $ 11,891 | |
Gross Unrealized Gains | 946 | 1,320 | |
Gross Unrealized Losses | (664) | (499) | |
Securities, at fair value(1)(2) | $ 10,162 | $ 12,712 | |
Long | Interest only securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 1.27% | 1.08% | |
Weighted Average Yield | 11.99% | 13.18% | |
Weighted average life | 5 years 9 months | 5 years 4 months 9 days | |
Long | Non-Agency RMBS | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 206,214 | $ 427,431 | |
Unamortized Premium (Discount) | (77,068) | (139,654) | |
Debt Securities, Available-for-Sale, Amortized Cost | 129,146 | 287,777 | |
Gross Unrealized Gains | 12,452 | 11,369 | |
Gross Unrealized Losses | (8,447) | (29,672) | |
Securities, at fair value(1)(2) | $ 133,151 | $ 269,474 | |
Long | Non-Agency RMBS | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 6.05% | 5.07% | |
Weighted Average Yield | 9.36% | 8.96% | |
Weighted average life | 5 years 29 days | 4 years 8 months 23 days | |
Long | CMBS | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 82,455 | $ 74,591 | |
Unamortized Premium (Discount) | (30,250) | (20,389) | |
Debt Securities, Available-for-Sale, Amortized Cost | 52,205 | 54,202 | |
Gross Unrealized Gains | 1,151 | 349 | |
Gross Unrealized Losses | (13,062) | (11,780) | |
Securities, at fair value(1)(2) | $ 40,294 | $ 42,771 | |
Long | CMBS | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.12% | 4.87% | |
Weighted Average Yield | 10.16% | 8.93% | |
Weighted average life | 4 years 9 months 29 days | 4 years 8 months 19 days | |
Long | Non-Agency IOs | |||
Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-Sale, Amortized Cost | $ 32,026 | $ 35,214 | |
Gross Unrealized Gains | 6,350 | 6,212 | |
Gross Unrealized Losses | (844) | (2,650) | |
Securities, at fair value(1)(2) | $ 37,532 | $ 38,776 | |
Long | Non-Agency IOs | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.16% | 0.17% | |
Weighted Average Yield | 13.48% | 14.57% | |
Weighted average life | 7 years 9 months | 7 years 5 months 15 days | |
Long | CLOs | |||
Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-Sale, Amortized Cost | $ 88,334 | $ 44,939 | |
Gross Unrealized Gains | 1,914 | 1,873 | |
Gross Unrealized Losses | (7,589) | (8,834) | |
Securities, at fair value(1)(2) | $ 82,659 | $ 37,978 | |
Long | CLOs | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 2.91% | 2.27% | |
Weighted Average Yield | 12.05% | 11.81% | |
Weighted average life | 5 years 10 months 20 days | 4 years 5 months 15 days | |
Long | Other asset-backed securities | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 230,253 | $ 16,416 | |
Unamortized Premium (Discount) | (200,939) | (8,956) | |
Debt Securities, Available-for-Sale, Amortized Cost | 29,314 | 7,460 | |
Gross Unrealized Gains | 1,943 | 256 | |
Gross Unrealized Losses | (61) | (20) | |
Securities, at fair value(1)(2) | $ 31,196 | $ 7,696 | |
Long | Other asset-backed securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 2.91% | 7.16% | |
Weighted Average Yield | 18.54% | 13.85% | |
Weighted average life | 3 years 4 months 2 days | 2 years 5 months 26 days | |
Long | Asset-backed securities, backed by consumer loans | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 152,082 | $ 151,310 | |
Unamortized Premium (Discount) | (73,313) | (67,159) | |
Debt Securities, Available-for-Sale, Amortized Cost | 78,769 | 84,151 | |
Gross Unrealized Gains | 1,381 | 1,577 | |
Gross Unrealized Losses | (11,226) | (11,502) | |
Securities, at fair value(1)(2) | $ 68,924 | $ 74,226 | |
Long | Asset-backed securities, backed by consumer loans | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 12% | 12% | |
Weighted Average Yield | 10.24% | 11.38% | |
Weighted average life | 1 year 7 months 2 days | 1 year 6 months | |
Long | Corporate debt securities | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ 44,540 | $ 30,944 | |
Unamortized Premium (Discount) | (30,443) | (23,191) | |
Debt Securities, Available-for-Sale, Amortized Cost | 14,097 | 7,753 | |
Gross Unrealized Gains | 1,461 | 579 | |
Gross Unrealized Losses | (492) | (291) | |
Securities, at fair value(1)(2) | $ 15,066 | $ 8,041 | |
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 7 days | 1 year 11 months 4 days | |
Long | Corporate equity securities | |||
Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-Sale, Amortized Cost | $ 21,441 | $ 23,066 | |
Gross Unrealized Gains | 1,318 | 1,851 | |
Gross Unrealized Losses | (6,647) | (3,789) | |
Securities, at fair value(1)(2) | 16,112 | 21,128 | |
Long | U.S. Treasury securities | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | 244,883 | 212,433 | |
Unamortized Premium (Discount) | 2,080 | (49,289) | |
Debt Securities, Available-for-Sale, Amortized Cost | 246,963 | 163,144 | |
Gross Unrealized Gains | 220 | 2,415 | |
Gross Unrealized Losses | (2,133) | (496) | |
Securities, at fair value(1)(2) | $ 245,050 | $ 165,063 | |
Long | U.S. Treasury securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.34% | 4.25% | |
Weighted Average Yield | 4.08% | 4.01% | |
Weighted average life | 7 years 2 months 26 days | 7 years 5 months 4 days | |
Short | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ (53,805) | $ (157,280) | |
Unamortized Premium (Discount) | (1,065) | (24) | |
Investment Sold, Not yet Purchased, Sale Proceeds | (54,870) | (157,304) | |
Gross Unrealized Gains | 3,012 | 3,620 | |
Gross Unrealized Losses | 0 | (619) | |
Securities sold short, at fair value | $ (51,858) | $ (154,303) | |
Short | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 1.35% | 2.87% | |
Weighted Average Yield | 1.55% | 3% | |
Weighted average life | 1 year 9 months 7 days | 1 year 9 months 7 days | |
Short | U.S. Treasury securities | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ (27,400) | $ (130,121) | |
Unamortized Premium (Discount) | 261 | 533 | |
Investment Sold, Not yet Purchased, Sale Proceeds | (27,139) | (129,588) | |
Gross Unrealized Gains | 1,062 | 2,094 | |
Gross Unrealized Losses | 0 | (619) | |
Securities sold short, at fair value | $ (26,077) | $ (128,113) | |
Short | U.S. Treasury securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 2.64% | 3.47% | |
Weighted Average Yield | 2.98% | 3.61% | |
Weighted average life | 2 years 10 months 2 days | 1 year 10 months 17 days | |
Short | European sovereign bonds | |||
Securities, Available-for-sale [Line Items] | |||
Current Principal | $ (26,405) | $ (27,159) | |
Unamortized Premium (Discount) | (1,326) | (557) | |
Investment Sold, Not yet Purchased, Sale Proceeds | (27,731) | (27,716) | |
Gross Unrealized Gains | 1,950 | 1,526 | |
Gross Unrealized Losses | 0 | 0 | |
Securities sold short, at fair value | $ (25,781) | $ (26,190) | |
Short | European sovereign bonds | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.01% | 0.01% | |
Weighted Average Yield | 0.15% | 0.15% | |
Weighted average life | 8 months 8 days | 1 year 2 months 12 days | |
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 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 | Jun. 30, 2024 | Dec. 31, 2023 | |
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | [1],[2] | $ 1,127,684 | $ 1,518,377 |
Debt Securities, Available-for-Sale, Amortized Cost | $ 1,126,899 | $ 1,445,337 | |
Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.84% | 4.78% | |
Long | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 1,127,684 | $ 1,518,377 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 1,181,769 | $ 1,602,641 | |
Long | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.98% | 4.95% | |
Long | Agency RMBS | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 447,538 | $ 840,512 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 479,594 | $ 883,044 | |
Long | Agency RMBS | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.21% | 3.99% | |
Long | Agency RMBS | Less than three years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 41,219 | $ 89,649 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 41,689 | $ 89,955 | |
Long | Agency RMBS | Less than three years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 5.08% | 5.39% | |
Long | Agency RMBS | Greater than three years less than seven years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 159,805 | $ 346,074 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 167,299 | $ 360,574 | |
Long | Agency RMBS | Greater than three years less than seven years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 5.29% | 4.49% | |
Long | Agency RMBS | Greater than seven years less than eleven [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 246,514 | $ 404,789 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 270,606 | $ 432,515 | |
Long | Agency RMBS | Greater than seven years less than eleven [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 3.45% | 3.30% | |
Long | Agency RMBS | Greater than eleven year [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 0 | $ 0 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 0 | $ 0 | |
Long | Agency RMBS | Greater than eleven year [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0% | 0% | |
Long | Agency RMBS | Interest only securities | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 10,162 | $ 12,712 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 9,880 | $ 11,891 | |
Long | Agency RMBS | Interest only securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 1.27% | 1.08% | |
Long | Agency RMBS | Interest only securities | Less than three years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 986 | $ 1,541 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 1,122 | $ 1,546 | |
Long | Agency RMBS | Interest only securities | Less than three years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.80% | 0.57% | |
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) | $ 5,774 | $ 8,227 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 5,650 | $ 7,601 | |
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 | 1.46% | 1.77% | |
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) | $ 3,142 | $ 2,676 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 2,822 | $ 2,448 | |
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 | 1.68% | 1.84% | |
Long | Agency RMBS | Interest only securities | Greater than eleven year [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 260 | $ 268 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 286 | $ 296 | |
Long | Agency RMBS | Interest only securities | Greater than eleven year [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.68% | 0.68% | |
Long | Non-Agency RMBS and CMBS | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 173,445 | $ 312,245 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 181,351 | $ 341,979 | |
Long | Non-Agency RMBS and CMBS | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 5.50% | 5.04% | |
Long | Non-Agency RMBS and CMBS | Less than three years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 65,054 | $ 116,076 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 66,591 | $ 117,707 | |
Long | Non-Agency RMBS and CMBS | Less than three years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.97% | 4.41% | |
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) | $ 62,157 | $ 131,314 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 57,730 | $ 135,591 | |
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 | 7.16% | 7.05% | |
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) | $ 39,211 | $ 58,741 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 49,480 | $ 74,401 | |
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 | 4.50% | 5.04% | |
Long | Non-Agency RMBS and CMBS | Greater than eleven year [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 7,023 | $ 6,114 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 7,550 | $ 14,280 | |
Long | Non-Agency RMBS and CMBS | Greater than eleven year [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 7.09% | 0.38% | |
Long | Non-Agency RMBS | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 133,151 | $ 269,474 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 129,146 | $ 287,777 | |
Long | Non-Agency RMBS | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 6.05% | 5.07% | |
Long | Non-Agency RMBS | Interest only securities | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 37,532 | $ 38,776 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 32,026 | $ 35,214 | |
Long | Non-Agency RMBS | Interest only securities | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.16% | 0.17% | |
Long | Non-Agency RMBS | Interest only securities | Less than three years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 3,755 | $ 3,885 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 3,765 | $ 4,535 | |
Long | Non-Agency RMBS | Interest only securities | Less than three years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 0.12% | 0.10% | |
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) | $ 9,235 | $ 11,014 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 9,741 | $ 11,343 | |
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 | 0.16% | 0.28% | |
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) | $ 24,220 | $ 23,555 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 18,274 | $ 19,072 | |
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% | 0.15% | |
Long | Non-Agency RMBS | Interest only securities | Greater than eleven year [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 322 | $ 322 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 246 | $ 264 | |
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% | 1.25% | |
Long | CLOs And Other Securities [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 442,895 | $ 293,004 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 457,477 | $ 307,447 | |
Long | CLOs And Other Securities [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 4.61% | 5.40% | |
Long | CLOs And Other Securities [Member] | Less than three years [Member] | |||
Securities, Available-for-sale [Line Items] | |||
Securities, at fair value(1)(2) | $ 98,311 | $ 99,770 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 109,950 | $ 114,709 | |
Long | CLOs And Other Securities [Member] | Less than three years [Member] | Weighted Average | |||
Securities, Available-for-sale [Line Items] | |||
Weighted Average Coupon | 5.76% | 6.02% | |
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) | $ 183,317 | $ 106,529 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 184,759 | $ 107,727 | |
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 | 3.96% | 5.13% | |
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) | $ 161,267 | $ 86,705 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 162,768 | $ 85,011 | |
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 | 3.72% | 4.12% | |
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 | |
Debt Securities, Available-for-Sale, 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 Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 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 | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Securities, Available-for-sale [Line Items] | ||||
Interest Income | $ 100,470 | $ 88,092 | $ 201,990 | $ 175,266 |
Agency RMBS | ||||
Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 6,731 | 9,503 | 15,797 | 18,852 |
Net Amortization | 128 | (1,687) | (1,870) | (3,916) |
Interest Income | 6,859 | 7,816 | 13,927 | 14,936 |
Non-Agency RMBS and CMBS | ||||
Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 6,118 | 7,387 | 14,805 | 13,818 |
Net Amortization | (557) | (202) | (1,407) | (41) |
Interest Income | 5,561 | 7,185 | 13,398 | 13,777 |
CLOs | ||||
Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 3,728 | 880 | 5,614 | 1,833 |
Net Amortization | (1,104) | (206) | (1,480) | (18) |
Interest Income | 2,624 | 674 | 4,134 | 1,815 |
Other Securities | ||||
Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 7,780 | 5,640 | 14,904 | 11,483 |
Net Amortization | (3,077) | (1,021) | (5,735) | (2,395) |
Interest Income | 4,703 | 4,619 | 9,169 | 9,088 |
Securities Investment [Member] | ||||
Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 24,357 | 23,410 | 51,120 | 45,986 |
Net Amortization | (4,610) | (3,116) | (10,492) | (6,370) |
Interest Income | $ 19,747 | $ 20,294 | $ 40,628 | $ 39,616 |
Investment in Securities (Proce
Investment in Securities (Proceeds, Realized Gains (Losses) on Sales) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Securities, Available-for-sale [Line Items] | ||||
Available-for-sale securities Realizes Losses - adjustments to cost basis of certain securities | $ (1,100) | $ (2,700) | $ (10,800) | $ (8,400) |
Agency RMBS | ||||
Securities, Available-for-sale [Line Items] | ||||
Proceeds from Sale and Maturity of Debt Securities, Available-for-Sale | 181,602 | 182,522 | 418,204 | 388,026 |
Debt Securities, Available-for-Sale, Realized Gain | 90 | 65 | 1,154 | 852 |
Debt Securities, Available-for-Sale, Realized Loss | (14,251) | (14,517) | (27,469) | (40,844) |
Debt Securities, Available-for-Sale, Realized Gain (Loss) | (14,161) | (14,452) | (26,315) | (39,992) |
Non-Agency RMBS and CMBS | ||||
Securities, Available-for-sale [Line Items] | ||||
Proceeds from Sale and Maturity of Debt Securities, Available-for-Sale | 105,021 | 14,042 | 217,814 | 41,230 |
Debt Securities, Available-for-Sale, Realized Gain | 1,783 | 1,345 | 8,560 | 2,429 |
Debt Securities, Available-for-Sale, Realized Loss | (6,712) | (50) | (7,540) | (65) |
Debt Securities, Available-for-Sale, Realized Gain (Loss) | (4,929) | 1,295 | 1,020 | 2,364 |
CLOs | ||||
Securities, Available-for-sale [Line Items] | ||||
Proceeds from Sale and Maturity of Debt Securities, Available-for-Sale | 42,843 | 0 | 45,155 | 0 |
Debt Securities, Available-for-Sale, Realized Gain | 98 | 354 | 486 | 442 |
Debt Securities, Available-for-Sale, Realized Loss | (1) | 0 | (123) | 0 |
Debt Securities, Available-for-Sale, Realized Gain (Loss) | 97 | 354 | 363 | 442 |
Other Securities | ||||
Securities, Available-for-sale [Line Items] | ||||
Proceeds from Sale and Maturity of Debt Securities, Available-for-Sale | 93,649 | 436,139 | 148,919 | 710,195 |
Debt Securities, Available-for-Sale, Realized Gain | 264 | 1,843 | 1,626 | 2,163 |
Debt Securities, Available-for-Sale, Realized Loss | (1,337) | (1,777) | (1,793) | (3,526) |
Debt Securities, Available-for-Sale, Realized Gain (Loss) | (1,073) | 66 | (167) | (1,363) |
Securities Investment [Member] | ||||
Securities, Available-for-sale [Line Items] | ||||
Proceeds from Sale and Maturity of Debt Securities, Available-for-Sale | 423,115 | 632,703 | 830,092 | 1,139,451 |
Debt Securities, Available-for-Sale, Realized Gain | 2,235 | 3,607 | 11,826 | 5,886 |
Debt Securities, Available-for-Sale, Realized Loss | (22,301) | (16,344) | (36,925) | (44,435) |
Debt Securities, Available-for-Sale, Realized Gain (Loss) | $ (20,066) | $ (12,737) | $ (25,099) | $ (38,549) |
Investment in Securities (Unrea
Investment in Securities (Unrealized Loss Positions Securities) (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | $ 351,862 | $ 158,495 |
Unrealized Losses, Less than 12 Months | (11,330) | (3,275) |
Fair Value, Greater than 12 Months | 272,059 | 451,992 |
Unrealized Losses, Greater than 12 Months | (36,078) | (48,765) |
Fair Value, Total | 623,921 | 610,487 |
Unrealized Loss, Total | (47,408) | (52,040) |
Agency RMBS | ||
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | 78,561 | 125,112 |
Unrealized Losses, Less than 12 Months | (1,169) | (730) |
Fair Value, Greater than 12 Months | 262,276 | 426,834 |
Unrealized Losses, Greater than 12 Months | (31,839) | (45,854) |
Fair Value, Total | 340,837 | 551,946 |
Unrealized Loss, Total | (33,008) | (46,584) |
Non-Agency RMBS and CMBS | ||
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | 23,031 | 10,301 |
Unrealized Losses, Less than 12 Months | (1,658) | (200) |
Fair Value, Greater than 12 Months | 5,530 | 14,195 |
Unrealized Losses, Greater than 12 Months | (1,641) | (882) |
Fair Value, Total | 28,561 | 24,496 |
Unrealized Loss, Total | (3,299) | (1,082) |
CLOs | ||
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | 29,313 | 7,152 |
Unrealized Losses, Less than 12 Months | (1,164) | (69) |
Fair Value, Greater than 12 Months | 2,995 | 5 |
Unrealized Losses, Greater than 12 Months | (1,142) | 0 |
Fair Value, Total | 32,308 | 7,157 |
Unrealized Loss, Total | (2,306) | (69) |
Other Securities | ||
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | 220,957 | 15,930 |
Unrealized Losses, Less than 12 Months | (7,339) | (2,276) |
Fair Value, Greater than 12 Months | 1,258 | 10,958 |
Unrealized Losses, Greater than 12 Months | (1,456) | (2,029) |
Fair Value, Total | 222,215 | 26,888 |
Unrealized Loss, Total | $ (8,795) | $ (4,305) |
Investment in Securities (Narra
Investment in Securities (Narrative) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | |
Securities, Available-for-sale [Line Items] | |||||
Debt Securities, Available-for-sale, Allowance for Credit Loss | $ 23,400 | $ 23,400 | $ 32,600 | ||
Available-for-sale securities Realizes Losses - Write offs | (1,100) | $ (2,700) | (10,800) | $ (8,400) | |
Catch-up premium amortization adjustment | $ 700 | $ (500) | $ (600) | $ (1,000) | |
Arlington Asset Investment Corp. | |||||
Securities, Available-for-sale [Line Items] | |||||
Debt Securities, Available-for-sale, Allowance for Credit Loss | $ 1,100 |
Investment in Loans (Schedule o
Investment in Loans (Schedule of Investments in Loans) (Details) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2024 | Dec. 31, 2023 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | $ 12,600,832 | $ 12,164,019 | |
Fair Value | [1],[2] | 12,846,106 | 12,306,636 |
Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | 3,301,036 | 3,305,757 | |
Fair Value | 3,101,615 | 3,093,912 | |
Commercial mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | 277,254 | 281,531 | |
Fair Value | 266,220 | 266,595 | |
Consumer loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | 1,124 | 2,081 | |
Fair Value | 949 | 1,759 | |
Corporate loan [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | 5,773 | 6,379 | |
Fair Value | 4,933 | 5,819 | |
Reverse mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Current Principal/Notional Amount | 9,015,645 | 8,568,271 | |
Fair Value | 9,472,389 | $ 8,938,551 | |
Proprietary reverse mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Transfer to held-for-investment from held-for-sale - Loan UPB | $ 298,200 | ||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 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 | Jun. 30, 2024 | Dec. 31, 2023 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 12,600,832 | $ 12,164,019 | |
Loans, at fair value(1)(2) | [1],[2] | 12,846,106 | 12,306,636 |
Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 3,301,036 | 3,305,757 | |
Loans, at fair value(1)(2) | 3,101,615 | 3,093,912 | |
Commercial mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 277,254 | 281,531 | |
Loans, at fair value(1)(2) | 266,220 | 266,595 | |
Consumer loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 1,124 | 2,081 | |
Loans, at fair value(1)(2) | 949 | 1,759 | |
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 | 216,799 | 127,685 | |
Loans, at fair value(1)(2) | 205,277 | 120,087 | |
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 | 60,236 | 47,736 | |
Loans, at fair value(1)(2) | 49,479 | 33,314 | |
Non-accrual status [Member] | Consumer loans | 90 Days or More Past Due [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 56 | 94 | |
Loans, at fair value(1)(2) | $ 36 | $ 66 | |
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 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 | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2024 | Dec. 31, 2023 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 12,600,832 | $ 12,164,019 | |
Unamortized Premium (Discount) | (409,699) | (310,544) | |
Fair Value | [1],[2] | $ 12,846,106 | $ 12,306,636 |
Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 4.84% | 4.78% | |
Weighted Average Yield | 6.37% | 5.71% | |
Weighted average life | 5 years 9 months 25 days | 5 years 5 months 1 day | |
Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 3,301,036 | $ 3,305,757 | |
Fair Value | 3,101,615 | 3,093,912 | |
Residential mortgage loans | Non-performing | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 173,310 | 127,085 | |
Fair Value | 161,137 | 119,524 | |
Consolidated securitization trusts [Member] | Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Losses | 211,000 | 228,000 | |
Loans held-for-investment [Member] | Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 3,301,036 | 3,305,757 | |
Unamortized Premium (Discount) | 30,646 | 37,831 | |
Amortized Cost | 3,331,682 | 3,343,588 | |
Gains | 4,886 | 5,554 | |
Losses | (234,953) | (255,230) | |
Fair Value | $ 3,101,615 | $ 3,093,912 | |
Loans held-for-investment [Member] | Residential mortgage loans | Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 7.46% | 7.17% | |
Weighted Average Yield | 7% | 6.77% | |
Weighted average life | 4 years 5 months 26 days | 4 years 2 months 1 day | |
Non-QM loan securitization | Residential mortgage loans | Consolidated Entities [Member] | Securitized loans [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Fair Value | $ 1,493,634 | $ 1,555,371 | |
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 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] | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
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 | 31.30% | 32.20% |
FLORIDA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 21.60% | 21.40% |
TEXAS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 8.80% | 9.50% |
UTAH | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.90% | 3.20% |
ARIZONA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.70% | 2.70% |
COLORADO | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.60% | 1.50% |
MASSACHUSETTS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.40% | 1.50% |
WASHINGTON | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2% | 1.80% |
NEVADA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.40% | 1.50% |
OREGON | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.30% | 1.20% |
NEW YORK | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.40% | 1.20% |
NORTH CAROLINA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.10% | 2.20% |
NEW JERSEY | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.20% | 2.10% |
ILLINOIS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.90% | 1.80% |
Other [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 9.20% | 9.40% |
GEORGIA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.50% | 2.60% |
TENNESSEE | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.30% | 1.50% |
NEW JERSEY | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.70% | 2.70% |
UNITED STATES | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 98.30% | 100% |
UNITED KINGDOM | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.70% | 0% |
Investment in Loans Investment
Investment in Loans Investment in Loans (Schedule of Residential Mortgage Loans: Performance) (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 12,600,832 | $ 12,164,019 | |
Loans, at fair value(1)(2) | [1],[2] | 12,846,106 | 12,306,636 |
Residential mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 3,301,036 | 3,305,757 | |
Loans, at fair value(1)(2) | 3,101,615 | 3,093,912 | |
Residential mortgage loans | Performing Financial Instruments [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 53,193 | 4,252 | |
Loans, at fair value(1)(2) | 52,906 | 3,761 | |
Residential mortgage loans | Non-performing | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 173,310 | 127,085 | |
Loans, at fair value(1)(2) | $ 161,137 | $ 119,524 | |
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 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 | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2024 USD ($) loan | Dec. 31, 2023 USD ($) loan | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 12,600,832 | $ 12,164,019 | |
Unamortized Premium (Discount) | (409,699) | (310,544) | |
Loans, at fair value(1)(2) | [1],[2] | $ 12,846,106 | $ 12,306,636 |
Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 4.84% | 4.78% | |
Weighted Average Yield | 6.37% | 5.71% | |
Weighted average life | 5 years 9 months 25 days | 5 years 5 months 1 day | |
Commercial mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 277,254 | $ 281,531 | |
Unamortized Premium (Discount) | (8,788) | (13,648) | |
Investments, at fair value, Cost | 268,466 | 267,883 | |
Gains | 4,913 | 0 | |
Losses | (7,159) | (1,288) | |
Loans, at fair value(1)(2) | 266,220 | 266,595 | |
Commercial mortgage loans | Non-performing | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 60,200 | 47,700 | |
Loans, at fair value(1)(2) | $ 49,500 | $ 33,300 | |
Number of loans | loan | 4 | 3 | |
Commercial mortgage loans | Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 11.03% | 11.44% | |
Weighted Average Yield | 11.40% | 11.45% | |
Weighted average life | 1 year 14 days | 9 months 14 days | |
Non-accrual status [Member] | Commercial mortgage loans | Non-performing | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Loans, at fair value(1)(2) | $ 49,500 | $ 33,300 | |
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 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] | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 100% | 100% |
FLORIDA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 16.50% | 13.90% |
NEW YORK | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 7.10% | 8.90% |
NEW JERSEY | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 4.40% | 0% |
CONNECTICUT | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 6.70% | 3.20% |
MASSACHUSETTS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.20% | 3.80% |
ARIZONA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 3.10% | 7.50% |
INDIANA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1% | 0% |
PENNSYLVANIA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.80% | 2.70% |
ILLINOIS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 20.50% | 18.60% |
Other [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 0.80% | 0% |
OHIO | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 5.60% | 5.50% |
MICHIGAN | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 4.50% | 4.50% |
TEXAS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 9.50% | 15.60% |
GEORGIA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 6.40% | 5.30% |
OKLAHOMA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 0% | 6% |
LOUISIANA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.30% | 2.20% |
ALABAMA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.40% | 2.30% |
COLORADO | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 4.20% | 0% |
Investment in Loans (Schedule_7
Investment in Loans (Schedule of Consumer Loans) (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2024 | Dec. 31, 2023 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 12,600,832 | $ 12,164,019 | |
Unamortized Premium (Discount) | (409,699) | (310,544) | |
Loans, at fair value(1)(2) | [1],[2] | $ 12,846,106 | $ 12,306,636 |
Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted average life | 5 years 9 months 25 days | 5 years 5 months 1 day | |
Consumer loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 1,124 | $ 2,081 | |
Unamortized Premium (Discount) | 24 | (120) | |
Investments, at fair value, Cost | 1,148 | 1,961 | |
Gains | 109 | 127 | |
Losses | (308) | (329) | |
Loans, at fair value(1)(2) | 949 | 1,759 | |
Fair value of charged-off loans | $ 22 | $ 35 | |
Consumer loans | Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted average life | 9 months 7 days | 9 months | |
Delinquency (Days) | 16 days | 18 days | |
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 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 | Jun. 30, 2024 | Dec. 31, 2023 |
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 | 83.90% | 81% |
30 to 59 Days Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 7.90% | 7.90% |
60 to 89 Days Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 3.20% | 6.60% |
90-119 Days or More Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 4.10% | 4% |
Financing Receivables, Equal to Greater than 120 Days Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 0.90% | 0.50% |
Investment in Loans Investmen_2
Investment in Loans Investment in Loans (Schedule of Corporate Loans) (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2024 | Dec. 31, 2023 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 12,600,832 | $ 12,164,019 | |
Loans, at fair value(1)(2) | [1],[2] | 12,846,106 | 12,306,636 |
Unamortized Premium (Discount) | (409,699) | (310,544) | |
Corporate loan [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 5,773 | 6,379 | |
Loans, at fair value(1)(2) | 4,933 | 5,819 | |
Financing Receivable, Allowance for Credit Loss | 700 | 600 | |
Unamortized Premium (Discount) | (179) | ||
Investments, at fair value, Cost | 5,594 | ||
Gains | 0 | ||
Losses | (661) | ||
Consumer loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 1,124 | 2,081 | |
Loans, at fair value(1)(2) | 949 | 1,759 | |
Financing Receivable, Allowance for Credit Loss | 300 | 300 | |
Unamortized Premium (Discount) | 24 | (120) | |
Investments, at fair value, Cost | 1,148 | 1,961 | |
Gains | 109 | 127 | |
Losses | $ (308) | $ (329) | |
Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 4.84% | 4.78% | |
Weighted average life | 5 years 9 months 25 days | 5 years 5 months 1 day | |
Weighted Average | Corporate loan [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average Coupon | 10.57% | 10.13% | |
Weighted average life | 10 months 24 days | 1 year 6 months 7 days | |
Weighted Average | Consumer loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted average life | 9 months 7 days | 9 months | |
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 for additional details on the Company's borrowings and related collateral. |
Investment in Loans - Reverse M
Investment in Loans - Reverse Mortgage Loans Summary (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2024 | Dec. 31, 2023 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 12,600,832 | $ 12,164,019 | |
Loans, at fair value(1)(2) | [1],[2] | $ 12,846,106 | $ 12,306,636 |
Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Investment Interest Rate | 4.84% | 4.78% | |
Weighted average life | 5 years 9 months 25 days | 5 years 5 months 1 day | |
Reverse mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 9,015,645 | $ 8,568,271 | |
Loans, at fair value(1)(2) | 9,472,389 | 8,938,551 | |
Reverse mortgage loans | Reverse mortgage loans, held for investment | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 8,897,799 | 8,269,285 | |
Loans, at fair value(1)(2) | 9,345,265 | 8,608,976 | |
Reverse mortgage loans | Loans held-for-sale | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 298,986 | ||
Loans, at fair value(1)(2) | 329,575 | ||
Reverse mortgage loans | Securitized loans [Member] | Reverse mortgage loans, held for investment | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 8,495,445 | 8,166,222 | |
Loans, at fair value(1)(2) | 8,923,242 | 8,506,423 | |
Reverse mortgage loans | Unsecuritized loans | Reverse mortgage loans, held for investment | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 103,033 | 103,063 | |
Loans, at fair value(1)(2) | 103,668 | $ 102,553 | |
Reverse mortgage loans | Securitized Proprietary Loans | Reverse mortgage loans, held for investment | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 171,465 | ||
Loans, at fair value(1)(2) | 181,073 | ||
Reverse mortgage loans | Unsecuritized Proprietary Loans | Reverse mortgage loans, held for investment | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 127,856 | ||
Loans, at fair value(1)(2) | 137,282 | ||
Reverse mortgage loans | Unsecuritized Proprietary Loans | Loans held-for-sale | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 117,846 | ||
Loans, at fair value(1)(2) | $ 127,124 | ||
Reverse mortgage loans | Weighted Average | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Investment Interest Rate | 7.11% | 6.96% | |
Weighted average life | 5 years 5 months 1 day | 5 years 6 months 14 days | |
Reverse mortgage loans | Weighted Average | Reverse mortgage loans, held for investment | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Investment Interest Rate | 7.07% | 6.83% | |
Weighted average life | 5 years 3 months 3 days | 5 years 1 month 9 days | |
Reverse mortgage loans | Weighted Average | Loans held-for-sale | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Investment Interest Rate | 10.67% | ||
Weighted average life | 16 years 9 months 10 days | ||
Reverse mortgage loans | Weighted Average | Securitized loans [Member] | Reverse mortgage loans, held for investment | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Investment Interest Rate | 6.94% | 6.82% | |
Weighted average life | 4 years 11 months 26 days | 5 years 1 month 6 days | |
Reverse mortgage loans | Weighted Average | Unsecuritized loans | Reverse mortgage loans, held for investment | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Investment Interest Rate | 7.19% | 7.15% | |
Weighted average life | 6 years 5 months 19 days | 6 years 1 month 13 days | |
Reverse mortgage loans | Weighted Average | Securitized Proprietary Loans | Reverse mortgage loans, held for investment | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Investment Interest Rate | 10.38% | ||
Weighted average life | 9 years 3 months 7 days | ||
Reverse mortgage loans | Weighted Average | Unsecuritized Proprietary Loans | Reverse mortgage loans, held for investment | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Investment Interest Rate | 10.67% | ||
Weighted average life | 17 years 7 days | ||
Reverse mortgage loans | Weighted Average | Unsecuritized Proprietary Loans | Loans held-for-sale | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Investment Interest Rate | 10.58% | ||
Weighted average life | 17 years 7 days | ||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 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 | Jun. 30, 2024 | Dec. 31, 2023 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | $ 12,600,832 | $ 12,164,019 | |
Loans, at fair value(1)(2) | [1],[2] | 12,846,106 | 12,306,636 |
Reverse mortgage loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 9,015,645 | 8,568,271 | |
Loans, at fair value(1)(2) | 9,472,389 | 8,938,551 | |
Reverse mortgage loans | Unpoolable HECM loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 25,170 | 27,953 | |
Loans, at fair value(1)(2) | 19,266 | 21,972 | |
Reverse mortgage loans | Unpoolable HECM loans | Assignable buyout | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 6,505 | 8,508 | |
Loans, at fair value(1)(2) | 5,079 | 6,897 | |
Reverse mortgage loans | Unpoolable HECM loans | Non-assignable buyout | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 14,383 | 14,562 | |
Loans, at fair value(1)(2) | 9,878 | 10,167 | |
Reverse mortgage loans | Unpoolable HECM loans | Inactive HECM tail loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 4,282 | 4,883 | |
Loans, at fair value(1)(2) | $ 4,309 | $ 4,908 | |
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 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 | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
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 | 28.80% | 28.70% |
FLORIDA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 8.80% | 8.80% |
COLORADO | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 7.20% | 7.10% |
ARIZONA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 6.30% | 6.30% |
WASHINGTON | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 5.40% | 5.30% |
UTAH | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 5.10% | 5% |
TEXAS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 4.90% | 4.80% |
OREGON | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.90% | 3% |
MASSACHUSETTS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.30% | 2.40% |
IDAHO | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.70% | 2.70% |
NEW YORK | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.30% | 2.20% |
NEVADA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.10% | 2.10% |
NORTH CAROLINA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.10% | 2.10% |
VIRGINIA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.50% | 1.60% |
OHIO | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.40% | 1.50% |
MARYLAND | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.10% | 1.10% |
NEW JERSEY | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.20% | 1.30% |
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 | 1.60% | 1.60% |
NEW JERSEY | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.10% | 1.10% |
TENNESSEE | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.40% | 1.30% |
Other [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 8.40% | 8.60% |
Investment in Loans (Narrative)
Investment in Loans (Narrative) (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2024 USD ($) loan | Jun. 30, 2023 USD ($) | Jun. 30, 2024 USD ($) loan | Jun. 30, 2023 USD ($) | Dec. 31, 2023 USD ($) loan | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | $ 12,600,832 | $ 12,600,832 | $ 12,164,019 | |||
Loans, at fair value(1)(2) | [1],[2] | 12,846,106 | 12,846,106 | 12,306,636 | ||
Loans purchased in private transaction | 80,100 | |||||
Loans purchased in private transaction - held | 7,200 | 7,200 | 8,900 | |||
Unpaid principal balance on unactive loans | 299,600 | 299,600 | 290,400 | |||
Accrued expenses and other liabilities(1) | [1] | 64,640 | 64,640 | 90,341 | ||
Government Guaranteed Mortgage Loans upon Foreclosure Receivable | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid principal balance on unactive loans | 315,700 | 315,700 | 280,600 | |||
Residential mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Mortgage Loans in Process of Foreclosure, Amount | 121,700 | 121,700 | 85,600 | |||
Unpaid Principal Balance | 3,301,036 | 3,301,036 | 3,305,757 | |||
Loans, at fair value(1)(2) | 3,101,615 | 3,101,615 | 3,093,912 | |||
Consumer loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 1,124 | 1,124 | 2,081 | |||
Loans, at fair value(1)(2) | 949 | 949 | 1,759 | |||
Delinquent loans, charged off | 17 | $ 100 | 100 | $ 300 | ||
Fair value of charged-off loans | 22 | 22 | 35 | |||
Financing Receivable, Allowance for Credit Loss | 300 | 300 | ||||
Losses | (308) | (308) | (329) | |||
Commercial mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Financing Receivable, Allowance for Credit Loss | 7,200 | 7,200 | 1,300 | |||
Mortgage Loans in Process of Foreclosure, Amount | 25,100 | |||||
Unpaid Principal Balance | 277,254 | 277,254 | 281,531 | |||
Loans, at fair value(1)(2) | 266,220 | 266,220 | $ 266,595 | |||
Number of mortgage loans in process of foreclosure | 2 | |||||
Mortgage Loans In Process Of Foreclosure, Unpaid Principal Balance | $ 25,900 | |||||
Losses | (7,159) | (7,159) | (1,288) | |||
Non-performing | Residential mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 173,310 | 173,310 | 127,085 | |||
Loans, at fair value(1)(2) | $ 161,137 | $ 161,137 | $ 119,524 | |||
Non-performing | Commercial mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Number of loans | loan | 4 | 4 | 3 | |||
Unpaid Principal Balance | $ 60,200 | $ 60,200 | $ 47,700 | |||
Loans, at fair value(1)(2) | 49,500 | 49,500 | 33,300 | |||
Performing Financial Instruments [Member] | Residential mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 53,193 | 53,193 | 4,252 | |||
Loans, at fair value(1)(2) | 52,906 | 52,906 | 3,761 | |||
Loans held-for-investment [Member] | Residential mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Financing Receivable, Allowance for Credit Loss | 20,000 | 20,000 | 17,200 | |||
Unpaid Principal Balance | 3,301,036 | 3,301,036 | 3,305,757 | |||
Loans, at fair value(1)(2) | 3,101,615 | 3,101,615 | 3,093,912 | |||
Losses | $ (234,953) | (234,953) | $ (255,230) | |||
Loans held-for-investment [Member] | Consumer loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Realized Losses, Write offs on loans | $ (100) | $ (100) | $ (400) | |||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 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 | 6 Months Ended | ||||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | Jul. 01, 2023 | |
Mortgage Servicing Rights [Abstract] | ||||||
Unpaid principal balance of reverse mortgage loans in servicing portfolio | $ 2,700,000 | $ 2,700,000 | $ 2,800,000 | $ 2,100,000 | ||
Mortgage servicing rights, at fair value | 29,538 | 29,538 | 29,580 | |||
Other, net | 7,652 | $ 5,689 | 15,161 | $ 9,193 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Unpaid principal balance of reverse mortgage loans in servicing portfolio | 2,700,000 | 2,700,000 | 2,800,000 | $ 2,100,000 | ||
Mortgage servicing rights, at fair value | 29,538 | 29,538 | $ 29,580 | |||
Other, net | 7,652 | 5,689 | 15,161 | 9,193 | ||
Mortgage servicing rights | ||||||
Mortgage Servicing Rights [Abstract] | ||||||
Other, net | (400) | (600) | (42) | (600) | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Other, net | $ (400) | $ (600) | $ (42) | $ (600) |
Forward MSR-Related Investmen_3
Forward MSR-Related Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||||
Jun. 30, 2024 | Jun. 30, 2024 | Mar. 31, 2024 | Dec. 31, 2023 | ||||
MSR Financing Receivables [Line Items] | |||||||
Servicer Advances Receivable | $ 13,500 | $ 13,500 | $ 13,500 | ||||
Forward MSR-related investments, at fair value(1) | 158,031 | [1] | 158,031 | [1] | $ 160,009 | $ 163,336 | [1] |
Capital Investments | 0 | 0 | |||||
Capital Distributions | (6,954) | (15,491) | |||||
Accretion of Interest Income | 3,646 | 7,243 | |||||
Changes in Valuation Inputs and Assumptions | $ 1,330 | $ 2,943 | |||||
MSR Servicing Fee Basis Points | 0.125% | 0.125% | |||||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Investments in Unconsolidated_3
Investments in Unconsolidated Entities (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | |||
Schedule of Equity Method Investments [Line Items] | |||||||
Investments in unconsolidated entities, at fair value(1) | $ 163,182 | [1] | $ 163,182 | [1] | $ 116,414 | ||
Earnings (losses) from investments in unconsolidated entities | 12,042 | $ (5,868) | 14,268 | $ (2,424) | |||
Variable Interest Entity, Not Primary Beneficiary | |||||||
Schedule of Equity Method Investments [Line Items] | |||||||
Investments in unconsolidated entities, at fair value(1) | $ 138,600 | $ 138,600 | $ 87,800 | ||||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 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) | Jun. 30, 2024 | Dec. 31, 2023 |
LendSure Mortgage Corp [Member] | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 63.70% | 49.90% |
LendSure Mortgage Corp [Member] | Nonvoting Common Stock [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 13.80% | 13.80% |
Elizon DB 2015-1 LLC [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Effective Ownership Percentage | 55.50% | 60% |
Elizon DB 2015-1 LLC [Member] | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 34% | 30.40% |
Elizon NM CRE 2020-1 LLC | ||
Schedule of Equity Method Investments [Line Items] | ||
Effective Ownership Percentage | 70.40% | 74.10% |
Elizon NM CRE 2020-1 LLC | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 19.90% | 11.50% |
Elizon CH CRE 2020-1 LLC | ||
Schedule of Equity Method Investments [Line Items] | ||
Effective Ownership Percentage | 53.10% | 52.10% |
Elizon CH CRE 2020-1 LLC | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 40.80% | 29.20% |
Jepson Holdings Limited | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 4.20% | 7.90% |
Minimum | Other Equity Method Investments [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 6.10% | 6.10% |
Minimum | Loan Originator - Other | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 45% | 45% |
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% | 50% |
Maximum | Equity investments in securitization-related risk retention vehicles | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 84.50% | 84.50% |
Investments in Unconsolidated_5
Investments in Unconsolidated Entities (Summarized Financial Information) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | ||
Schedule of Equity Method Investments [Line Items] | ||||||
Other assets(1) | [1] | $ 67,201 | $ 67,201 | $ 77,099 | ||
Total Assets | 15,092,653 | 15,092,653 | 15,315,930 | |||
Liabilities | 13,518,794 | 13,518,794 | 13,780,318 | |||
Stockholders' Equity Attributable to Parent | 1,552,785 | 1,552,785 | 1,517,071 | |||
Total Liabilities and Equity | 15,092,653 | 15,092,653 | $ 15,315,930 | |||
Interest income | 100,470 | $ 88,092 | 201,990 | $ 175,266 | ||
Interest expense | (66,874) | (63,433) | (137,338) | (123,050) | ||
Interest Income (Expense), Net | 33,596 | 24,659 | 64,652 | 52,216 | ||
Other, net | 7,652 | 5,689 | 15,161 | 9,193 | ||
Noninterest Income | 57,561 | 34,663 | 102,045 | 86,338 | ||
Operating Expenses | 42,985 | 42,632 | 86,640 | 80,534 | ||
Net income (loss) attributable to common stockholders | $ 52,347 | $ 2,898 | $ 79,262 | $ 41,814 | ||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 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 | 6 Months Ended | ||
Jun. 30, 2024 USD ($) property | Jun. 30, 2023 USD ($) property | Jun. 30, 2024 USD ($) property | Jun. 30, 2023 USD ($) property | |
Number of Properties | ||||
Beginning Balance | property | 82 | 98 | 81 | 97 |
Transfers from mortgage loans | property | 47 | 34 | 83 | 46 |
Disposals | property | (24) | (54) | (59) | (65) |
Ending Balance | property | 105 | 78 | 105 | 78 |
Carrying Value | ||||
Beginning Balance | $ 19,999 | $ 26,717 | $ 22,085 | $ 28,403 |
Transfers from mortgage loans | 13,891 | 8,494 | 25,444 | 11,634 |
Capital expenditures and other adjustments to cost | 174 | 492 | 374 | 672 |
Adjustments to record at the lower of cost or fair value | 592 | (38) | (1,731) | (107) |
Disposals | (9,408) | (14,589) | (20,924) | (19,526) |
Ending Balance | $ 25,248 | $ 21,076 | $ 25,248 | $ 21,076 |
Real Estate Owned (Details)
Real Estate Owned (Details) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2024 USD ($) property | Jun. 30, 2023 USD ($) property | Jun. 30, 2024 USD ($) property | Jun. 30, 2023 USD ($) property | Dec. 31, 2023 USD ($) | |
Real Estate Owned, Disclosure of Detailed Components [Abstract] | |||||
Real Estate Acquired Through Foreclosure, Disposals, Number Of Properties | property | 24 | 54 | 59 | 65 | |
Realized Gain (Loss) on Sale of Properties | $ (1.9) | $ (1.2) | $ (3.2) | $ (1.3) | |
REO, fair value | $ 8.6 | $ 8.6 | $ 16.8 |
Financial Derivatives (Schedule
Financial Derivatives (Schedule of Financial Derivatives) (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value | $ 162,165 | $ 143,996 |
Financial derivatives–liabilities, at fair value- | (44,064) | (61,776) |
Total | 118,101 | 82,220 |
TBA Securities, Purchase Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value | 101 | 2,182 |
Financial derivatives–liabilities, at fair value- | (655) | 0 |
TBA Securities, Sale Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value | 1,497 | 0 |
Financial derivatives–liabilities, at fair value- | (155) | (5,820) |
Interest rate swaps | Short | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value | 136,126 | 101,881 |
Financial derivatives–liabilities, at fair value- | (4,492) | (17,944) |
Interest rate swaps | Long | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value | 15,366 | 27,358 |
Financial derivatives–liabilities, at fair value- | (16,921) | (13,801) |
Credit default swaps on asset-backed securities | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value | 8 | 8 |
Credit default swaps on asset-backed indices | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value | 2,136 | 3,318 |
Financial derivatives–liabilities, at fair value- | (32) | (32) |
Credit default swaps on corporate bonds | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value | 70 | 25 |
Financial derivatives–liabilities, at fair value- | (227) | (225) |
Credit default swaps on corporate bond indices | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value | 6,387 | 7,259 |
Financial derivatives–liabilities, at fair value- | (16,722) | (15,894) |
Total return swaps | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value | 3 | 6 |
Futures | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value | 222 | 245 |
Financial derivatives–liabilities, at fair value- | (4,860) | (7,990) |
Futures | Short | ||
Derivatives, Fair Value [Line Items] | ||
Total | (4,638) | (7,745) |
Forwards | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value | 196 | 12 |
Financial derivatives–liabilities, at fair value- | 0 | 70 |
Warrants | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value | $ 53 | $ 1,702 |
Financial Derivatives (Interest
Financial Derivatives (Interest Rate Swaps) (Details) - Interest rate swaps - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Long | ||
Derivative [Line Items] | ||
Notional Amount | $ 2,494,410 | $ 1,859,330 |
Fair Value | (1,555) | 13,557 |
Long | 2024 | ||
Derivative [Line Items] | ||
Notional Amount | 52,236 | 427,234 |
Fair Value | (803) | (578) |
Long | 2025 | ||
Derivative [Line Items] | ||
Notional Amount | 143,183 | 143,183 |
Fair Value | (660) | 67 |
Long | 2026 | ||
Derivative [Line Items] | ||
Notional Amount | 543,794 | 461,658 |
Fair Value | (1,273) | (8,399) |
Long | 2027 | ||
Derivative [Line Items] | ||
Notional Amount | 59,110 | 36,591 |
Fair Value | (1,226) | 30 |
Long | 2028 | ||
Derivative [Line Items] | ||
Notional Amount | 459,063 | 464,799 |
Fair Value | 2,493 | 13,357 |
Long | 2029 | ||
Derivative [Line Items] | ||
Notional Amount | 597,040 | |
Fair Value | 5,654 | |
Long | 2030 | ||
Derivative [Line Items] | ||
Notional Amount | 156,262 | 67,000 |
Fair Value | (9) | 1,737 |
Long | 2031 | ||
Derivative [Line Items] | ||
Notional Amount | 42,500 | |
Fair Value | (882) | |
Long | 2033 | ||
Derivative [Line Items] | ||
Notional Amount | 235,963 | 198,265 |
Fair Value | (413) | 7,701 |
Long | 2035 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | (161) | (137) |
Long | 2038 | ||
Derivative [Line Items] | ||
Notional Amount | 36,300 | 36,300 |
Fair Value | (1,919) | 131 |
Long | 2040 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | (201) | (173) |
Long | 2050 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | (253) | (220) |
Long | 2053 | ||
Derivative [Line Items] | ||
Notional Amount | 13,795 | 22,800 |
Fair Value | (1,097) | $ 41 |
Long | 2034 | ||
Derivative [Line Items] | ||
Notional Amount | 132,687 | |
Fair Value | (400) | |
Long | 2039 | ||
Derivative [Line Items] | ||
Notional Amount | 20,377 | |
Fair Value | (421) | |
Long | 2054 | ||
Derivative [Line Items] | ||
Notional Amount | 600 | |
Fair Value | $ 16 | |
Long | Weighted Average | ||
Derivative [Line Items] | ||
Pay Rate | 4.33% | 4.28% |
Receive Rate | 5.34% | 5.39% |
Remaining Years to Maturity | 4 years 9 months 29 days | 3 years 11 months 4 days |
Long | Weighted Average | 2024 | ||
Derivative [Line Items] | ||
Pay Rate | 3.56% | 5.17% |
Receive Rate | 5.44% | 5.40% |
Remaining Years to Maturity | 4 months 2 days | 2 months 26 days |
Long | Weighted Average | 2025 | ||
Derivative [Line Items] | ||
Pay Rate | 4.87% | 4.87% |
Receive Rate | 5.33% | 5.38% |
Remaining Years to Maturity | 8 months 23 days | 1 year 2 months 23 days |
Long | Weighted Average | 2026 | ||
Derivative [Line Items] | ||
Pay Rate | 4.69% | 3.58% |
Receive Rate | 5.34% | 5.39% |
Remaining Years to Maturity | 1 year 8 months 26 days | 2 years 3 months 10 days |
Long | Weighted Average | 2027 | ||
Derivative [Line Items] | ||
Pay Rate | 3.84% | 3.68% |
Receive Rate | 5.34% | 5.39% |
Remaining Years to Maturity | 2 years 11 months 1 day | 3 years 10 months 24 days |
Long | Weighted Average | 2028 | ||
Derivative [Line Items] | ||
Pay Rate | 4.42% | 4.33% |
Receive Rate | 5.34% | 5.39% |
Remaining Years to Maturity | 4 years 1 month 9 days | 4 years 7 months 20 days |
Long | Weighted Average | 2029 | ||
Derivative [Line Items] | ||
Pay Rate | 4.34% | |
Receive Rate | 5.34% | |
Remaining Years to Maturity | 4 years 9 months 21 days | |
Long | Weighted Average | 2030 | ||
Derivative [Line Items] | ||
Pay Rate | 4.11% | 3.97% |
Receive Rate | 5.34% | 5.39% |
Remaining Years to Maturity | 6 years 2 months 15 days | 6 years 9 months 7 days |
Long | Weighted Average | 2031 | ||
Derivative [Line Items] | ||
Pay Rate | 3.75% | |
Receive Rate | 5.34% | |
Remaining Years to Maturity | 6 years 7 months 2 days | |
Long | Weighted Average | 2033 | ||
Derivative [Line Items] | ||
Pay Rate | 4% | 3.96% |
Receive Rate | 5.34% | 5.39% |
Remaining Years to Maturity | 9 years 4 months 20 days | 9 years 10 months 17 days |
Long | Weighted Average | 2035 | ||
Derivative [Line Items] | ||
Pay Rate | 0.74% | 0.74% |
Receive Rate | 5.33% | 5.38% |
Remaining Years to Maturity | 11 years 3 months 21 days | 11 years 9 months 21 days |
Long | Weighted Average | 2038 | ||
Derivative [Line Items] | ||
Pay Rate | 3.54% | 3.54% |
Receive Rate | 5.34% | 5.39% |
Remaining Years to Maturity | 14 years 5 months 23 days | 14 years 11 months 23 days |
Long | Weighted Average | 2040 | ||
Derivative [Line Items] | ||
Pay Rate | 0.84% | 0.84% |
Receive Rate | 5.33% | 5.38% |
Remaining Years to Maturity | 16 years 3 months 25 days | 16 years 9 months 25 days |
Long | Weighted Average | 2050 | ||
Derivative [Line Items] | ||
Pay Rate | 0.90% | 0.90% |
Receive Rate | 5.33% | 5.38% |
Remaining Years to Maturity | 26 years 3 months 25 days | 26 years 9 months 25 days |
Long | Weighted Average | 2053 | ||
Derivative [Line Items] | ||
Pay Rate | 3.33% | 3.33% |
Receive Rate | 5.34% | 5.39% |
Remaining Years to Maturity | 29 years 5 months 26 days | 29 years 11 months 26 days |
Long | Weighted Average | 2034 | ||
Derivative [Line Items] | ||
Pay Rate | 3.94% | |
Receive Rate | 5.34% | |
Remaining Years to Maturity | 9 years 9 months 7 days | |
Long | Weighted Average | 2039 | ||
Derivative [Line Items] | ||
Pay Rate | 3.79% | |
Receive Rate | 5.34% | |
Remaining Years to Maturity | 14 years 8 months 12 days | |
Long | Weighted Average | 2054 | ||
Derivative [Line Items] | ||
Pay Rate | 3.87% | |
Receive Rate | 5.34% | |
Remaining Years to Maturity | 29 years 10 months 17 days | |
Short | ||
Derivative [Line Items] | ||
Notional Amount | $ 3,608,767 | $ 3,129,277 |
Fair Value | 131,634 | 83,937 |
Short | 2024 | ||
Derivative [Line Items] | ||
Notional Amount | 436,983 | 629,547 |
Fair Value | 5,464 | 9,097 |
Short | 2025 | ||
Derivative [Line Items] | ||
Notional Amount | 414,561 | 412,701 |
Fair Value | 8,305 | 6,304 |
Short | 2026 | ||
Derivative [Line Items] | ||
Notional Amount | 252,467 | 189,287 |
Fair Value | 2,258 | (573) |
Short | 2027 | ||
Derivative [Line Items] | ||
Notional Amount | 228,250 | 174,841 |
Fair Value | 9,940 | 8,970 |
Short | 2028 | ||
Derivative [Line Items] | ||
Notional Amount | 586,973 | 650,990 |
Fair Value | 19,371 | 7,516 |
Short | 2029 | ||
Derivative [Line Items] | ||
Notional Amount | 328,214 | 53,011 |
Fair Value | 8,559 | 4,378 |
Short | 2030 | ||
Derivative [Line Items] | ||
Notional Amount | 240,079 | 150,817 |
Fair Value | 4,078 | 1,122 |
Short | 2031 | ||
Derivative [Line Items] | ||
Notional Amount | 169,293 | 157,766 |
Fair Value | 26,335 | 24,131 |
Short | 2032 | ||
Derivative [Line Items] | ||
Notional Amount | 181,867 | 181,867 |
Fair Value | 16,236 | 11,069 |
Short | 2033 | ||
Derivative [Line Items] | ||
Notional Amount | 407,506 | 437,619 |
Fair Value | 22,019 | 6,960 |
Short | 2035 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | 157 | 132 |
Short | 2036 | ||
Derivative [Line Items] | ||
Notional Amount | 1,102 | 1,102 |
Fair Value | 297 | 280 |
Short | 2037 | ||
Derivative [Line Items] | ||
Notional Amount | 45,000 | 45,000 |
Fair Value | 6,169 | 3,780 |
Short | 2038 | ||
Derivative [Line Items] | ||
Notional Amount | 32,500 | 32,500 |
Fair Value | 116 | (1,727) |
Short | 2040 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | 194 | 165 |
Short | 2049 | ||
Derivative [Line Items] | ||
Notional Amount | 5,729 | |
Fair Value | 845 | |
Short | 2050 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | 241 | 207 |
Short | 2052 | ||
Derivative [Line Items] | ||
Notional Amount | 5,000 | |
Fair Value | $ 1,281 | |
Short | 2053 | ||
Derivative [Line Items] | ||
Notional Amount | 1,600 | |
Fair Value | 127 | |
Short | 2034 | ||
Derivative [Line Items] | ||
Notional Amount | 261,080 | |
Fair Value | 1,651 | |
Short | 2039 | ||
Derivative [Line Items] | ||
Notional Amount | 17,592 | |
Fair Value | 153 | |
Short | 2054 | ||
Derivative [Line Items] | ||
Notional Amount | 2,200 | |
Fair Value | $ (36) | |
Short | Weighted Average | ||
Derivative [Line Items] | ||
Pay Rate | 3.54% | 3.34% |
Receive Rate | 5.33% | 5.33% |
Remaining Years to Maturity | 4 years 10 months 6 days | 4 years 8 months 4 days |
Short | Weighted Average | 2024 | ||
Derivative [Line Items] | ||
Pay Rate | 4.11% | 3.18% |
Receive Rate | 5.34% | 5.41% |
Remaining Years to Maturity | 3 months 29 days | 7 months 9 days |
Short | Weighted Average | 2025 | ||
Derivative [Line Items] | ||
Pay Rate | 3.69% | 3.69% |
Receive Rate | 5.34% | 5.06% |
Remaining Years to Maturity | 1 year 1 month 28 days | 1 year 7 months 28 days |
Short | Weighted Average | 2026 | ||
Derivative [Line Items] | ||
Pay Rate | 4.33% | 4.13% |
Receive Rate | 5.34% | 5.39% |
Remaining Years to Maturity | 2 years 18 days | 2 years 7 months 28 days |
Short | Weighted Average | 2027 | ||
Derivative [Line Items] | ||
Pay Rate | 2.92% | 4.04% |
Receive Rate | 5.33% | 5.04% |
Remaining Years to Maturity | 2 years 11 months 4 days | 3 years 4 months 6 days |
Short | Weighted Average | 2028 | ||
Derivative [Line Items] | ||
Pay Rate | 3.54% | 3.48% |
Receive Rate | 5.33% | 5.38% |
Remaining Years to Maturity | 4 years 10 days | 4 years 6 months 14 days |
Short | Weighted Average | 2029 | ||
Derivative [Line Items] | ||
Pay Rate | 3.63% | 2.19% |
Receive Rate | 5.33% | 5.38% |
Remaining Years to Maturity | 4 years 8 months 19 days | 5 years 3 months 25 days |
Short | Weighted Average | 2030 | ||
Derivative [Line Items] | ||
Pay Rate | 3.77% | 3.50% |
Receive Rate | 5.34% | 5.39% |
Remaining Years to Maturity | 6 years 1 month 13 days | 6 years 7 months 2 days |
Short | Weighted Average | 2031 | ||
Derivative [Line Items] | ||
Pay Rate | 1.69% | 1.51% |
Receive Rate | 5.33% | 5.38% |
Remaining Years to Maturity | 6 years 11 months 12 days | 7 years 5 months 15 days |
Short | Weighted Average | 2032 | ||
Derivative [Line Items] | ||
Pay Rate | 2.80% | 2.80% |
Receive Rate | 5.33% | 5.38% |
Remaining Years to Maturity | 8 years 21 days | 8 years 6 months 21 days |
Short | Weighted Average | 2033 | ||
Derivative [Line Items] | ||
Pay Rate | 3.33% | 3.40% |
Receive Rate | 5.33% | 5.38% |
Remaining Years to Maturity | 8 years 10 months 24 days | 9 years 5 months 1 day |
Short | Weighted Average | 2035 | ||
Derivative [Line Items] | ||
Pay Rate | 0.78% | 0.78% |
Receive Rate | 5.33% | 5.33% |
Remaining Years to Maturity | 11 years 3 months 21 days | 11 years 9 months 21 days |
Short | Weighted Average | 2036 | ||
Derivative [Line Items] | ||
Pay Rate | 1.19% | 1.19% |
Receive Rate | 5.33% | 5.38% |
Remaining Years to Maturity | 11 years 7 months 20 days | 12 years 1 month 17 days |
Short | Weighted Average | 2037 | ||
Derivative [Line Items] | ||
Pay Rate | 2.81% | 2.81% |
Receive Rate | 5.33% | 5.38% |
Remaining Years to Maturity | 13 years 1 month 28 days | 13 years 7 months 28 days |
Short | Weighted Average | 2038 | ||
Derivative [Line Items] | ||
Pay Rate | 4.01% | 4.01% |
Receive Rate | 5.34% | 5.39% |
Remaining Years to Maturity | 14 years 2 months 1 day | 14 years 8 months 1 day |
Short | Weighted Average | 2040 | ||
Derivative [Line Items] | ||
Pay Rate | 0.90% | 0.90% |
Receive Rate | 5.33% | 5.33% |
Remaining Years to Maturity | 16 years 3 months 25 days | 16 years 9 months 25 days |
Short | Weighted Average | 2049 | ||
Derivative [Line Items] | ||
Pay Rate | 2.63% | |
Receive Rate | 5.38% | |
Remaining Years to Maturity | 25 years 7 days | |
Short | Weighted Average | 2050 | ||
Derivative [Line Items] | ||
Pay Rate | 0.98% | 0.98% |
Receive Rate | 5.33% | 5.33% |
Remaining Years to Maturity | 26 years 3 months 25 days | 26 years 9 months 25 days |
Short | Weighted Average | 2052 | ||
Derivative [Line Items] | ||
Pay Rate | 2.07% | |
Receive Rate | 5.38% | |
Remaining Years to Maturity | 28 years 3 months 7 days | |
Short | Weighted Average | 2053 | ||
Derivative [Line Items] | ||
Pay Rate | 3.32% | |
Receive Rate | 5.34% | |
Remaining Years to Maturity | 29 years 6 months | |
Short | Weighted Average | 2034 | ||
Derivative [Line Items] | ||
Pay Rate | 3.88% | |
Receive Rate | 5.34% | |
Remaining Years to Maturity | 9 years 10 months 2 days | |
Short | Weighted Average | 2039 | ||
Derivative [Line Items] | ||
Pay Rate | 3.90% | |
Receive Rate | 5.34% | |
Remaining Years to Maturity | 14 years 8 months 8 days | |
Short | Weighted Average | 2054 | ||
Derivative [Line Items] | ||
Pay Rate | 3.82% | |
Receive Rate | 5.34% | |
Remaining Years to Maturity | 29 years 9 months 14 days |
Financial Derivatives (Credit D
Financial Derivatives (Credit Default Swaps) (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value | $ 162,165 | $ 143,996 |
Financial derivatives–liabilities, at fair value- | (44,064) | (61,776) |
Fair Value | (118,101) | (82,220) |
Credit default swaps on asset-backed indices | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value | 2,136 | 3,318 |
Financial derivatives–liabilities, at fair value- | (32) | (32) |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Long | ||
Derivative [Line Items] | ||
Notional Amount | (219) | (230) |
Financial derivatives–assets, at fair value | $ 12 | $ 12 |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Long | Weighted Average | ||
Derivative [Line Items] | ||
Remaining Years to Maturity | 13 years 6 months | 13 years 11 months 26 days |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Short | ||
Derivative [Line Items] | ||
Notional Amount | $ (41,990) | $ (42,101) |
Financial derivatives–assets, at fair value | $ 2,124 | $ 3,306 |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Short | Weighted Average | ||
Derivative [Line Items] | ||
Remaining Years to Maturity | 34 years 7 months 17 days | 35 years 1 month 9 days |
Credit default swaps on corporate bonds | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value | $ 70 | $ 25 |
Financial derivatives–liabilities, at fair value- | (227) | (225) |
Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | ||
Derivative [Line Items] | ||
Notional Amount | (2,000) | (2,000) |
Financial derivatives–assets, at fair value | $ 70 | $ 25 |
Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | Weighted Average | ||
Derivative [Line Items] | ||
Remaining Years to Maturity | 1 year 5 months 19 days | 1 year 11 months 19 days |
Credit default swaps on corporate bond indices | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value | $ 6,387 | $ 7,259 |
Financial derivatives–liabilities, at fair value- | (16,722) | (15,894) |
Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Long | ||
Derivative [Line Items] | ||
Notional Amount | (99,000) | (149,000) |
Financial derivatives–assets, at fair value | $ 6,387 | $ 7,259 |
Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Long | Weighted Average | ||
Derivative [Line Items] | ||
Remaining Years to Maturity | 3 years 11 months 23 days | 4 years 5 months 19 days |
Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Short | ||
Derivative [Line Items] | ||
Remaining Years to Maturity | 0 days | 0 days |
Credit default swaps on asset-backed securities | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value | $ 8 | $ 8 |
Credit default swaps on asset-backed securities | Financial Derivatives - Assets | Short | ||
Derivative [Line Items] | ||
Notional Amount | (46) | (45) |
Financial derivatives–assets, at fair value | $ 8 | $ 8 |
Credit default swaps on asset-backed securities | Financial Derivatives - Assets | Short | Weighted Average | ||
Derivative [Line Items] | ||
Remaining Years to Maturity | 11 years 2 months 26 days | 11 years 8 months 26 days |
Credit default swaps | ||
Derivative [Line Items] | ||
Notional Amount | $ (481,374) | $ (441,155) |
Fair Value | $ 8,380 | $ 5,541 |
Credit default swaps | Weighted Average | ||
Derivative [Line Items] | ||
Remaining Years to Maturity | 7 years 6 months 7 days | 7 years 9 months 21 days |
Financial Derivatives (Futures)
Financial Derivatives (Futures) (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Derivative [Line Items] | ||
Fair Value | $ 118,101 | $ 82,220 |
Financial derivatives–assets, at fair value | 162,165 | 143,996 |
Derivative Liability | $ 44,064 | 61,776 |
Futures | ||
Derivative [Line Items] | ||
Derivative, Remaining Maturity | 3 months 3 days | |
Financial derivatives–assets, at fair value | $ 222 | 245 |
Derivative Liability | 4,860 | 7,990 |
Short | Futures | ||
Derivative [Line Items] | ||
Notional Amount | 402,700 | 311,200 |
Fair Value | (4,638) | $ (7,745) |
Derivative, Remaining Maturity | 2 months 4 days | |
Financial Derivatives - Assets | Long | U.S. Treasury futures | ||
Derivative [Line Items] | ||
Notional Amount | $ (1,900) | $ (1,900) |
Derivative, Remaining Maturity | 3 months 3 days | 2 months 19 days |
Financial derivatives–assets, at fair value | $ 91 | $ 245 |
Financial Derivatives - Assets | Short | U.S. Treasury futures | ||
Derivative [Line Items] | ||
Notional Amount | $ 40,000 | $ 0 |
Derivative, Remaining Maturity | 3 months 3 days | 0 years |
Financial derivatives–assets, at fair value | $ 131 | $ 0 |
Financial Derivatives - Liabilities | Short | U.S. Treasury futures | ||
Derivative [Line Items] | ||
Notional Amount | $ 364,600 | $ 313,100 |
Derivative, Remaining Maturity | 3 months 3 days | 2 months 4 days |
Derivative Liability | $ (4,860) | $ (7,990) |
Financial Derivatives Schedule
Financial Derivatives Schedule of Warrant Contracts (Details) - USD ($) shares in Thousands, $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value | $ 162,165 | $ 143,996 |
Warrants | ||
Derivative [Line Items] | ||
Number of Shares Underlying Warrant Contracts | 102 | 202 |
Financial derivatives–assets, at fair value | $ 53 | $ 1,702 |
Remaining Years to Maturity | 5 years 7 months 28 days |
Financial Derivatives (TBAs) (D
Financial Derivatives (TBAs) (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value | $ 162,165 | $ 143,996 |
Derivative Liability | 44,064 | 61,776 |
Derivative Assets (Liabilities), at Fair Value, Net | 118,101 | 82,220 |
TBA securities | ||
Derivative [Line Items] | ||
Notional Amount | 140,294 | 57,944 |
Derivative, Cost Basis | (136,075) | (30,601) |
Market Value Underlying | (135,287) | (34,239) |
Derivative Assets (Liabilities), at Fair Value, Net | 788 | (3,638) |
TBA securities | Long | ||
Derivative [Line Items] | ||
Notional Amount | (159,656) | (375,154) |
Derivative, Cost Basis | 153,208 | 362,129 |
Market Value Underlying | 152,654 | 364,311 |
Derivative Assets (Liabilities), at Fair Value, Net | (554) | 2,182 |
TBA securities | Short | ||
Derivative [Line Items] | ||
Notional Amount | 299,950 | 433,098 |
Derivative, Cost Basis | (289,283) | (392,730) |
Market Value Underlying | (287,941) | (398,550) |
Derivative Assets (Liabilities), at Fair Value, Net | 1,342 | (5,820) |
Financial Derivatives - Assets | TBA securities | Long | ||
Derivative [Line Items] | ||
Notional Amount | 36,232 | 375,154 |
Derivative, Cost Basis | 35,431 | 362,129 |
Market Value Underlying | 35,532 | 364,311 |
Financial derivatives–assets, at fair value | 101 | 2,182 |
Financial Derivatives - Assets | TBA securities | Short | ||
Derivative [Line Items] | ||
Notional Amount | 286,350 | 0 |
Derivative, Cost Basis | (278,779) | 0 |
Market Value Underlying | (277,282) | 0 |
Financial derivatives–assets, at fair value | 1,497 | 0 |
Financial Derivatives - Liabilities | TBA securities | Long | ||
Derivative [Line Items] | ||
Notional Amount | 123,424 | 0 |
Derivative, Cost Basis | 117,777 | 0 |
Market Value Underlying | 117,122 | 0 |
Derivative Liability | (655) | 0 |
Financial Derivatives - Liabilities | TBA securities | Short | ||
Derivative [Line Items] | ||
Notional Amount | 13,600 | 433,098 |
Derivative, Cost Basis | (10,504) | (392,730) |
Market Value Underlying | (10,659) | (398,550) |
Derivative Liability | $ (155) | $ (5,820) |
Financial Derivatives (Schedu_2
Financial Derivatives (Schedule of Gains and Losses on Derivative Contracts) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Derivative [Line Items] | ||||
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | $ 10,751 | $ 9,236 | $ 26,189 | $ 15,027 |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (4,438) | 20,544 | (16,398) | (10,694) |
Realized gains (losses) on financial derivatives, net | 6,313 | 29,780 | 9,791 | 4,333 |
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | (479) | 3,314 | (4,906) | 6,765 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 8,381 | 5,028 | 43,173 | 4,344 |
Unrealized gains (losses) on financial derivatives, net | 7,902 | 8,342 | 38,267 | 11,109 |
Derivative [Member] | ||||
Derivative [Line Items] | ||||
Foreign currency translation | 2 | 6 | ||
Interest rate swaps | Interest Rate Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | 10,751 | 9,236 | 26,189 | 15,027 |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (12,875) | 21,942 | (21,528) | (9,133) |
Realized gains (losses) on financial derivatives, net | (2,124) | 31,178 | 4,661 | 5,894 |
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | (479) | 3,314 | (4,906) | 6,765 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 9,854 | (7,296) | 33,745 | 5,878 |
Unrealized gains (losses) on financial derivatives, net | 9,375 | (3,982) | 28,839 | 12,643 |
Credit default swaps on asset-backed indices | Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (232) | 34 | (432) | (241) |
Realized gains (losses) on financial derivatives, net | (232) | 34 | (432) | (241) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 189 | (226) | (1,182) | 1,932 |
Unrealized gains (losses) on financial derivatives, net | 189 | (226) | (1,182) | 1,932 |
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 | (1,683) | (742) | (6,250) | (2,089) |
Realized gains (losses) on financial derivatives, net | (1,683) | (742) | (6,250) | (2,089) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 1,833 | (1,173) | 3,509 | (965) |
Unrealized gains (losses) on financial derivatives, net | 1,833 | (1,173) | 3,509 | (965) |
Credit default swaps on corporate bonds | Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (8) | (42) | (15) | (83) |
Realized gains (losses) on financial derivatives, net | (8) | (42) | (15) | (83) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (19) | (5) | 42 | (24) |
Unrealized gains (losses) on financial derivatives, net | (19) | (5) | 42 | (24) |
Total return swaps | Equity Market/Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 17 | 37 | ||
Realized gains (losses) on financial derivatives, net | 17 | 37 | ||
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (3) | (3) | ||
Unrealized gains (losses) on financial derivatives, net | (3) | (3) | ||
TBA securities | Interest Rate Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 3,113 | (20) | 3,929 | 4,272 |
Realized gains (losses) on financial derivatives, net | 3,113 | (20) | 3,929 | 4,272 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 477 | 6,457 | 4,426 | (3,621) |
Unrealized gains (losses) on financial derivatives, net | 477 | 6,457 | 4,426 | (3,621) |
Futures | Interest Rate Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 6,909 | (132) | 7,344 | (3,065) |
Realized gains (losses) on financial derivatives, net | 6,909 | (132) | 7,344 | (3,065) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (3,810) | 6,776 | 3,107 | 1,113 |
Unrealized gains (losses) on financial derivatives, net | (3,810) | 6,776 | 3,107 | 1,113 |
Forwards | Currency risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 322 | (496) | 432 | (356) |
Realized gains (losses) on financial derivatives, net | 322 | (496) | 432 | (356) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (140) | 346 | 255 | (37) |
Unrealized gains (losses) on financial derivatives, net | (140) | 346 | 255 | (37) |
Warrants | Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 0 | 86 | ||
Realized gains (losses) on financial derivatives, net | 0 | 86 | ||
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 0 | (726) | ||
Unrealized gains (losses) on financial derivatives, net | $ 0 | $ (726) | ||
Warrants | Equity Market/Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 0 | 0 | ||
Realized gains (losses) on financial derivatives, net | 0 | 0 | ||
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 149 | 68 | ||
Unrealized gains (losses) on financial derivatives, net | $ 149 | 68 | ||
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 | |||
Realized gains (losses) on financial derivatives, net | 1 | |||
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 0 | |||
Unrealized gains (losses) on financial derivatives, net | $ 0 |
Financial Derivatives (Schedu_3
Financial Derivatives (Schedule of Derivative Activity) (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
Interest rate swaps | ||
Derivative [Line Items] | ||
Average Monthly Notional | $ 5,642,765 | $ 4,309,089 |
TBA securities | ||
Derivative [Line Items] | ||
Average Monthly Notional | 486,793 | 603,206 |
Credit default swaps | ||
Derivative [Line Items] | ||
Average Monthly Notional | 783,205 | 497,857 |
Futures | ||
Derivative [Line Items] | ||
Average Monthly Notional | 336,786 | 246,669 |
Forwards | ||
Derivative [Line Items] | ||
Average Monthly Notional | 23,363 | 15,567 |
Warrants | ||
Derivative [Line Items] | ||
Average Monthly Notional | 145 | 1,926 |
Total return swaps | ||
Derivative [Line Items] | ||
Average Monthly Notional | $ 1,181 | $ 875 |
Financial Derivatives (Schedu_4
Financial Derivatives (Schedule of Credit Derivatives) (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Credit Derivatives [Line Items] | ||
Financial derivatives–assets, at fair value | $ 162,165 | $ 143,996 |
Derivative Liability | (44,064) | (61,776) |
Derivative Assets (Liabilities), at Fair Value, Net | 118,101 | 82,220 |
Credit default swaps on asset-backed indices | ||
Credit Derivatives [Line Items] | ||
Financial derivatives–assets, at fair value | 2,136 | 3,318 |
Derivative Liability | (32) | (32) |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Long | ||
Credit Derivatives [Line Items] | ||
Notional value | 219 | 230 |
Financial derivatives–assets, at fair value | $ 12 | $ 12 |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Long | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 13 years 6 months | 13 years 11 months 26 days |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Short | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 41,990 | $ 42,101 |
Financial derivatives–assets, at fair value | $ 2,124 | $ 3,306 |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Short | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 34 years 7 months 17 days | 35 years 1 month 9 days |
Credit default swaps on asset-backed indices | Financial Derivatives - Liabilities | Long | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 60 | $ 60 |
Derivative Liability | $ (32) | $ (32) |
Credit default swaps on asset-backed indices | Financial Derivatives - Liabilities | Long | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 24 years 8 months 19 days | 25 years 2 months 19 days |
Credit default swaps on corporate bond indices | ||
Credit Derivatives [Line Items] | ||
Financial derivatives–assets, at fair value | $ 6,387 | $ 7,259 |
Derivative Liability | (16,722) | (15,894) |
Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Long | ||
Credit Derivatives [Line Items] | ||
Notional value | 99,000 | 149,000 |
Financial derivatives–assets, at fair value | $ 6,387 | $ 7,259 |
Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Long | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 3 years 11 months 23 days | 4 years 5 months 19 days |
Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Short | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 0 days | 0 days |
Credit default swaps on corporate bond indices | Financial Derivatives - Liabilities | Short | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 527,617 | $ 537,299 |
Remaining Years to Maturity | 4 years 9 months 14 days | 4 years 10 months 2 days |
Derivative Liability | $ (16,722) | $ (15,894) |
Credit default swaps on asset-backed securities | ||
Credit Derivatives [Line Items] | ||
Financial derivatives–assets, at fair value | 8 | 8 |
Credit default swaps on asset-backed securities | Financial Derivatives - Assets | Short | ||
Credit Derivatives [Line Items] | ||
Notional value | 46 | 45 |
Financial derivatives–assets, at fair value | $ 8 | $ 8 |
Credit default swaps on asset-backed securities | Financial Derivatives - Assets | Short | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 11 years 2 months 26 days | 11 years 8 months 26 days |
Credit default swaps on corporate bonds | ||
Credit Derivatives [Line Items] | ||
Financial derivatives–assets, at fair value | $ 70 | $ 25 |
Derivative Liability | (227) | (225) |
Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | ||
Credit Derivatives [Line Items] | ||
Notional value | 2,000 | 2,000 |
Financial derivatives–assets, at fair value | $ 70 | $ 25 |
Credit default swaps on corporate bonds | Financial Derivatives - Assets | Long | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 1 year 5 months 19 days | 1 year 11 months 19 days |
Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 13,000 | $ 13,000 |
Derivative Liability | $ (227) | $ (225) |
Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 2 years 11 months 19 days | 3 years 5 months 19 days |
Credit default swaps | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 481,374 | $ 441,155 |
Derivative Assets (Liabilities), at Fair Value, Net | $ (8,380) | $ (5,541) |
Credit default swaps | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 7 years 6 months 7 days | 7 years 9 months 21 days |
Credit Default Swap, Selling Protection [Member] | ||
Credit Derivatives [Line Items] | ||
Fair Value | $ 6,437 | $ 7,264 |
Notional value | $ 101,279 | $ 151,290 |
Financial Derivatives (Narrativ
Financial Derivatives (Narrative) (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
Derivative [Line Items] | ||
Spread on written credit derivatives | 3.10% | |
Written credit derivative spread threshold | 20% | 20% |
Credit Default Swap, Selling Protection [Member] | ||
Derivative [Line Items] | ||
Total net up-front payments received | $ (900) | $ (1,600) |
Minimum | ||
Derivative [Line Items] | ||
Spread on written credit derivatives | 0.50% | |
Upfront points on written credit derivative in excess of threshold | 46.3 | 46.3 |
Maximum | ||
Derivative [Line Items] | ||
Spread on written credit derivatives | 4.38% | |
Upfront points on written credit derivative in excess of threshold | 46.3 | 88.8 |
Financial Derivatives (Options)
Financial Derivatives (Options) (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Financial derivatives–assets, at fair value | $ 162,165 | $ 143,996 |
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value | $ 162,165 | $ 143,996 |
Other Assets - Schedule of Othe
Other Assets - Schedule of Other Assets (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Mar. 31, 2024 | Dec. 31, 2023 | Jun. 30, 2023 | Mar. 31, 2023 | Dec. 31, 2022 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |||||||
Receivables and claims related to reverse mortgage loans repurchased from HMBS | $ 36,086 | $ 48,468 | |||||
Prepaid expenses and deferred offering costs | 12,109 | 11,602 | |||||
Accrued Fees and Other Revenue Receivable | 4,959 | 3,755 | |||||
Operating Lease, Right-of-Use Asset | 5,540 | 3,279 | |||||
Prepaid scheduled draws on reverse mortgage loans | 3,038 | 2,800 | |||||
Intangible Assets, Net (Excluding Goodwill) | 2,422 | $ 2,548 | 2,673 | $ 2,924 | $ 3,049 | $ 3,275 | |
Servicing Asset | 0 | 1,327 | |||||
Property, Plant and Equipment, Net | 1,479 | 1,110 | |||||
Servicing Agreement Asset | (200) | 1,300 | |||||
Certificates of deposit, security deposits, and escrow cash | 753 | 1,043 | |||||
Loan Purchase Commitments, at Fair Value | 275 | 0 | |||||
Other Assets, Miscellaneous | 540 | 1,042 | |||||
Other assets(1) | [1] | $ 67,201 | $ 77,099 | ||||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Other Assets - Schedule of Inta
Other Assets - Schedule of Intangible Assets (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Mar. 31, 2024 | Dec. 31, 2023 | Jun. 30, 2023 | Mar. 31, 2023 | Dec. 31, 2022 |
Acquired Finite-Lived Intangible Assets [Line Items] | ||||||
Intangible Assets, Gross (Excluding Goodwill) | $ 3,300 | $ 3,300 | ||||
Finite-Lived Intangible Assets, Accumulated Amortization | (878) | (627) | ||||
Intangible Assets, Net (Excluding Goodwill) | 2,422 | $ 2,548 | 2,673 | $ 2,924 | $ 3,049 | $ 3,275 |
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 | (817) | (583) | ||||
Intangible Assets, Net (Excluding Goodwill) | $ 583 | $ 817 | ||||
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 | (61) | (44) | ||||
Intangible Assets, Net (Excluding Goodwill) | $ 639 | $ 656 | ||||
Finite-Lived Intangible Asset, Useful Life | 240 months | 240 months |
Other Assets Schedule of Change
Other Assets Schedule of Change in Intangible Assets (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 | |
Acquired Finite-Lived Intangible Assets [Line Items] | ||||||||
Intangible Assets, Net (Excluding Goodwill) | $ 2,422 | $ 2,924 | $ 2,422 | $ 2,924 | $ 2,548 | $ 2,673 | $ 3,049 | $ 3,275 |
Amortization of Intangible Assets | 126 | 125 | 251 | 351 | ||||
Software and Software Development Costs | ||||||||
Acquired Finite-Lived Intangible Assets [Line Items] | ||||||||
Intangible Assets, Net (Excluding Goodwill) | 583 | 1,050 | 583 | 1,050 | 700 | 817 | 1,167 | 1,284 |
Amortization of Intangible Assets | 117 | 117 | 234 | 234 | ||||
Trademarks and Trade Names | ||||||||
Acquired Finite-Lived Intangible Assets [Line Items] | ||||||||
Intangible Assets, Net (Excluding Goodwill) | 1,200 | 1,200 | 1,200 | 1,200 | 1,200 | 1,200 | 1,200 | 1,200 |
Amortization of Intangible Assets | 0 | 0 | 0 | 0 | ||||
Customer Relationships | ||||||||
Acquired Finite-Lived Intangible Assets [Line Items] | ||||||||
Intangible Assets, Net (Excluding Goodwill) | 639 | 674 | 639 | 674 | $ 648 | $ 656 | $ 682 | 691 |
Amortization of Intangible Assets | $ 9 | 8 | $ 17 | 17 | ||||
Noncompete Agreements | ||||||||
Acquired Finite-Lived Intangible Assets [Line Items] | ||||||||
Intangible Assets, Net (Excluding Goodwill) | $ 0 | 0 | $ 100 | |||||
Amortization of Intangible Assets | $ 100 |
Other Assets - Schedule Amortiz
Other Assets - Schedule Amortization, Intangible Assets (Details) $ in Thousands | Jun. 30, 2024 USD ($) |
Acquired Finite-Lived Intangible Assets [Line Items] | |
Finite-Lived Intangible Asset, Expected Amortization, Year One | $ 251 |
Finite-Lived Intangible Asset, Expected Amortization, Year Two | 385 |
Finite-Lived Intangible Asset, Expected Amortization, Year Three | 35 |
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 | 481 |
Finite-Lived Intangible Assets, Net | $ 1,222 |
Consolidated VIEs (Details)
Consolidated VIEs (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Mar. 31, 2024 | Dec. 31, 2023 | Jun. 30, 2023 | Mar. 31, 2023 | Dec. 31, 2022 | ||||
Assets | ||||||||||
Cash and cash equivalents | $ 198,513 | [1] | $ 228,927 | [1] | $ 194,595 | [1] | $ 217,053 | |||
Restricted cash | 6,098 | [1] | 1,618 | [1] | 1,602 | [1] | 4,816 | |||
Securities, at fair value(1)(2) | [1],[2] | 1,127,684 | 1,518,377 | |||||||
Loans, at fair value(1)(2) | [1],[2] | 12,846,106 | 12,306,636 | |||||||
Forward MSR-related investments, at fair value(1) | 158,031 | [1] | $ 160,009 | 163,336 | [1] | |||||
Investments in unconsolidated entities, at fair value(1) | 163,182 | [1] | 116,414 | |||||||
Real estate owned(1)(2) | [1],[2] | 25,248 | 22,085 | |||||||
Investment related receivables(1) | [1] | 195,557 | 480,249 | |||||||
Other assets(1) | [1] | 67,201 | 77,099 | |||||||
Total Assets | 15,092,653 | 15,315,930 | ||||||||
Liabilities | ||||||||||
Repurchase agreements(1) | [1] | 2,301,976 | 2,967,437 | |||||||
Investment related payables | 38,977 | 37,403 | ||||||||
Other secured borrowings(1) | [1] | 217,225 | 245,827 | |||||||
Other secured borrowings, at fair value(1) | [1] | 1,585,838 | 1,424,668 | |||||||
Interest payable(1) | [1] | 17,174 | 22,933 | |||||||
Accrued expenses and other liabilities(1) | [1] | 64,640 | 90,341 | |||||||
Liabilities | 13,518,794 | 13,780,318 | ||||||||
Total Stockholders' Equity | 1,552,785 | 1,517,071 | ||||||||
Non-controlling interests(1) | [1] | 21,074 | 18,541 | |||||||
Total Equity | 1,573,859 | $ 1,553,156 | 1,535,612 | $ 1,344,657 | $ 1,374,763 | $ 1,220,886 | ||||
Total Liabilities and Equity | 15,092,653 | 15,315,930 | ||||||||
Primary Beneficiary | ||||||||||
Assets | ||||||||||
Cash and cash equivalents | 6,889 | 178 | ||||||||
Restricted cash | 4,489 | 0 | ||||||||
Securities, at fair value(1)(2) | 68,923 | 74,226 | ||||||||
Loans, at fair value(1)(2) | 3,536,752 | 3,342,478 | ||||||||
Forward MSR-related investments, at fair value(1) | 78,473 | 82,273 | ||||||||
Investments in unconsolidated entities, at fair value(1) | 96,694 | 63,701 | ||||||||
Real estate owned(1)(2) | 19,885 | 16,100 | ||||||||
Investment related receivables(1) | 25,838 | 19,929 | ||||||||
Other assets(1) | 352 | 469 | ||||||||
Total Assets | 3,838,295 | 3,599,354 | ||||||||
Liabilities | ||||||||||
Repurchase agreements(1) | 1,264,606 | 1,244,401 | ||||||||
Other secured borrowings(1) | 29,458 | 25,787 | ||||||||
Other secured borrowings, at fair value(1) | 1,585,838 | 1,424,668 | ||||||||
Interest payable(1) | 2,852 | 1,879 | ||||||||
Accrued expenses and other liabilities(1) | 1,226 | 451 | ||||||||
Liabilities | 2,883,980 | 2,697,186 | ||||||||
Total Stockholders' Equity | 947,611 | 897,303 | ||||||||
Non-controlling interests(1) | 6,704 | 4,865 | ||||||||
Total Equity | 954,315 | 902,168 | ||||||||
Total Liabilities and Equity | $ 3,838,295 | $ 3,599,354 | ||||||||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 for additional details on the Company's borrowings and related collateral. |
Securitization Transactions Nar
Securitization Transactions Narrative (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2024 USD ($) | Jun. 30, 2023 USD ($) | Jun. 30, 2024 USD ($) | Jun. 30, 2023 USD ($) | Dec. 31, 2023 USD ($) | ||||
Securitization Transactions [Line Items] | ||||||||
Securities, at fair value(1)(2) | [1],[2] | $ 1,127,684 | $ 1,127,684 | $ 1,518,377 | ||||
Investments in unconsolidated entities, at fair value(1) | 163,182 | [1] | 163,182 | [1] | $ 116,414 | |||
Unpaid principal balance of HECM loans pooled into HMBS | $ 334,700 | $ 379,800 | $ 609,000 | $ 693,300 | ||||
Number of HMBS pools being serviced | 1,043 | 1,043 | 974 | |||||
Unpaid principal balance of loans in HMBS - Servicing | $ 8,500,000 | $ 8,500,000 | $ 8,200,000 | |||||
Servicing Agreement Asset | (200) | (200) | 1,300 | |||||
HMBS buyouts | 108,600 | 206,800 | 256,500 | 366,100 | ||||
HMBS buyouts transferred to third party | 102,600 | $ 202,600 | 238,600 | $ 360,100 | ||||
Participation in Multi-Seller Consumer Loan Securitization [Member] | ||||||||
Securitization Transactions [Line Items] | ||||||||
Investments in unconsolidated entities, at fair value(1) | 800 | 800 | 2,400 | |||||
European Debt Tranche | Non-Agency RMBS | ||||||||
Securitization Transactions [Line Items] | ||||||||
Securities, at fair value(1)(2) | 100 | $ 100 | ||||||
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 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Total Face Amount of Certificates Issued | $ 267,255 | |||||||
Non-QM loan securitization, not consolidated | ||||||||
Securitization Transactions [Line Items] | ||||||||
Securities, at fair value(1)(2) | 14,400 | 14,400 | 33,000 | |||||
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] | ||||||||
Investments in unconsolidated entities, at fair value(1) | $ 16,500 | 16,500 | $ 8,700 | |||||
Proprietary Reverse Mortgage Loan Securitization | ||||||||
Securitization Transactions [Line Items] | ||||||||
Notes Issued by Proprietary Reverse Mortgage Loan Securitization Trust | 208,100 | |||||||
Proprietary Reverse Mortgage Loan Securitization | The Company [Member] | ||||||||
Securitization Transactions [Line Items] | ||||||||
Proprietary Reverse Mortgage Loans Transferred into Securitization Trust | $ 171,400 | |||||||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 for additional details on the Company's borrowings and related collateral. |
Securitization Transactions (Sc
Securitization Transactions (Schedule of Residential Loan Securitizations) (Details) - USD ($) $ in Thousands | 6 Months Ended | |||||||
Jun. 30, 2024 | Dec. 31, 2023 | Jun. 30, 2023 | [1] | Dec. 31, 2022 | ||||
Securitization Transactions [Line Items] | ||||||||
Securities, at fair value(1)(2) | [1],[2] | $ 1,127,684 | $ 1,518,377 | |||||
Loans, at fair value(1)(2) | [1],[2] | 12,846,106 | 12,306,636 | |||||
Investment related receivables(1) | [1] | 195,557 | 480,249 | |||||
Other secured borrowings, at fair value(1) | [1] | 1,585,838 | 1,424,668 | |||||
Cash and Cash Equivalents, at Carrying Value | 198,513 | [1] | 228,927 | [1] | $ 194,595 | $ 217,053 | ||
Broker-Dealer, Payable to Other Broker-Dealer and Clearing Organization | 38,977 | 37,403 | ||||||
Residential mortgage loans | ||||||||
Securitization Transactions [Line Items] | ||||||||
Loans, at fair value(1)(2) | 3,101,615 | 3,093,912 | ||||||
Non-QM loan securitization | Consolidated Entities [Member] | ||||||||
Securitization Transactions [Line Items] | ||||||||
Investment related receivables(1) | 9,207 | 1,884 | ||||||
Other secured borrowings, at fair value(1) | 1,369,246 | 1,424,668 | ||||||
Non-QM loan securitization | Consolidated Entities [Member] | Residential mortgage loans | Securitized loans [Member] | ||||||||
Securitization Transactions [Line Items] | ||||||||
Loans, at fair value(1)(2) | 1,493,634 | $ 1,555,371 | ||||||
Non-QM loan securitization | November 2019 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Total Face Amount of Certificates Issued | 267,255 | |||||||
Non-QM loan securitization | June 2020 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Total Face Amount of Certificates Issued | 259,273 | |||||||
Non-QM loan securitization | October 2020 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Total Face Amount of Certificates Issued | 219,732 | |||||||
Non-QM loan securitization | February 2021 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Total Face Amount of Certificates Issued | 251,771 | |||||||
Non-QM loan securitization | June 2021 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Total Face Amount of Certificates Issued | 331,777 | |||||||
Non-QM loan securitization | October 2021 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Total Face Amount of Certificates Issued | 257,645 | |||||||
Non-QM loan securitization | January 2022 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Total Face Amount of Certificates Issued | 417,188 | |||||||
Non-QM loan securitization | April 2022 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Total Face Amount of Certificates Issued | 425,651 | |||||||
Non-QM loan securitization | July 2022 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Total Face Amount of Certificates Issued | 345,652 | |||||||
European Residential Loan Securitization | Consolidated Entities [Member] | ||||||||
Securitization Transactions [Line Items] | ||||||||
Investment related receivables(1) | 669 | |||||||
Other secured borrowings, at fair value(1) | 58,195 | |||||||
Cash and Cash Equivalents, at Carrying Value | 6,790 | |||||||
European Residential Loan Securitization | Consolidated Entities [Member] | Residential mortgage loans | Securitized loans [Member] | ||||||||
Securitization Transactions [Line Items] | ||||||||
Loans, at fair value(1)(2) | 52,368 | |||||||
Broker-Dealer, Payable to Other Broker-Dealer and Clearing Organization | 1,572 | |||||||
The Company [Member] | Non-QM loan securitization | November 2019 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Principal Balance of Loans Transferred to the Depositor | 267,255 | |||||||
The Company [Member] | Non-QM loan securitization | June 2020 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Principal Balance of Loans Transferred to the Depositor | 259,273 | |||||||
The Company [Member] | Non-QM loan securitization | October 2020 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Principal Balance of Loans Transferred to the Depositor | 219,732 | |||||||
The Company [Member] | Non-QM loan securitization | February 2021 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Principal Balance of Loans Transferred to the Depositor | 251,771 | |||||||
The Company [Member] | Non-QM loan securitization | June 2021 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Principal Balance of Loans Transferred to the Depositor | 331,777 | |||||||
The Company [Member] | Non-QM loan securitization | October 2021 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Principal Balance of Loans Transferred to the Depositor | 257,645 | |||||||
The Company [Member] | Non-QM loan securitization | January 2022 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Principal Balance of Loans Transferred to the Depositor | 417,188 | |||||||
The Company [Member] | Non-QM loan securitization | April 2022 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Principal Balance of Loans Transferred to the Depositor | 425,651 | |||||||
The Company [Member] | Non-QM loan securitization | July 2022 | ||||||||
Securitization Transactions [Line Items] | ||||||||
Principal Balance of Loans Transferred to the Depositor | $ 345,652 | |||||||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 for additional details on the Company's borrowings and related collateral. |
Securitization Transactions (_2
Securitization Transactions (Schedule of Assets and Liabilities Attributable to Consolidated VIEs) (Details) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2024 | Dec. 31, 2023 | ||
Variable Interest Entity [Line Items] | |||
Loans, at fair value(1)(2) | [1],[2] | $ 12,846,106 | $ 12,306,636 |
Investment related receivables(1) | [1] | 195,557 | 480,249 |
Other secured borrowings, at fair value(1) | [1] | $ 1,585,838 | 1,424,668 |
Non-QM loan securitization | |||
Variable Interest Entity [Line Items] | |||
Schedule of Assets and Liabilities of Consolidated Securitization Trusts | The following table details the assets and liabilities of the Consolidated Issuing Entities included in the Company's Condensed Consolidated Balance Sheet as of June 30, 2024 and December 31, 2023: (In thousands) June 30, 2024 December 31, 2023 Assets: Loans, at fair value $ 1,493,634 $ 1,555,371 Investment related receivables 9,207 1,884 Liabilities: Other secured borrowings, at fair value 1,369,246 1,424,668 | ||
Residential mortgage loans | |||
Variable Interest Entity [Line Items] | |||
Loans, at fair value(1)(2) | $ 3,101,615 | 3,093,912 | |
Consolidated Entities [Member] | Non-QM loan securitization | |||
Variable Interest Entity [Line Items] | |||
Investment related receivables(1) | 9,207 | 1,884 | |
Other secured borrowings, at fair value(1) | $ 1,369,246 | $ 1,424,668 | |
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 for additional details on the Company's borrowings and related collateral. |
Securitization Transactions (_3
Securitization Transactions (Schedule of Non-Consolidated Non-QM Securitizations (Details) - Non-QM loan securitization, not consolidated $ in Thousands | 6 Months Ended |
Jun. 30, 2024 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 |
April 2024 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 300,452 |
April 2024 | The Company [Member] | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 194,497 |
April 2024 | non-QM co-participant | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | $ 105,955 |
Securitization Transactions - P
Securitization Transactions - Participation in Consumer Loan Securitization (Details) - Participation in Multi-Seller Consumer Loan Securitization [Member] $ in Thousands | 6 Months Ended |
Jun. 30, 2024 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 CLO Securitization Transactions) (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 | |
Securitization Transactions [Line Items] | |||
Securities, at fair value(1)(2) | [1],[2] | $ 1,127,684 | $ 1,518,377 |
CLOs | Related Party CLO securitization [Member] | |||
Securitization Transactions [Line Items] | |||
Securities, at fair value(1)(2) | $ 2,800 | $ 5,100 | |
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 for additional details on the Company's borrowings and related collateral. |
Securitization Transactions (RM
Securitization Transactions (RM BS Details) - USD ($) $ in Thousands | 6 Months Ended | |||||||
Jun. 30, 2024 | Dec. 31, 2023 | Jun. 30, 2023 | [1] | Dec. 31, 2022 | ||||
Securitization Transactions [Line Items] | ||||||||
Loans, at fair value(1)(2) | [1],[2] | $ 12,846,106 | $ 12,306,636 | |||||
Restricted cash | 6,098 | [1] | 1,618 | [1] | $ 1,602 | $ 4,816 | ||
Other secured borrowings, at fair value(1) | [1] | $ 1,585,838 | 1,424,668 | |||||
Non-QM loan securitization | ||||||||
Text Block [Abstract] | ||||||||
Schedule of Assets and Liabilities of Consolidated Securitization Trusts | The following table details the assets and liabilities of the Consolidated Issuing Entities included in the Company's Condensed Consolidated Balance Sheet as of June 30, 2024 and December 31, 2023: (In thousands) June 30, 2024 December 31, 2023 Assets: Loans, at fair value $ 1,493,634 $ 1,555,371 Investment related receivables 9,207 1,884 Liabilities: Other secured borrowings, at fair value 1,369,246 1,424,668 | |||||||
Proprietary Reverse Mortgage Loan Securitization | ||||||||
Text Block [Abstract] | ||||||||
Schedule of Assets and Liabilities of Consolidated Securitization Trusts | The following table details the assets and liabilities of the RM Issuing Entity included in the Company's Condensed Consolidated Balance Sheet as of June 30, 2024: June 30, 2024 Assets: (In thousands) Restricted cash $ 4,489 Loans, at fair value 181,073 Liabilities: Other secured borrowings, at fair value 158,397 | |||||||
Residential mortgage loans | ||||||||
Securitization Transactions [Line Items] | ||||||||
Loans, at fair value(1)(2) | $ 3,101,615 | 3,093,912 | ||||||
Consolidated Entities [Member] | Non-QM loan securitization | ||||||||
Securitization Transactions [Line Items] | ||||||||
Other secured borrowings, at fair value(1) | 1,369,246 | 1,424,668 | ||||||
Consolidated Entities [Member] | Proprietary Reverse Mortgage Loan Securitization | ||||||||
Securitization Transactions [Line Items] | ||||||||
Other secured borrowings, at fair value(1) | 158,397 | |||||||
Consolidated Entities [Member] | Residential mortgage loans | Securitized loans [Member] | Non-QM loan securitization | ||||||||
Securitization Transactions [Line Items] | ||||||||
Loans, at fair value(1)(2) | 1,493,634 | $ 1,555,371 | ||||||
Consolidated Entities [Member] | Proprietary reverse mortgage loans | Securitized loans [Member] | Proprietary Reverse Mortgage Loan Securitization | ||||||||
Securitization Transactions [Line Items] | ||||||||
Loans, at fair value(1)(2) | 181,073 | |||||||
Restricted cash | $ 4,489 | |||||||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 for additional details on the Company's borrowings and related collateral. |
(Schedule of Reverse Repurchase
(Schedule of Reverse Repurchase Agreements by Maturity) (Details) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2024 USD ($) counterparty | Dec. 31, 2023 USD ($) counterparty | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | [1] | $ 2,301,976 | $ 2,967,437 |
Number of Counterparties with Outstanding Reverse Repurchase Agreements | counterparty | 23 | 26 | |
Total secured borrowings | $ 12,900,000 | $ 13,100,000 | |
Agency RMBS | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 383,409 | 1,095,341 | |
Agency RMBS | 30 Days or Less | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 308,855 | 1,076,710 | |
Agency RMBS | 31-60 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 71,692 | 15,786 | |
Agency RMBS | 61-90 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 883 | 914 | |
Agency RMBS | 151 to 180 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 1,979 | 1,931 | |
Credit | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 1,540,086 | 1,566,852 | |
Credit | 30 Days or Less | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 15,360 | 124,617 | |
Credit | 31-60 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 134,122 | 136,434 | |
Credit | 61-90 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 107,561 | 82,992 | |
Credit | 91-120 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 1,063,288 | 290,215 | |
Credit | 121-150 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 970 | 0 | |
Credit | 151 to 180 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 15,187 | 5,980 | |
Credit | 181 to 364 days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 99,631 | 867,983 | |
Credit | Greater than 364 days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 103,967 | 58,631 | |
Reverse mortgage loans | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 131,868 | 150,228 | |
Reverse mortgage loans | 31-60 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 26,901 | 0 | |
Reverse mortgage loans | 91-120 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 104,967 | 0 | |
Reverse mortgage loans | 121-150 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 0 | 0 | |
Reverse mortgage loans | 181 to 364 days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 0 | 150,228 | |
U.S. Treasury securities | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | 246,613 | 155,016 | |
U.S. Treasury securities | 30 Days or Less | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase agreements(1) | $ 246,613 | $ 155,016 | |
Minimum | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 4.57% | 4.81% | |
Repurchase agreements, remaining days to maturity | 1 day | 2 days | |
Maximum | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 8.86% | 8.68% | |
Repurchase agreements, remaining days to maturity | 644 days | 513 days | |
Weighted Average | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 6.93% | 6.67% | |
Repurchase agreements, remaining days to maturity | 95 days | 126 days | |
Weighted Average | Agency RMBS | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 5.48% | 5.55% | |
Repurchase agreements, remaining days to maturity | 23 days | 18 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 | 5.46% | 5.55% | |
Repurchase agreements, remaining days to maturity | 17 days | 17 days | |
Weighted Average | Agency RMBS | 31-60 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 5.51% | 5.81% | |
Repurchase agreements, remaining days to maturity | 45 days | 49 days | |
Weighted Average | Agency RMBS | 61-90 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 6.11% | 6.16% | |
Repurchase agreements, remaining days to maturity | 73 days | 72 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 | 6.15% | 6.23% | |
Repurchase agreements, remaining days to maturity | 162 days | 159 days | |
Weighted Average | Credit | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 7.38% | 7.44% | |
Repurchase agreements, remaining days to maturity | 130 days | 199 days | |
Weighted Average | Credit | 30 Days or Less | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 6.96% | 6.80% | |
Repurchase agreements, remaining days to maturity | 18 days | 22 days | |
Weighted Average | Credit | 31-60 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 6.75% | 7.03% | |
Repurchase agreements, remaining days to maturity | 45 days | 41 days | |
Weighted Average | Credit | 61-90 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 6.64% | 6.85% | |
Repurchase agreements, remaining days to maturity | 75 days | 74 days | |
Weighted Average | Credit | 91-120 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 7.41% | 7.36% | |
Repurchase agreements, remaining days to maturity | 99 days | 116 days | |
Weighted Average | Credit | 121-150 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 6.58% | 0% | |
Repurchase agreements, remaining days to maturity | 141 days | 0 days | |
Weighted Average | Credit | 151 to 180 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 6.69% | 6.68% | |
Repurchase agreements, remaining days to maturity | 162 days | 161 days | |
Weighted Average | Credit | 181 to 364 days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 8.35% | 7.61% | |
Repurchase agreements, remaining days to maturity | 278 days | 268 days | |
Weighted Average | Credit | Greater than 364 days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 7.93% | 8.61% | |
Repurchase agreements, remaining days to maturity | 482 days | 513 days | |
Weighted Average | Reverse mortgage loans | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 8.65% | 7.97% | |
Repurchase agreements, remaining days to maturity | 84 days | 282 days | |
Weighted Average | Reverse mortgage loans | 31-60 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 8.86% | 0% | |
Repurchase agreements, remaining days to maturity | 37 days | 0 days | |
Weighted Average | Reverse mortgage loans | 91-120 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 8.59% | 0% | |
Repurchase agreements, remaining days to maturity | 95 days | 0 days | |
Weighted Average | Reverse mortgage loans | 121-150 Days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 0% | 0% | |
Repurchase agreements, remaining days to maturity | 0 days | ||
Weighted Average | Reverse mortgage loans | 181 to 364 days | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 0% | 7.97% | |
Repurchase agreements, remaining days to maturity | 282 days | ||
Weighted Average | U.S. Treasury securities | |||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | |||
Repurchase Agreements Interest Rate | 5.46% | 5.51% | |
Repurchase agreements, remaining days to maturity | 1 day | 2 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 | 5.46% | 5.51% | |
Repurchase agreements, remaining days to maturity | 1 day | 2 days | |
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Borrowings (Amounts at Risk) (D
Borrowings (Amounts at Risk) (Details) - Nomura Holdings Inc. - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
Borrowings [Line Items] | ||
Repurchase Agreement Counterparty, Amount at Risk | $ 212,043 | $ 216,886 |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 97 days | 246 days |
Fair Value, Concentration of Risk, Maximum Amount of Loss | ||
Borrowings [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 13.50% | 14.20% |
Borrowings- Warehouse lines of
Borrowings- Warehouse lines of credit (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 | Jun. 30, 2023 | |
Line of Credit Facility [Line Items] | ||||
Other secured borrowings(1) | [1] | $ 217,225 | $ 245,827 | |
Warehouse facility A | ||||
Line of Credit Facility [Line Items] | ||||
Other secured borrowings(1) | 88,538 | 83,393 | ||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 99,464 | $ 99,340 | ||
Debt Instrument, Interest Rate, Effective Rate | 8.95% | 8.60% | ||
Warehouse facility B | ||||
Line of Credit Facility [Line Items] | ||||
Other secured borrowings(1) | $ 56,088 | $ 76,717 | ||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 60,930 | $ 88,251 | ||
Debt Instrument, Interest Rate, Effective Rate | 8.03% | 8.21% | ||
Warehouse LOC | Reverse mortgage loans | ||||
Line of Credit Facility [Line Items] | ||||
Other secured borrowings(1) | $ 144,626 | $ 160,110 | ||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 160,394 | $ 187,591 | ||
Debt Instrument, Interest Rate, Effective Rate | 8.38% | 8.60% | ||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. |
Borrowings (Details)
Borrowings (Details) $ in Thousands | 6 Months Ended | 12 Months Ended | ||||||
Jun. 30, 2024 USD ($) counterparty Rate | Dec. 31, 2023 USD ($) counterparty Rate | Jun. 30, 2023 USD ($) Rate | Dec. 31, 2022 USD ($) | |||||
Borrowings [Line Items] | ||||||||
Total secured borrowings | $ 12,900,000 | $ 13,100,000 | ||||||
Number of Counterparties with Outstanding Reverse Repurchase Agreements | counterparty | 23 | 26 | ||||||
Securities Collateral relating to Reverse Repurchase Agreements | $ 2,900,000 | $ 3,700,000 | ||||||
Collateral on repurchase agreements, unsettled sales | $ 32,800 | 346,600 | ||||||
Repurchase Agreements amount at risk threshold | 10% | |||||||
Other secured borrowings(1) | [1] | $ 217,225 | 245,827 | |||||
Other secured borrowings, at fair value(1) | [1] | 1,585,838 | 1,424,668 | |||||
HMBS-related obligations, at fair value | 8,832,058 | 8,423,235 | ||||||
Cash and Cash Equivalents, at Carrying Value | 198,513 | [1] | 228,927 | [1] | $ 194,595 | [1] | $ 217,053 | |
Arlington Asset Investment Corp. | ||||||||
Borrowings [Line Items] | ||||||||
Collateral on repurchase agreements, unsettled sales | 341,100 | |||||||
Secured borrowing facility collateralized by ABS backed by consumer loans [Member] | ||||||||
Borrowings [Line Items] | ||||||||
Other secured borrowings(1) | $ 29,500 | $ 25,800 | ||||||
Debt Instrument, Interest Rate, Effective Rate | 9.76% | 9.83% | ||||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 68,600 | $ 69,800 | ||||||
Non-QM loan securitization | ||||||||
Borrowings [Line Items] | ||||||||
Other secured borrowings, at fair value(1) | $ 1,370,000 | $ 1,420,000 | ||||||
Debt Instrument, Interest Rate, Effective Rate | 3.04% | 3.03% | ||||||
Warehouse facility A | ||||||||
Borrowings [Line Items] | ||||||||
Other secured borrowings(1) | $ 88,538 | $ 83,393 | ||||||
Debt Instrument, Interest Rate, Effective Rate | Rate | 8.95% | 8.60% | ||||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 99,464 | $ 99,340 | ||||||
Secured borrowing facility collateralized by HECM tail draws | ||||||||
Borrowings [Line Items] | ||||||||
Other secured borrowings(1) | $ 18,300 | $ 18,700 | ||||||
Debt Instrument, Interest Rate, Effective Rate | 9% | 9% | ||||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 29,500 | $ 29,200 | ||||||
Secured borrowing facility collateralized by MSRs | ||||||||
Borrowings [Line Items] | ||||||||
Other secured borrowings(1) | $ 14,300 | $ 26,600 | ||||||
Debt Instrument, Interest Rate, Effective Rate | 10.44% | 10.46% | ||||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 94,600 | $ 88,400 | ||||||
GNMA HMBS | ||||||||
Borrowings [Line Items] | ||||||||
Debt Instrument, Interest Rate, Effective Rate | 6.58% | 6.46% | ||||||
HMBS-related obligations, at fair value | $ 8,800,000 | $ 8,400,000 | ||||||
MLPS Counterparty | ||||||||
Borrowings [Line Items] | ||||||||
Other secured borrowings(1) | $ 10,500 | $ 14,700 | ||||||
Debt Instrument, Interest Rate, Effective Rate | 7.57% | 7.59% | ||||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 10,700 | $ 14,900 | ||||||
Reverse Loan Securitization | ||||||||
Borrowings [Line Items] | ||||||||
Other secured borrowings, at fair value(1) | $ 158,400 | |||||||
Debt Instrument, Interest Rate, Effective Rate | 4.50% | |||||||
European Residential Loan Securitization | ||||||||
Borrowings [Line Items] | ||||||||
Other secured borrowings, at fair value(1) | $ 58,200 | |||||||
Debt Instrument, Interest Rate, Effective Rate | 6.92% | |||||||
Minimum | ||||||||
Borrowings [Line Items] | ||||||||
Reverse Repurchase Agreements Maturity | 30 days | |||||||
Repurchase agreements, remaining days to maturity | 1 day | 2 days | ||||||
Repurchase Agreements Interest Rate | 4.57% | 4.81% | ||||||
Maximum | ||||||||
Borrowings [Line Items] | ||||||||
Reverse Repurchase Agreements Maturity | 364 days | |||||||
Repurchase agreements, remaining days to maturity | 644 days | 513 days | ||||||
Repurchase Agreements Interest Rate | 8.86% | 8.68% | ||||||
Repurchase Agreements | ||||||||
Borrowings [Line Items] | ||||||||
Securities Collateral relating to Reverse Repurchase Agreements | $ 2,238,350 | $ 2,822,912 | ||||||
Cash collateral posted for securities sold under agreements to repurchase | 1,600 | (11,200) | ||||||
Securities Collateral Posted for Securities Sold Under Agreements to Repurchase | 100 | |||||||
Securitized residential mortgage loans | ||||||||
Borrowings [Line Items] | ||||||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | 1,500,000 | 1,600,000 | ||||||
HECM loans | GNMA HMBS | ||||||||
Borrowings [Line Items] | ||||||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | 8,900,000 | $ 8,500,000 | ||||||
Securitized Reverse Mortgage Loans | ||||||||
Borrowings [Line Items] | ||||||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | 181,100 | |||||||
Cash and Cash Equivalents, at Carrying Value | 4,500 | |||||||
Securitized European Residential Mortgage Loans | ||||||||
Borrowings [Line Items] | ||||||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | 52,400 | |||||||
Cash and Cash Equivalents, at Carrying Value | 6,800 | |||||||
5.875% Senior Notes | Unsecured Borrowings | ||||||||
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 | |||||||
6.75% Senior Notes | Unsecured Borrowings | ||||||||
Borrowings [Line Items] | ||||||||
Debt Instrument, Face Amount | $ 34,900 | |||||||
Debt Instrument, Interest Rate, Stated Percentage | 6.75% | |||||||
Debt Instrument, Maturity Date | Mar. 15, 2025 | |||||||
6.00% Senior Notes | Unsecured Borrowings | ||||||||
Borrowings [Line Items] | ||||||||
Debt Instrument, Face Amount | $ 37,800 | |||||||
Debt Instrument, Interest Rate, Stated Percentage | 6% | |||||||
Debt Instrument, Maturity Date | Aug. 01, 2026 | |||||||
Trusted Preferred Debt | Unsecured Borrowings | ||||||||
Borrowings [Line Items] | ||||||||
Debt Instrument, Face Amount | $ 15,000 | |||||||
Trusted Preferred Debt | Unsecured Borrowings | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | October 7, 2033 | ||||||||
Borrowings [Line Items] | ||||||||
Debt Instrument, Face Amount | $ 10,000 | |||||||
Debt Instrument, Maturity Date | Oct. 07, 2033 | |||||||
Debt Instrument, Basis Spread on Variable Rate | 3.26% | |||||||
Trusted Preferred Debt | Unsecured Borrowings | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | July 5, 2035 | ||||||||
Borrowings [Line Items] | ||||||||
Debt Instrument, Face Amount | $ 5,000 | |||||||
Debt Instrument, Maturity Date | Jul. 07, 2035 | |||||||
Debt Instrument, Basis Spread on Variable Rate | 2.51% | |||||||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 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 | Jun. 30, 2024 USD ($) |
Debt Instrument [Line Items] | |
Expected principal repayments related to consolidated residential mortgage loan securitizations | $ 846,800 |
Expected Principal Repayments Related to Consolidated Reverse Mortgage Loan Securitizations | 113,600 |
Expected Principal Repayments Related to Consolidated European Mortgage Loan Securitizations | 40,000 |
Repurchase Agreements | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 2,254,969 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 47,007 |
Long-Term Debt, Maturities, Repayments of Principal in Rolling Year Three | 0 |
Long-Term Debt, Maturities, Repayments of Principal in Rolling Year Four | 0 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 0 |
Total Scheduled Repayment of Principal | 2,301,976 |
Other Secured Borrowings | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 417,119 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 254,170 |
Long-Term Debt, Maturities, Repayments of Principal in Rolling Year Three | 215,412 |
Long-Term Debt, Maturities, Repayments of Principal in Rolling Year Four | 183,417 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 147,529 |
Total Scheduled Repayment of Principal | 1,217,647 |
HMBS-related obligations | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 1,200,450 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 991,074 |
Long-Term Debt, Maturities, Repayments of Principal in Rolling Year Three | 928,810 |
Long-Term Debt, Maturities, Repayments of Principal in Rolling Year Four | 866,802 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 942,216 |
Total Scheduled Repayment of Principal | 4,929,352 |
Unsecured Borrowings | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 34,931 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 0 |
Long-Term Debt, Maturities, Repayments of Principal in Rolling Year Three | 247,750 |
Long-Term Debt, Maturities, Repayments of Principal in Rolling Year Four | 0 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 0 |
Total Scheduled Repayment of Principal | 282,681 |
Total | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 3,907,469 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 1,292,251 |
Long-Term Debt, Maturities, Repayments of Principal in Rolling Year Three | 1,391,972 |
Long-Term Debt, Maturities, Repayments of Principal in Rolling Year Four | 1,050,219 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 1,089,745 |
Total Scheduled Repayment of Principal | $ 8,731,656 |
Income Taxes Income Taxes (Deta
Income Taxes Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Income Tax Disclosure [Abstract] | ||||
Income tax expense (benefit) | $ 142 | $ 83 | $ 202 | $ 104 |
Deferred Tax Assets, Gross | $ 65,900 | $ 65,900 |
Income Taxes - Tax Provision (D
Income Taxes - Tax Provision (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Income Tax Examination [Line Items] | ||||
Income tax expense (benefit) | $ 142 | $ 83 | $ 202 | $ 104 |
Related Party Transactions (Det
Related Party Transactions (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | |||||||
Jun. 30, 2024 USD ($) | Jun. 30, 2023 USD ($) | Jun. 30, 2024 USD ($) period | Jun. 30, 2023 USD ($) | Dec. 31, 2023 USD ($) numberOfWarrants | |||||
Related Party Transaction [Line Items] | |||||||||
Annual base management fee percentage | 1.50% | ||||||||
Base management fee to affiliate | [1] | $ 5,811 | $ 4,913 | $ 11,541 | $ 9,869 | ||||
Base management fee, gross | 5,900 | 5,000 | 11,700 | 10,200 | |||||
Base management fee to affiliate (Net of fee rebates of $78, $111, $164, and $283, respectively)(1) | 78 | 111 | $ 164 | 283 | [1] | ||||
Incentive fee rate | 25% | ||||||||
Incentive Fee, Loss Carryforward | $ 22,100 | ||||||||
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 | $ 14,500 | 9,000 | |||||||
Investments in unconsolidated entities, at fair value(1) | 163,182 | [2] | 163,182 | [2] | 116,414 | ||||
Non-controlling interests(1) | [2] | 21,074 | 21,074 | 18,541 | |||||
Reverse repurchase agreements | 2,301,976 | 2,301,976 | 2,967,437 | ||||||
Real estate owned(1)(2) | [2],[3] | 25,248 | 25,248 | 22,085 | |||||
Securities, at fair value(1)(2) | [2],[3] | 1,127,684 | 1,127,684 | 1,518,377 | |||||
Accrued expenses and other liabilities(1) | [2] | 64,640 | 64,640 | 90,341 | |||||
Other assets(1) | [2] | 67,201 | 67,201 | 77,099 | |||||
Unpaid Principal Balance | 12,600,832 | 12,600,832 | 12,164,019 | ||||||
Related Party Transaction, Purchases from Related Party | 700 | 1,200 | 700 | ||||||
Securities Collateral relating to Reverse Repurchase Agreements | 2,900,000 | 2,900,000 | 3,700,000 | ||||||
Income tax expense (benefit) | 142 | 83 | 202 | 104 | |||||
Loans, at fair value(1)(2) | [2],[3] | 12,846,106 | 12,846,106 | 12,306,636 | |||||
Earnings (losses) from investments in unconsolidated entities | 12,042 | (5,868) | 14,268 | (2,424) | |||||
Payments to Acquire Equity Method Investments | 53,968 | 44,555 | |||||||
Realized gains (losses) on securities and loans, net | (22,968) | $ (17,388) | (40,176) | $ (54,155) | |||||
Corporate loan [Member] | |||||||||
Related Party Transaction [Line Items] | |||||||||
Unpaid Principal Balance | 5,773 | 5,773 | 6,379 | ||||||
Loans, at fair value(1)(2) | 4,933 | 4,933 | 5,819 | ||||||
Related Party-Consumer Loans Titled in Name of Related Party | |||||||||
Related Party Transaction [Line Items] | |||||||||
Fair value of loans held in related party trust | 68,900 | 68,900 | 74,200 | ||||||
Affiliated Entity [Member] | |||||||||
Related Party Transaction [Line Items] | |||||||||
Accounts payable and accrued expenses | [2] | 4,900 | 4,900 | 5,200 | |||||
Mortgage Originator | |||||||||
Related Party Transaction [Line Items] | |||||||||
Advances made under warehouse facility | 0 | ||||||||
Investments in unconsolidated entities, at fair value(1) | 600 | 600 | 600 | ||||||
Purchasing Entity | |||||||||
Related Party Transaction [Line Items] | |||||||||
Fair value of loans held in related party trust | 900 | 900 | 1,600 | ||||||
Related party trust - Residential Mortgage Loans and REO | |||||||||
Related Party Transaction [Line Items] | |||||||||
Fair value of loans held in related party trust | 1,600,000 | 1,600,000 | 1,500,000 | ||||||
Mortgage Originator | |||||||||
Related Party Transaction [Line Items] | |||||||||
Warehouse facility, monetary amount | $ 5,000 | $ 5,000 | |||||||
Interest rate | 15% | 15% | |||||||
Advances made under warehouse facility | $ 0 | $ 0 | |||||||
Investments in unconsolidated entities, at fair value(1) | 21,500 | 21,500 | 23,800 | ||||||
Jepson Holdings Limited | |||||||||
Related Party Transaction [Line Items] | |||||||||
Investments in unconsolidated entities, at fair value(1) | 200 | 200 | 600 | ||||||
Commercial mortgage loans and REO | |||||||||
Related Party Transaction [Line Items] | |||||||||
Reverse repurchase agreements | 153,200 | 153,200 | $ 165,900 | ||||||
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) | 1,127,684 | 1,127,684 | $ 1,518,377 | ||||||
Warrants | Mortgage Originator | |||||||||
Related Party Transaction [Line Items] | |||||||||
Investments in unconsolidated entities, at fair value(1) | 10,300 | ||||||||
Mortgage-related Commercial | Corporate equity securities | |||||||||
Related Party Transaction [Line Items] | |||||||||
Fair Value | 96,700 | 96,700 | 63,700 | ||||||
Participation in multi-borrower financing facility | |||||||||
Related Party Transaction [Line Items] | |||||||||
Outstanding debt of related party | 682,400 | 682,400 | 560,500 | ||||||
Warehouse facilities - CLO securitizations | |||||||||
Related Party Transaction [Line Items] | |||||||||
Investments in unconsolidated entities, at fair value(1) | $ 33 | $ 33 | $ 200 | ||||||
[1] See Note 16 for further details on management fee rebates. Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 for additional details on the Company's borrowings and related collateral. |
Related Party Transactions (Pro
Related Party Transactions (Promissory Note to Related Party) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | ||
Related Party Transaction [Line Items] | ||||||
Unpaid Principal Balance | $ 12,600,832 | $ 12,600,832 | $ 12,164,019 | |||
Loans, at fair value(1)(2) | [1],[2] | 12,846,106 | 12,846,106 | 12,306,636 | ||
Realized gains (losses) on securities and loans, net | (22,968) | $ (17,388) | (40,176) | $ (54,155) | ||
Earnings (losses) from investments in unconsolidated entities | 12,042 | (5,868) | 14,268 | (2,424) | ||
Corporate loan [Member] | ||||||
Related Party Transaction [Line Items] | ||||||
Unpaid Principal Balance | 5,773 | 5,773 | 6,379 | |||
Loans, at fair value(1)(2) | $ 4,933 | $ 4,933 | $ 5,819 | |||
Corporate loan [Member] | Equity Method Investee | Promissory note to equity method investee, effective date May 2021 | ||||||
Related Party Transaction [Line Items] | ||||||
Investment Maturity Date | Dec. 31, 2025 | Dec. 31, 2025 | ||||
Line of Credit Facility, Maximum Borrowing Capacity | $ 6,000 | $ 6,000 | ||||
Investment Interest Rate | 12% | 12% | 9% | |||
Unpaid Principal Balance | $ 1,000 | $ 1,000 | $ 2,335 | |||
Loans, at fair value(1)(2) | $ 1,000 | $ 1,000 | $ 1,000 | $ 1,000 | $ 2,335 | |
Corporate loan [Member] | Equity Method Investee | Promissory Note to Equity Method Investee, Effective Date February 2022 | ||||||
Related Party Transaction [Line Items] | ||||||
Investment Maturity Date | Jan. 31, 2025 | Jan. 31, 2025 | ||||
Line of Credit Facility, Maximum Borrowing Capacity | $ 750 | $ 750 | ||||
Investment Interest Rate | 7% | 7% | 7% | |||
Unpaid Principal Balance | $ 625 | $ 625 | $ 575 | |||
Loans, at fair value(1)(2) | $ 625 | $ 625 | $ 575 | |||
Corporate loan [Member] | Equity Method Investee | Promissory note to equity method investee, effective date December 2022 | ||||||
Related Party Transaction [Line Items] | ||||||
Investment Maturity Date | Dec. 16, 2024 | Dec. 16, 2024 | ||||
Line of Credit Facility, Maximum Borrowing Capacity | $ 3,500 | $ 3,500 | ||||
Investment Interest Rate | 15% | 15% | 15% | |||
Unpaid Principal Balance | $ 1,644 | $ 1,644 | $ 1,644 | |||
Loans, at fair value(1)(2) | $ 1,233 | $ 1,233 | $ 1,233 | |||
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 for additional details on Ellington Financial Inc.'s consolidated variable interest entities. Includes assets pledged as collateral to counterparties. See Note 14 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 | 6 Months Ended | |||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Share-based long term incentive plan unit expense | $ 0.3 | $ 0.3 | $ 0.6 | $ 0.7 | |
Capital shares reserved for future issuance (in shares) | 1,399,440 | 1,399,440 | 1,439,180 |
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] | 6 Months Ended |
Jun. 30, 2024 shares | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 124,749 |
Vest September 13, 2024 | Director [Member] | Grant Date December 14, 2023 | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 30,628 |
Grant Date | Dec. 14, 2023 |
Vesting Date(1) | Sep. 13, 2024 |
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 |
Vest December 14, 2024 | Dedicated or partially dedicated personnel [Member] | Grant Date December 14, 2023 | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 22,135 |
Grant Date | Dec. 14, 2023 |
Vesting Date(1) | Dec. 14, 2024 |
Vest December 14, 2025 | Dedicated or partially dedicated personnel [Member] | Grant Date December 14, 2023 | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 17,538 |
Grant Date | Dec. 14, 2023 |
Vesting Date(1) | Dec. 14, 2025 |
Vest December 31, 2025 | Dedicated or partially dedicated personnel [Member] | Grant Date March 19, 2024 | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 39,740 |
Grant Date | Mar. 19, 2024 |
Vesting Date(1) | Dec. 31, 2025 |
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 | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||||
LTIP Units Outstanding, beginning of period | 788,695 | 769,573 | 748,955 | 769,573 |
Granted | 0 | 0 | 39,740 | 0 |
LTIP Units Outstanding, end of period | 788,695 | 769,573 | 788,695 | 769,573 |
OP LTIP Units Unvested and Outstanding end of period | 124,749 | 113,615 | 124,749 | 113,615 |
OP LTIP Units Vested and Outstanding end of period | 663,946 | 655,958 | 663,946 | 655,958 |
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 | 365,518 | 365,518 |
Granted | 0 | 0 | 0 | 0 |
LTIP Units Outstanding, end of period | 365,518 | 365,518 | 365,518 | 365,518 |
OP LTIP Units Unvested and Outstanding end of period | 0 | 0 | 0 | 0 |
OP LTIP Units Vested and Outstanding end of period | 365,518 | 365,518 | 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 | 423,177 | 404,055 | 383,437 | 404,055 |
Granted | 0 | 0 | 39,740 | 0 |
LTIP Units Outstanding, end of period | 423,177 | 404,055 | 423,177 | 404,055 |
OP LTIP Units Unvested and Outstanding end of period | 124,749 | 113,615 | 124,749 | 113,615 |
OP LTIP Units Vested and Outstanding end of period | 298,428 | 290,440 | 298,428 | 290,440 |
Non-controlling Interests (Deta
Non-controlling Interests (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2024 | Dec. 31, 2023 | ||
Noncontrolling Interest [Line Items] | |||
Non-controlling interests(1) | [1] | $ 21,074 | $ 18,541 |
Longbridge Financial LLC [Member] | |||
Noncontrolling Interest [Line Items] | |||
Business Combination, Step Acquisition, Equity Interest in Acquiree, Including Subsequent Acquisition, Percentage | 99.60% | ||
Ownership Percentage | 99.60% | ||
Non-controlling interest of joint venture partner | Non-controlling Interest | |||
Noncontrolling Interest [Line Items] | |||
Non-controlling interests(1) | $ 6,700 | $ 4,900 | |
Operating Partnership | Non-controlling Interest | |||
Noncontrolling Interest [Line Items] | |||
Operating Partnership LTIP Units (in units) | 788,695 | 748,955 | |
Operating Partnership Units (in units) | 46,360 | 46,360 | |
Ownership Percentage | 0.80% | 0.70% | |
Noncontrolling Interest in Operating Partnerships | $ 11,800 | $ 11,100 | |
Longbridge Financial LLC [Member] | Non-controlling Interest | |||
Noncontrolling Interest [Line Items] | |||
Non-controlling interests(1) | $ 2,500 | $ 2,400 | |
[1] Ellington Financial Inc.'s Consolidated Balance Sheets include assets and liabilities of variable interest entities it has consolidated. See Note 12 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 | 6 Months Ended | |||||||||
Jun. 30, 2024 | Mar. 31, 2024 | Jun. 30, 2023 | Mar. 31, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2024 | Dec. 31, 2023 | Mar. 21, 2023 | Dec. 31, 2022 | ||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Preferred Stock, Shares Authorized | 100,000,000 | 100,000,000 | 100,000,000 | ||||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 | $ 0.001 | ||||||||
Preferred Stock, Shares Outstanding | 14,757,222 | 14,757,222 | 14,757,222 | ||||||||
Proceeds from Issuance of Preferred Stock and Preference Stock | [1] | $ 0 | $ 96,850 | ||||||||
Common stock, shares authorized (in shares) | 300,000,000 | 300,000,000 | 200,000,000 | ||||||||
Common Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 | $ 0.001 | ||||||||
Common stock, shares outstanding | 85,041,913 | 85,056,648 | 67,161,740 | 67,185,076 | 85,041,913 | 67,161,740 | 83,000,488 | 63,812,215 | |||
Stock Issued During Period, Shares, New Issues | 0 | 0 | 2,103,725 | 4,433,861 | |||||||
Common shares issued and outstanding upon conversion of all convertible securities (in shares) | 85,876,968 | 85,876,968 | 83,795,803 | ||||||||
Number of shares authorized to be repurchased (in shares) | 1,550,000 | ||||||||||
Stock Repurchase Program, Authorized Amount | $ 45,100 | $ 45,100 | $ 50,000 | ||||||||
Shares repurchased | (14,735) | (23,336) | (62,300) | (1,084,336) | |||||||
Average price per share (USD per share) | $ 10.95 | $ 12 | $ 11 | $ 11.39 | |||||||
Total cost | $ (161) | $ (524) | $ (280) | $ (12,072) | $ (700) | $ (12,400) | |||||
Preferred ATM Program | |||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Maximum shares available to be issued under at the market program | 100,000,000 | ||||||||||
At The Market Program, Remaining Authorized Amount | $ 99,500 | $ 99,500 | |||||||||
2023 Common ATM Program | |||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Proceeds from issuance of shares, net | $ 26,900 | ||||||||||
Maximum shares available to be issued under at the market program | 225,000,000 | ||||||||||
Stock Issued During Period, Shares, New Issues | 2,103,725 | ||||||||||
Commissions and offering costs | $ 300 | ||||||||||
Common ATM Programs | |||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Proceeds from issuance of shares, net | $ 60,500 | ||||||||||
Stock Issued During Period, Shares, New Issues | 4,433,861 | ||||||||||
Commissions and offering costs | $ 900 | ||||||||||
Series C Preferred Stock | |||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Proceeds from issuance of shares, net | 96,500 | ||||||||||
Commissions and offering costs | $ 3,500 | ||||||||||
Series A Preferred Stock | |||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 | |||||||||
Preferred Stock, Amount of Preferred Dividends in Arrears | $ 4,000 | $ 4,000 | |||||||||
Preferred Stock, Shares Outstanding | 4,600,000 | 4,600,000 | 4,600,000 | ||||||||
Preferred Stock, Dividend Rate, Percentage | 6.75% | ||||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | $ 25 | |||||||||
Preferred Stock Dividend Rate Variable Rate Spread | 5.196% | ||||||||||
Series B Preferred Stock | |||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 | |||||||||
Preferred Stock, Shares Outstanding | 4,820,421 | 4,820,421 | 4,820,421 | ||||||||
Preferred Stock, Dividend Rate, Percentage | 6.25% | ||||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | $ 25 | |||||||||
Preferred Stock Dividend Rate Variable Rate Spread | 4.99% | ||||||||||
Series C Preferred Stock | |||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.001 | ||||||||||
Preferred Stock, Shares Outstanding | 4,000,000 | 4,000,000 | |||||||||
Preferred Stock, Dividend Rate, Percentage | 8.625% | ||||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | $ 25 | |||||||||
Preferred Stock Dividend Rate Variable Rate Spread | 5.13% | ||||||||||
Series D Preferred Stock | |||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 | |||||||||
Preferred Stock, Shares Outstanding | 379,668 | 379,668 | |||||||||
Preferred Stock, Dividend Rate, Percentage | 7% | ||||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | $ 25 | |||||||||
Series E Preferred Stock | |||||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 | |||||||||
Preferred Stock, Shares Outstanding | 957,133 | 957,133 | |||||||||
Preferred Stock, Dividend Rate, Percentage | 8.25% | ||||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25 | $ 25 | $ 25 | ||||||||
Preferred Stock Dividend Rate Variable Rate Spread | 5.664% | ||||||||||
[1] Net of discounts and commissions. |
Equity (Summary of Common Stock
Equity (Summary of Common Stock Outstanding) (Details) - shares | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2024 | Mar. 31, 2024 | Jun. 30, 2023 | Mar. 31, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Noncontrolling Interest [Line Items] | ||||||
Common stock, shares outstanding | 85,041,913 | 85,056,648 | 67,161,740 | 67,185,076 | 85,041,913 | 67,161,740 |
Shares repurchased (in shares) | 14,735 | 23,336 | 62,300 | 1,084,336 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance (in shares) | 85,056,648 | 83,000,488 | 67,185,076 | 63,812,215 | 83,000,488 | 63,812,215 |
Stock Issued During Period, Shares, New Issues | 0 | 0 | 2,103,725 | 4,433,861 | ||
Shares repurchased | (14,735) | (23,336) | (62,300) | (1,084,336) | ||
Ending balance (in shares) | 85,041,913 | 85,056,648 | 67,161,740 | 67,185,076 | 85,041,913 | 67,161,740 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Net increase (decrease) in shareholders' equity resulting from operations | ||||
Net income (loss) attributable to common stockholders | $ 52,347 | $ 2,898 | $ 79,262 | $ 41,814 |
Add: Net income (loss) attributable to Convertible Non-controlling Interests | 514 | 35 | 769 | 511 |
Net income (loss) related to common stockholders and Convertible Non-controlling Interests | 52,861 | 2,933 | 80,031 | 42,325 |
Dividends Paid: | ||||
Dividends | (33,492) | (30,590) | (70,428) | (61,254) |
Undistributed (Distributed in excess of) earnings: | ||||
Total undistributed (distributed in excess of) earnings | $ 19,369 | $ (27,657) | $ 9,603 | $ (18,929) |
Weighted average shares outstanding (basic and diluted): | ||||
Weighted average shares outstanding (basic and diluted) (in shares) | 85,879,721 | 67,978,186 | 85,574,130 | 67,734,438 |
Basic earnings per share of common stock: | ||||
Distributed (in usd per share) | $ 0.39 | $ 0.45 | $ 0.82 | $ 0.90 |
Undistributed (Distributed in excess of) (in usd per share) | 0.23 | (0.41) | 0.12 | (0.28) |
Basic earnings per common share (in usd per share) | 0.62 | 0.04 | 0.94 | 0.62 |
Diluted earnings per share of common stock: | ||||
Distributed (in usd per share) | 0.39 | 0.45 | 0.82 | 0.90 |
Undistributed (Distributed in excess of) (usd per share) | 0.23 | (0.41) | 0.12 | (0.28) |
Diluted earnings per common share (in usd per share) | $ 0.62 | $ 0.04 | $ 0.94 | $ 0.62 |
Net increase (decrease) in equity resulting from operations | $ 400 | $ 1,800 | $ 600 | $ 2,100 |
Net increase (decrease) in equity resulting from operations | 400 | 1,800 | 600 | 2,100 |
Common Stock | ||||
Dividends Paid: | ||||
Dividends | (33,166) | (30,223) | (69,755) | (60,520) |
Undistributed (Distributed in excess of) earnings: | ||||
Total undistributed (distributed in excess of) earnings | $ 19,181 | $ (27,325) | $ 9,507 | $ (18,706) |
Weighted average shares outstanding (basic and diluted): | ||||
Weighted average shares outstanding (basic and diluted) (in shares) | 85,044,666 | 67,162,253 | 84,756,106 | 66,918,505 |
Non-controlling Interest | ||||
Dividends Paid: | ||||
Dividends | $ (326) | $ (367) | $ (673) | $ (734) |
Undistributed (Distributed in excess of) earnings: | ||||
Total undistributed (distributed in excess of) earnings | $ 188 | $ (332) | $ 96 | $ (223) |
Weighted average shares outstanding (basic and diluted): | ||||
Weighted average shares outstanding (basic and diluted) (in shares) | 835,055 | 815,933 | 818,024 | 815,933 |
(Schedule of Restricted Cash) (
(Schedule of Restricted Cash) (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 |
Restricted Cash [Line Items] | ||
Restricted cash | $ 6.1 | $ 1.6 |
Offsetting of Assets and Liab_3
Offsetting of Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Financial derivatives–assets | ||
Financial derivatives–assets, at fair value | $ 162,165 | $ 143,996 |
Financial Instruments Available for Offset | (39,020) | (50,301) |
Cash Collateral (Received) Pledged | (71,447) | (38,812) |
Net Amount | 51,698 | 54,883 |
Reverse repurchase agreements | ||
Reverse repurchase agreements | 85,671 | 173,145 |
Financial Instruments Available for Offset | (61,989) | (155,719) |
Cash Collateral (Received) Pledged | 0 | 0 |
Net Amount | 0 | 0 |
Financial derivatives–liabilities | ||
Financial derivatives–liabilities, at fair value- | (44,064) | (61,776) |
Financial Instruments Available for Offset | 39,020 | 50,301 |
Cash Collateral (Received) Pledged | 351 | 3,822 |
Net Amount | (4,693) | (7,653) |
Repurchase agreements | ||
Reverse repurchase agreements | (2,301,976) | (2,967,437) |
Financial Instruments Available for Offset | 61,989 | 155,719 |
Securities Collateral relating to Reverse Repurchase Agreements | 2,900,000 | 3,700,000 |
Cash Collateral (Received) Pledged | 1,637 | (11,194) |
Net Amount | 0 | 0 |
Financial Derivatives - Assets | ||
Financial derivatives–assets | ||
Derivative Asset, Fair Value of Collateral | 0 | 0 |
Repurchase agreements | ||
Excess cash collateral | 1,500 | (13,900) |
Securities Purchased under Agreements to Resell [Member] | ||
Reverse repurchase agreements | ||
Securities Purchased under Agreements to Resell, Fair Value of Collateral | (23,682) | (17,426) |
Financial Derivatives - Liabilities | ||
Financial derivatives–liabilities | ||
Derivative Liability, Fair Value of Collateral | 0 | 0 |
Repurchase agreements | ||
Excess cash collateral | (200) | 12,100 |
Reverse repurchase agreements | ||
Repurchase agreements | ||
Securities Collateral relating to Reverse Repurchase Agreements | $ 2,238,350 | $ 2,822,912 |
Counterparty Risk (Exposure to
Counterparty Risk (Exposure to Counterparty Risk) (Details) - Counterparty Risk [Member] $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 USD ($) counterparty | Dec. 31, 2023 USD ($) counterparty | |
Cash and Cash Equivalents | ||
Concentration Risk [Line Items] | ||
Amount of Exposure | $ | $ 198,513 | $ 228,927 |
Number of Counterparties with Exposure | counterparty | 9 | 11 |
Percentage of Total Outstanding Unpaid Principal Balance | 33.60% | 28.80% |
Collateral On Repurchase Agreements Held By Dealers | ||
Concentration Risk [Line Items] | ||
Amount of Exposure | $ | $ 2,888,475 | $ 3,672,278 |
Number of Counterparties with Exposure | counterparty | 24 | 28 |
Percentage of Total Outstanding Unpaid Principal Balance | 26.10% | 18.60% |
Due From Broker | ||
Concentration Risk [Line Items] | ||
Amount of Exposure | $ | $ 22,036 | $ 51,884 |
Number of Counterparties with Exposure | counterparty | 18 | 21 |
Percentage of Total Outstanding Unpaid Principal Balance | 53% | 58.50% |
Receivable For Securities Sold | ||
Concentration Risk [Line Items] | ||
Amount of Exposure | $ | $ 34,202 | $ 345,429 |
Number of Counterparties with Exposure | counterparty | 9 | 9 |
Percentage of Total Outstanding Unpaid Principal Balance | 51% | 54.30% |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | |
Other Commitments [Line Items] | |||||
Loan commitments, at fair value | $ 5,623 | $ 5,623 | $ 2,584 | ||
Operating Lease, Expense | 400 | $ 300 | 800 | $ 600 | |
Operating Lease, Right-of-Use Asset | 5,540 | 5,540 | 3,279 | ||
Operating Lease, Liability | $ 5,959 | $ 5,959 | $ 3,524 | ||
Operating Lease, Weighted Average Remaining Lease Term | 7 years 6 months | 7 years 6 months | 5 years 1 month 6 days | ||
Operating Lease, Weighted Average Discount Rate, Percent | 8.83% | 8.83% | 7.31% | ||
Operating Leases, Future Minimum Payments Due, Next Twelve Months | $ 541 | $ 541 | |||
Operating Leases, Future Minimum Payments, Due in Two Years | 1,240 | 1,240 | |||
Operating Leases, Future Minimum Payments, Due in Three Years | 1,237 | 1,237 | |||
Operating Leases, Future Minimum Payments, Due in Four Years | 1,140 | 1,140 | |||
Operating Leases, Future Minimum Payments, Due in Five Years | 929 | 929 | |||
Operating Leases, Future Minimum Payments, Due Thereafter | 3,467 | 3,467 | |||
Operating Leases, Future Minimum Payments Due | 8,554 | 8,554 | |||
Lessee, Operating Lease, Liability, Undiscounted Excess Amount | (2,595) | (2,595) | |||
Loan Purchase Commitments, at Fair Value | 275 | 275 | $ 0 | ||
Affiliated REIT | |||||
Other Commitments [Line Items] | |||||
Purchase Commitment, Remaining Minimum Amount Committed | 25,000 | 25,000 | |||
Investment in Other Loan Originator | |||||
Other Commitments [Line Items] | |||||
Unfunded commitment | 5,100 | 5,100 | 5,500 | ||
Mortgage Originator | |||||
Other Commitments [Line Items] | |||||
Unfunded commitment | 404,100 | 404,100 | 475,400 | ||
Total Purchase Commitment | 500,000 | ||||
Non-Exchange Traded Equity Investment in Mortgage Originators [Member] | Related party mortgage originator (with flow mortgage loan purchase and sale agreement) | |||||
Other Commitments [Line Items] | |||||
Maximum guarantees | 15,000 | 15,000 | 15,000 | ||
Equity investments in securitization-related risk retention vehicle | |||||
Other Commitments [Line Items] | |||||
Maximum guarantees | 15,500 | 15,500 | |||
Drawn down amount being guaranteed | 1,000 | ||||
Reverse mortgage loans | |||||
Other Commitments [Line Items] | |||||
Contractual Obligation | 2,100,000 | 2,100,000 | 1,900,000 | ||
Loan Purchase Commitments | |||||
Other Commitments [Line Items] | |||||
UPB of loans committed to purchase | 236,300 | 236,300 | |||
Loan Purchase Commitments | Mortgage loan originator | |||||
Other Commitments [Line Items] | |||||
Loan Purchase Commitments, at Fair Value | 100 | 100 | |||
UPB of loans committed to purchase | 32,500 | 32,500 | |||
Residential mortgage loans | |||||
Other Commitments [Line Items] | |||||
Unfunded commitment | 295,900 | 295,900 | 288,000 | ||
Corporate loan [Member] | |||||
Other Commitments [Line Items] | |||||
Unfunded commitment | 2,800 | 2,800 | 3,000 | ||
Corporate loan [Member] | Line of Credit | |||||
Other Commitments [Line Items] | |||||
Unfunded commitment | $ 900 | 900 | $ 900 | ||
Lending Commitment | $ 1,000 |
Segment Reporting (Details)
Segment Reporting (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2024 | Mar. 31, 2024 | Jun. 30, 2023 | Mar. 31, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | Dec. 31, 2022 | |
Segment Reporting Information [Line Items] | ||||||||
Interest income | $ 100,470 | $ 88,092 | $ 201,990 | $ 175,266 | ||||
Interest expense | (66,874) | (63,433) | (137,338) | (123,050) | ||||
Noninterest Income | 57,561 | 34,663 | 102,045 | 86,338 | ||||
Operating Expenses | 42,985 | 42,632 | 86,640 | 80,534 | ||||
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | 48,172 | 16,690 | 80,057 | 58,020 | ||||
Income tax expense (benefit) | 142 | 83 | 202 | 104 | ||||
Earnings (losses) from investments in unconsolidated entities | 12,042 | (5,868) | 14,268 | (2,424) | ||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 60,072 | $ 34,051 | 10,739 | $ 44,753 | 94,123 | 55,492 | ||
Net income (loss) attributable to non-controlling interests | 900 | 1,861 | 1,382 | 2,581 | ||||
Dividends on preferred stock | 6,825 | 5,980 | 13,479 | 11,097 | ||||
Net income (loss) attributable to common stockholders | 52,347 | 2,898 | 79,262 | 41,814 | ||||
Depreciation | 572 | 352 | 842 | 710 | ||||
Total Assets | 15,092,653 | 15,092,653 | $ 15,315,930 | |||||
Liabilities | 13,518,794 | 13,518,794 | 13,780,318 | |||||
Total Equity | 1,573,859 | $ 1,553,156 | 1,344,657 | $ 1,374,763 | 1,573,859 | 1,344,657 | 1,535,612 | $ 1,220,886 |
Investment Portfolio Segment | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Interest income | 88,790 | 83,118 | 180,193 | 165,487 | ||||
Interest expense | (53,628) | (54,207) | (110,939) | (106,343) | ||||
Noninterest Income | 27,584 | 13,352 | 37,610 | 24,281 | ||||
Operating Expenses | 5,312 | 3,865 | 8,455 | 7,369 | ||||
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | 57,434 | 38,398 | 98,409 | 76,056 | ||||
Income tax expense (benefit) | 0 | 0 | 0 | 0 | ||||
Earnings (losses) from investments in unconsolidated entities | 12,042 | (5,868) | 14,268 | (2,424) | ||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 69,476 | 32,530 | 112,677 | 73,632 | ||||
Net income (loss) attributable to non-controlling interests | 382 | 1,847 | 567 | 2,085 | ||||
Dividends on preferred stock | 0 | 0 | 0 | 0 | ||||
Net income (loss) attributable to common stockholders | 69,094 | 30,683 | 112,110 | 71,547 | ||||
Depreciation | 0 | 0 | 0 | 0 | ||||
Total Assets | 5,274,312 | 5,274,312 | 5,978,988 | |||||
Liabilities | 3,758,688 | 3,758,688 | 4,555,212 | |||||
Total Equity | 1,515,624 | 1,515,624 | 1,423,776 | |||||
Longbridge Segment | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Interest income | 9,765 | 3,779 | 18,006 | 6,672 | ||||
Interest expense | (8,615) | (6,117) | (17,172) | (10,463) | ||||
Noninterest Income | 29,868 | 30,630 | 68,036 | 64,028 | ||||
Operating Expenses | 26,809 | 25,816 | 55,907 | 51,263 | ||||
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | 4,209 | 2,476 | 12,963 | 8,974 | ||||
Income tax expense (benefit) | 0 | 0 | 0 | 0 | ||||
Earnings (losses) from investments in unconsolidated entities | 0 | 0 | 0 | 0 | ||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 4,209 | 2,476 | 12,963 | 8,974 | ||||
Net income (loss) attributable to non-controlling interests | 0 | (25) | 38 | (23) | ||||
Dividends on preferred stock | 0 | 0 | 0 | 0 | ||||
Net income (loss) attributable to common stockholders | 4,209 | 2,501 | 12,925 | 8,997 | ||||
Depreciation | 572 | 352 | 842 | 710 | ||||
Total Assets | 9,632,117 | 9,632,117 | 9,092,840 | |||||
Liabilities | 9,380,275 | 9,380,275 | 8,872,153 | |||||
Total Equity | 251,842 | 251,842 | 220,687 | |||||
Corporate and Other | ||||||||
Segment Reporting Information [Line Items] | ||||||||
Interest income | 1,915 | 1,195 | 3,791 | 3,107 | ||||
Interest expense | (4,631) | (3,109) | (9,227) | (6,244) | ||||
Noninterest Income | 109 | (9,319) | (3,601) | (1,971) | ||||
Operating Expenses | 10,864 | 12,951 | 22,278 | 21,902 | ||||
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | (13,471) | (24,184) | (31,315) | (27,010) | ||||
Income tax expense (benefit) | 142 | 83 | 202 | 104 | ||||
Earnings (losses) from investments in unconsolidated entities | 0 | 0 | 0 | 0 | ||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | (13,613) | (24,267) | (31,517) | (27,114) | ||||
Net income (loss) attributable to non-controlling interests | 518 | 39 | 777 | 519 | ||||
Dividends on preferred stock | 6,825 | 5,980 | 13,479 | 11,097 | ||||
Net income (loss) attributable to common stockholders | (20,956) | (30,286) | (45,773) | (38,730) | ||||
Depreciation | 0 | $ 0 | 0 | $ 0 | ||||
Total Assets | 186,224 | 186,224 | 244,102 | |||||
Liabilities | 379,831 | 379,831 | 352,953 | |||||
Total Equity | $ (193,607) | $ (193,607) | $ (108,851) |
Segment Reporting Operating Pro
Segment Reporting Operating Profit and Loss by Segment (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2024 | Mar. 31, 2024 | Jun. 30, 2023 | Mar. 31, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Segment Reporting Information [Line Items] | ||||||
Interest income | $ 100,470 | $ 88,092 | $ 201,990 | $ 175,266 | ||
Interest expense | (66,874) | (63,433) | (137,338) | (123,050) | ||
Noninterest Income | 57,561 | 34,663 | 102,045 | 86,338 | ||
Operating Expenses | (42,985) | (42,632) | (86,640) | (80,534) | ||
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | 48,172 | 16,690 | 80,057 | 58,020 | ||
Income tax expense (benefit) | 142 | 83 | 202 | 104 | ||
Earnings (losses) from investments in unconsolidated entities | 12,042 | (5,868) | 14,268 | (2,424) | ||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 60,072 | $ 34,051 | 10,739 | $ 44,753 | 94,123 | 55,492 |
Net income (loss) attributable to non-controlling interests | 900 | 1,861 | 1,382 | 2,581 | ||
Dividends on preferred stock | 6,825 | 5,980 | 13,479 | 11,097 | ||
Net income (loss) attributable to common stockholders | 52,347 | 2,898 | 79,262 | 41,814 | ||
Depreciation | 572 | 352 | 842 | 710 | ||
Investment Portfolio Segment | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 88,790 | 83,118 | 180,193 | 165,487 | ||
Interest expense | (53,628) | (54,207) | (110,939) | (106,343) | ||
Noninterest Income | 27,584 | 13,352 | 37,610 | 24,281 | ||
Operating Expenses | (5,312) | (3,865) | (8,455) | (7,369) | ||
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | 57,434 | 38,398 | 98,409 | 76,056 | ||
Income tax expense (benefit) | 0 | 0 | 0 | 0 | ||
Earnings (losses) from investments in unconsolidated entities | 12,042 | (5,868) | 14,268 | (2,424) | ||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 69,476 | 32,530 | 112,677 | 73,632 | ||
Net income (loss) attributable to non-controlling interests | 382 | 1,847 | 567 | 2,085 | ||
Dividends on preferred stock | 0 | 0 | 0 | 0 | ||
Net income (loss) attributable to common stockholders | 69,094 | 30,683 | 112,110 | 71,547 | ||
Depreciation | 0 | 0 | 0 | 0 | ||
Longbridge Segment | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 9,765 | 3,779 | 18,006 | 6,672 | ||
Interest expense | (8,615) | (6,117) | (17,172) | (10,463) | ||
Noninterest Income | 29,868 | 30,630 | 68,036 | 64,028 | ||
Operating Expenses | (26,809) | (25,816) | (55,907) | (51,263) | ||
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | 4,209 | 2,476 | 12,963 | 8,974 | ||
Income tax expense (benefit) | 0 | 0 | 0 | 0 | ||
Earnings (losses) from investments in unconsolidated entities | 0 | 0 | 0 | 0 | ||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 4,209 | 2,476 | 12,963 | 8,974 | ||
Net income (loss) attributable to non-controlling interests | 0 | (25) | 38 | (23) | ||
Dividends on preferred stock | 0 | 0 | 0 | 0 | ||
Net income (loss) attributable to common stockholders | 4,209 | 2,501 | 12,925 | 8,997 | ||
Depreciation | 572 | 352 | 842 | 710 | ||
Corporate and Other | ||||||
Segment Reporting Information [Line Items] | ||||||
Interest income | 1,915 | 1,195 | 3,791 | 3,107 | ||
Interest expense | (4,631) | (3,109) | (9,227) | (6,244) | ||
Noninterest Income | 109 | (9,319) | (3,601) | (1,971) | ||
Operating Expenses | (10,864) | (12,951) | (22,278) | (21,902) | ||
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | (13,471) | (24,184) | (31,315) | (27,010) | ||
Income tax expense (benefit) | 142 | 83 | 202 | 104 | ||
Earnings (losses) from investments in unconsolidated entities | 0 | 0 | 0 | 0 | ||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | (13,613) | (24,267) | (31,517) | (27,114) | ||
Net income (loss) attributable to non-controlling interests | 518 | 39 | 777 | 519 | ||
Dividends on preferred stock | 6,825 | 5,980 | 13,479 | 11,097 | ||
Net income (loss) attributable to common stockholders | (20,956) | (30,286) | (45,773) | (38,730) | ||
Depreciation | $ 0 | $ 0 | $ 0 | $ 0 |
Segment Reporting Assets and Li
Segment Reporting Assets and Liabilities by Segment (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Mar. 31, 2024 | Dec. 31, 2023 | Jun. 30, 2023 | Mar. 31, 2023 | Dec. 31, 2022 |
Segment Reporting Information [Line Items] | ||||||
Total Assets | $ 15,092,653 | $ 15,315,930 | ||||
Liabilities | 13,518,794 | 13,780,318 | ||||
Total Equity | 1,573,859 | $ 1,553,156 | 1,535,612 | $ 1,344,657 | $ 1,374,763 | $ 1,220,886 |
Investment Portfolio Segment | ||||||
Segment Reporting Information [Line Items] | ||||||
Total Assets | 5,274,312 | 5,978,988 | ||||
Liabilities | 3,758,688 | 4,555,212 | ||||
Total Equity | 1,515,624 | 1,423,776 | ||||
Longbridge Segment | ||||||
Segment Reporting Information [Line Items] | ||||||
Total Assets | 9,632,117 | 9,092,840 | ||||
Liabilities | 9,380,275 | 8,872,153 | ||||
Total Equity | 251,842 | 220,687 | ||||
Corporate and Other | ||||||
Segment Reporting Information [Line Items] | ||||||
Total Assets | 186,224 | 244,102 | ||||
Liabilities | 379,831 | 352,953 | ||||
Total Equity | $ (193,607) | $ (108,851) |
Subsequent Events (Details)
Subsequent Events (Details) - Subsequent Event [Member] - Common Stock - $ / shares | Aug. 07, 2024 | Jul. 08, 2024 |
Subsequent Event [Line Items] | ||
Declared date | Aug. 07, 2024 | Jul. 08, 2024 |
Dividend Per Share (USD per share) | $ 0.13 | $ 0.13 |
Payment Date | Sep. 25, 2024 | Aug. 26, 2024 |
Record Date | Aug. 30, 2024 | Jul. 31, 2024 |
Uncategorized Items - efc-20240
Label | Element | Value |
European Residential Loan Securitization [Member] | ||
Schedule of Assets and Liabilities of Consolidated Securitization Trusts [Table Text Block] | efc_ScheduleofAssetsandLiabilitiesofConsolidatedSecuritizationTrustsTableTextBlock | The following table details the assets and liabilities of the European RMBS Issuer included in the Company's Condensed Consolidated Balance Sheet as of June 30, 2024: (In thousands) June 30, 2024 Assets: Cash and cash equivalents $ 6,790 Loans, at fair value 52,368 Investment related receivables 669 Liabilities: Other secured borrowings, at fair value 58,195 Investment related payables 1,572 |
Commercial Mortgage Loans [Member] | ||
Schedule of Geographic Distribution [Table Text Block] | efc_ScheduleOfGeographicDistributionTableTextBlock | 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 June 30, 2024 and December 31, 2023: Property Location by U.S. State June 30, 2024 December 31, 2023 Illinois 20.5 % 18.6 % Florida 16.5 % 13.9 % Texas 9.5 % 15.6 % New York 7.1 % 8.9 % Connecticut 6.7 % 3.2 % Georgia 6.4 % 5.3 % Ohio 5.6 % 5.5 % Michigan 4.5 % 4.5 % Pennsylvania 4.4 % — % Colorado 4.2 % — % Arizona 3.1 % 7.5 % North Carolina 2.8 % 2.7 % Alabama 2.4 % 2.3 % Louisiana 2.3 % 2.2 % New Jersey 2.2 % 3.8 % Indiana 1.0 % — % Oklahoma — % 6.0 % Other 0.8 % — % 100.0 % 100.0 % |
Reverse Mortgage Loans [Member] | ||
Schedule of Geographic Distribution [Table Text Block] | efc_ScheduleOfGeographicDistributionTableTextBlock | 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 June 30, 2024 and December 31, 2023. Property Location by U.S. State June 30, 2024 December 31, 2023 California 28.8 % 28.7 % Florida 8.8 % 8.8 % Colorado 7.2 % 7.1 % Arizona 6.3 % 6.3 % Washington 5.4 % 5.3 % Utah 5.1 % 5.0 % Texas 4.9 % 4.8 % Oregon 2.9 % 3.0 % Idaho 2.7 % 2.7 % Massachusetts 2.3 % 2.4 % New York 2.3 % 2.2 % Nevada 2.1 % 2.1 % North Carolina 2.1 % 2.1 % Georgia 1.6 % 1.6 % Virginia 1.5 % 1.6 % South Carolina 1.4 % 1.4 % Ohio 1.4 % 1.5 % Tennessee 1.4 % 1.3 % New Jersey 1.2 % 1.3 % Maryland 1.1 % 1.1 % Pennsylvania 1.1 % 1.1 % Other 8.4 % 8.6 % 100.0 % 100.0 % |
Residential Mortgage [Member] | ||
Schedule of Geographic Distribution [Table Text Block] | efc_ScheduleOfGeographicDistributionTableTextBlock | 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 June 30, 2024 and December 31, 2023: Property Location June 30, 2024 December 31, 2023 North America: United States: California 31.3 % 32.2 % Florida 21.6 % 21.4 % Texas 8.8 % 9.5 % Utah 2.9 % 3.2 % Pennsylvania 2.7 % 2.7 % Arizona 2.7 % 2.7 % Georgia 2.5 % 2.6 % New Jersey 2.2 % 2.1 % North Carolina 2.1 % 2.2 % Washington 2.0 % 1.8 % Illinois 1.9 % 1.8 % Colorado 1.6 % 1.5 % Nevada 1.4 % 1.5 % New York 1.4 % 1.2 % Massachusetts 1.4 % 1.5 % Tennessee 1.3 % 1.5 % Oregon 1.3 % 1.2 % Other 9.2 % 9.4 % 98.3 % 100.0 % Europe: United Kingdom 1.7 % — % 100.0 % 100.0 % |