Cover
Cover - shares | 3 Months Ended | |
Mar. 31, 2020 | May 31, 2020 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Mar. 31, 2020 | |
Document Transition Report | false | |
Entity File Number | 001-34385 | |
Entity Registrant Name | Invesco Mortgage Capital Inc. | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 26-2749336 | |
Entity Address, Address Line One | 1555 Peachtree Street, N.E., Suite 1800, | |
Entity Address, City or Town | Atlanta, | |
Entity Address, State or Province | GA | |
Entity Address, Postal Zip Code | 30309 | |
City Area Code | 404 | |
Local Phone Number | 892-0896 | |
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 | 164,966,357 | |
Entity Central Index Key | 0001437071 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false | |
Common Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Common Stock, par value $0.01 per share | |
Trading Symbol | IVR | |
Security Exchange Name | NYSE | |
7.75% Series A Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.75% Series A Cumulative Redeemable Preferred Stock | |
Trading Symbol | IVRpA | |
Security Exchange Name | NYSE | |
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock | |
Trading Symbol | IVRpB | |
Security Exchange Name | NYSE | |
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock | |
Trading Symbol | IVRpC | |
Security Exchange Name | NYSE |
CONDENSED CONSOLIDATED BALANCE
CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
ASSETS | ||
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $7,485,083 and $21,132,742 respectively) | $ 8,044,808,000 | $ 21,771,786,000 |
Cash and cash equivalents | 143,291,000 | 172,507,000 |
Restricted cash | 221,688,000 | 116,995,000 |
Due from counterparties | 394,424,000 | 32,568,000 |
Investment related receivable (including pledged securities of $534,524 as of March 31, 2020) | 832,043,000 | 67,976,000 |
Derivative assets, at fair value | 0 | 18,533,000 |
Other assets (including pledged security of $21,577 and $44,654, respectively) | 140,993,000 | 166,180,000 |
Total assets | 9,777,247,000 | 22,346,545,000 |
Liabilities: | ||
Repurchase agreements | 6,287,746,000 | 17,532,303,000 |
Secured loans | 1,350,000,000 | 1,650,000,000 |
Derivative liabilities, at fair value | 302,000 | 352,000 |
Dividends Payable | 93,590,000 | 74,841,000 |
Investment related payable | 560,807,000 | 99,561,000 |
Accrued interest payable | 8,679,000 | 43,998,000 |
Collateral held payable | 50,135,000 | 170,000 |
Accounts payable and accrued expenses | 2,539,000 | 1,560,000 |
Due to affiliate | 13,068,000 | 11,861,000 |
Total liabilities | 8,366,866,000 | 19,414,646,000 |
Commitments and contingencies | ||
Stockholders' Equity: | ||
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 164,966,357 and 144,256,357 shares issued and outstanding, respectively | 1,650,000 | 1,443,000 |
Additional paid in capital | 3,239,602,000 | 2,892,652,000 |
Accumulated other comprehensive income | 129,728,000 | 288,963,000 |
Retained earnings (distributions in excess of earnings) | (2,523,923,000) | (814,483,000) |
Total stockholders’ equity | 1,410,381,000 | 2,931,899,000 |
Total liabilities and stockholders' equity | 9,777,247,000 | 22,346,545,000 |
Mortgage-backed and credit risk transfer securities, pledged | 7,485,083,000 | 21,132,742,000 |
Investment related receivable, pledged securities | 534,524,000 | 0 |
Other assets, pledged securities | $ 21,577,000 | $ 44,654,000 |
Preferred Stock - par value (in usd per share) | $ 0.01 | $ 0.01 |
Preferred Stock - shares authorized | 50,000,000 | 50,000,000 |
Common Stock - par value (in usd per share) | $ 0.01 | $ 0.01 |
Common Stock - shares authorized | 450,000,000 | 450,000,000 |
Common Stock - shares issued | 164,966,357 | 144,256,357 |
Common Stock - shares outstanding | 164,966,357 | 144,256,357 |
Series A Preferred Stock | ||
Stockholders' Equity: | ||
Preferred Stock | $ 135,356,000 | $ 135,356,000 |
Preferred Stock - dividend rate stated percentage | 7.75% | 7.75% |
Preferred Stock - shares outstanding | 5,600,000 | 5,600,000 |
Preferred Stock - shares issued | 5,600,000 | 5,600,000 |
Preferred Stock - liquidation preference value | $ 140,000,000 | $ 140,000,000 |
Series B Preferred Stock | ||
Stockholders' Equity: | ||
Preferred Stock | $ 149,860,000 | $ 149,860,000 |
Preferred Stock - dividend rate stated percentage | 7.75% | 7.75% |
Preferred Stock - shares outstanding | 6,200,000 | 6,200,000 |
Preferred Stock - shares issued | 6,200,000 | 6,200,000 |
Preferred Stock - liquidation preference value | $ 155,000,000 | $ 155,000,000 |
Series C Preferred Stock | ||
Stockholders' Equity: | ||
Preferred Stock | $ 278,108,000 | $ 278,108,000 |
Preferred Stock - dividend rate stated percentage | 7.50% | 7.50% |
Preferred Stock - shares outstanding | 11,500,000 | 11,500,000 |
Preferred Stock - shares issued | 11,500,000 | 11,500,000 |
Preferred Stock - liquidation preference value | $ 287,500,000 | $ 287,500,000 |
CONDENSED CONSOLIDATED STATEMEN
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Interest Income | ||
Mortgage-backed and credit risk transfer securities | $ 185,536 | $ 185,492 |
Commercial and other loans | 1,163 | 1,582 |
Total interest income | 186,699 | 187,074 |
Interest Expense | ||
Repurchase agreements | 79,042 | 101,875 |
Secured loans | 6,646 | 11,144 |
Total interest expense | 85,688 | 113,019 |
Net interest income | 101,011 | 74,055 |
Other Income (loss) | ||
Gain (loss) on investments, net | (755,483) | 268,382 |
Equity in earnings (losses) of unconsolidated ventures | 170 | 692 |
Gain (loss) on derivative instruments, net | (910,779) | (201,460) |
Realized and unrealized credit derivative income (loss), net | (33,052) | 7,884 |
Net loss on extinguishment of debt | (4,806) | 0 |
Other investment income (loss), net | 803 | 1,029 |
Total other income (loss) | (1,703,147) | 76,527 |
Expenses | ||
Management fee – related party | 10,953 | 9,534 |
General and administrative | 3,103 | 2,258 |
Total expenses | 14,056 | 11,792 |
Net income (loss) | (1,616,192) | 138,790 |
Dividends to preferred stockholders | 11,107 | 11,107 |
Net income (loss) available to common stockholders | $ (1,627,299) | $ 127,683 |
Earnings (loss) per share: | ||
Basic (usd per share) | $ (10.38) | $ 1.05 |
Diluted (usd per share) | $ (10.38) | $ 1.05 |
CONDENSED CONSOLIDATED STATEM_2
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Statement of Comprehensive Income [Abstract] | ||
Net income (loss) | $ (1,616,192) | $ 138,790 |
Other comprehensive income (loss): | ||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | (186,605) | 52,349 |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 36,957 | 10,147 |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (10,067) | (5,851) |
Currency translation adjustments on investment in unconsolidated venture | 480 | (276) |
Total other comprehensive income (loss) | (159,235) | 56,369 |
Comprehensive income (loss) | (1,775,427) | 195,159 |
Less: Dividends to preferred stockholders | (11,107) | (11,107) |
Comprehensive income (loss) attributable to common stockholders | $ (1,786,534) | $ 184,052 |
CONDENSED CONSOLIDATED STATEM_3
CONDENSED CONSOLIDATED STATEMENTS OF EQUITY (Unaudited) - USD ($) $ in Thousands | Total | Preferred StockSeries A Preferred Stock | Preferred StockSeries B Preferred Stock | Preferred StockSeries C Preferred Stock | Common Stock | Additional Paid in Capital | Accumulated Other Comprehensive Income (Loss) | Retained Earnings (Distributions in excess of earnings) | Retained Earnings (Distributions in excess of earnings)Cumulative Effect, Period of Adoption, Adjustment | Total Stockholders’ Equity | Total Stockholders’ EquityCumulative Effect, Period of Adoption, Adjustment |
Beginning Balance (in shares) at Dec. 31, 2018 | 5,600,000 | 6,200,000 | 11,500,000 | 111,584,996 | |||||||
Beginning Balance at Dec. 31, 2018 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,115 | $ 2,383,532 | $ 220,813 | $ (882,087) | $ 2,286,697 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Net income (loss) | $ 138,790 | 138,790 | 138,790 | ||||||||
Other comprehensive income (loss) | 56,369 | 56,369 | 56,369 | ||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 16,672,000 | ||||||||||
Proceeds from issuance of common stock, net of offering costs | $ 167 | 258,386 | 258,553 | ||||||||
Stock awards (in shares) | 10,501 | ||||||||||
Common stock dividends | (57,720) | (57,720) | |||||||||
Preferred stock dividends | (11,107) | (11,107) | |||||||||
Amortization of equity-based compensation | 132 | 132 | |||||||||
Ending Balance (in shares) at Mar. 31, 2019 | 5,600,000 | 6,200,000 | 11,500,000 | 128,267,497 | |||||||
Ending Balance at Mar. 31, 2019 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,282 | 2,642,050 | 277,182 | (812,124) | 2,671,714 | |||
Beginning Balance (in shares) at Dec. 31, 2019 | 5,600,000 | 6,200,000 | 11,500,000 | 144,256,357 | |||||||
Beginning Balance at Dec. 31, 2019 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,443 | 2,892,652 | 288,963 | (814,483) | $ 342 | 2,931,899 | $ 342 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Net income (loss) | (1,616,192) | (1,616,192) | (1,616,192) | ||||||||
Other comprehensive income (loss) | $ (159,235) | (159,235) | (159,235) | ||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 20,700,000 | ||||||||||
Proceeds from issuance of common stock, net of offering costs | $ 207 | 346,819 | 347,026 | ||||||||
Stock awards (in shares) | 10,000 | ||||||||||
Common stock dividends | (82,483) | (82,483) | |||||||||
Preferred stock dividends | (11,107) | (11,107) | |||||||||
Amortization of equity-based compensation | 131 | 131 | |||||||||
Ending Balance (in shares) at Mar. 31, 2020 | 5,600,000 | 6,200,000 | 11,500,000 | 164,966,357 | |||||||
Ending Balance at Mar. 31, 2020 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,650 | $ 3,239,602 | $ 129,728 | $ (2,523,923) | $ 1,410,381 |
CONDENSED CONSOLIDATED STATEM_4
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Cash Flows from Operating Activities | ||
Net income | $ (1,616,192) | $ 138,790 |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ||
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net | 10,658 | 3,185 |
Realized and unrealized (gain) loss on derivative instruments, net | 922,703 | 205,969 |
Realized and unrealized (gain) loss on credit derivatives, net | 37,770 | (2,534) |
(Gain) loss on investments, net | 755,483 | (268,382) |
(Gain) loss from investments in unconsolidated ventures in excess of distributions received | 222 | (692) |
Other amortization | (9,936) | (5,719) |
Net loss on extinguishment of debt | 4,806 | 0 |
Changes in operating assets and liabilities: | ||
(Increase) decrease in operating assets | 37,955 | (10,015) |
Increase (decrease) in operating liabilities | (33,431) | 7,758 |
Net cash provided by operating activities | 110,038 | 68,360 |
Cash Flows from Investing Activities | ||
Purchase of mortgage-backed and credit risk transfer securities | (4,444,744) | (4,340,536) |
(Contributions to) distributions from investments in unconsolidated ventures, net | 1,168 | 299 |
Change in other assets | 19,269 | 1,154 |
Principal payments from mortgage-backed and credit risk transfer securities | 636,498 | 300,222 |
Proceeds from sale of mortgage-backed and credit risk transfer securities | 16,238,252 | 734,834 |
Proceeds from sale of credit derivatives | 2,283 | 0 |
Settlement (termination) of futures, currency forwards and interest rate swaps, net | (904,220) | (232,387) |
Net change in due from counterparties and collateral held payable on derivative instruments | 4,849 | (14,060) |
Principal payments from commercial loans held-for-investment | 136 | 7,128 |
Net cash provided by (used in) investing activities | 11,553,491 | (3,543,346) |
Cash Flows from Financing Activities | ||
Proceeds from issuance of common stock | 347,299 | 258,966 |
Principal repayments of secured loans | (300,000) | 0 |
Proceeds from repurchase agreements | 44,017,958 | 28,316,732 |
Principal repayments of repurchase agreements | (55,266,696) | (25,094,829) |
Net change in due from counterparties and collateral held payable on repurchase agreements | (311,732) | 0 |
Payments of deferred costs | (40) | (21) |
Payments of dividends | (74,841) | (57,972) |
Net cash provided by (used in) financing activities | (11,588,052) | 3,422,876 |
Net change in cash, cash equivalents and restricted cash | 75,477 | (52,110) |
Cash, cash equivalents and restricted cash, beginning of period | 289,502 | 135,617 |
Cash, cash equivalents and restricted cash, end of period | 364,979 | 83,507 |
Supplement Disclosure of Cash Flow Information | ||
Interest paid | 131,074 | 109,392 |
Non-cash Investing and Financing Activities Information | ||
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities | (149,648) | 62,496 |
Dividends declared not paid | 93,590 | 60,433 |
Increase in Agency CMBS purchase commitments | 410,654 | 90,291 |
Net change in investment related receivable (payable) excluding Agency CMBS purchase commitments | (760,217) | (4,959) |
Offering costs not paid | 273 | 413 |
Net change in repurchase agreements, not settled | $ (625) | $ 0 |
Organization and Business Opera
Organization and Business Operations | 3 Months Ended |
Mar. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Business Operations | Organization and Business Operations Invesco Mortgage Capital Inc. (the "Company" or "we") is a Maryland corporation primarily focused on investing in, financing and managing residential and commercial mortgage-backed securities ("MBS") and other mortgage-related assets. We are externally managed and advised by Invesco Advisers, Inc. (our "Manager"), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. ("Invesco"), a leading independent global investment management firm. We conduct our business through IAS Operating Partnership LP (the "Operating Partnership") and have one operating segment. We have historically invested in: • Residential mortgage-backed securities ("RMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association ("Ginnie Mae"), or a federally chartered corporation such as the Federal National Mortgage Association ("Fannie Mae") or the Federal Home Loan Mortgage Corporation ("Freddie Mac") (collectively "Agency RMBS"); • Commercial mortgage-backed securities (“CMBS”) that are guaranteed by a U.S. government agency such as Ginnie Mae or a federally chartered corporation such as Fannie Mae or Freddie Mac (collectively "Agency CMBS"); • RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation ("non-Agency RMBS"); • CMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation ("non-Agency CMBS"); • Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT"); • Residential and commercial mortgage loans; and • Other real estate-related financing agreements. We elected to be taxed as a real estate investment trust ("REIT") for U.S. federal income tax purposes under the provisions of the Internal Revenue Code o f 1986. To maintain our REIT qualification, we are generally required to distribute at least 90% of our REIT taxable income to our stockholders annually. We operate our business in a manner that permits exclusion from the "Investment Company" definition under the Investment Company Act of 1940. During the three months ended March 31, 2020, we experienced unprecedented market conditions as a result of the global COVID-19 pandemic that resulted in a material adverse change in our financial condition. We recorded a $1.6 billion net loss attributable to stockholders and our stockholders' equity declined from $2.9 billion as of December 31, 2019 to $1.4 billion as of March 31, 2020. Due to significant spread widening in both Agency and non-Agency securities, we received an unusually high number of margin calls from counterparties in the latter half of March 2020. We were unable to meet margin calls as of March 23, 2020 and were not in compliance with the terms of our various borrowings arrangements as of March 31, 2020 as described in Note 7 - "Borrowings". To generate liquidity and reduce leverage, we sold MBS and GSE CRTs for cash proceeds of $16.2 billion and repaid $11.2 billion of our repurchase agreements during the quarter ended March 31, 2020. Our investment portfolio decreased from $21.9 billion as of December 31, 2019 to $8.1 billion as of March 31, 2020 primarily due to these asset sales. We also terminated our entire interest rate swap portfolio as our exposure to interest rate risk decreased as we sold Agency assets. We have continued to focus on generating liquidity and reducing leverage in the second quarter of 2020. Between April 1, 2020 and May 31, 2020, we sold additional MBS and GSE CRTs with a fair value of $6.2 billion at March 31, 2020 for cash proceeds of $5.9 billion and our loan participation interest for cash proceeds of $21.6 million. Our investment portfolio decreased from $8.1 billion as of March 31, 2020 to approximately $1.6 billion, excluding cash and Agency CMBS purchase commitments, as of May 31, 2020 primarily due to these asset sales. We repaid all of our repurchase agreements and $512.5 million of Federal Home Loan Bank of Indianapolis "FHLBI" secured loans with proceeds from these asset sales and the return of cash margin previously pledged on our repurchase agreements. As of the filing date of this Quarterly Report, the balance of our secured loans is $837.5 million . Fo r further details of events between March 31, 2020 and the filing date of this Quarterly Report see Note 15 - "Subsequent Events". While the Federal Reserve has taken a number of proactive measures to bolster liquidity in the second quarter of 2020, we expect market conditions for the mortgage REIT industry to continue to be challenging due to the uncertainty around the duration and ultimate impact of the COVID-19 pandemic. The COVID-19 pandemic caused our support personnel to transition to a remote workforce beginning in March 2020 and resulted in delays in receiving information from our custodian an d various counterparties and clearing certain sales trades. In turn, this delayed the filing of this Quarterly Report. Our Manager has provided our investment team and support personnel with access to all systems necessary to fulfill their responsibilities and are in constant communication with one another and our external professional advisors. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation and Consolidation Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2019. Our condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented. Use of Estimates The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income recognition on mortgage-backed and credit risk transfer securities and allowances for credit losses. Actual results may differ from those estimates. Significant Accounting Policies There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2019 other than as discussed below. Mortgage-Backed and Credit Risk Transfer Securities Allowances for Credit Losses on Available-For-Sale Securities We are not required to measure expected credit losses for situations in which historic credit loss information , adjusted for current conditions and reasonable and support able forecasts , results in an expectation that nonpayment of the amortized cost basis is zero. We consider our Agency portfolio to have zero loss expectation because (i) there have been no historical credit losses, (ii) full and timely payment of principal and interest is guaranteed by the GSEs and (iii) the yields, while not risk free, generally trade based on prepayment and liquidity risk as opposed to credit risk. Our available-for-sale GSE CRTs are hybrid financial instruments consisting of a debt host contract and an embedded credit derivative. The embedded credit derivative is carried at fair value with changes in fair value recorded in earnings. For non-Agency RMBS and non-Agency CMBS, we use a discounted cash flow method to estimate and recognize an allowance for credit losses. We calculate t he allowance for credit losses as the difference between prepayment adjusted contractual cash flows without credit losses and expected cash flows discounted at the effective interest rate used to recognize interest income on the investment. In developing an expectation of credit losses, we use internal models that analyze the loans underlying each investment and evaluate factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. We place reliance on these internal models in determining credit quality. We record an allowance for credit losses as a contra-asset on the condensed consolidated balance sheets and a provision for credit losses i n the condensed consolidated statements of operations . C redit losses are accreted into earnings over time at the effective interest rate used to recognize interest income. S ubsequent favorable or adverse changes in the amount of expected credit losses are recognized immediately in earnings. If the allowance for credit losses has been reduced to zero, we reflect the remaining favorable changes as a prospective adjustment to the effective interest rate of the investment. The allowance for credit losses is limited to the amount by which the investment’s amortized cost exceeds fair value. When the allowance for credit losses is limited, the effective interest rate used to recognize interest income and accrete credit losses is prospectively adjusted. We do not record an allowance for credit losses when an investment’s fair value exceeds its amortized cost. R ecoveries of amounts previously written off relating to improvements in cash flows are recognized in earnings when received. We record p rovisions for credit losses, reductions in provisions for credit losses, accretion of credit losses, and recoveries of amounts previously written off within g ain (loss) on investments, net in our condensed consolidated statements of operations. When we determine that we intend to sell , or more likely than not will be required to sell , an available-for-sale security in an unrealized loss position before we recover its amortized cost , we write off any allowance for credit losses and write down the investment’s amortized cost to its fair value. We record the write off of the allowance for credit losses and write down of the available-for-sale security within g ain (loss) on investments, net in our condensed consolidated statements of operations. We present accrued interest receivable separately from our investment portfolio on our condensed consolidated balance sheets. We do not estimate an allowance for credit losses on accrued interest receivable because we write off accrued interest receivable as a reduction to interest income if it is not received when due. Interest Income Recognition Mortgage-Backed Securities Interest income on MBS is accrued based on the outstanding principal or notional balance of the securities and their contractual terms. Premiums or discounts are amortized or accreted into interest income over the life of the investment using the effective interest method. Interest income on our MBS where we may not recover substantially all of our initial investment is based on estimated future cash flows. We estimate future expected cash flows at the time of purchase and determine the effective interest rate based on these estimated cash flows and our purchase price. Over the life of the investments, we update these estimated future cash flows and compute a revised yield based on the current amortized cost of the investment. In situations where an allowance for credit losses is limited by the fair value of the investment, we compute the yield as the rate that equates expected future cash flows to the current fair value of the investment. In estimating these future cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including but not limited to the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate, and interest rate fluctuations. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact our estimate and our interest income. Changes in our original or most recent cash flow projections may result in a prospective change in interest income recognized on these securities, or the amortized cost of these securities. For non-Agency RMBS not of high credit quality, when actual cash flows vary from expected cash flows, the difference is recorded as an adjustment to the amortized cost of the security, unless those changes relate to credit losses that will be reflected in an allowance for credit losses, and the security's yield is revised prospectively. For Agency RMBS and Agency CMBS that cannot be prepaid in such a way that we would not recover substantially all of our initial investment, interest income recognition is based on contractual cash flows. We do not estimate prepayments in applying the effective interest method. Fair Value Measurements As of January 1, 2020, we report our commercial loan at fair value as determined by an independent pricing service. The pricing service values the loan using a discounted cash flow analysis. The yield used in the discounted cash flow analysis is determined by comparing the features of the loan to the interest rates and terms required by lenders in the new loan origination market for similar loans and the yield required by investors acquiring mezzanine loans in the secondary market and a comparison of current market and collateral conditions to those present at origination. We discontinued reporting our commercial loan at amortized cost because we elected the fair value option for this loan in connection with our adoption of the new guidance for reporting credit losses discussed below. Accounting Pronouncements Recently Adopted On January 1, 2020, we adopted the accounting guidance that changes how entities report credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities measure credit losses for most financial assets, including loans, that are not measured at fair value through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost and requires entities to record credit allowances for available-for-sale debt securities rather than reduce the carrying amount, as they previously did under the other-than-temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans and requires that entities record an adjustment to retained earnings on January 1, 2020 for the cumulative effect of adopting the new guidance. We were not required to record a cumulative effect adjustment to retained earnings because all of our purchased credit-impaired securities were in an unrealized gain position as of the implementation date. The new guidance specifically excludes available-for-sale securities measured at fair value through net income. We elected the fair value option for all MBS purchased on or after September 1, 2016 and GSE CRTs purchased on or after August 24, 2015. Accordingly, the impact of the new guidance on accounting for our debt securities is limited to those securities we purchased prior to election of the fair value option and held on January 1, 2020. For further information on the composition of our investment portfolio see Note 4 - "Mortgage Backed and Credit Risk Transfer Securities". During the three months ended March 31, 2020, we recorded $78.8 million of impairment on non-Agency securities that we intend to sell or more likely than not will be required to sell before we recover the amortized cost basis of the security. We recorded the impairment within gain (loss) on investments, net in our condensed consolidated statements of operations. As of March 31, 2020, we have not recorded a credit loss allowance on any of our securities. We had one commercial loan as of December 31, 2019 that was measured at amortized cost. We implemented the new guidance for this loan by electing the fair value option and recording a cumulative effect adjustment to increase retained earnings by $342,000 on January 1, 2020. We recognized $1.7 million of unrealized losses on our commercial loan in our condensed consolidated statement of operations during the three months ended March 31, 2020. Accounting Pronouncements Recently Issued |
Variable Interest Entities ("VI
Variable Interest Entities ("VIEs") | 3 Months Ended |
Mar. 31, 2020 | |
Variable Interest Entity Disclosure [Abstract] | |
Variable Interest Entities (VIEs) | Variable Interest Entities ("VIEs") Our maximum risk of loss in VIEs in which we are not the primary beneficiary at March 31, 2020 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 2,869,051 2,869,051 Non-Agency RMBS 568,081 568,081 Investments in unconsolidated ventures 21,088 21,088 Total 3,458,220 3,458,220 Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" and Note 5 - "Other Assets" for additional details regarding these investments. |
Mortgage-Backed and Credit Risk
Mortgage-Backed and Credit Risk Transfer Securities | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed and Credit Risk Transfer Securities | Mortgage-Backed and Credit Risk Transfer Securities As discussed in Note 1 - "Organization and Business Operations", we sold MBS and GSE CRTs for cash proceeds of $16.2 billion during the three months ended March 31, 2020 to generate liquidity and reduce leverage given unprecedented market conditions as a result of the global COVID -19 pandemic. Between April 1, 2020 and May 31, 2020, we sold additional MBS and GSE CRTs with a fair value of $6.2 billion as of March 31, 2020 as discussed in Note 15 - "Subsequent Events". The following tables summarize our MBS and GSE CRT portfolio by asset type as of March 31, 2020 and December 31, 2019. March 31, 2020 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 67,123 767 67,890 3,276 71,166 3.29 % 30 year fixed-rate 1,318,576 45,032 1,363,608 57,554 1,421,162 3.39 % Hybrid ARM * 2,557 — 2,557 115 2,672 3.28 % Total Agency RMBS pass-through 1,388,256 45,799 1,434,055 60,945 1,495,000 3.39 % Agency-CMO (2) 532,411 (247,963) 284,448 16,087 300,535 3.29 % Agency CMBS (3) 2,070,199 32,398 2,102,597 175,430 2,278,027 2.90 % Non-Agency CMBS (4) 3,889,234 (795,998) 3,093,236 (224,185) 2,869,051 6.13 % Non-Agency RMBS (5)(6)(7) 1,892,459 (1,340,469) 551,990 16,091 568,081 7.06 % GSE CRT (8) 682,183 13,360 695,543 (161,429) 534,114 3.25 % Total 10,454,742 (2,292,873) 8,161,869 (117,061) 8,044,808 4.53 % * Adjustable-rate mortgage ("ARM") (1) Period-end weighted average yield is based on amortized cost as of March 31, 2020 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 49.5% of principal/notional balance, 4.9% of amortized cost and 4.9% of fair value. (3) Includes Agency CMBS purchase commitments with a fair value of approximately $507.2 million. (4) Non-Agency CMBS includes interest-only securities which represent 14.9% of principal/notional balance, 0.3% of amortized cost and 0.4% of fair value. (5) Non-Agency RMBS is 61.9% fixed rate, 34.8% variable rate, and 3.3% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (6) Of the total discount in non-Agency RMBS, $72.6 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 65.6% of principal/notional balance, 2.7% of amortized cost and 1.0% of fair value. (8) GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. December 31, 2019 $ in thousands Principal/Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 280,426 1,666 282,092 10,322 292,414 3.34 % 30 year fixed-rate 9,911,339 308,427 10,219,766 304,454 10,524,220 3.62 % Hybrid ARM 55,024 602 55,626 1,267 56,893 3.46 % Total Agency RMBS pass-through 10,246,789 310,695 10,557,484 316,043 10,873,527 3.61 % Agency-CMO (2) 883,122 (467,840) 415,282 12,230 427,512 3.54 % Agency CMBS (3) 4,561,276 75,299 4,636,575 131,355 4,767,930 3.01 % Non-Agency CMBS (4) 4,464,525 (772,295) 3,692,230 131,244 3,823,474 5.16 % Non-Agency RMBS (5)(6)(7) 2,340,119 (1,487,603) 852,516 103,155 955,671 6.98 % GSE CRT (8) 858,244 19,945 878,189 45,483 923,672 2.78 % Total 23,354,075 (2,321,799) 21,032,276 739,510 21,771,786 3.85 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2019 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 56.3% o f principal (notional) balance, 6.4% of amortized cost and 6.4% of fair value. (3) Includes Agency CMBS purchase commitments with a fair value of approximately $96.2 million . (4) Non-Agency CMBS includes interest-only securities which represent 13.1% of principal/notional balance, 0.3% of amortized cost and 0.3% of fair value. (5) Non-Agency RMBS is 37.0% variable rate, 57.7% fixed rate, and 5.3% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (6) Of the total discount in non-Agency RMBS, $120.2 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities, which represent 56.2% of principal/notional balance, 1.9% of amortized cost and 1.3% of fair value. (8) GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of March 31, 2020 and December 31, 2019. We have elected the fair value option for all of our RMBS interest-only securities, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of March 31, 2020 and December 31, 2019, approximately 65% and 80%, respectively, of our MBS and GSE CRTs are accounted for under the fair value option. March 31, 2020 December 31, 2019 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 15 year fixed-rate 23,652 47,514 71,166 98,666 193,748 292,414 30 year fixed-rate 237,581 1,183,581 1,421,162 754,590 9,769,630 10,524,220 Hybrid ARM 2,672 — 2,672 31,522 25,371 56,893 Total RMBS Agency pass-through 263,905 1,231,095 1,495,000 884,778 9,988,749 10,873,527 Agency-CMO 144,405 156,130 300,535 146,733 280,779 427,512 Agency CMBS — 2,278,027 2,278,027 — 4,767,930 4,767,930 Non-Agency CMBS 1,765,868 1,103,183 2,869,051 2,150,991 1,672,483 3,823,474 Non-Agency RMBS 368,663 199,418 568,081 715,479 240,192 955,671 GSE CRT 238,654 295,460 534,114 507,445 416,227 923,672 Total 2,781,495 5,263,313 8,044,808 4,405,426 17,366,360 21,771,786 The components of the carrying value of our MBS and GSE CRT portfolio at March 31, 2020 and December 31, 2019 are presented below. March 31, 2020 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 8,369,799 2,084,943 10,454,742 Unamortized premium 108,948 — 108,948 Unamortized discount (356,152) (2,045,669) (2,401,821) Gross unrealized gains (1) 291,151 3,144 294,295 Gross unrealized losses (1) (401,179) (10,177) (411,356) Fair value 8,012,567 32,241 8,044,808 December 31, 2019 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 20,957,410 2,396,665 23,354,075 Unamortized premium 440,503 — 440,503 Unamortized discount (419,983) (2,342,319) (2,762,302) Gross unrealized gains (1) 807,324 4,782 812,106 Gross unrealized losses (1) (66,064) (6,532) (72,596) Fair value 21,719,190 52,596 21,771,786 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three months ended March 31, 2020 and 2019 is provided below within this Note 4. The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of March 31, 2020 and December 31, 2019 . $ in thousands March 31, 2020 December 31, 2019 Less than one year 320,834 268,536 Greater than one year and less than five years 3,638,676 7,836,620 Greater than or equal to five years 4,085,298 13,666,630 Total 8,044,808 21,771,786 The following tables present the estimated fair value and gross unrealized losses of our MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at March 31, 2020 and December 31, 2019. March 31, 2020 Less than 12 Months 12 Months or More Total (1) $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Agency-CMO 3,278 (668) 11 2,201 (442) 7 5,479 (1,110) 18 Agency CMBS 194,960 (3,054) 7 — — — 194,960 (3,054) 7 Non-Agency CMBS 1,107,247 (234,156) 115 — — — 1,107,247 (234,156) 115 GSE CRT 534,114 (161,429) 44 — — — 534,114 (161,429) 44 Non-Agency RMBS 77,300 (11,590) 27 297 (17) 3 77,597 (11,607) 30 Total 1,916,899 (410,897) 204 2,498 (459) 10 1,919,397 (411,356) 214 (1) Unrealized losses relate to securities or embedded derivatives that are recorded at fair value through earnings. There were no unrealize d losses on available-for-sale securities as of March 31, 2020 as those losses were recorded as impairments of the securities' amortized cost basis because we intended to sell or more likely than not would be required to sell the securities before recovery of amortized cost basis. December 31, 2019 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Agency RMBS: 15 year fixed-rate 957 (1) 2 362 (3) 4 1,319 (4) 6 30 year fixed-rate 255,649 (207) 3 34,009 (256) 5 289,658 (463) 8 Hybrid ARM 434 (2) 1 1,524 (46) 3 1,958 (48) 4 Total Agency RMBS pass-through (1) 257,040 (210) 6 35,895 (305) 12 292,935 (515) 18 Agency-CMO (2) 67,875 (1,194) 15 6,155 (1,513) 13 74,030 (2,707) 28 Agency CMBS (3) 1,743,800 (50,521) 58 — — — 1,743,800 (50,521) 58 Non-Agency CMBS (4) 203,129 (2,783) 19 101,021 (11,425) 7 304,150 (14,208) 26 Non-Agency RMBS (5) 26,283 (3,935) 14 12,199 (636) 2 38,482 (4,571) 16 GSE CRT (6) 77,044 (74) 4 — — — 77,044 (74) 4 Total 2,375,171 (58,717) 116 155,270 (13,879) 34 2,530,441 (72,596) 150 (1) Includes Agency RMBS with a fair value of $271.3 million for which the fair value option has been elected. These securities have unrealized losses of $268,000. (2) Includes Agency IO with fair value of $11.1 million for which the fair value option has been elected. These Agency IO have unrealized losses of $2.3 million. (3) Fair value option has been elected for all Agency CMBS that are in an unrealized loss position. (4) Includes non-Agency CMBS with a fair value of $181.5 million for which the fair value option has been elected. These securities have unrealized losses of $2.8 million. (5) Includes non-Agency RMBS and non-Agency IO with a fair value of $17.6 million and $8.5 million, respectively, for which the fair value option has been elected. These securities have unrealized losses of $261,000 and $3.7 million, respectively. (6) Fair value option has been elected for all GSE CRT that are in an unrealized loss position. On January 1, 2020, we adopted accounting guidance that requires us to estimate an allowance for credit losses on available-for-sale securities in unrealized loss positions. As of March 31, 2020, there was no allowance for credit losses recorded because we did not hold any available-for-sale securities that were in unrealized loss positions. We did not record any provisions for credit losses on our condensed consolidated statement of operations during the three months ended March 31, 2020. We recorded impairments of $78.8 million on our condensed consolidated statement of operations during the three months ended March 31, 2020 because we intended to sell or more likely than not would be required to sell the securities before recovery of amortized cost basis. We still held these securities as of March 31, 2020. Prior to January 1, 2020, we assessed our investment securities for other-than-temporary impairment (" OTTI") on a quarterly basis. When the fair value of an investment was less than its amortized cost at the balance sheet date of the reporting period for which impairment was assessed, the impairment was designated as either "temporary" or "other-than-temporary." This analysis included a determination of estimated future cash flows through an evaluation of the characteristics of the underlying loans and the structural features of the investment. Underlying loan characteristics reviewed included, but were not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. The following table summarizes OTTI included in earnings for the three months ended March 2019: Three Months Ended March 31, $ in thousands 2019 RMBS interest-only securities 1,463 Non-Agency RMBS (1) 313 Total 1,776 (1) Amounts disclosed relate to credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income. OTTI on RMBS interest-only securities was recorded as a reclassification from an unrealized to realized loss within gain (loss) on investments, net on the condensed consolidated statements of operations because we account for these securities under the fair value option. The following table summarizes the components of our total gain (loss) on investments, net for the three months ended March 31, 2020 and 2019. Three Months Ended March 31, $ in thousands 2020 2019 Gross realized gains on sale of investments 328,128 1,202 Gross realized losses on sale of investments (332,413) (12,317) Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis (78,834) — Other-than-temporary impairment losses — (1,776) Net unrealized gains and losses on MBS accounted for under the fair value option (514,503) 280,039 Net unrealized gains and losses on GSE CRT accounted for under the fair value option (152,369) 1,234 Net unrealized gains and losses on commercial loan and loan participation interest (5,492) — Total gain (loss) on investments, net (755,483) 268,382 The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three months ended March 31, 2020 and 2019. GSE CRT interest income excludes coupon interest associated with embedded derivatives of $4.7 million for the three months ended March 31, 2020 (2019: $5.4 million) that is recorded as realized and unrealized credit derivative income (loss), net. For the three months ended March 31, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 105,878 (20,913) 84,965 Agency CMBS 33,995 (1,666) 32,329 Non-Agency CMBS 42,218 5,058 47,276 Non-Agency RMBS 10,760 2,698 13,458 GSE CRT 8,507 (1,750) 6,757 Other 751 — 751 Total 202,109 (16,573) 185,536 For the three months ended March 31, 2019 $ in thousands Coupon Net (Premium Interest Agency RMBS 119,726 (12,194) 107,532 Agency CMBS 10,471 (531) 9,940 Non-Agency CMBS 38,830 3,031 41,861 Non-Agency RMBS 14,267 3,922 18,189 GSE CRT 8,596 (1,178) 7,418 Other 552 — 552 Total 192,442 (6,950) 185,492 |
Other Assets
Other Assets | 3 Months Ended |
Mar. 31, 2020 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets | Other Assets The following table summarizes our other assets as of March 31, 2020 and December 31, 2019: $ in thousands March 31, 2020 December 31, 2019 FHLBI stock 74,250 74,250 Loan participation interest 21,577 44,654 Commercial loan, held-for-investment 22,577 24,055 Investments in unconsolidated ventures 21,088 21,998 Prepaid expenses and other assets 1,501 1,223 Total 140,993 166,180 IAS Services LLC, our wholly-owned subsidiary, is required to purchase and hold Federal Home Loan Bank of Indianapolis ("FHLBI") stock as a condition of membership in the FHLBI. The stock is recorded at cost. We have a participation interest in a secured loan collateralized by mortgage servicing rights that bears interest at a floating rate based on LIBOR plus a spread. The weighted average asset yield for the participation interest was 6.32% as of March 31, 2020 and 5.82% as of December 31, 2019. We recorded an unrealized loss of $3.8 million on the participation interest in the three months ended March 31, 2020 and no unrealized gain or loss in the three months ended March 31, 2019 . We sold our participation interest for $21.6 million on April 1, 2020. We have an investment in a commercial loan that matures in February 2021. The loan had a weighted average coupon rate of 10.08% as of March 31, 2020 and 10.19% as of December 31, 2019. As discussed in Note 2- "Summary of Significant Accounting Policies", we elected the fair value option for this loan on January 1, 2020 and recorded a cumulative effect adjustment to increase retained earnings by $342,000 on January 1, 2020. We recorded an unrealized loss on this loan of $1.7 million in the three months ended March 31, 2020 based on a discounted cash flow valuation prepared by an independent pricing service. We previously reported this loan at amortized cost on our condensed consolidated balance sheet. We have invested in unconsolidated ventures that are managed by an affiliate of our Manager. The unconsolidated ventures invest in our target assets. Refer to Note 14 - "Commitments and Contingencies" for additional details regarding our commitments to these unconsolidated ventures. |
Borrowings
Borrowings | 3 Months Ended |
Mar. 31, 2020 | |
Debt Disclosure [Abstract] | |
Borrowings | Borrowings We finance the majority of our investment portfolio through repurchase agreements and secured loans. The following tables summarize certain characteristics of our borrowings at March 31, 2020 and December 31, 2019. Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements and secured loans. $ in thousands March 31, 2020 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 1,571,471 1.40 % 13 Agency CMBS 1,622,054 1.37 % 18 Non-Agency CMBS 1,833,234 2.16 % 8 Non-Agency RMBS 549,868 2.22 % 7 GSE CRT 692,081 2.15 % 11 Loan participation interest 19,038 2.50 % 149 Total Repurchase Agreements 6,287,746 1.77 % 13 Secured Loans 1,350,000 1.29 % 1839 Total Borrowings 7,637,746 1.69 % 335 $ in thousands December 31, 2019 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 9,666,964 1.95 % 46 Agency CMBS 4,246,359 1.95 % 43 Non-Agency CMBS 2,041,968 2.71 % 14 Non-Agency RMBS 790,412 2.65 % 16 GSE CRT 753,110 2.70 % 13 Loan participation interest 33,490 3.22 % 240 Total Repurchase Agreements 17,532,303 2.11 % 39 Secured Loans 1,650,000 1.93 % 1587 Total Borrowings 19,182,303 2.09 % 172 The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of Borrowings maturing within: March 31, 2020 4/1/2020 - 3/31/2021 (1) 6,387,746 4/1/2021 - 3/31/2022 — 4/1/2022 - 3/31/2023 — 4/1/2023 - 3/31/2024 — 4/1/2024 - 3/31/2025 — Thereafter (1) 1,250,000 Total 7,637,746 (1) As discussed in Note 15 - "Subsequent Events", in April 2020 FHLBI accelerated the repayment date of our $1.35 billion of secured loans that were outstanding because we were not in compliance with all of the financial covenants of our secured loan agreements at March 31, 2020. We repaid $512.5 million of our secured loans between April 1, 2020 and May 31, 2020. The remaining balance of our secured loans of $837.5 million is due by December 2020. Repurchase Agreements As discussed in Note 1 - “Organization and Business Operations”, we received an unusually high number of margin calls from our repurchase agreement counterparties during March 2020 following significant spread widening in both Agency and non-Agency securities. We were unable to meet margin calls as of March 23, 2020 and were not in compliance with all of the financial covenants of our repurchase agreements as of March 31, 2020. Certain of our repurchase agreement counterparties entered into forbearance discussions with us during the period between March 23, 2020 and March 31, 2020 and permitted our repurchase agreements to remain outstanding while we were not in compliance. In addition, between March 23, 2020 and March 31, 2020, certain of our counterparties seized and sold securities that we had posted as collateral for our repurchase agreements. We recorded early termination and legal fees paid to our counterparties that were associated with the termination of these repurchase agreements as a loss on extinguishment of debt in our condensed consolidated statement of operations. We repaid all of our repurchase agreements as of May 7, 2020 as discussed in Note 15 - “Subsequent Events”. Our repurchase agreement collateral pledged ratio (MBS, GSE CRTs and a loan participation interest pledged as collateral/amount outstanding) was 106% as of March 31, 2020 (December 31, 2019: 109%). Secured Loans As of March 31, 2020, IAS Services LLC had $1.35 billion in outstanding secured loans from the FHLBI. These secured loans have floating rates that are based on the three-month FHLB swap rate plus a spread. For the three months ended March 31, 2020, IAS Services LLC had weighted average borrowings of $1.48 billion with a weighted average borrowing rate of 1.83% and a weighted average maturity of 5.0 years. We were not in compliance with all of the financial covenants of our secured loan agreements as of March 31, 2020. As a result, the FHLBI modified the terms of our secured loans and accelerated the repayment date of our secured loans in the second quarter of 2020 as discussed in Note 15 - "Subsequent Events". As discussed in Note 5 - "Other Assets," IAS Services LLC is required to purchase and hold a certain amount of FHLBI stock, which is based, in part, upon the outstanding principal balance of secured loans from the FHLBI. |
Collateral Positions
Collateral Positions | 3 Months Ended |
Mar. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Collateral Positions | Collateral Positions The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, secured loans, interest rate swaps and currency forward contracts as of March 31, 2020 and December 31, 2019. Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2019 for a description of how we determine fair value. RMBS, CMBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets. Loan participation interest collateral pledged is included in other assets on our condensed consolidated balance sheets. Cash collateral pledged on secured loans, centrally cleared interest rate swaps, and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on repurchase agreements is classified as due from counterparties on our condensed consolidated balance sheets. Agency CMBS purchase commitments that are recorded as mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets cannot be pledged as collateral until these securities settle. We held approximately $507.2 million and $96.2 million of these securities as of March 31, 2020 and December 31, 2019, respectively. Cash collateral held on repurchase agreements that is not restricted for use is included in cash and cash equivalents on our condensed consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of March 31, 2020 and December 31, 2019, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets. $ in thousands As of Collateral Pledged March 31, 2020 December 31, 2019 Repurchase Agreements: Agency RMBS 1,699,937 10,187,555 Agency CMBS 1,736,097 4,446,384 Non-Agency CMBS 1,862,472 2,549,841 Non-Agency RMBS 606,289 943,176 GSE CRT 719,639 918,117 Loan participation interest 21,577 44,654 Cash 394,424 32,568 Total repurchase agreements collateral pledged 7,040,435 19,122,295 Secured Loans: Agency RMBS 298,361 621,471 Non-Agency CMBS 1,096,812 1,276,418 Restricted cash 221,368 600 Total secured loans collateral pledged 1,616,541 1,898,489 Interest Rate Swaps and Currency Forward Contracts: Agency RMBS — 189,780 Restricted cash 320 116,395 Total interest rate swaps and currency forward contracts collateral pledged 320 306,175 Total collateral pledged: Mortgage-backed and credit risk transfer securities 8,019,607 21,132,742 Loan participation interest 21,577 44,654 Cash 394,424 32,568 Restricted cash 221,688 116,995 Total collateral pledged (1) 8,657,296 21,326,959 As of Collateral Held March 31, 2020 December 31, 2019 Repurchase Agreements: Cash 50,135 10 Non-cash collateral — 181 Total repurchase agreements collateral held 50,135 191 Interest Rate Swaps: Cash — 160 Total interest rate swap collateral held — 160 Total collateral held: Cash 50,135 170 Non-cash collateral — 181 Total collateral held 50,135 351 (1) Includes pledged securities of $534.5 million sold but not settled as of March 31, 2020 that are recorded as an investment related receivable on our condensed consolidated balance sheet. Securities associated with unsettled trades remain legally pledged until the related repurchase agreement is repaid. There were no securities pledged as collateral associated with unsettled trades as of December 31, 2019. Repurchase Agreements Collateral pledged with our repurchase agreement counterparties is segregated in our books and records. The repurchase agreement counterparties have the right to resell and repledge the collateral posted but have the obligation to return the pledged collateral, or substantially the same collateral if agreed to by us, upon maturity of the repurchase agreement. Under the repurchase agreements, the respective lender retains the contractual right to mark the underlying collateral to fair value. We would be required to provide additional collateral or fund margin calls if the value of pledged assets declined. Secured Loans The ability to borrow from the FHLBI is subject to our continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with FHLBI and FHFA rules. Collateral pledged with the FHLBI is held in trust for the benefit of the FHLBI and is not commingled with our other assets. The FHLBI does not have the right to resell or repledge collateral posted unless an event of default occurs. The FHLBI retains the right to mark the underlying collateral for FHLBI advances to fair value as determined by the FHLBI in its sole discretion. IAS Services LLC would be required to provide additional collateral to meet margin calls if the value of pledged assets declines. See Note 15 - "Subsequent Events" for a discussion of the status of our FHLBI secured loans as of the filing date of this Quarterly Report. Interest Rate Swaps All of the interest rate swaps that we entered into during the three months ended March 31, 2020 were centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange (“CME”) and LCH Limited (“LCH”) through a Futures Commission Merchant (“FCM”). We are required to pledge initial margin and daily variation margin for our centrally cleared interest rate swaps that is based on the fair value of our contracts as determined by our FCM. Collateral pledged with our FCM is segregated in our books and records and can be in the form of cash or securities. Daily variation margin for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral and is recorded as gain (loss) on derivative instruments, net in our consolidated statements of operations. Our FCM agreements include cross default provisions. We were not a party to any interest rate swaps as of March 31, 2020. Currency Forward Contracts |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 3 Months Ended |
Mar. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | Derivatives and Hedging Activities The following table summarizes changes in the notional amount of our derivative instruments during 2020: $ in thousands Notional Amount Additions Settlement, Notional Amount Interest Rate Swaps 14,000,000 93,675,000 (107,675,000) — Currency Forward Contracts 23,111 22,738 (23,111) 22,738 Credit Derivatives 464,966 — (211,282) 253,684 Total 14,488,077 93,697,738 (107,909,393) 276,422 Refer to Note 7 - "Collateral Positions" for further information regarding our collateral pledged to and received from our derivative counterparties. Interest Rate Swaps Our repurchase agreements are usually settled on a short-term basis ranging from one to six months. At each settlement date, we typically refinance each repurchase agreement at the market interest rate at that time. In addition, our secured loans have floating interest rates. As such, we are exposed to changing interest rates. Our objectives in using interest rate derivatives are to add stability to interest expense and to manage our exposures to interest rate movements. To accomplish these objectives, we primarily use interest rate swaps as part of our interest rate risk management strategy. Interest rate swaps involve making fixed-rate payments to a counterparty in exchange for the receipt of variable-rate amounts over the life of the agreements without exchange of the underlying notional amount. Amounts recorded in accumulated other comprehensive income ("AOCI") before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the condensed consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining life of the interest rate swap agreements. We reclassified $10.1 million as a decrease (March 31, 2019: $5.9 million as a decrease) to interest expense for the three months ended March 31, 2020. We increased the amount of gains and losses reclassified as a decrease to interest expense during the three months ended March 31, 2020 by $4.2 million because it is probable that the original forecasted repurchase agreement transactions will not occur by the end of the originally specified time period . During the next 12 months, we estimate that $19.1 million will be reclas sified as a decrease to interest expense, repurchase agreements. As of March 31, 2020, $65.8 million (December 31, 2019: $75.9 million) of unrealized gains on discontinued cash flow hedges, net are still included in accumulated other comprehensive income and will be reclassified as a decrease to interest expense, repurchase agreements over a period of time through December 15, 2023. We did not have any interest rate swaps outstanding as of March 31, 2020. As of December 31, 2019, we had interest rate swaps with the following maturities outstand ing: $ in thousands As of December 31, 2019 Maturities Notional Amount (1) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2020 1,900,000 1.67 % 1.84 % 0.6 2021 2,500,000 1.40 % 1.77 % 1.3 2022 800,000 1.53 % 1.91 % 2.9 2023 2,400,000 1.44 % 1.72 % 3.9 2024 900,000 1.49 % 1.76 % 4.8 Thereafter 5,500,000 1.44 % 1.78 % 9.5 Total 14,000,000 1.47 % 1.79 % 5.2 (1) Notional amount includes $10.7 billion of interest rate swaps that received variable payments based on 1-month LIBOR and $3.3 billion of interest rate swaps that received variable payments based on 3-month LIBOR as of December 31, 2019. Futures and Currency Forward Contracts We purchase or sell U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our investment portfolio. We recognize realized and unrealized gains and losses associated with the purchases or sales U.S. Treasury futures contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. We did not have any futures contract outstanding as of March 31, 2020 and December 31, 2019. We use currency forward contracts to help mitigate the potential impact of changes in foreign currency exchange rates on our investments denominated in foreign currencies. We recognize realized and unrealized gains and losses associated with the purchases or sales of currency forward contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. As of March 31, 2020, we had $22.7 million (December 31, 2019: $23.1 million) of notional amount of currency forward contracts related to an investment in an unconsolidated venture denominated in Euro. Credit Derivatives Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments consisting of a debt host contract and an embedded credit derivative. Embedded derivatives associated with GSE CRTs are recorded within mortgage-backed and credit risk transfer securities, at fair value, on the condensed consolidated balance sheets. At March 31, 2020 and December 31, 2019, terms of the GSE CRT embedded derivatives are: $ in thousands March 31, 2020 December 31, 2019 Fair value amount (29,772) 10,281 Notional amount 253,684 464,966 Maximum potential amount of future undiscounted payments 253,684 464,966 Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheet The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of March 31, 2020 and December 31, 2019. $ in thousands Derivative Assets Derivative Liabilities As of March 31, 2020 As of December 31, 2019 As of March 31, 2020 As of December 31, 2019 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset — 18,533 Interest Rate Swaps Liability — — Currency Forward Contracts — — Currency Forward Contracts 302 352 Total Derivative Assets — 18,533 Total Derivative Liabilities 302 352 Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement The tables below present the effect of our credit derivatives on the condensed consolidated statements of operations for the three months ended March 31, 2020 and 2019. $ in thousands Three months ended March 31, 2020 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives 2,283 4,718 (40,053) (33,052) $ in thousands Three months ended March 31, 2019 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 5,350 2,534 7,884 The following tables summarizes the effect of interest rate swaps, futures contracts and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three months ended March 31, 2020 and 2019: $ in thousands Three Months Ended March 31, 2020 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (904,704) 11,924 (18,532) (911,312) Currency Forward Contracts 484 — 49 533 Total (904,220) 11,924 (18,483) (910,779) $ in thousands Three Months Ended March 31, 2019 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (165,884) 4,509 12,991 (148,384) Futures Contracts (66,688) — 12,944 (53,744) Currency Forward Contracts 185 — 483 668 Total (232,387) 4,509 26,418 (201,460) |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 3 Months Ended |
Mar. 31, 2020 | |
Offsetting [Abstract] | |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of offset under master netting arrangements (or similar agreements) in the event of default or in the event of bankruptcy of either party to the transactions. Assets and liabilities subject to such arrangements are presented on a gross basis in the condensed consolidated balance sheets. The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at March 31, 2020 and December 31, 2019. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative asset of $18.5 million as of December 31, 2019 related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of March 31, 2020 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Instruments (2) Net Amount Liabilities Derivatives (1)(2) (302) — (302) — 302 — Repurchase Agreements (3) (6,287,746) — (6,287,746) 6,287,746 — — Secured Loans (4) (1,350,000) — (1,350,000) 1,350,000 — — Total Liabilities (7,638,048) — (7,638,048) 7,637,746 302 — As of December 31, 2019 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Instruments (2) Cash Collateral Net Amount Liabilities Derivatives (1)(2) (352) — (352) — 320 (32) Repurchase Agreements (3) (17,532,303) — (17,532,303) 17,532,303 — — Secured Loans (4) (1,650,000) — (1,650,000) 1,650,000 — — Total Liabilities (19,182,655) — (19,182,655) 19,182,303 320 (32) (1) Amounts represent collateral pledged that is available to be offset against liability balances associated with currency forward contracts. (2) The fair value of securities pledged as initial margin against our centrally cleared swaps was $189.8 million as of December 31, 2019. Cash collateral pledged on our currency forward contracts and centrally cleared interest rate swaps was $320,000 and $116.4 million as of March 31, 2020 and December 31, 2019, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $160,000 at December 31, 2019. (3) The fair value of securities pledged against our borrowing under repurchase agreements was $6.6 billion and $19.1 billion at March 31, 2020 and December 31, 2019, respectively. We pledged cash collateral of $394.4 million and held cash collateral of $50.1 million under repurchase agreements as of March 31, 2020. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 3 Months Ended |
Mar. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments A three-level valuation hierarchy exists for disclosure of fair value measurements based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect our market assumptions. The three levels are defined as follows: • Level 1 Inputs – Quoted prices for identical instruments in active markets. • Level 2 Inputs – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs – Instruments with primarily unobservable value drivers. The following tables present our assets and liabilities measured at fair value on a recurring basis. March 31, 2020 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 8,074,580 (29,772) — 8,044,808 Other assets (4) — — 44,154 21,088 65,242 Total assets — 8,074,580 14,382 21,088 8,110,050 Liabilities: Derivative liabilities — 302 — — 302 Total liabilities — 302 — — 302 December 31, 2019 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 21,761,505 10,281 — 21,771,786 Derivative assets — 18,533 — — 18,533 Other assets (4) — — 44,654 21,998 66,652 Total assets — 21,780,038 54,935 21,998 21,856,971 Liabilities: Derivative liabilities — 352 — — 352 Total liabilities — 352 — — 352 (1) For more detail about the fair value of our MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments with an embedded derivative. The hybrid financial instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of March 31, 2020, the embedded derivative is a liability of $29.8 million. As of December 31, 2019, the net embedded derivative asset position of $10.3 million includes $19.5 million of embedded derivatives in an asset position and $9.2 million of embedded derivatives in a liability position. (3) Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of March 31, 2020 and December 31, 2019, the weighted average remaining term of our investments in unconsolidated ventures was 1.9 years for both periods. (4) Includes $21.6 million and $44.7 million of a loan participation interest as of March 31, 2020 and December 31, 2019, respectively and $22.6 million of a commercial loan as of March 31, 2020. We elected the fair value option for our commercial loan as of January 1, 2020 and valued it based on a third party appraisal as of March 31, 2020. We sold the loan participation interest on April 1, 2020 and valued it at its sales price as of March 31, 2020. The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs: Three Months Ended March 31, $ in thousands 2020 2019 Beginning balance 10,281 22,771 Sales and settlements (2,283) — Total net credit derivative gains (losses) included in net income: Realized credit derivative gains (losses), net 2,283 — Unrealized credit derivative gains (losses), net (40,053) 2,534 Ending balance (29,772) 25,305 The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs: Three Months Ended March 31, $ in thousands 2020 2019 Beginning balance 44,654 54,981 Purchases/Advances — 577 Repayments (19,269) (1,731) Total net unrealized losses included in net income: Unrealized losses (3,808) — Ending balance 21,577 53,827 Unrealized losses on our loan participation interest are included in gain (loss) on investments, net in our condensed consolidated statements of operations. The following table shows a reconciliation of the beginning balance of our commercial loan at amortized cost and ending balance at fair value, which we have valued utilizing Level 3 inputs: Three Months Ended March 31, $ in thousands 2020 Beginning balance, at amortized cost 24,055 Cumulative effect of adoption of new accounting principle 342 Repayments (136) Total net unrealized losses included in net income: Unrealized losses (1,684) Ending balance, at fair value 22,577 Unrealized losses on our commercial loan are included in gain (loss) on investments, net in our condensed consolidated statements of operations. The following tables summarize significant unobservable inputs used in the fair value measurement of our GSE CRT embedded derivatives: Fair Value at Valuation Unobservable Weighted $ in thousands March 31, 2020 Technique Input Range Average GSE CRT Embedded Derivatives (29,772) Market Comparables, Vendor Pricing Weighted average life 1.1 - 4.1 years 3.0 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2019 Technique Input Range Average GSE CRT Embedded Derivatives 10,281 Market Comparables, Vendor Pricing Weighted average life 1.1 - 4.2 years 2.9 years These significant unobservable inputs change according to market conditions and security performance. We estimate the weighted average life of GSE CRTs in order to identify GSE corporate debt with a similar maturity. We obtain our weighted average life estimates from a third party provider. Although weighted average life is a significant input, changes in weighted average life may not have an explicit directional impact on the fair value measurement. The following table summarizes the significant unobservable input used in the fair value measurement of our commercial loan: Fair Value at Valuation Unobservable $ in thousands March 31, 2020 Technique Input Rate Commercial Loan 22,577 Discounted Cash Flow Discount rate 16.4 % The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at March 31, 2020 and December 31, 2019: March 31, 2020 December 31, 2019 $ in thousands Carrying Estimated Carrying Estimated Financial Assets Commercial loan, held-for-investment (1) N/A N/A 24,055 24,397 FHLBI stock 74,250 74,250 74,250 74,250 Total 74,250 74,250 98,305 98,647 Financial Liabilities Repurchase agreements 6,287,746 6,284,295 17,532,303 17,534,344 Secured loans 1,350,000 1,350,000 1,650,000 1,650,000 Total 7,637,746 7,634,295 19,182,303 19,184,344 (1) We elected the fair value option for our commercial loan on January 1 , 2020. The following describes our methods for estimating the fair value for financial instruments not carried at fair value on the condensed consolidated balance sheets. • The estimated fair value of our commercial loan, held-for-investment, included in "Other assets" on our condensed consolidated balance sheet as of December 31, 2019, is a Level 3 fair value measurement. The fair value was determined by an independent pricing service using a discounted cash flow analysis. • The estimated fair value of FHLBI stock, included in "Other assets" on our condensed consolidated balance sheets, is a Level 3 fair value measurement. FHLBI stock may only be sold back to the FHLBI at its discretion at par. As a result, the cost of the FHLBI stock approximates its fair value. • The estimated fair value of repurchase agreements is a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates we determined best reflect current market interest rates that would be offered for repurchase agreements with similar characteristics and credit quality. • The estimated fair value of secured loans is a Level 3 fair value measurement. The secured loans have floating rates based on an index plus a spread and the spread is typically consistent with those demanded in the market. Accordingly, the interest rates on these secured loans are at market, and thus the carrying amount approximates fair value. |
Related Party Transactions
Related Party Transactions | 3 Months Ended |
Mar. 31, 2020 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Under the terms of our management agreement, our Manager and its affiliates provide us with our management team, including our officers and appropriate support personnel. Each of our officers is an employee of our Manager or one of its affiliates. We do not have any employees. Our Manager is not obligated to dedicate any of its employees exclusively to us, nor is our Manager obligated to dedicate any specific portion of time to our business. During the three months ended March 31, 2020, we reimbursed our Manager $242,000 (March 31, 2019: $183,000) for costs of support personnel that are fully dedicated to our business. We have invested $2.6 million as of March 31, 2020 (December 31, 2019: $154.0 million) in money market or mutual funds managed by affiliates of our Manager. The investments are reported as cash and cash equivalents on our condensed consolidated balance sheets as they are highly liquid and have original or remaining maturities of three months or less when purchased. Management Fee Expense Effective October 1, 2019, our management fee is equal to 1.50% of our stockholders' equity per annum. For purposes of calculating the management fee, stockholders' equity is calculated as average month-end stockholders' equity for the prior calendar quarter as determined in accordance with U.S. GAAP. Stockholders' equity may exclude one-time events due to changes in U.S. GAAP and certain non-cash items upon approval by a majority of our independent directors. Prior to October 1, 2019, we paid our Manager a management fee equal to 1.50% of our stockholders’ equity per annum. The fee was calculated and payable quarterly in arrears. For purposes of calculating the management fee, stockholders’ equity was equal to the sum of the net proceeds from all issuances of equity securities since inception including proceeds from the issuance of operating partnership units to an affiliate of our Manager, plus retained earnings at the end of the most recently completed calendar quarter (without taking into account any non-cash equity compensation expense incurred in then current or prior periods), less any amount paid to repurchase common stock since inception. Stockholders' equity excluded (i) any unrealized gains, losses or other items that did not affect realized net income (regardless of whether such items were included in other comprehensive income or loss, or in net income); (ii) cumulative net realized losses that are not attributable to permanently impaired investments and that related to the investments for which market movement was accounted for in other comprehensive income; provided, however, that such adjustment did not exceed cumulative unrealized net gains in other comprehensive income; (iii) one-time events pursuant to changes in U.S. GAAP; and (iv) certain non-cash items after discussions between our Manager and our independent directors and approval by a majority of our independent directors. We do not pay any management fees on our investments in unconsolidated ventures that are managed by an affiliate of our Manager. Expense Reimbursement We are required to reimburse our Manager for operating expenses incurred on our behalf, including directors and officers insurance, accounting services, auditing and tax services, filing fees, and miscellaneous general and administrative costs. Our reimbursement obligation is not subject to any dollar limitation. The following table summarizes the costs incurred on our behalf by our Manager for the three months ended March 31, 2020 and 2019. Three Months Ended March 31, $ in thousands 2020 2019 Incurred costs, prepaid or expensed 2,214 1,604 Incurred costs, charged against equity as a cost of raising capital 62 320 Total incurred costs, originally paid by our Manager 2,276 1,924 Termination Fee If we terminate our management agreement, we owe our Manager a termination fee equal to three times the sum of our average annual management fee during the 24-month period before termination, calculated as of the end of the most recently completed fiscal quarter. |
Stockholders' Equity
Stockholders' Equity | 3 Months Ended |
Mar. 31, 2020 | |
Equity [Abstract] | |
Stockholders' Equity | Stockholders’ Equity Preferred Stock Holders of our Series A Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum. Dividends are cumulative and payable quarterly in arrears. Holders of our Series B Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum until December 27, 2024. After December 27, 2024, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.18% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. Holders of our Series C Preferred Stock are entitled to receive dividends at an annual rate of 7.50% of the liquidation preference of $25.00 per share or $1.875 per share per annum until September 27, 2027. After September 27, 2027, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.289% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. As of July 27, 2017, we have the option to redeem shares of our Series A Preferred Stock for $25.00 per share, plus any accumulated and unpaid dividends through the date of redemption. We have the option to redeem shares of our Series B Preferred Stock after December 27, 2024 and shares of our Series C Preferred Stock after September 27, 2027 for $25.00 per share, plus any accumulated and unpaid dividends through the date of the redemption. Shares of Series B and Series C Preferred Stock are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company prior to those times, except under circumstances intended to preserve our qualification as a REIT or upon the occurrence of a change in control. In March 2019, we entered into an equity distribution agreement with a placement agent under which we may sell up to 7,000,000 shares of our preferred stock from time to time in at-the-market or privately negotiated transactions. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). We have not sold any shares of preferred stock under this equity distribution agreement through the filing date of this Quarterly Report. Common Stock On February 6, 2020, we completed a public offering of 20,700,000 shares of common stock at the price of $16.78 per share. Total net proceeds were approximately $347.0 million after deducting estimated offering costs. We may sell up to 17,000,000 shares of our common stock from time to time in at-the-market or privately negotiated transactions under an equity distribution agreement with a placement agent. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). During the three months ended March 31, 2020, we did not issue any shares of common stock under the equity distribution agreement. During the three months ended March 31, 2019 , we issued 572,000 shares of common stock under the equity distribution agreement for proceeds of $9.1 million, net of approximately $193,000 in commissions and fees. Share Repurchase Program During the three months ended March 31, 2020 and 2019, we did not repurchase any shares of our common stock. As of March 31, 2020, we had authority to purchase 18,163,982 shares of our common stock through our share repurchase program. Share-Based Compensation We recognized compensation expense of approximately $113,000 (March 31, 2019: $113,000) related to awards to our independent directors under our 2009 Equity Incentive Plan ("our Incentive Plan") for the three months ended March 31, 2020. During the three months ended March 31, 2020 and 2019, we issued 6,170 shares and 7,065 shares of common stock, respectively, to our independent directors. We recognized compensation expense of approximately $18,000 (March 31, 2019: $19,000) for the three months ended March 31, 2020 for restricted stock units awarded to employees of our Manager and its affiliates under our Incentive Plan. At March 31, 2020, there was approximately $155,000 of total unrecognized compensation cost related to restricted stock unit awards that is expected to be recognized over a period of up to 48 months, with a weighted-average remaining vesting period of 22 months. The following table summarizes the activity related to restricted stock units awarded to employees of our Manager and its affiliates for the three months ended March 31, 2020. Three Months Ended March 31, 2020 Restricted Stock Units Weighted Average Grant Date Fair Value (1) Unvested at the beginning of the period 12,520 $ 12.84 Shares granted during the period 2,996 16.08 Shares vested during the period (4,844) 14.82 Unvested at the end of the period 10,672 $ 12.85 (1) The grant date fair value of restricted stock awards is based on the closing market price of our common stock at the grant date. Accumulated Other Comprehensive Income The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income ("AOCI") for the three months ended March 31, 2020 and 2019. The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended March 31, 2020 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (186,605) — (186,605) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 36,957 — 36,957 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (10,067) (10,067) Currency translation adjustments on investment in unconsolidated venture 480 — — 480 Total other comprehensive income (loss) 480 (149,648) (10,067) (159,235) AOCI balance at beginning of period (645) 213,701 75,907 288,963 Total other comprehensive income (loss) 480 (149,648) (10,067) (159,235) AOCI balance at end of period (165) 64,053 65,840 129,728 Three Months Ended March 31, 2019 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 52,349 — 52,349 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 10,147 — 10,147 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,851) (5,851) Currency translation adjustments on investment in unconsolidated venture (276) — — (276) Total other comprehensive income (loss) (276) 62,496 (5,851) 56,369 AOCI balance at beginning of period 513 120,664 99,636 220,813 Total other comprehensive income (loss) (276) 62,496 (5,851) 56,369 AOCI balance at end of period 237 183,160 93,785 277,182 Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the condensed consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining original life of the interest rate swap agreements. Dividends On March 24, 2020, we announced that we would delay the payment of quarterly dividends on our common and preferred stock to preserve liquidity until we could more accurately assess the impact of volatile market conditions related to the COVID-19 pandemic. We had declared a cash dividend of $0.50 per share on our common stock on March 17, 2020 that was to be paid on April 28, 2020 to all stockholders of record as o f March 30, 2020; a cash dividend of $0.4844 per share on our Series A Preferred Stock on March 17, 2020 that was to be paid on April 27, 2020 to stockholders of record as of April 1, 2020; a cash dividend of $0.4844 per share on our Series B Preferred Stock on February 18, 2020 that was to be paid on March 27, 2020 to stockholders of record as of March 5, 2020 and a cash dividend of $0.46875 per share on our Series C Preferred Stock on February 18, 2020 that was to be paid on March 27, 2020 to stockholders of record as of March 5, 2020. On May 9, 2020, our board of directors approved payment of the previously declared preferred dividends in cash and payment of our common stock dividend in a combination of cash and shares of our common stock as described in Note 15 - "Subsequent Events". The table below summarizes the dividends we declared during the three months ended March 31, 2020 and 2019: $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2020 March 17, 2020 0.4844 2,713 May 22, 2020 2019 March 18, 2019 0.4844 2,713 April 25, 2019 $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2020 February 18, 2020 0.4844 3,003 May 22, 2020 2019 February 14, 2019 0.4844 3,003 March 27, 2019 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2020 February 18, 2020 0.46875 5,391 May 22, 2020 2019 February 14, 2019 0.46875 5,391 March 27, 2019 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2020 March 17, 2020 0.50 82,483 June 30, 2020 2019 March 18, 2019 0.45 57,720 April 26, 2019 |
Earnings (Loss) per Common Shar
Earnings (Loss) per Common Share | 3 Months Ended |
Mar. 31, 2020 | |
Earnings Per Share [Abstract] | |
Earnings (Loss) per Common Share | Earnings (Loss) per Common Share Earnings (loss) per share for the three months ended March 31, 2020 and 2019 is computed as follows: Three Months Ended March 31, In thousands except per share amounts 2020 2019 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (1,627,299) 127,683 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 156,771 121,098 Effect of dilutive securities: Restricted stock awards — 12 Dilutive Shares 156,771 121,110 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic (10.38) 1.05 Diluted (10.38) 1.05 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Commitments and Contingencies Commitments and contingencies may arise in the ordinary course of business. Our material off-balance sheet commitments as of March 31, 2020 are discussed below. As discussed in Note 5 - "Other Assets", we have invested in unconsolidated ventures that are sponsored by an affiliate of our Manager. The unconsolidated ventures are structured as partnerships, and we invest in the partnerships as a limited partner. The entities are structured such that capital commitments are to be drawn down over the life of the partnership as investment opportunities are identified. As of March 31, 2020 and December 31, 2019, our undrawn capital and purchase commitments were $6.4 million and $6.5 million, respectively. As discussed in Note 5 - "Other Assets", we invested in a loan participation interest in a secured loan. We had an unfunded commitment to provide future financing for this loan participation interest of $49.6 million as of March 31, 2020. We sold our loan participation interest on April 1, 2020 for $21.6 million in cash and no longer have any future financing commitments related to this loan participation interest. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Sales of Investments and Repayment of Debt Due to the ongoing impact of the COVID-19 pandemic and resulting disruption in the financial markets, we took various actions during the second quarter of 2020 to manage our investment portfolio and generate liquidity. Between April 1, 2020 and May 31, 2020, we sold additional MBS and GSE CRTs with a fair value of $6.2 billion at March 31, 2020 for cash proceeds of $5.9 billion and our loan participation interest for cash proceeds of $21.6 million. We repaid all of our repurchase agreements and $512.5 million of FHLBI secured loans with proceeds from these asset sales and the return of cash margin previously pledged on our repurchase agreements. In April 2020, FHLBI modified the terms of our secured loans because we were not in compliance with all of the financial covenants of our secured loan agreements as of March 31, 2020. The modified loan terms require repayment of our secured loans by December 2020 but allow for repayment at any time without penalty. We intend to repay our secured loans by December 2020 with proceeds from sales of mortgage-backed securities that are collateralizing our secured loans. We determined that the modification of our loan terms was a troubled debt restructuring tha t did not impact the accounting for our secured loans. The balance of our secured loans is $837.5 million as of the filing date of this Quarterly Report. As discussed in Note 5 - "Other Assets," IAS Services LLC is required to purchase and hold a certain amount of FHLBI stock, which is based, in part, upon the outstanding principal balance of secured loans from the FHLBI. FHLBI redeemed a portion of our stock in connection with the repayment of our secured loans discussed above. The balance of our FHLBI stock is $37.7 million as of the filing date of this Quarterly Report. Portfolio Update As of May 31, 2020, we have a total investment portfolio, excluding cash and Agency CMBS purchase commitments, of approximately $1.6 billion consisting of 92% commercial credit investments, 7% residential credit investments, and 1% Agency mortgage-backed securities; approximately $540 million of the investment portfolio is unencumbered. Our portfolio has not materially changed between May 31, 2020 and the filing date of this Quarterly Report, and we are not a party to any interest rate swap contracts as of the filing date of this Quarterly Report. Between April 1, 2020 and May 31, 2020, we repaid the outstanding balance of our repurchase agreements (approximately $6.3 billion as of March 31, 2020). In addition, we repaid $512.5 million of our secured loans, reducing the outstanding balance of our secure d loans to $837.5 million as of the filing date of this Quarterly Report. As of May 31, 2020, we have a cash balance of $327.8 million, approximately $55.3 million of which is posted with FHLBI as collateral for our remaining secured loans. Dividends On May 9, 2020, our board of directors approved payment of the previously declared dividend of $0.50 per share of common stock (the "first quarter common stock dividend"). The first quarter common stock dividend will be paid on June 30, 2020 in a combination of cash and shares of the Company's common stock to stockholders of record as of May 21, 2020. The amount of cash paid to shareholders, other than cash paid in lieu of fractional shares, will not exceed 10% of the aggregate amount of the dividend. Shares issued in connection with our common stock dividend will be reflected in earnings per share prospectively. We recorded our first quarter common stock dividend as a reduction of retained earnings of $82.5 million in the three months ended March 31, 2020. On May 9, 2020, our board of directors also approved payment of the previously declared accumulated dividends on our Series A, Series B and Series C Preferred Stock described above. We paid our preferred dividends that were in arrears on May 22, 2020. We declared the following dividends on our Series B and Series C Preferred Stock on May 9, 2020 to our stockholders of record as of June 5, 2020: a Series B Preferred Stock dividend of $0.4844 per share payable on June 29, 2020 and a Series C Preferred Stock dividend of $0.46875 per share payable on June 29, 2020. We declared the following dividends on our common stock and Series A Preferred Stock on June 17, 2020: a common stock dividend of $0.02 per share payable on July 28, 2020 to stockholders of record as of July 6, 2020 and a Series A Preferred Stock dividend of $0.4844 per share payable on July 27, 2020 to stockholders of record as of July 1, 2020. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | Basis of Presentation and Consolidation Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2019. |
Consolidation | Our condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented. |
Use of Estimates | Use of Estimates The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income recognition on mortgage-backed and credit risk transfer securities and allowances for credit losses. Actual results may differ from those estimates. |
Mortgage-Backed and Credit Risk Transfer Securities | Mortgage-Backed and Credit Risk Transfer Securities Allowances for Credit Losses on Available-For-Sale Securities We are not required to measure expected credit losses for situations in which historic credit loss information , adjusted for current conditions and reasonable and support able forecasts , results in an expectation that nonpayment of the amortized cost basis is zero. We consider our Agency portfolio to have zero loss expectation because (i) there have been no historical credit losses, (ii) full and timely payment of principal and interest is guaranteed by the GSEs and (iii) the yields, while not risk free, generally trade based on prepayment and liquidity risk as opposed to credit risk. Our available-for-sale GSE CRTs are hybrid financial instruments consisting of a debt host contract and an embedded credit derivative. The embedded credit derivative is carried at fair value with changes in fair value recorded in earnings. For non-Agency RMBS and non-Agency CMBS, we use a discounted cash flow method to estimate and recognize an allowance for credit losses. We calculate t he allowance for credit losses as the difference between prepayment adjusted contractual cash flows without credit losses and expected cash flows discounted at the effective interest rate used to recognize interest income on the investment. In developing an expectation of credit losses, we use internal models that analyze the loans underlying each investment and evaluate factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. We place reliance on these internal models in determining credit quality. We record an allowance for credit losses as a contra-asset on the condensed consolidated balance sheets and a provision for credit losses i n the condensed consolidated statements of operations . C redit losses are accreted into earnings over time at the effective interest rate used to recognize interest income. S ubsequent favorable or adverse changes in the amount of expected credit losses are recognized immediately in earnings. If the allowance for credit losses has been reduced to zero, we reflect the remaining favorable changes as a prospective adjustment to the effective interest rate of the investment. The allowance for credit losses is limited to the amount by which the investment’s amortized cost exceeds fair value. When the allowance for credit losses is limited, the effective interest rate used to recognize interest income and accrete credit losses is prospectively adjusted. We do not record an allowance for credit losses when an investment’s fair value exceeds its amortized cost. R ecoveries of amounts previously written off relating to improvements in cash flows are recognized in earnings when received. We record p rovisions for credit losses, reductions in provisions for credit losses, accretion of credit losses, and recoveries of amounts previously written off within g ain (loss) on investments, net in our condensed consolidated statements of operations. When we determine that we intend to sell , or more likely than not will be required to sell , an available-for-sale security in an unrealized loss position before we recover its amortized cost , we write off any allowance for credit losses and write down the investment’s amortized cost to its fair value. We record the write off of the allowance for credit losses and write down of the available-for-sale security within g ain (loss) on investments, net in our condensed consolidated statements of operations. |
Interest Income Recognition | Interest Income Recognition Mortgage-Backed Securities Interest income on MBS is accrued based on the outstanding principal or notional balance of the securities and their contractual terms. Premiums or discounts are amortized or accreted into interest income over the life of the investment using the effective interest method. Interest income on our MBS where we may not recover substantially all of our initial investment is based on estimated future cash flows. We estimate future expected cash flows at the time of purchase and determine the effective interest rate based on these estimated cash flows and our purchase price. Over the life of the investments, we update these estimated future cash flows and compute a revised yield based on the current amortized cost of the investment. In situations where an allowance for credit losses is limited by the fair value of the investment, we compute the yield as the rate that equates expected future cash flows to the current fair value of the investment. In estimating these future cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including but not limited to the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate, and interest rate fluctuations. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact our estimate and our interest income. Changes in our original or most recent cash flow projections may result in a prospective change in interest income recognized on these securities, or the amortized cost of these securities. For non-Agency RMBS not of high credit quality, when actual cash flows vary from expected cash flows, the difference is recorded as an adjustment to the amortized cost of the security, unless those changes relate to credit losses that will be reflected in an allowance for credit losses, and the security's yield is revised prospectively. For Agency RMBS and Agency CMBS that cannot be prepaid in such a way that we would not recover substantially all of our initial investment, interest income recognition is based on contractual cash flows. We do not estimate prepayments in applying the effective interest method. |
Fair Value Measurements | Fair Value Measurements As of January 1, 2020, we report our commercial loan at fair value as determined by an independent pricing service. The pricing service values the loan using a discounted cash flow analysis. The yield used in the discounted cash flow analysis is determined by comparing the features of the loan to the interest rates and terms required by lenders in the new loan origination market for similar loans and the yield required by investors acquiring mezzanine loans in the secondary market and a comparison of current market and collateral conditions to those present at origination. We discontinued reporting our commercial loan at amortized cost because we elected the fair value option for this loan in connection with our adoption of the new guidance for reporting credit losses discussed below. |
Accounting Pronouncements Recently Adopted and Accounting Pronouncements Recently Issued | Accounting Pronouncements Recently Adopted On January 1, 2020, we adopted the accounting guidance that changes how entities report credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities measure credit losses for most financial assets, including loans, that are not measured at fair value through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost and requires entities to record credit allowances for available-for-sale debt securities rather than reduce the carrying amount, as they previously did under the other-than-temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans and requires that entities record an adjustment to retained earnings on January 1, 2020 for the cumulative effect of adopting the new guidance. We were not required to record a cumulative effect adjustment to retained earnings because all of our purchased credit-impaired securities were in an unrealized gain position as of the implementation date. The new guidance specifically excludes available-for-sale securities measured at fair value through net income. We elected the fair value option for all MBS purchased on or after September 1, 2016 and GSE CRTs purchased on or after August 24, 2015. Accordingly, the impact of the new guidance on accounting for our debt securities is limited to those securities we purchased prior to election of the fair value option and held on January 1, 2020. For further information on the composition of our investment portfolio see Note 4 - "Mortgage Backed and Credit Risk Transfer Securities". During the three months ended March 31, 2020, we recorded $78.8 million of impairment on non-Agency securities that we intend to sell or more likely than not will be required to sell before we recover the amortized cost basis of the security. We recorded the impairment within gain (loss) on investments, net in our condensed consolidated statements of operations. As of March 31, 2020, we have not recorded a credit loss allowance on any of our securities. We had one commercial loan as of December 31, 2019 that was measured at amortized cost. We implemented the new guidance for this loan by electing the fair value option and recording a cumulative effect adjustment to increase retained earnings by $342,000 on January 1, 2020. We recognized $1.7 million of unrealized losses on our commercial loan in our condensed consolidated statement of operations during the three months ended March 31, 2020. Accounting Pronouncements Recently Issued |
Variable Interest Entities ("_2
Variable Interest Entities ("VIEs") (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Variable Interest Entity Disclosure [Abstract] | |
Maximum Risk of Loss | Our maximum risk of loss in VIEs in which we are not the primary beneficiary at March 31, 2020 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 2,869,051 2,869,051 Non-Agency RMBS 568,081 568,081 Investments in unconsolidated ventures 21,088 21,088 Total 3,458,220 3,458,220 |
Mortgage-Backed and Credit Ri_2
Mortgage-Backed and Credit Risk Transfer Securities (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Investment Portfolio | The following tables summarize our MBS and GSE CRT portfolio by asset type as of March 31, 2020 and December 31, 2019. March 31, 2020 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 67,123 767 67,890 3,276 71,166 3.29 % 30 year fixed-rate 1,318,576 45,032 1,363,608 57,554 1,421,162 3.39 % Hybrid ARM * 2,557 — 2,557 115 2,672 3.28 % Total Agency RMBS pass-through 1,388,256 45,799 1,434,055 60,945 1,495,000 3.39 % Agency-CMO (2) 532,411 (247,963) 284,448 16,087 300,535 3.29 % Agency CMBS (3) 2,070,199 32,398 2,102,597 175,430 2,278,027 2.90 % Non-Agency CMBS (4) 3,889,234 (795,998) 3,093,236 (224,185) 2,869,051 6.13 % Non-Agency RMBS (5)(6)(7) 1,892,459 (1,340,469) 551,990 16,091 568,081 7.06 % GSE CRT (8) 682,183 13,360 695,543 (161,429) 534,114 3.25 % Total 10,454,742 (2,292,873) 8,161,869 (117,061) 8,044,808 4.53 % * Adjustable-rate mortgage ("ARM") (1) Period-end weighted average yield is based on amortized cost as of March 31, 2020 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 49.5% of principal/notional balance, 4.9% of amortized cost and 4.9% of fair value. (3) Includes Agency CMBS purchase commitments with a fair value of approximately $507.2 million. (4) Non-Agency CMBS includes interest-only securities which represent 14.9% of principal/notional balance, 0.3% of amortized cost and 0.4% of fair value. (5) Non-Agency RMBS is 61.9% fixed rate, 34.8% variable rate, and 3.3% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (6) Of the total discount in non-Agency RMBS, $72.6 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 65.6% of principal/notional balance, 2.7% of amortized cost and 1.0% of fair value. (8) GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. December 31, 2019 $ in thousands Principal/Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 280,426 1,666 282,092 10,322 292,414 3.34 % 30 year fixed-rate 9,911,339 308,427 10,219,766 304,454 10,524,220 3.62 % Hybrid ARM 55,024 602 55,626 1,267 56,893 3.46 % Total Agency RMBS pass-through 10,246,789 310,695 10,557,484 316,043 10,873,527 3.61 % Agency-CMO (2) 883,122 (467,840) 415,282 12,230 427,512 3.54 % Agency CMBS (3) 4,561,276 75,299 4,636,575 131,355 4,767,930 3.01 % Non-Agency CMBS (4) 4,464,525 (772,295) 3,692,230 131,244 3,823,474 5.16 % Non-Agency RMBS (5)(6)(7) 2,340,119 (1,487,603) 852,516 103,155 955,671 6.98 % GSE CRT (8) 858,244 19,945 878,189 45,483 923,672 2.78 % Total 23,354,075 (2,321,799) 21,032,276 739,510 21,771,786 3.85 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2019 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 56.3% o f principal (notional) balance, 6.4% of amortized cost and 6.4% of fair value. (3) Includes Agency CMBS purchase commitments with a fair value of approximately $96.2 million . (4) Non-Agency CMBS includes interest-only securities which represent 13.1% of principal/notional balance, 0.3% of amortized cost and 0.3% of fair value. (5) Non-Agency RMBS is 37.0% variable rate, 57.7% fixed rate, and 5.3% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (6) Of the total discount in non-Agency RMBS, $120.2 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities, which represent 56.2% of principal/notional balance, 1.9% of amortized cost and 1.3% of fair value. (8) GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. The components of the carrying value of our MBS and GSE CRT portfolio at March 31, 2020 and December 31, 2019 are presented below. March 31, 2020 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 8,369,799 2,084,943 10,454,742 Unamortized premium 108,948 — 108,948 Unamortized discount (356,152) (2,045,669) (2,401,821) Gross unrealized gains (1) 291,151 3,144 294,295 Gross unrealized losses (1) (401,179) (10,177) (411,356) Fair value 8,012,567 32,241 8,044,808 December 31, 2019 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 20,957,410 2,396,665 23,354,075 Unamortized premium 440,503 — 440,503 Unamortized discount (419,983) (2,342,319) (2,762,302) Gross unrealized gains (1) 807,324 4,782 812,106 Gross unrealized losses (1) (66,064) (6,532) (72,596) Fair value 21,719,190 52,596 21,771,786 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three months ended March 31, 2020 and 2019 is provided below within this Note 4. |
Schedule of Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type | The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of March 31, 2020 and December 31, 2019. We have elected the fair value option for all of our RMBS interest-only securities, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of March 31, 2020 and December 31, 2019, approximately 65% and 80%, respectively, of our MBS and GSE CRTs are accounted for under the fair value option. March 31, 2020 December 31, 2019 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 15 year fixed-rate 23,652 47,514 71,166 98,666 193,748 292,414 30 year fixed-rate 237,581 1,183,581 1,421,162 754,590 9,769,630 10,524,220 Hybrid ARM 2,672 — 2,672 31,522 25,371 56,893 Total RMBS Agency pass-through 263,905 1,231,095 1,495,000 884,778 9,988,749 10,873,527 Agency-CMO 144,405 156,130 300,535 146,733 280,779 427,512 Agency CMBS — 2,278,027 2,278,027 — 4,767,930 4,767,930 Non-Agency CMBS 1,765,868 1,103,183 2,869,051 2,150,991 1,672,483 3,823,474 Non-Agency RMBS 368,663 199,418 568,081 715,479 240,192 955,671 GSE CRT 238,654 295,460 534,114 507,445 416,227 923,672 Total 2,781,495 5,263,313 8,044,808 4,405,426 17,366,360 21,771,786 |
Fair Value of Mortgage-Backed Securities and GSE CRT Portfolio According to Weighted Average Life Classification | The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of March 31, 2020 and December 31, 2019 . $ in thousands March 31, 2020 December 31, 2019 Less than one year 320,834 268,536 Greater than one year and less than five years 3,638,676 7,836,620 Greater than or equal to five years 4,085,298 13,666,630 Total 8,044,808 21,771,786 |
Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time | The following tables present the estimated fair value and gross unrealized losses of our MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at March 31, 2020 and December 31, 2019. March 31, 2020 Less than 12 Months 12 Months or More Total (1) $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Agency-CMO 3,278 (668) 11 2,201 (442) 7 5,479 (1,110) 18 Agency CMBS 194,960 (3,054) 7 — — — 194,960 (3,054) 7 Non-Agency CMBS 1,107,247 (234,156) 115 — — — 1,107,247 (234,156) 115 GSE CRT 534,114 (161,429) 44 — — — 534,114 (161,429) 44 Non-Agency RMBS 77,300 (11,590) 27 297 (17) 3 77,597 (11,607) 30 Total 1,916,899 (410,897) 204 2,498 (459) 10 1,919,397 (411,356) 214 (1) Unrealized losses relate to securities or embedded derivatives that are recorded at fair value through earnings. There were no unrealize d losses on available-for-sale securities as of March 31, 2020 as those losses were recorded as impairments of the securities' amortized cost basis because we intended to sell or more likely than not would be required to sell the securities before recovery of amortized cost basis. December 31, 2019 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Agency RMBS: 15 year fixed-rate 957 (1) 2 362 (3) 4 1,319 (4) 6 30 year fixed-rate 255,649 (207) 3 34,009 (256) 5 289,658 (463) 8 Hybrid ARM 434 (2) 1 1,524 (46) 3 1,958 (48) 4 Total Agency RMBS pass-through (1) 257,040 (210) 6 35,895 (305) 12 292,935 (515) 18 Agency-CMO (2) 67,875 (1,194) 15 6,155 (1,513) 13 74,030 (2,707) 28 Agency CMBS (3) 1,743,800 (50,521) 58 — — — 1,743,800 (50,521) 58 Non-Agency CMBS (4) 203,129 (2,783) 19 101,021 (11,425) 7 304,150 (14,208) 26 Non-Agency RMBS (5) 26,283 (3,935) 14 12,199 (636) 2 38,482 (4,571) 16 GSE CRT (6) 77,044 (74) 4 — — — 77,044 (74) 4 Total 2,375,171 (58,717) 116 155,270 (13,879) 34 2,530,441 (72,596) 150 (1) Includes Agency RMBS with a fair value of $271.3 million for which the fair value option has been elected. These securities have unrealized losses of $268,000. (2) Includes Agency IO with fair value of $11.1 million for which the fair value option has been elected. These Agency IO have unrealized losses of $2.3 million. (3) Fair value option has been elected for all Agency CMBS that are in an unrealized loss position. (4) Includes non-Agency CMBS with a fair value of $181.5 million for which the fair value option has been elected. These securities have unrealized losses of $2.8 million. (5) Includes non-Agency RMBS and non-Agency IO with a fair value of $17.6 million and $8.5 million, respectively, for which the fair value option has been elected. These securities have unrealized losses of $261,000 and $3.7 million, respectively. |
Changes in other than temporary impairment included in earnings | The following table summarizes OTTI included in earnings for the three months ended March 2019: Three Months Ended March 31, $ in thousands 2019 RMBS interest-only securities 1,463 Non-Agency RMBS (1) 313 Total 1,776 (1) Amounts disclosed relate to credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income. |
Realized Gain (Loss) on Investments | The following table summarizes the components of our total gain (loss) on investments, net for the three months ended March 31, 2020 and 2019. Three Months Ended March 31, $ in thousands 2020 2019 Gross realized gains on sale of investments 328,128 1,202 Gross realized losses on sale of investments (332,413) (12,317) Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis (78,834) — Other-than-temporary impairment losses — (1,776) Net unrealized gains and losses on MBS accounted for under the fair value option (514,503) 280,039 Net unrealized gains and losses on GSE CRT accounted for under the fair value option (152,369) 1,234 Net unrealized gains and losses on commercial loan and loan participation interest (5,492) — Total gain (loss) on investments, net (755,483) 268,382 |
Components of MBS and GSE CRT Interest Income | The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three months ended March 31, 2020 and 2019. GSE CRT interest income excludes coupon interest associated with embedded derivatives of $4.7 million for the three months ended March 31, 2020 (2019: $5.4 million) that is recorded as realized and unrealized credit derivative income (loss), net. For the three months ended March 31, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 105,878 (20,913) 84,965 Agency CMBS 33,995 (1,666) 32,329 Non-Agency CMBS 42,218 5,058 47,276 Non-Agency RMBS 10,760 2,698 13,458 GSE CRT 8,507 (1,750) 6,757 Other 751 — 751 Total 202,109 (16,573) 185,536 For the three months ended March 31, 2019 $ in thousands Coupon Net (Premium Interest Agency RMBS 119,726 (12,194) 107,532 Agency CMBS 10,471 (531) 9,940 Non-Agency CMBS 38,830 3,031 41,861 Non-Agency RMBS 14,267 3,922 18,189 GSE CRT 8,596 (1,178) 7,418 Other 552 — 552 Total 192,442 (6,950) 185,492 |
Other Assets (Tables)
Other Assets (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Summary of Company's Other Assets | The following table summarizes our other assets as of March 31, 2020 and December 31, 2019: $ in thousands March 31, 2020 December 31, 2019 FHLBI stock 74,250 74,250 Loan participation interest 21,577 44,654 Commercial loan, held-for-investment 22,577 24,055 Investments in unconsolidated ventures 21,088 21,998 Prepaid expenses and other assets 1,501 1,223 Total 140,993 166,180 |
Borrowings (Tables)
Borrowings (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Debt Disclosure [Abstract] | |
Schedule of Borrowings | The following tables summarize certain characteristics of our borrowings at March 31, 2020 and December 31, 2019. Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements and secured loans. $ in thousands March 31, 2020 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 1,571,471 1.40 % 13 Agency CMBS 1,622,054 1.37 % 18 Non-Agency CMBS 1,833,234 2.16 % 8 Non-Agency RMBS 549,868 2.22 % 7 GSE CRT 692,081 2.15 % 11 Loan participation interest 19,038 2.50 % 149 Total Repurchase Agreements 6,287,746 1.77 % 13 Secured Loans 1,350,000 1.29 % 1839 Total Borrowings 7,637,746 1.69 % 335 $ in thousands December 31, 2019 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 9,666,964 1.95 % 46 Agency CMBS 4,246,359 1.95 % 43 Non-Agency CMBS 2,041,968 2.71 % 14 Non-Agency RMBS 790,412 2.65 % 16 GSE CRT 753,110 2.70 % 13 Loan participation interest 33,490 3.22 % 240 Total Repurchase Agreements 17,532,303 2.11 % 39 Secured Loans 1,650,000 1.93 % 1587 Total Borrowings 19,182,303 2.09 % 172 |
Schedule of Maturities of Outstanding Borrowings | The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of Borrowings maturing within: March 31, 2020 4/1/2020 - 3/31/2021 (1) 6,387,746 4/1/2021 - 3/31/2022 — 4/1/2022 - 3/31/2023 — 4/1/2023 - 3/31/2024 — 4/1/2024 - 3/31/2025 — Thereafter (1) 1,250,000 Total 7,637,746 (1) As discussed in Note 15 - "Subsequent Events", in April 2020 FHLBI accelerated the repayment date of our $1.35 billion of secured loans that were outstanding because we were not in compliance with all of the financial covenants of our secured loan agreements at March 31, 2020. We repaid $512.5 million of our secured loans between April 1, 2020 and May 31, 2020. The remaining balance of our secured loans of $837.5 million is due by December 2020. |
Collateral Positions (Tables)
Collateral Positions (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Collateral Hold and Pledged | The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, secured loans, interest rate swaps and currency forward contracts as of March 31, 2020 and December 31, 2019. Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2019 for a description of how we determine fair value. RMBS, CMBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets. Loan participation interest collateral pledged is included in other assets on our condensed consolidated balance sheets. Cash collateral pledged on secured loans, centrally cleared interest rate swaps, and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on repurchase agreements is classified as due from counterparties on our condensed consolidated balance sheets. Agency CMBS purchase commitments that are recorded as mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets cannot be pledged as collateral until these securities settle. We held approximately $507.2 million and $96.2 million of these securities as of March 31, 2020 and December 31, 2019, respectively. Cash collateral held on repurchase agreements that is not restricted for use is included in cash and cash equivalents on our condensed consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of March 31, 2020 and December 31, 2019, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets. $ in thousands As of Collateral Pledged March 31, 2020 December 31, 2019 Repurchase Agreements: Agency RMBS 1,699,937 10,187,555 Agency CMBS 1,736,097 4,446,384 Non-Agency CMBS 1,862,472 2,549,841 Non-Agency RMBS 606,289 943,176 GSE CRT 719,639 918,117 Loan participation interest 21,577 44,654 Cash 394,424 32,568 Total repurchase agreements collateral pledged 7,040,435 19,122,295 Secured Loans: Agency RMBS 298,361 621,471 Non-Agency CMBS 1,096,812 1,276,418 Restricted cash 221,368 600 Total secured loans collateral pledged 1,616,541 1,898,489 Interest Rate Swaps and Currency Forward Contracts: Agency RMBS — 189,780 Restricted cash 320 116,395 Total interest rate swaps and currency forward contracts collateral pledged 320 306,175 Total collateral pledged: Mortgage-backed and credit risk transfer securities 8,019,607 21,132,742 Loan participation interest 21,577 44,654 Cash 394,424 32,568 Restricted cash 221,688 116,995 Total collateral pledged (1) 8,657,296 21,326,959 As of Collateral Held March 31, 2020 December 31, 2019 Repurchase Agreements: Cash 50,135 10 Non-cash collateral — 181 Total repurchase agreements collateral held 50,135 191 Interest Rate Swaps: Cash — 160 Total interest rate swap collateral held — 160 Total collateral held: Cash 50,135 170 Non-cash collateral — 181 Total collateral held 50,135 351 (1) Includes pledged securities of $534.5 million sold but not settled as of March 31, 2020 that are recorded as an investment related receivable on our condensed consolidated balance sheet. Securities associated with unsettled trades remain legally pledged until the related repurchase agreement is repaid. There were no securities pledged as collateral associated with unsettled trades as of December 31, 2019. |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Outstanding Interest Rate Swaptions and Derivative Instrument Information | The following table summarizes changes in the notional amount of our derivative instruments during 2020: $ in thousands Notional Amount Additions Settlement, Notional Amount Interest Rate Swaps 14,000,000 93,675,000 (107,675,000) — Currency Forward Contracts 23,111 22,738 (23,111) 22,738 Credit Derivatives 464,966 — (211,282) 253,684 Total 14,488,077 93,697,738 (107,909,393) 276,422 |
Schedule of Interest Rate Swaps Outstanding | As of December 31, 2019, we had interest rate swaps with the following maturities outstanding: $ in thousands As of December 31, 2019 Maturities Notional Amount (1) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2020 1,900,000 1.67 % 1.84 % 0.6 2021 2,500,000 1.40 % 1.77 % 1.3 2022 800,000 1.53 % 1.91 % 2.9 2023 2,400,000 1.44 % 1.72 % 3.9 2024 900,000 1.49 % 1.76 % 4.8 Thereafter 5,500,000 1.44 % 1.78 % 9.5 Total 14,000,000 1.47 % 1.79 % 5.2 |
Disclosure of Credit Derivatives | At March 31, 2020 and December 31, 2019, terms of the GSE CRT embedded derivatives are: $ in thousands March 31, 2020 December 31, 2019 Fair value amount (29,772) 10,281 Notional amount 253,684 464,966 Maximum potential amount of future undiscounted payments 253,684 464,966 |
Fair Value of Derivative Financial Instruments and Classification on Balance Sheet | The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of March 31, 2020 and December 31, 2019. $ in thousands Derivative Assets Derivative Liabilities As of March 31, 2020 As of December 31, 2019 As of March 31, 2020 As of December 31, 2019 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset — 18,533 Interest Rate Swaps Liability — — Currency Forward Contracts — — Currency Forward Contracts 302 352 Total Derivative Assets — 18,533 Total Derivative Liabilities 302 352 |
Effect of Derivative Financial Instruments on Statement of Operations | The tables below present the effect of our credit derivatives on the condensed consolidated statements of operations for the three months ended March 31, 2020 and 2019. $ in thousands Three months ended March 31, 2020 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives 2,283 4,718 (40,053) (33,052) $ in thousands Three months ended March 31, 2019 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 5,350 2,534 7,884 The following tables summarizes the effect of interest rate swaps, futures contracts and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three months ended March 31, 2020 and 2019: $ in thousands Three Months Ended March 31, 2020 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (904,704) 11,924 (18,532) (911,312) Currency Forward Contracts 484 — 49 533 Total (904,220) 11,924 (18,483) (910,779) $ in thousands Three Months Ended March 31, 2019 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (165,884) 4,509 12,991 (148,384) Futures Contracts (66,688) — 12,944 (53,744) Currency Forward Contracts 185 — 483 668 Total (232,387) 4,509 26,418 (201,460) |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Offsetting [Abstract] | |
Offsetting Derivative Assets | The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at March 31, 2020 and December 31, 2019. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative asset of $18.5 million as of December 31, 2019 related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of March 31, 2020 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Instruments (2) Net Amount Liabilities Derivatives (1)(2) (302) — (302) — 302 — Repurchase Agreements (3) (6,287,746) — (6,287,746) 6,287,746 — — Secured Loans (4) (1,350,000) — (1,350,000) 1,350,000 — — Total Liabilities (7,638,048) — (7,638,048) 7,637,746 302 — As of December 31, 2019 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Instruments (2) Cash Collateral Net Amount Liabilities Derivatives (1)(2) (352) — (352) — 320 (32) Repurchase Agreements (3) (17,532,303) — (17,532,303) 17,532,303 — — Secured Loans (4) (1,650,000) — (1,650,000) 1,650,000 — — Total Liabilities (19,182,655) — (19,182,655) 19,182,303 320 (32) (1) Amounts represent collateral pledged that is available to be offset against liability balances associated with currency forward contracts. (2) The fair value of securities pledged as initial margin against our centrally cleared swaps was $189.8 million as of December 31, 2019. Cash collateral pledged on our currency forward contracts and centrally cleared interest rate swaps was $320,000 and $116.4 million as of March 31, 2020 and December 31, 2019, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $160,000 at December 31, 2019. (3) The fair value of securities pledged against our borrowing under repurchase agreements was $6.6 billion and $19.1 billion at March 31, 2020 and December 31, 2019, respectively. We pledged cash collateral of $394.4 million and held cash collateral of $50.1 million under repurchase agreements as of March 31, 2020. |
Offsetting Derivative Liabilities | The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at March 31, 2020 and December 31, 2019. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative asset of $18.5 million as of December 31, 2019 related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of March 31, 2020 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Instruments (2) Net Amount Liabilities Derivatives (1)(2) (302) — (302) — 302 — Repurchase Agreements (3) (6,287,746) — (6,287,746) 6,287,746 — — Secured Loans (4) (1,350,000) — (1,350,000) 1,350,000 — — Total Liabilities (7,638,048) — (7,638,048) 7,637,746 302 — As of December 31, 2019 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Instruments (2) Cash Collateral Net Amount Liabilities Derivatives (1)(2) (352) — (352) — 320 (32) Repurchase Agreements (3) (17,532,303) — (17,532,303) 17,532,303 — — Secured Loans (4) (1,650,000) — (1,650,000) 1,650,000 — — Total Liabilities (19,182,655) — (19,182,655) 19,182,303 320 (32) (1) Amounts represent collateral pledged that is available to be offset against liability balances associated with currency forward contracts. (2) The fair value of securities pledged as initial margin against our centrally cleared swaps was $189.8 million as of December 31, 2019. Cash collateral pledged on our currency forward contracts and centrally cleared interest rate swaps was $320,000 and $116.4 million as of March 31, 2020 and December 31, 2019, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $160,000 at December 31, 2019. (3) The fair value of securities pledged against our borrowing under repurchase agreements was $6.6 billion and $19.1 billion at March 31, 2020 and December 31, 2019, respectively. We pledged cash collateral of $394.4 million and held cash collateral of $50.1 million under repurchase agreements as of March 31, 2020. |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measured on Recurring Basis | The following tables present our assets and liabilities measured at fair value on a recurring basis. March 31, 2020 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 8,074,580 (29,772) — 8,044,808 Other assets (4) — — 44,154 21,088 65,242 Total assets — 8,074,580 14,382 21,088 8,110,050 Liabilities: Derivative liabilities — 302 — — 302 Total liabilities — 302 — — 302 December 31, 2019 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 21,761,505 10,281 — 21,771,786 Derivative assets — 18,533 — — 18,533 Other assets (4) — — 44,654 21,998 66,652 Total assets — 21,780,038 54,935 21,998 21,856,971 Liabilities: Derivative liabilities — 352 — — 352 Total liabilities — 352 — — 352 (1) For more detail about the fair value of our MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments with an embedded derivative. The hybrid financial instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of March 31, 2020, the embedded derivative is a liability of $29.8 million. As of December 31, 2019, the net embedded derivative asset position of $10.3 million includes $19.5 million of embedded derivatives in an asset position and $9.2 million of embedded derivatives in a liability position. (3) Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of March 31, 2020 and December 31, 2019, the weighted average remaining term of our investments in unconsolidated ventures was 1.9 years for both periods. (4) Includes $21.6 million and $44.7 million of a loan participation interest as of March 31, 2020 and December 31, 2019, respectively and $22.6 million of a commercial loan as of March 31, 2020. We elected the fair value option for our commercial loan as of January 1, 2020 and valued it based on a third party appraisal as of March 31, 2020. We sold the loan participation interest on April 1, 2020 and valued it at its sales price as of March 31, 2020. |
Embedded Derivatives Level 3 Roll Forward | The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs: Three Months Ended March 31, $ in thousands 2020 2019 Beginning balance 10,281 22,771 Sales and settlements (2,283) — Total net credit derivative gains (losses) included in net income: Realized credit derivative gains (losses), net 2,283 — Unrealized credit derivative gains (losses), net (40,053) 2,534 Ending balance (29,772) 25,305 |
Reconciliation of Beginning and Ending Fair Value Measurement Utilizing Level 3 Inputs | The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs: Three Months Ended March 31, $ in thousands 2020 2019 Beginning balance 44,654 54,981 Purchases/Advances — 577 Repayments (19,269) (1,731) Total net unrealized losses included in net income: Unrealized losses (3,808) — Ending balance 21,577 53,827 Unrealized losses on our loan participation interest are included in gain (loss) on investments, net in our condensed consolidated statements of operations. The following table shows a reconciliation of the beginning balance of our commercial loan at amortized cost and ending balance at fair value, which we have valued utilizing Level 3 inputs: Three Months Ended March 31, $ in thousands 2020 Beginning balance, at amortized cost 24,055 Cumulative effect of adoption of new accounting principle 342 Repayments (136) Total net unrealized losses included in net income: Unrealized losses (1,684) Ending balance, at fair value 22,577 |
Embedded Derivatives Fair Value Inputs | The following tables summarize significant unobservable inputs used in the fair value measurement of our GSE CRT embedded derivatives: Fair Value at Valuation Unobservable Weighted $ in thousands March 31, 2020 Technique Input Range Average GSE CRT Embedded Derivatives (29,772) Market Comparables, Vendor Pricing Weighted average life 1.1 - 4.1 years 3.0 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2019 Technique Input Range Average GSE CRT Embedded Derivatives 10,281 Market Comparables, Vendor Pricing Weighted average life 1.1 - 4.2 years 2.9 years |
Fair Value Measurement Inputs and Valuation Techniques | The following table summarizes the significant unobservable input used in the fair value measurement of our commercial loan: Fair Value at Valuation Unobservable $ in thousands March 31, 2020 Technique Input Rate Commercial Loan 22,577 Discounted Cash Flow Discount rate 16.4 % |
Carrying Value and Estimated Fair Value of Financial Instruments | The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at March 31, 2020 and December 31, 2019: March 31, 2020 December 31, 2019 $ in thousands Carrying Estimated Carrying Estimated Financial Assets Commercial loan, held-for-investment (1) N/A N/A 24,055 24,397 FHLBI stock 74,250 74,250 74,250 74,250 Total 74,250 74,250 98,305 98,647 Financial Liabilities Repurchase agreements 6,287,746 6,284,295 17,532,303 17,534,344 Secured loans 1,350,000 1,350,000 1,650,000 1,650,000 Total 7,637,746 7,634,295 19,182,303 19,184,344 (1) We elected the fair value option for our commercial loan on January 1 |
Related Party Transactions (Tab
Related Party Transactions (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Related Party Transactions [Abstract] | |
Schedule of Related Party Transactions | The following table summarizes the costs incurred on our behalf by our Manager for the three months ended March 31, 2020 and 2019. Three Months Ended March 31, $ in thousands 2020 2019 Incurred costs, prepaid or expensed 2,214 1,604 Incurred costs, charged against equity as a cost of raising capital 62 320 Total incurred costs, originally paid by our Manager 2,276 1,924 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Equity [Abstract] | |
Schedule of Nonvested Restricted Stock Units Activity | The following table summarizes the activity related to restricted stock units awarded to employees of our Manager and its affiliates for the three months ended March 31, 2020. Three Months Ended March 31, 2020 Restricted Stock Units Weighted Average Grant Date Fair Value (1) Unvested at the beginning of the period 12,520 $ 12.84 Shares granted during the period 2,996 16.08 Shares vested during the period (4,844) 14.82 Unvested at the end of the period 10,672 $ 12.85 (1) The grant date fair value of restricted stock awards is based on the closing market price of our common stock at the grant date. |
Schedule of accumulated other comprehensive income | The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended March 31, 2020 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (186,605) — (186,605) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 36,957 — 36,957 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (10,067) (10,067) Currency translation adjustments on investment in unconsolidated venture 480 — — 480 Total other comprehensive income (loss) 480 (149,648) (10,067) (159,235) AOCI balance at beginning of period (645) 213,701 75,907 288,963 Total other comprehensive income (loss) 480 (149,648) (10,067) (159,235) AOCI balance at end of period (165) 64,053 65,840 129,728 Three Months Ended March 31, 2019 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 52,349 — 52,349 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 10,147 — 10,147 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,851) (5,851) Currency translation adjustments on investment in unconsolidated venture (276) — — (276) Total other comprehensive income (loss) (276) 62,496 (5,851) 56,369 AOCI balance at beginning of period 513 120,664 99,636 220,813 Total other comprehensive income (loss) (276) 62,496 (5,851) 56,369 AOCI balance at end of period 237 183,160 93,785 277,182 |
Dividends Declared | The table below summarizes the dividends we declared during the three months ended March 31, 2020 and 2019: $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2020 March 17, 2020 0.4844 2,713 May 22, 2020 2019 March 18, 2019 0.4844 2,713 April 25, 2019 $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2020 February 18, 2020 0.4844 3,003 May 22, 2020 2019 February 14, 2019 0.4844 3,003 March 27, 2019 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2020 February 18, 2020 0.46875 5,391 May 22, 2020 2019 February 14, 2019 0.46875 5,391 March 27, 2019 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2020 March 17, 2020 0.50 82,483 June 30, 2020 2019 March 18, 2019 0.45 57,720 April 26, 2019 |
Earnings (Loss) per Common Sh_2
Earnings (Loss) per Common Share (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Earnings Per Share [Abstract] | |
Earnings (Loss) per Common Share | Earnings (loss) per share for the three months ended March 31, 2020 and 2019 is computed as follows: Three Months Ended March 31, In thousands except per share amounts 2020 2019 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (1,627,299) 127,683 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 156,771 121,098 Effect of dilutive securities: Restricted stock awards — 12 Dilutive Shares 156,771 121,110 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic (10.38) 1.05 Diluted (10.38) 1.05 |
Organization and Business Ope_2
Organization and Business Operations (Detail) $ in Thousands | Apr. 01, 2020USD ($) | May 31, 2020USD ($) | Mar. 31, 2020USD ($)segment | Mar. 31, 2019USD ($) | Jun. 23, 2020USD ($) | Dec. 31, 2019USD ($) |
Organization And Business Operations | ||||||
Number of operating segments | segment | 1 | |||||
Minimum distribution percentage of taxable income to qualify for REIT | 90.00% | |||||
Net income (loss) available to common stockholders | $ (1,627,299) | $ 127,683 | ||||
Total stockholders' equity | 1,410,381 | $ 2,931,899 | ||||
Proceeds from sale of mortgage-backed and credit risk transfer securities | 16,238,252 | 734,834 | ||||
Repurchase agreements repaid during period | 11,200,000 | |||||
Investment portfolio | 8,100,000 | 21,900,000 | ||||
Fair value of marketable securities sold | 6,200,000 | |||||
Repayments of secured loans | 300,000 | $ 0 | ||||
Secured loans | 1,350,000 | $ 1,650,000 | ||||
Subsequent Event | ||||||
Organization And Business Operations | ||||||
Investment portfolio | $ 1,600,000 | |||||
Repayments of secured loans | 512,500 | |||||
Secured loans | $ 837,500 | |||||
Loan participation interest | Subsequent Event | ||||||
Organization And Business Operations | ||||||
Proceeds from sale of loans receivable | $ 21,600 | |||||
MBS and GSE CRTs | ||||||
Organization And Business Operations | ||||||
Proceeds from sale of mortgage-backed and credit risk transfer securities | $ 16,200,000 | |||||
MBS and GSE CRTs | Subsequent Event | ||||||
Organization And Business Operations | ||||||
Proceeds from sale of mortgage-backed and credit risk transfer securities | $ 5,900,000 |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis | $ 78,834 | $ 0 | ||
Total Stockholders’ Equity | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Stockholders' equity | 1,410,381 | $ 2,671,714 | $ 2,931,899 | $ 2,286,697 |
Cumulative Effect, Period of Adoption, Adjustment | Total Stockholders’ Equity | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Stockholders' equity | $ 342 | |||
Commercial loan | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Unrealized credit derivative gains (losses), net | $ (1,684) |
Variable Interest Entities ("_3
Variable Interest Entities ("VIEs") (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Variable Interest Entity | ||
Carrying Amount | $ 8,044,808 | $ 21,771,786 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity | ||
Carrying Amount | 3,458,220 | |
Company's Maximum Risk of Loss | 3,458,220 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS | ||
Variable Interest Entity | ||
Carrying Amount | 2,869,051 | |
Company's Maximum Risk of Loss | 2,869,051 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS | ||
Variable Interest Entity | ||
Carrying Amount | 568,081 | |
Company's Maximum Risk of Loss | 568,081 | |
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures | ||
Variable Interest Entity | ||
Carrying Amount | 21,088 | |
Company's Maximum Risk of Loss | $ 21,088 |
Mortgage-Backed and Credit Ri_3
Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 10,454,742 | $ 23,354,075 |
Unamortized Premium (Discount) | (2,292,873) | (2,321,799) |
Amortized Cost | 8,161,869 | 21,032,276 |
Unrealized Gain/ (Loss), net | (117,061) | 739,510 |
Fair value | $ 8,044,808 | $ 21,771,786 |
Marketable Securities, Weighted Average Yield Rate | 4.53% | 3.85% |
Percentage of agency collateralized mortgage obligations interest only securities, principal balance | 49.50% | 56.30% |
Percentage of agency collateralized mortgage obligations interest only securities, amortized cost | 4.90% | 6.40% |
Percentage of agency collateralized mortgage obligations interest only securities, fair value | 4.90% | 6.40% |
Percentage of CMBS interest only, principal balance | 14.90% | 13.10% |
Percentage of CMBS interest only, amortized cost | 0.30% | 0.30% |
Percentage of CMBS interest only, fair value | 0.40% | 0.30% |
Unamortized premium (discount) non-accretable portion | $ 72,600 | $ 120,200 |
Percentage of Non-Agency RMBS interest-only, principal balance | 65.60% | 56.20% |
Percentage of Non-Agency RMBS interest-only, amortized cost | 2.70% | 1.90% |
Percentage of Non-Agency RMBS interest only, fair value | 1.00% | 1.30% |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 1,388,256 | $ 10,246,789 |
Unamortized Premium (Discount) | 45,799 | 310,695 |
Amortized Cost | 1,434,055 | 10,557,484 |
Unrealized Gain/ (Loss), net | 60,945 | 316,043 |
Fair value | $ 1,495,000 | $ 10,873,527 |
Marketable Securities, Weighted Average Yield Rate | 3.39% | 3.61% |
15 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 67,123 | $ 280,426 |
Unamortized Premium (Discount) | 767 | 1,666 |
Amortized Cost | 67,890 | 282,092 |
Unrealized Gain/ (Loss), net | 3,276 | 10,322 |
Fair value | $ 71,166 | $ 292,414 |
Marketable Securities, Weighted Average Yield Rate | 3.29% | 3.34% |
30 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 1,318,576 | $ 9,911,339 |
Unamortized Premium (Discount) | 45,032 | 308,427 |
Amortized Cost | 1,363,608 | 10,219,766 |
Unrealized Gain/ (Loss), net | 57,554 | 304,454 |
Fair value | $ 1,421,162 | $ 10,524,220 |
Marketable Securities, Weighted Average Yield Rate | 3.39% | 3.62% |
Hybrid ARM* | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 2,557 | $ 55,024 |
Unamortized Premium (Discount) | 0 | 602 |
Amortized Cost | 2,557 | 55,626 |
Unrealized Gain/ (Loss), net | 115 | 1,267 |
Fair value | $ 2,672 | $ 56,893 |
Marketable Securities, Weighted Average Yield Rate | 3.28% | 3.46% |
Agency-CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 532,411 | $ 883,122 |
Unamortized Premium (Discount) | (247,963) | (467,840) |
Amortized Cost | 284,448 | 415,282 |
Unrealized Gain/ (Loss), net | 16,087 | 12,230 |
Fair value | $ 300,535 | $ 427,512 |
Marketable Securities, Weighted Average Yield Rate | 3.29% | 3.54% |
Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 2,070,199 | $ 4,561,276 |
Unamortized Premium (Discount) | 32,398 | 75,299 |
Amortized Cost | 2,102,597 | 4,636,575 |
Unrealized Gain/ (Loss), net | 175,430 | 131,355 |
Fair value | $ 2,278,027 | $ 4,767,930 |
Marketable Securities, Weighted Average Yield Rate | 2.90% | 3.01% |
Marketable securities purchase commitments, fair value | $ 507,200 | $ 96,200 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | 3,889,234 | 4,464,525 |
Unamortized Premium (Discount) | (795,998) | (772,295) |
Amortized Cost | 3,093,236 | 3,692,230 |
Unrealized Gain/ (Loss), net | (224,185) | 131,244 |
Fair value | $ 2,869,051 | $ 3,823,474 |
Marketable Securities, Weighted Average Yield Rate | 6.13% | 5.16% |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 1,892,459 | $ 2,340,119 |
Unamortized Premium (Discount) | (1,340,469) | (1,487,603) |
Amortized Cost | 551,990 | 852,516 |
Unrealized Gain/ (Loss), net | 16,091 | 103,155 |
Fair value | $ 568,081 | $ 955,671 |
Marketable Securities, Weighted Average Yield Rate | 7.06% | 6.98% |
Percentage of non-agency securities classified as fixed rate | 61.90% | 57.70% |
Percentage of non-agency securities classified as variable rate | 34.80% | 37.00% |
Percentage of non-agency securities classified as floating rate | 3.30% | 5.30% |
GSE CRT | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 682,183 | $ 858,244 |
Unamortized Premium (Discount) | 13,360 | 19,945 |
Amortized Cost | 695,543 | 878,189 |
Unrealized Gain/ (Loss), net | (161,429) | 45,483 |
Fair value | $ 534,114 | $ 923,672 |
Marketable Securities, Weighted Average Yield Rate | 3.25% | 2.78% |
Mortgage-Backed and Credit Ri_4
Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | |||
Proceeds from sale of mortgage-backed and credit risk transfer securities | $ 16,238,252 | $ 734,834 | |
Fair value of marketable securities sold | $ 6,200,000 | ||
Percentage of MBS and GSE CRT are accounted for under the fair value option | 65.00% | 80.00% | |
Gross unrealized losses | $ 411,356 | $ 72,596 | |
Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis | 78,834 | $ 0 | |
MBS and GSE CRTs | |||
Debt Securities, Available-for-sale [Line Items] | |||
Proceeds from sale of mortgage-backed and credit risk transfer securities | $ 16,200,000 |
Mortgage-Backed and Credit Ri_5
Mortgage-Backed and Credit Risk Transfer Securities - Schedule of Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | $ 2,781,495 | $ 4,405,426 |
Securities under Fair Value Option | 5,263,313 | 17,366,360 |
Total Fair Value | 8,044,808 | 21,771,786 |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 263,905 | 884,778 |
Securities under Fair Value Option | 1,231,095 | 9,988,749 |
Total Fair Value | 1,495,000 | 10,873,527 |
15 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 23,652 | 98,666 |
Securities under Fair Value Option | 47,514 | 193,748 |
Total Fair Value | 71,166 | 292,414 |
30 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 237,581 | 754,590 |
Securities under Fair Value Option | 1,183,581 | 9,769,630 |
Total Fair Value | 1,421,162 | 10,524,220 |
Hybrid ARM* | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 2,672 | 31,522 |
Securities under Fair Value Option | 0 | 25,371 |
Total Fair Value | 2,672 | 56,893 |
Agency-CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 144,405 | 146,733 |
Securities under Fair Value Option | 156,130 | 280,779 |
Total Fair Value | 300,535 | 427,512 |
Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Securities under Fair Value Option | 2,278,027 | 4,767,930 |
Total Fair Value | 2,278,027 | 4,767,930 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 1,765,868 | 2,150,991 |
Securities under Fair Value Option | 1,103,183 | 1,672,483 |
Total Fair Value | 2,869,051 | 3,823,474 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 368,663 | 715,479 |
Securities under Fair Value Option | 199,418 | 240,192 |
Total Fair Value | 568,081 | 955,671 |
GSE CRT | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 238,654 | 507,445 |
Securities under Fair Value Option | 295,460 | 416,227 |
Total Fair Value | $ 534,114 | $ 923,672 |
Mortgage-Backed and Credit Ri_6
Mortgage-Backed and Credit Risk Transfer Securities - Components of Carrying Value of MBS and GSE CRT Portfolio (Detail) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Principal/notional balance | $ 10,454,742 | $ 23,354,075 |
Unamortized premium | 108,948 | 440,503 |
Unamortized discount | (2,401,821) | (2,762,302) |
Gross unrealized gains | 294,295 | 812,106 |
Gross unrealized losses | (411,356) | (72,596) |
Fair value | 8,044,808 | 21,771,786 |
MBS and GSE CRT Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/notional balance | 8,369,799 | 20,957,410 |
Unamortized premium | 108,948 | 440,503 |
Unamortized discount | (356,152) | (419,983) |
Gross unrealized gains | 291,151 | 807,324 |
Gross unrealized losses | (401,179) | (66,064) |
Fair value | 8,012,567 | 21,719,190 |
Interest-Only Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/notional balance | 2,084,943 | 2,396,665 |
Unamortized premium | 0 | 0 |
Unamortized discount | (2,045,669) | (2,342,319) |
Gross unrealized gains | 3,144 | 4,782 |
Gross unrealized losses | (10,177) | (6,532) |
Fair value | $ 32,241 | $ 52,596 |
Mortgage-Backed and Credit Ri_7
Mortgage-Backed and Credit Risk Transfer Securities - Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Detail) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Investments, Debt and Equity Securities [Abstract] | ||
Less than one year | $ 320,834 | $ 268,536 |
Greater than one year and less than five years | 3,638,676 | 7,836,620 |
Greater than or equal to five years | 4,085,298 | 13,666,630 |
Fair value | $ 8,044,808 | $ 21,771,786 |
Mortgage-Backed and Credit Ri_8
Mortgage-Backed and Credit Risk Transfer Securities - Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time (Detail) | 3 Months Ended | |
Mar. 31, 2020USD ($)security | Dec. 31, 2019USD ($)security | |
Fair Value | ||
Less than 12 Months | $ 1,916,899,000 | $ 2,375,171,000 |
12 Months or More | 2,498,000 | 155,270,000 |
Total | 1,919,397,000 | 2,530,441,000 |
Unrealized Losses | ||
Less than 12 Months | (410,897,000) | (58,717,000) |
12 Months or More | (459,000) | (13,879,000) |
Total | $ (411,356,000) | $ (72,596,000) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 204 | 116 |
12 Months or More (in securities) | security | 10 | 34 |
Total (in securities) | security | 214 | 150 |
Unrealized losses on available-for-sale securities | $ 0 | |
Principal/notional balance | 10,454,742,000 | $ 23,354,075,000 |
Unamortized Premium (Discount) | (2,292,873,000) | (2,321,799,000) |
Marketable Securities, Amortized Cost Basis | 8,161,869,000 | 21,032,276,000 |
Unrealized Gain/ (Loss), net | (117,061,000) | 739,510,000 |
Fair value | $ 8,044,808,000 | $ 21,771,786,000 |
Period- end Weighted Average Yield Rate | 4.53% | 3.85% |
Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 257,040,000 | |
12 Months or More | 35,895,000 | |
Total | 292,935,000 | |
Unrealized Losses | ||
Less than 12 Months | (210,000) | |
12 Months or More | (305,000) | |
Total | $ (515,000) | |
Number of Securities | ||
Less than 12 Months (in securities) | security | 6 | |
12 Months or More (in securities) | security | 12 | |
Total (in securities) | security | 18 | |
Fair value option, fair value | $ 271,300,000 | |
Fair value option, unrealized losses | 268,000 | |
Principal/notional balance | $ 1,388,256,000 | 10,246,789,000 |
Unamortized Premium (Discount) | 45,799,000 | 310,695,000 |
Marketable Securities, Amortized Cost Basis | 1,434,055,000 | 10,557,484,000 |
Unrealized Gain/ (Loss), net | 60,945,000 | 316,043,000 |
Fair value | $ 1,495,000,000 | $ 10,873,527,000 |
Period- end Weighted Average Yield Rate | 3.39% | 3.61% |
15 year fixed-rate | ||
Fair Value | ||
Less than 12 Months | $ 957,000 | |
12 Months or More | 362,000 | |
Total | 1,319,000 | |
Unrealized Losses | ||
Less than 12 Months | (1,000) | |
12 Months or More | (3,000) | |
Total | $ (4,000) | |
Number of Securities | ||
Less than 12 Months (in securities) | security | 2 | |
12 Months or More (in securities) | security | 4 | |
Total (in securities) | security | 6 | |
Principal/notional balance | $ 67,123,000 | $ 280,426,000 |
Unamortized Premium (Discount) | 767,000 | 1,666,000 |
Marketable Securities, Amortized Cost Basis | 67,890,000 | 282,092,000 |
Unrealized Gain/ (Loss), net | 3,276,000 | 10,322,000 |
Fair value | $ 71,166,000 | $ 292,414,000 |
Period- end Weighted Average Yield Rate | 3.29% | 3.34% |
30 year fixed-rate | ||
Fair Value | ||
Less than 12 Months | $ 255,649,000 | |
12 Months or More | 34,009,000 | |
Total | 289,658,000 | |
Unrealized Losses | ||
Less than 12 Months | (207,000) | |
12 Months or More | (256,000) | |
Total | $ (463,000) | |
Number of Securities | ||
Less than 12 Months (in securities) | security | 3 | |
12 Months or More (in securities) | security | 5 | |
Total (in securities) | security | 8 | |
Principal/notional balance | $ 1,318,576,000 | $ 9,911,339,000 |
Unamortized Premium (Discount) | 45,032,000 | 308,427,000 |
Marketable Securities, Amortized Cost Basis | 1,363,608,000 | 10,219,766,000 |
Unrealized Gain/ (Loss), net | 57,554,000 | 304,454,000 |
Fair value | $ 1,421,162,000 | $ 10,524,220,000 |
Period- end Weighted Average Yield Rate | 3.39% | 3.62% |
Hybrid ARM* | ||
Fair Value | ||
Less than 12 Months | $ 434,000 | |
12 Months or More | 1,524,000 | |
Total | 1,958,000 | |
Unrealized Losses | ||
Less than 12 Months | (2,000) | |
12 Months or More | (46,000) | |
Total | $ (48,000) | |
Number of Securities | ||
Less than 12 Months (in securities) | security | 1 | |
12 Months or More (in securities) | security | 3 | |
Total (in securities) | security | 4 | |
Principal/notional balance | $ 2,557,000 | $ 55,024,000 |
Unamortized Premium (Discount) | 0 | 602,000 |
Marketable Securities, Amortized Cost Basis | 2,557,000 | 55,626,000 |
Unrealized Gain/ (Loss), net | 115,000 | 1,267,000 |
Fair value | $ 2,672,000 | $ 56,893,000 |
Period- end Weighted Average Yield Rate | 3.28% | 3.46% |
Agency-CMO | ||
Fair Value | ||
Less than 12 Months | $ 3,278,000 | $ 67,875,000 |
12 Months or More | 2,201,000 | 6,155,000 |
Total | 5,479,000 | 74,030,000 |
Unrealized Losses | ||
Less than 12 Months | (668,000) | (1,194,000) |
12 Months or More | (442,000) | (1,513,000) |
Total | $ (1,110,000) | $ (2,707,000) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 11 | 15 |
12 Months or More (in securities) | security | 7 | 13 |
Total (in securities) | security | 18 | 28 |
Agency CMBS | ||
Fair Value | ||
Less than 12 Months | $ 194,960,000 | $ 1,743,800,000 |
12 Months or More | 0 | 0 |
Total | 194,960,000 | 1,743,800,000 |
Unrealized Losses | ||
Less than 12 Months | (3,054,000) | (50,521,000) |
12 Months or More | 0 | 0 |
Total | $ (3,054,000) | $ (50,521,000) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 7 | 58 |
12 Months or More (in securities) | security | 0 | 0 |
Total (in securities) | security | 7 | 58 |
Principal/notional balance | $ 2,070,199,000 | $ 4,561,276,000 |
Unamortized Premium (Discount) | 32,398,000 | 75,299,000 |
Marketable Securities, Amortized Cost Basis | 2,102,597,000 | 4,636,575,000 |
Unrealized Gain/ (Loss), net | 175,430,000 | 131,355,000 |
Fair value | $ 2,278,027,000 | $ 4,767,930,000 |
Period- end Weighted Average Yield Rate | 2.90% | 3.01% |
Non-Agency CMBS | ||
Fair Value | ||
Less than 12 Months | $ 1,107,247,000 | $ 203,129,000 |
12 Months or More | 0 | 101,021,000 |
Total | 1,107,247,000 | 304,150,000 |
Unrealized Losses | ||
Less than 12 Months | (234,156,000) | (2,783,000) |
12 Months or More | 0 | (11,425,000) |
Total | $ (234,156,000) | $ (14,208,000) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 115 | 19 |
12 Months or More (in securities) | security | 0 | 7 |
Total (in securities) | security | 115 | 26 |
Fair value option, fair value | $ 181,500,000 | |
Fair value option, unrealized losses | 2,800,000 | |
Principal/notional balance | $ 3,889,234,000 | 4,464,525,000 |
Unamortized Premium (Discount) | (795,998,000) | (772,295,000) |
Marketable Securities, Amortized Cost Basis | 3,093,236,000 | 3,692,230,000 |
Unrealized Gain/ (Loss), net | (224,185,000) | 131,244,000 |
Fair value | $ 2,869,051,000 | $ 3,823,474,000 |
Period- end Weighted Average Yield Rate | 6.13% | 5.16% |
GSE CRT | ||
Fair Value | ||
Less than 12 Months | $ 534,114,000 | $ 77,044,000 |
12 Months or More | 0 | 0 |
Total | 534,114,000 | 77,044,000 |
Unrealized Losses | ||
Less than 12 Months | (161,429,000) | (74,000) |
12 Months or More | 0 | 0 |
Total | $ (161,429,000) | $ (74,000) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 44 | 4 |
12 Months or More (in securities) | security | 0 | 0 |
Total (in securities) | security | 44 | 4 |
Principal/notional balance | $ 682,183,000 | $ 858,244,000 |
Unamortized Premium (Discount) | 13,360,000 | 19,945,000 |
Marketable Securities, Amortized Cost Basis | 695,543,000 | 878,189,000 |
Unrealized Gain/ (Loss), net | (161,429,000) | 45,483,000 |
Fair value | $ 534,114,000 | $ 923,672,000 |
Period- end Weighted Average Yield Rate | 3.25% | 2.78% |
Non-Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 77,300,000 | $ 26,283,000 |
12 Months or More | 297,000 | 12,199,000 |
Total | 77,597,000 | 38,482,000 |
Unrealized Losses | ||
Less than 12 Months | (11,590,000) | (3,935,000) |
12 Months or More | (17,000) | (636,000) |
Total | $ (11,607,000) | $ (4,571,000) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 27 | 14 |
12 Months or More (in securities) | security | 3 | 2 |
Total (in securities) | security | 30 | 16 |
Fair value option, fair value | $ 17,600,000 | |
Fair value option, unrealized losses | 261,000 | |
Principal/notional balance | $ 1,892,459,000 | 2,340,119,000 |
Unamortized Premium (Discount) | (1,340,469,000) | (1,487,603,000) |
Marketable Securities, Amortized Cost Basis | 551,990,000 | 852,516,000 |
Unrealized Gain/ (Loss), net | 16,091,000 | 103,155,000 |
Fair value | $ 568,081,000 | $ 955,671,000 |
Period- end Weighted Average Yield Rate | 7.06% | 6.98% |
Agency IO | ||
Number of Securities | ||
Fair value option, fair value | $ 11,100,000 | |
Fair value option, unrealized losses | 2,300,000 | |
Agency-CMO | ||
Number of Securities | ||
Principal/notional balance | $ 532,411,000 | 883,122,000 |
Unamortized Premium (Discount) | (247,963,000) | (467,840,000) |
Marketable Securities, Amortized Cost Basis | 284,448,000 | 415,282,000 |
Unrealized Gain/ (Loss), net | 16,087,000 | 12,230,000 |
Fair value | $ 300,535,000 | $ 427,512,000 |
Period- end Weighted Average Yield Rate | 3.29% | 3.54% |
Non-Agency IO | ||
Number of Securities | ||
Fair value option, fair value | $ 8,500,000 | |
Fair value option, unrealized losses | $ 3,700,000 |
Mortgage-Backed and Credit Ri_9
Mortgage-Backed and Credit Risk Transfer Securities - OTTI included in earnings (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | ||
Other-than-temporary credit impairment losses | $ 0 | $ 1,776 |
RMBS interest-only securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Other-than-temporary credit impairment losses | 1,463 | |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Other-than-temporary credit impairment losses | $ 313 |
Mortgage-Backed and Credit R_10
Mortgage-Backed and Credit Risk Transfer Securities - Realized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | ||
Gross realized gains on sale of investments | $ 328,128 | $ 1,202 |
Gross realized losses on sale of investments | (332,413) | (12,317) |
Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis | (78,834) | 0 |
Other-than-temporary impairment losses | 0 | (1,776) |
Net unrealized gains and losses on commercial loan and loan participation interest | (5,492) | 0 |
Total gain (loss) on investments, net | (755,483) | 268,382 |
MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Net unrealized gains and losses on securities accounted for under the fair value option | (514,503) | 280,039 |
GSE CRT | ||
Debt Securities, Available-for-sale [Line Items] | ||
Net unrealized gains and losses on securities accounted for under the fair value option | $ (152,369) | $ 1,234 |
Mortgage-Backed and Credit R_11
Mortgage-Backed and Credit Risk Transfer Securities - Components of MBS and GSE CRT Interest Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | ||
Coupon Interest | $ 202,109 | $ 192,442 |
Net (Premium Amortization)/Discount Accretion | (16,573) | (6,950) |
Interest Income | 185,536 | 185,492 |
Not Designated as Hedging Instrument | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon interest associated with embedded derivatives | 11,924 | 4,509 |
Embedded Credit Derivative | Not Designated as Hedging Instrument | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon interest associated with embedded derivatives | 4,718 | 5,350 |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon Interest | 105,878 | 119,726 |
Net (Premium Amortization)/Discount Accretion | (20,913) | (12,194) |
Interest Income | 84,965 | 107,532 |
Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon Interest | 33,995 | 10,471 |
Net (Premium Amortization)/Discount Accretion | (1,666) | (531) |
Interest Income | 32,329 | 9,940 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon Interest | 42,218 | 38,830 |
Net (Premium Amortization)/Discount Accretion | 5,058 | 3,031 |
Interest Income | 47,276 | 41,861 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon Interest | 10,760 | 14,267 |
Net (Premium Amortization)/Discount Accretion | 2,698 | 3,922 |
Interest Income | 13,458 | 18,189 |
GSE CRT | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon Interest | 8,507 | 8,596 |
Net (Premium Amortization)/Discount Accretion | (1,750) | (1,178) |
Interest Income | 6,757 | 7,418 |
Other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon Interest | 751 | 552 |
Net (Premium Amortization)/Discount Accretion | 0 | 0 |
Interest Income | $ 751 | $ 552 |
Other Assets - Schedule of Othe
Other Assets - Schedule of Other Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||
FHLBI stock | $ 74,250 | $ 74,250 |
Loan participation interest | 21,577 | 44,654 |
Commercial loan, held-for-investment | 22,577 | 24,055 |
Investments in unconsolidated ventures | 21,088 | 21,998 |
Prepaid expenses and other assets | 1,501 | 1,223 |
Total | $ 140,993 | $ 166,180 |
Other Assets - Additional Infor
Other Assets - Additional Information (Details) - USD ($) | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Jan. 01, 2020 | Dec. 31, 2018 | |
Loans and Leases Receivable Disclosure [Line Items] | |||||
Unrealized gain (loss) on participation interest | $ (3,800,000) | $ 0 | |||
Retained Earnings (Distributions in excess of earnings) | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Stockholders' equity | $ (2,523,923,000) | $ (812,124,000) | $ (814,483,000) | $ (882,087,000) | |
Retained Earnings (Distributions in excess of earnings) | Cumulative Effect, Period of Adoption, Adjustment | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Stockholders' equity | $ 342,000 | $ 342,000 | |||
Participation interest in a secured loan collateralized by mortgage servicing rights | LIBOR | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Loans receivable, basis spread on variable rate | 6.32% | 5.82% | |||
Commercial | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Weighted average coupon rate | 10.08% | 10.19% | |||
Unrealized gain (loss) on investments in commercial loan | $ (1,700,000) |
Borrowings - Schedule of Borrow
Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Repurchase Agreements: | ||
Amount outstanding | $ 6,287,746 | $ 17,532,303 |
Weighted Average Interest Rate | 1.77% | 2.11% |
Weighted average remaining maturity | 13 days | 39 days |
Secured Loans | ||
Amount outstanding | $ 1,350,000 | $ 1,650,000 |
Secured Debt, Excluding Asset-Backed Securities | ||
Total Borrowings | ||
Amount outstanding | $ 7,637,746 | $ 19,182,303 |
Weighted average interest rate | 1.69% | 2.09% |
Weighted average remaining maturity | 335 days | 172 days |
Agency RMBS | ||
Repurchase Agreements: | ||
Amount outstanding | $ 1,571,471 | $ 9,666,964 |
Weighted Average Interest Rate | 1.40% | 1.95% |
Weighted average remaining maturity | 13 days | 46 days |
Agency CMBS | ||
Repurchase Agreements: | ||
Amount outstanding | $ 1,622,054 | $ 4,246,359 |
Weighted Average Interest Rate | 1.37% | 1.95% |
Weighted average remaining maturity | 18 days | 43 days |
Non-Agency CMBS | ||
Repurchase Agreements: | ||
Amount outstanding | $ 1,833,234 | $ 2,041,968 |
Weighted Average Interest Rate | 2.16% | 2.71% |
Weighted average remaining maturity | 8 days | 14 days |
Non-Agency RMBS | ||
Repurchase Agreements: | ||
Amount outstanding | $ 549,868 | $ 790,412 |
Weighted Average Interest Rate | 2.22% | 2.65% |
Weighted average remaining maturity | 7 days | 16 days |
GSE CRT | ||
Repurchase Agreements: | ||
Amount outstanding | $ 692,081 | $ 753,110 |
Weighted Average Interest Rate | 2.15% | 2.70% |
Weighted average remaining maturity | 11 days | 13 days |
Loan participation interest | ||
Repurchase Agreements: | ||
Amount outstanding | $ 19,038 | $ 33,490 |
Weighted Average Interest Rate | 2.50% | 3.22% |
Weighted average remaining maturity | 149 days | 240 days |
Secured Loans | ||
Secured Loans | ||
Amount outstanding | $ 1,350,000 | $ 1,650,000 |
Weighted average interest rate | 1.29% | 1.93% |
Weighted average remaining maturity | 1839 days | 1587 days |
Borrowings - Schedule of Maturi
Borrowings - Schedule of Maturities (Details) - USD ($) $ in Thousands | 2 Months Ended | 3 Months Ended | |||
May 31, 2020 | Mar. 31, 2020 | Mar. 31, 2019 | Jun. 23, 2020 | Dec. 31, 2019 | |
Debt Disclosure [Abstract] | |||||
Borrowings maturing within 4/1/2020 - 3/31/2021 | $ 6,387,746 | ||||
Borrowings maturing within 4/1/2021 - 3/31/2022 | 0 | ||||
Borrowings maturing within 4/1/2022 - 3/31/2023 | 0 | ||||
Borrowings maturing within 4/1/2023 - 3/31/2024 | 0 | ||||
Borrowings maturing within 4/1/2024 - 3/31/2025 | 0 | ||||
Thereafter | 1,250,000 | ||||
Total | 7,637,746 | ||||
Advances from Federal Home Loan Banks | 1,350,000 | $ 1,650,000 | |||
Borrowings | |||||
Repayments of secured loans | 300,000 | $ 0 | |||
Secured loans | $ 1,350,000 | $ 1,650,000 | |||
Subsequent Event | |||||
Debt Disclosure [Abstract] | |||||
Advances from Federal Home Loan Banks | $ 837,500 | ||||
Borrowings | |||||
Repayments of secured loans | $ 512,500 | ||||
Secured loans | $ 837,500 |
Borrowings - Additional Informa
Borrowings - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Repurchase Agreement Counterparty | ||
Collateral ratio | 106.00% | 109.00% |
Advances from Federal Home Loan Banks | $ 1,350,000 | $ 1,650,000 |
FHLBI | ||
Repurchase Agreement Counterparty | ||
Advances from Federal Home Loan Banks | 1,350,000 | |
Average outstanding borrowings from FHLBI | $ 1,480,000 | |
FHLBI weighted average interest rate on advances | 1.83% | |
Weighted average maturity (in years) | 5 years |
Collateral Positions (Details)
Collateral Positions (Details) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Principal/notional balance | $ 10,454,742,000 | $ 23,354,075,000 |
Repurchase Agreements | 7,040,435,000 | 19,122,295,000 |
Secured Loans | 1,616,541,000 | 1,898,489,000 |
Total collateral pledged (1) | 8,657,296,000 | 21,326,959,000 |
Cash collateral held | 50,135,000 | 170,000 |
Non-cash collateral collateral held | 0 | 181,000 |
Total collateral held | 50,135,000 | 351,000 |
Investment related receivable, pledged securities | 534,524,000 | 0 |
Cash | ||
Derivative [Line Items] | ||
Repurchase Agreements | 394,424,000 | 32,568,000 |
Total collateral pledged (1) | 394,424,000 | 32,568,000 |
Restricted cash | ||
Derivative [Line Items] | ||
Total collateral pledged (1) | 221,688,000 | 116,995,000 |
Interest Rate Swaps, Future Contracts and Currency Forward Contracts | ||
Derivative [Line Items] | ||
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts | 320,000 | 306,175,000 |
Interest Rate Swaps, Future Contracts and Currency Forward Contracts | Restricted cash | ||
Derivative [Line Items] | ||
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts | 320,000 | 116,395,000 |
Repurchase agreement | ||
Derivative [Line Items] | ||
Cash collateral held | 50,135,000 | 10,000 |
Non-cash collateral collateral held | 0 | 181,000 |
Total collateral held | 50,135,000 | 191,000 |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Cash collateral held | 0 | 160,000 |
Total collateral held | 0 | 160,000 |
Agency RMBS | ||
Derivative [Line Items] | ||
Repurchase Agreements | 1,699,937,000 | 10,187,555,000 |
Secured Loans | 298,361,000 | 621,471,000 |
Agency RMBS | Interest Rate Swaps, Future Contracts and Currency Forward Contracts | ||
Derivative [Line Items] | ||
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts | 0 | 189,780,000 |
Agency CMBS | ||
Derivative [Line Items] | ||
Principal/notional balance | 2,070,199,000 | 4,561,276,000 |
Repurchase Agreements | 1,736,097,000 | 4,446,384,000 |
Non-Agency CMBS | ||
Derivative [Line Items] | ||
Principal/notional balance | 3,889,234,000 | 4,464,525,000 |
Repurchase Agreements | 1,862,472,000 | 2,549,841,000 |
Secured Loans | 1,096,812,000 | 1,276,418,000 |
Non-Agency RMBS | ||
Derivative [Line Items] | ||
Principal/notional balance | 1,892,459,000 | 2,340,119,000 |
Repurchase Agreements | 606,289,000 | 943,176,000 |
GSE CRT | ||
Derivative [Line Items] | ||
Principal/notional balance | 682,183,000 | 858,244,000 |
Repurchase Agreements | 719,639,000 | 918,117,000 |
Loan participation interest | ||
Derivative [Line Items] | ||
Repurchase Agreements | 21,577,000 | 44,654,000 |
Total collateral pledged (1) | 21,577,000 | 44,654,000 |
Mortgage-backed and credit risk transfer securities | ||
Derivative [Line Items] | ||
Total collateral pledged (1) | 8,019,607,000 | 21,132,742,000 |
Restricted cash | ||
Derivative [Line Items] | ||
Secured Loans | $ 221,368,000 | $ 600,000 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail) $ in Thousands | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2019 | $ 14,488,077 |
Additions | 93,697,738 |
Settlement, Termination, Expiration or Exercise | (107,909,393) |
Notional Amount as of March 31, 2020 | 276,422 |
Interest Rate Swaps | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2019 | 14,000,000 |
Additions | 93,675,000 |
Settlement, Termination, Expiration or Exercise | (107,675,000) |
Notional Amount as of March 31, 2020 | 0 |
Currency Forward Contracts | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2019 | 23,111 |
Additions | 22,738 |
Settlement, Termination, Expiration or Exercise | (23,111) |
Notional Amount as of March 31, 2020 | 22,738 |
Credit Derivatives | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2019 | 464,966 |
Additions | 0 |
Settlement, Termination, Expiration or Exercise | (211,282) |
Notional Amount as of March 31, 2020 | $ 253,684 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities - Additional Information (Detail) - USD ($) | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Derivative gain (loss) reclassified as a decrease (increase) to interest expense | $ (910,779,000) | $ (201,460,000) | |
Increase of interest rate cash flow hedge gain (loss) Reclassified during period | 4,200,000 | ||
Amount reclassified to interest expenses within Next 12 months | 19,100,000 | ||
Unrealized gain on discontinued cash flow hedges included in AOCI | 1,410,381,000 | $ 2,931,899,000 | |
Derivative, notional amount | 276,422,000 | 0 | 14,488,077,000 |
Derivative and hedging attributable to Parent | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Unrealized gain on discontinued cash flow hedges included in AOCI | 65,800,000 | 75,900,000 | |
Currency Forward Contracts | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Derivative, notional amount | 22,738,000 | 23,111,000 | |
Interest Rate Swaps | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Derivative gain (loss) reclassified as a decrease (increase) to interest expense | 10,100,000 | $ 5,900,000 | |
Derivative, notional amount | 0 | 14,000,000,000 | |
Euro | Currency Forward Contracts | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Derivative, notional amount | $ 22,700,000 | $ 23,100,000 |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities - Schedule of Interest Rate Swaps Outstanding (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2019 | Mar. 31, 2020 | Mar. 31, 2019 | |
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 14,488,077,000 | $ 276,422,000 | $ 0 |
Interest Rate Swaps | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 14,000,000,000 | $ 0 | |
Weighted Average Fixed Pay Rate | 1.47% | ||
Weighted Average Receive Rate | 1.79% | ||
Weighted Average Years to Maturity | 5 years 2 months 12 days | ||
2020 | Interest Rate Swaps | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 1,900,000,000 | ||
Weighted Average Fixed Pay Rate | 1.67% | ||
Weighted Average Receive Rate | 1.84% | ||
Weighted Average Years to Maturity | 7 months 6 days | ||
2021 | Interest Rate Swaps | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 2,500,000,000 | ||
Weighted Average Fixed Pay Rate | 1.40% | ||
Weighted Average Receive Rate | 1.77% | ||
Weighted Average Years to Maturity | 1 year 3 months 18 days | ||
2022 | Interest Rate Swaps | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 800,000,000 | ||
Weighted Average Fixed Pay Rate | 1.53% | ||
Weighted Average Receive Rate | 1.91% | ||
Weighted Average Years to Maturity | 2 years 10 months 24 days | ||
2023 | Interest Rate Swaps | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 2,400,000,000 | ||
Weighted Average Fixed Pay Rate | 1.44% | ||
Weighted Average Receive Rate | 1.72% | ||
Weighted Average Years to Maturity | 3 years 10 months 24 days | ||
2024 | Interest Rate Swaps | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 900,000,000 | ||
Weighted Average Fixed Pay Rate | 1.49% | ||
Weighted Average Receive Rate | 1.76% | ||
Weighted Average Years to Maturity | 4 years 9 months 18 days | ||
Thereafter | Interest Rate Swaps | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 5,500,000,000 | ||
Weighted Average Fixed Pay Rate | 1.44% | ||
Weighted Average Receive Rate | 1.78% | ||
Weighted Average Years to Maturity | 9 years 6 months | ||
1-Month LIBOR | Interest Rate Swaps | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 10,700,000,000 | ||
3-Month LIBOR | Interest Rate Swaps | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 3,300,000,000 |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities - Schedule of Credit Derivatives (Detail) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 |
Derivative [Line Items] | |||
Derivative, Notional Amount | $ 276,422,000 | $ 14,488,077,000 | $ 0 |
GSE CRT | GSE CRT Embedded Derivatives | |||
Derivative [Line Items] | |||
Fair value amount | (29,772,000) | 10,281,000 | |
Derivative, Notional Amount | 253,684,000 | 464,966,000 | |
Maximum potential amount of future undiscounted payments | $ 253,684,000 | $ 464,966,000 |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Detail) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Derivatives, Fair Value | ||
Derivative assets, at fair value | $ 0 | $ 18,533 |
Derivative liabilities, at fair value | 302 | 352 |
Interest Rate Swaps | ||
Derivatives, Fair Value | ||
Derivative assets, at fair value | 0 | 18,533 |
Derivative liabilities, at fair value | 0 | 0 |
Currency Forward Contracts | ||
Derivatives, Fair Value | ||
Derivative assets, at fair value | 0 | 0 |
Derivative liabilities, at fair value | $ 302 | $ 352 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Derivative Instruments, Gain (Loss) | ||
Realized and unrealized credit derivative income (loss), net | $ (910,779) | $ (201,460) |
Interest Rate Swaps | ||
Derivative Instruments, Gain (Loss) | ||
Realized and unrealized credit derivative income (loss), net | 10,100 | 5,900 |
Not Designated as Hedging Instrument | ||
Derivative Instruments, Gain (Loss) | ||
Realized gain (loss) on derivative instruments, net | (904,220) | (232,387) |
Contractual net interest income (expense) | 11,924 | 4,509 |
Unrealized gain (loss), net | (18,483) | 26,418 |
Realized and unrealized credit derivative income (loss), net | (910,779) | (201,460) |
Not Designated as Hedging Instrument | GSE CRT Embedded Derivatives | ||
Derivative Instruments, Gain (Loss) | ||
Realized gain (loss) on derivative instruments, net | 2,283 | 0 |
Contractual net interest income (expense) | 4,718 | 5,350 |
Unrealized gain (loss), net | (40,053) | 2,534 |
Realized and unrealized credit derivative income (loss), net | (33,052) | 7,884 |
Not Designated as Hedging Instrument | Interest Rate Swaps | ||
Derivative Instruments, Gain (Loss) | ||
Realized gain (loss) on derivative instruments, net | (904,704) | (165,884) |
Contractual net interest income (expense) | 11,924 | 4,509 |
Unrealized gain (loss), net | (18,532) | 12,991 |
Realized and unrealized credit derivative income (loss), net | (911,312) | (148,384) |
Not Designated as Hedging Instrument | Futures Contracts | ||
Derivative Instruments, Gain (Loss) | ||
Realized gain (loss) on derivative instruments, net | (66,688) | |
Contractual net interest income (expense) | 0 | |
Unrealized gain (loss), net | 12,944 | |
Realized and unrealized credit derivative income (loss), net | (53,744) | |
Not Designated as Hedging Instrument | Currency Forward Contracts | ||
Derivative Instruments, Gain (Loss) | ||
Realized gain (loss) on derivative instruments, net | 484 | 185 |
Contractual net interest income (expense) | 0 | 0 |
Unrealized gain (loss), net | 49 | 483 |
Realized and unrealized credit derivative income (loss), net | $ 533 | $ 668 |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Derivative assets, at fair value | $ 0 | $ 18,533 |
Central Clearing Counterparty | ||
Derivative [Line Items] | ||
Derivative assets, at fair value | $ 18,500 |
Offsetting Assets and Liabili_4
Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Liabilities) (Detail) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Derivatives Liability | ||
Gross Amounts of Recognized Assets (Liabilities) | $ (302) | $ (352) |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | (302) | (352) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | 302 | 320 |
Net Amount | 0 | (32) |
Repurchase Agreements | ||
Gross Amounts of Recognized Assets (Liabilities) | (6,287,746) | (17,532,303) |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | (6,287,746) | (17,532,303) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | 6,287,746 | 17,532,303 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | 0 | 0 |
Net Amount | 0 | 0 |
Secured Loans | ||
Gross Amounts of Recognized Assets (Liabilities) | (1,350,000) | (1,650,000) |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | (1,350,000) | (1,650,000) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | 1,350,000 | 1,650,000 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | 0 | 0 |
Net Amount | 0 | 0 |
Total Borrowings | ||
Gross Amounts of Recognized Assets (Liabilities) | (7,638,048) | (19,182,655) |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | (7,638,048) | (19,182,655) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | 7,637,746 | 19,182,303 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | 302 | 320 |
Net Amount | 0 | (32) |
Cash collateral held | 50,135 | 170 |
Fair value of securities pledged under repurchase agreements, excluding cash collateral | 6,600,000 | 19,100,000 |
Collateral pledged against secured loans | 1,616,541 | 1,898,489 |
Repurchase agreement | ||
Total Borrowings | ||
Cash collateral pledged | 394,400 | |
Cash collateral held | 50,100 | |
Restricted cash | ||
Total Borrowings | ||
Collateral pledged against secured loans | 221,368 | 600 |
IAS Services LLC | ||
Total Borrowings | ||
Collateral pledged against secured loans | 1,400,000 | 1,900,000 |
Interest Rate Swaps | ||
Total Borrowings | ||
Cash collateral held | 0 | 160 |
Centrally Cleared Swaps | ||
Total Borrowings | ||
Securities pledged as collateral, fair value | 189,800 | |
Currency Forward Contracts and Centrally Cleared Interest Rate Swaps | ||
Total Borrowings | ||
Cash collateral pledged | $ 320 | $ 116,400 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2020 | Dec. 31, 2019 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities | $ 8,044,808 | $ 21,771,786 |
Derivative liabilities | $ 302 | $ 352 |
Weighted average remaining term of investments in unconsolidated ventures | 1 year 10 months 24 days | 1 year 10 months 24 days |
Loan participation interest | $ 21,577 | $ 44,654 |
Commercial loan, held-for-investment | 22,577 | 24,055 |
GSE CRT | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities | 534,114 | 923,672 |
Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Embedded derivatives in an asset position | (29,772) | 10,281 |
Recurring | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities | 8,044,808 | 21,771,786 |
Derivative assets | 18,533 | |
Other assets | 65,242 | 66,652 |
Total assets | 8,110,050 | 21,856,971 |
Derivative liabilities | 302 | 352 |
Total liabilities | 302 | 352 |
Recurring | Level 1 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities | 0 | 0 |
Derivative assets | 0 | |
Other assets | 0 | 0 |
Total assets | 0 | 0 |
Derivative liabilities | 0 | 0 |
Total liabilities | 0 | 0 |
Recurring | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities | 8,074,580 | 21,761,505 |
Derivative assets | 18,533 | |
Other assets | 0 | 0 |
Total assets | 8,074,580 | 21,780,038 |
Derivative liabilities | 302 | 352 |
Total liabilities | 302 | 352 |
Recurring | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities | (29,772) | 10,281 |
Derivative assets | 0 | |
Other assets | 44,154 | 44,654 |
Total assets | 14,382 | 54,935 |
Derivative liabilities | 0 | 0 |
Total liabilities | 0 | 0 |
Recurring | Level 3 | GSE CRT | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Embedded derivatives in a liability position | 29,800 | 9,200 |
Embedded derivatives at fair value | 10,300 | |
Embedded derivatives in an asset position | 19,500 | |
Recurring | NAV as a practical expedient | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
NAV as a practical expedient | $ 21,088 | $ 21,998 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Embedded Derivatives Level 3 Roll Forward (Detail) - Embedded Credit Derivative - GSE CRT - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | ||
Beginning balance | $ 10,281 | $ 22,771 |
Sales and settlements | (2,283) | 0 |
Realized credit derivative gains (losses), net | 2,283 | 0 |
Unrealized credit derivative gains (losses), net | (40,053) | 2,534 |
Ending balance | $ (29,772) | $ 25,305 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Reconciliation of Beginning and Ending Fair Value Measurement Utilizing Level 3 Inputs (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Loan participation interest | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | $ 44,654 | $ 54,981 |
Purchases/Advances | 0 | 577 |
Repayments | (19,269) | (1,731) |
Unrealized losses | (3,808) | 0 |
Ending balance | 21,577 | $ 53,827 |
Commercial loan | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 24,055 | |
Repayments | (136) | |
Unrealized losses | (1,684) | |
Ending balance | 22,577 | |
Commercial loan | Cumulative Effect, Period of Adoption, Adjustment | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | $ 342 |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Fair Value Inputs (Detail) - Level 3 $ in Thousands | Mar. 31, 2020USD ($)year | Dec. 31, 2019USD ($)year |
Fair Value Inputs, Assets, Quantitative Information | ||
GSE CRT Embedded Derivatives | $ | $ (29,772) | $ 10,281 |
Measurement Input, Expected Term | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information | ||
GSE CRT Embedded Derivatives, measurement input | 1.1 | 1.1 |
Measurement Input, Expected Term | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information | ||
GSE CRT Embedded Derivatives, measurement input | 4.1 | 4.2 |
Measurement Input, Expected Term | Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information | ||
GSE CRT Embedded Derivatives, measurement input | 3 | 2.9 |
Measurement Input, Discount Rate | ||
Fair Value Inputs, Assets, Quantitative Information | ||
Finance Leased Asset, Measurement Input | 0.164 |
Fair Value of Financial Instr_7
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Carrying Value | ||
Financial Assets | ||
Commercial loan, held-for-investment | $ 24,055 | |
FHLBI stock | $ 74,250 | 74,250 |
Total assets | 74,250 | 98,305 |
Financial Liabilities | ||
Repurchase agreements | 6,287,746 | 17,532,303 |
Secured loans | 1,350,000 | 1,650,000 |
Total | 7,637,746 | 19,182,303 |
Estimated Fair Value | ||
Financial Assets | ||
Commercial loan, held-for-investment | 24,397 | |
FHLBI stock | 74,250 | 74,250 |
Total assets | 74,250 | 98,647 |
Financial Liabilities | ||
Repurchase agreements | 6,284,295 | 17,534,344 |
Secured loans | 1,350,000 | 1,650,000 |
Total | $ 7,634,295 | $ 19,184,344 |
Related Party Transactions - Ad
Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Related Party Transaction [Line Items] | |||
Management fee – related party | $ 10,953 | $ 9,534 | |
Investment in money market or mutual funds managed by affiliates of a related party | $ 143,291 | $ 172,507 | |
Manager | |||
Related Party Transaction [Line Items] | |||
Management fee as percentage of stockholders' equity per annum | 1.50% | ||
Termination fee multiplier | 3 | ||
Termination fees assessment period | 24 months | ||
Invesco Advisers, Inc. | Affiliated Entity | |||
Related Party Transaction [Line Items] | |||
Management fee – related party | $ 242 | $ 183 | |
Investment in money market or mutual funds managed by affiliates of a related party | $ 2,600 | $ 154,000 |
Related Party Transactions - Sc
Related Party Transactions - Schedule of Relater Party Transactions (Details) - Manager - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Related Party Transaction [Line Items] | ||
Amounts of transaction with related party | $ 2,276 | $ 1,924 |
Incurred costs, prepaid or expensed | ||
Related Party Transaction [Line Items] | ||
Amounts of transaction with related party | 2,214 | 1,604 |
Incurred costs, charged against equity as a cost of raising capital | ||
Related Party Transaction [Line Items] | ||
Amounts of transaction with related party | $ 62 | $ 320 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands | Feb. 06, 2020 | Mar. 31, 2019 | Mar. 31, 2020 | Mar. 31, 2019 | Jul. 27, 2017 |
Class of Stock [Line Items] | |||||
Number of shares repurchased during period (in shares) | 0 | 0 | |||
Incentive Plan | |||||
Class of Stock [Line Items] | |||||
Total unrecognized compensation cost | $ 155 | ||||
Share-based compensation cost not yet recognized, period for recognition | 48 months | ||||
Weighted average remaining vesting period | 22 months | ||||
Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred stock, redemption price per share (dollars per share) | $ 25 | $ 25 | |||
Equity distribution agreement, authorized (in shares) | 7,000,000 | ||||
Series A Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred stock dividend rate | 7.75% | ||||
Preferred stock, liquidation preference (dollars per share) | $ 25 | ||||
Preferred stock, dividends per annum (dollars per share) | $ 1.9375 | ||||
Series B Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred stock dividend rate | 7.75% | ||||
Preferred stock, liquidation preference (dollars per share) | $ 25 | ||||
Preferred stock, dividends per annum (dollars per share) | $ 1.9375 | ||||
Series B Preferred Stock | LIBOR | |||||
Class of Stock [Line Items] | |||||
Preferred stock dividend variable rate spread | 5.18% | ||||
Series C Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Preferred stock dividend rate | 7.50% | ||||
Preferred stock, liquidation preference (dollars per share) | $ 25 | ||||
Preferred stock, dividends per annum (dollars per share) | $ 1.875 | ||||
Series C Preferred Stock | LIBOR | |||||
Class of Stock [Line Items] | |||||
Preferred stock dividend variable rate spread | 5.289% | ||||
Common Stock | |||||
Class of Stock [Line Items] | |||||
Equity distribution agreement, authorized (in shares) | 17,000,000 | ||||
Number of shares issued during period | 20,700,000 | ||||
Sale of stock, price (in USD per share) | $ 16.78 | ||||
Proceeds from issuance of common stock | $ 347,000 | ||||
Remaining number of shares authorized to be repurchased (in shares) | 18,163,982 | ||||
Common Stock | Incentive Plan | |||||
Class of Stock [Line Items] | |||||
Compensation expense recognized | $ 18 | ||||
Common Stock | Equity Distribution Agreement | |||||
Class of Stock [Line Items] | |||||
Number of shares issued during period | 572,000 | ||||
Proceeds from issuance of common stock | $ 9,100 | ||||
Payments of stock issuance commission and fees | 193 | ||||
Directors | Common Stock | Incentive Plan | |||||
Class of Stock [Line Items] | |||||
Compensation expense recognized | $ 113 | $ 113 | |||
Restricted stock issued (in shares) | 6,170 | 7,065 | |||
Employees of the Manager snd its affiliates | Common Stock | Incentive Plan | |||||
Class of Stock [Line Items] | |||||
Compensation expense recognized | $ 19 |
Shareholders' Equity - Restrict
Shareholders' Equity - Restricted Stock Units Activity (Details) - Restricted Stock Units (RSUs) | 3 Months Ended |
Mar. 31, 2020$ / sharesshares | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | |
Unvested at the beginning of the period (in shares) | shares | 12,520 |
Shares granted during the period (in shares) | shares | 2,996 |
Shares vested during the period (in shares) | shares | (4,844) |
Unvested at the end of the period (in shares) | shares | 10,672 |
Weighted Average Grant Date Fair Value | |
Weighted Average Grant Date Fair Value, at the beginning of the period (usd per share) | $ / shares | $ 12.84 |
Granted, Weighted Average Grant Date Fair Value (usd per share) | $ / shares | 16.08 |
Vested, Weighted Average Grant Date Fair Value (usd per share) | $ / shares | 14.82 |
Weighted Average Grant Date Fair Value, at the end of the period (usd per share) | $ / shares | $ 12.85 |
Stockholders' Equity - Componen
Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | $ (186,605) | $ 52,349 |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 36,957 | 10,147 |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (10,067) | (5,851) |
Currency translation adjustments on investment in unconsolidated venture | 480 | (276) |
Total other comprehensive income (loss) | (159,235) | 56,369 |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||
Total other comprehensive income (loss) | (159,235) | 56,369 |
Equity method investments including portion attributable to noncontrolling interest | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Currency translation adjustments on investment in unconsolidated venture | 480 | (276) |
Total other comprehensive income (loss) | 480 | (276) |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||
Total other comprehensive income (loss) | 480 | (276) |
Available-for-sale securities including portion attributable to noncontrolling interest | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | (186,605) | 52,349 |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 36,957 | 10,147 |
Total other comprehensive income (loss) | (149,648) | 62,496 |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||
Total other comprehensive income (loss) | (149,648) | 62,496 |
Derivative and hedging including portion attributable to noncontrolling interest | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (10,067) | (5,851) |
Total other comprehensive income (loss) | (10,067) | (5,851) |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||
Total other comprehensive income (loss) | (10,067) | (5,851) |
Equity method investments attributable to Parent | ||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||
Beginning Balance | (645) | 513 |
Ending Balance | (165) | 237 |
Available-for-sale securities attributable to Parent | ||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||
Beginning Balance | 213,701 | 120,664 |
Ending Balance | 64,053 | 183,160 |
Derivative and hedging attributable to Parent | ||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||
Beginning Balance | 75,907 | 99,636 |
Ending Balance | 65,840 | 93,785 |
Accumulated other comprehensive income | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Total other comprehensive income (loss) | (159,235) | 56,369 |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||
Beginning Balance | 288,963 | 220,813 |
Total other comprehensive income (loss) | (159,235) | 56,369 |
Ending Balance | $ 129,728 | $ 277,182 |
Stockholders' Equity - Schedule
Stockholders' Equity - Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | Sep. 30, 2019 | |
Class of Stock [Line Items] | |||
Common stock dividend declared (dollars per share) | $ 0.50 | $ 0.45 | |
Dividends, common stock | $ 82,483 | $ 57,720 | |
Series A Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred stock dividend declared (dollars per share) | $ 0.4844 | $ 0.4844 | |
Dividends, preferred stock | $ 2,713 | $ 2,713 | |
Series B Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred stock dividend declared (dollars per share) | $ 0.4844 | $ 0.4844 | |
Dividends, preferred stock | $ 3,003 | $ 3,003 | |
Series C Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred stock dividend declared (dollars per share) | $ 0.46875 | $ 0.46875 | |
Dividends, preferred stock | $ 5,391 | $ 5,391 |
Earnings (Loss) per Common Sh_3
Earnings (Loss) per Common Share - Earnings per Share (Detail) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Basic Earnings: | ||
Net income (loss) available to common stockholders | $ (1,627,299) | $ 127,683 |
Basic Earnings: | ||
Shares available to common stockholders (in shares) | 156,771,000 | 121,098,000 |
Effect of dilutive securities: | ||
Restricted stock awards (in shares) | 0 | 12,000 |
Dilutive Shares (in shares) | 156,771,000 | 121,110,000 |
Net income (loss) attributable to common stockholders | ||
Basic (usd per share) | $ (10.38) | $ 1.05 |
Diluted (usd per share) | $ (10.38) | $ 1.05 |
Restricted stock awards | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||
Antidilutive securities excluded from computation of EPS (in shares) | 12,065 |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) $ in Millions | Apr. 01, 2020 | Mar. 31, 2020 | Dec. 31, 2019 |
Commitments and Contingencies Disclosure [Abstract] | |||
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate | $ 6.4 | $ 6.5 | |
Loan participation interest, unfunded commitment | $ 49.6 | ||
Loan participation interest | Subsequent Event | |||
Loans and Leases Receivable Disclosure [Line Items] | |||
Proceeds from sale of loans receivable | $ 21.6 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Thousands | Jun. 17, 2020 | May 09, 2020 | Apr. 01, 2020 | May 31, 2020 | Mar. 31, 2020 | Mar. 31, 2019 | Sep. 30, 2019 | Jun. 23, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Subsequent Event [Line Items] | ||||||||||
Fair value of marketable securities sold | $ 6,200,000 | |||||||||
Proceeds from sale of mortgage-backed and credit risk transfer securities | 16,238,252 | $ 734,834 | ||||||||
Repayments of secured loans | 300,000 | 0 | ||||||||
Secured loans | 1,350,000 | $ 1,650,000 | ||||||||
FHLBI stock | 74,250 | 74,250 | ||||||||
Repurchase agreements | 6,287,746 | 17,532,303 | ||||||||
Cash balance | 364,979 | $ 83,507 | 289,502 | $ 135,617 | ||||||
Restricted cash | $ 221,688 | $ 116,995 | ||||||||
Common stock dividend declared (dollars per share) | $ 0.50 | $ 0.45 | ||||||||
Dividends, common stock | $ 82,483 | $ 57,720 | ||||||||
MBS and GSE CRTs | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Proceeds from sale of mortgage-backed and credit risk transfer securities | $ 16,200,000 | |||||||||
Series B Preferred Stock | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Preferred stock dividend declared (dollars per share) | $ 0.4844 | $ 0.4844 | ||||||||
Series C Preferred Stock | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Preferred stock dividend declared (dollars per share) | 0.46875 | $ 0.46875 | ||||||||
Series A Preferred Stock | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Preferred stock dividend declared (dollars per share) | $ 0.4844 | $ 0.4844 | ||||||||
Subsequent Event | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Repayments of secured loans | $ 512,500 | |||||||||
Secured loans | $ 837,500 | |||||||||
FHLBI stock | $ 37,700 | |||||||||
Investment portfolio, excluding cash and Agency CMBS purchase commitments | 1,600,000 | |||||||||
Investment portfolio unencumbered | 540,000 | |||||||||
Cash balance | 327,800 | |||||||||
Restricted cash | 55,300 | |||||||||
Common stock dividend declared (dollars per share) | $ 0.02 | |||||||||
Subsequent Event | Loan participation interest | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Proceeds from sale of loans receivable | $ 21,600 | |||||||||
Subsequent Event | MBS and GSE CRTs | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Proceeds from sale of mortgage-backed and credit risk transfer securities | $ 5,900,000 | |||||||||
Subsequent Event | Commercial Credit Investments | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Investment portfolio, percentage | 92.00% | |||||||||
Subsequent Event | Residential Credit Investments | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Investment portfolio, percentage | 7.00% | |||||||||
Subsequent Event | Agency Mortgage-backed Securities | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Investment portfolio, percentage | 1.00% | |||||||||
Subsequent Event | Series B Preferred Stock | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Preferred stock dividend declared (dollars per share) | $ 0.4844 | |||||||||
Subsequent Event | Series C Preferred Stock | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Preferred stock dividend declared (dollars per share) | $ 0.46875 | |||||||||
Subsequent Event | Series A Preferred Stock | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Preferred stock dividend declared (dollars per share) | $ 0.4844 |