Cover Page
Cover Page - shares | 9 Months Ended | |
Sep. 30, 2022 | Oct. 31, 2022 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2022 | |
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 (in shares) | 35,352,123 | |
Entity Central Index Key | 0001437071 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2022 | |
Document Fiscal Period Focus (Q1,Q2,Q3,FY) | Q3 | |
Amendment Flag | false | |
Common Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Common Stock, par value $0.01 per share | |
Trading Symbol | IVR | |
Security Exchange Name | NYSE | |
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock | |
Trading Symbol | IVR PrB | |
Security Exchange Name | NYSE | |
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock | |
Trading Symbol | IVR PrC | |
Security Exchange Name | NYSE |
CONDENSED CONSOLIDATED BALANCE
CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
ASSETS | ||
Mortgage-backed securities, at fair value (including pledged securities of $4,043,370 and $7,326,175, respectively) | $ 4,356,991 | $ 7,804,259 |
Cash and cash equivalents | 163,590 | 357,134 |
Restricted cash | 100,775 | 219,918 |
Due from counterparties | 4,837 | 7,985 |
Investment related receivable | 19,306 | 16,766 |
Derivative assets, at fair value | 11,227 | 270 |
Other assets | 28,979 | 37,509 |
Total assets | 4,685,705 | 8,443,841 |
Liabilities: | ||
Repurchase agreements | 3,887,291 | 6,987,834 |
Derivative liabilities, at fair value | 3,695 | 14,356 |
Dividends payable | 22,979 | 29,689 |
Investment related payable | 706 | 0 |
Accrued interest payable | 3,766 | 1,171 |
Collateral held payable | 10 | 280 |
Accounts payable and accrued expenses | 1,839 | 1,887 |
Due to affiliate | 4,210 | 6,489 |
Total liabilities | 3,924,496 | 7,041,706 |
Commitments and contingencies | ||
Stockholders' equity: | ||
Common Stock, par value $0.01 per share; 67,000,000 and 450,000,000 shares authorized, respectively; 35,352,123 and 32,987,478 shares issued and outstanding, respectively | 353 | 330 |
Additional paid in capital | 3,858,418 | 3,819,375 |
Accumulated other comprehensive income | 16,510 | 37,286 |
Retained earnings (distributions in excess of earnings) | (3,412,779) | (2,882,824) |
Total stockholders’ equity | 761,209 | 1,402,135 |
Total liabilities and stockholders' equity | $ 4,685,705 | $ 8,443,841 |
Common Stock - shares authorized (in shares) | 67,000,000 | 450,000,000 |
Series B Preferred Stock | ||
Stockholders' equity: | ||
Preferred stock, value | $ 109,679 | $ 149,860 |
Series C Preferred Stock | ||
Stockholders' equity: | ||
Preferred stock, value | $ 189,028 | $ 278,108 |
CONDENSED CONSOLIDATED BALANC_2
CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) (Parenthetical) - USD ($) | Sep. 30, 2022 | Dec. 31, 2021 |
Marketable securities pledged as collateral | $ 4,043,370,000 | $ 7,326,175,000 |
Preferred Stock - par value (in USD per share) | $ 0.01 | $ 0.01 |
Preferred Stock - shares authorized (in shares) | 50,000,000 | 50,000,000 |
Common Stock - par value (in USD per share) | $ 0.01 | $ 0.01 |
Common Stock - shares authorized (in shares) | 67,000,000 | 450,000,000 |
Common Stock - shares issued (in shares) | 35,352,123 | 32,987,478 |
Common Stock - shares outstanding (in shares) | 35,352,123 | 32,987,478 |
Series B Preferred Stock | ||
Preferred Stock - dividend rate stated percentage | 7.75% | 7.75% |
Preferred Stock - shares issued (in shares) | 4,537,634 | 6,200,000 |
Preferred Stock - shares outstanding (in shares) | 4,537,634 | 6,200,000 |
Preferred Stock - liquidation preference value | $ 113,441,000 | $ 155,000,000 |
Series C Preferred Stock | ||
Preferred Stock - dividend rate stated percentage | 7.50% | 7.50% |
Preferred Stock - shares issued (in shares) | 7,816,470 | 11,500,000 |
Preferred Stock - shares outstanding (in shares) | 7,816,470 | 11,500,000 |
Preferred Stock - liquidation preference value | $ 195,412,000 | $ 287,500,000 |
CONDENSED CONSOLIDATED STATEMEN
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | ||
Interest income | |||||
Mortgage-backed and other securities | $ 49,058 | $ 42,657 | $ 134,689 | $ 124,725 | |
Commercial loan | 670 | 525 | 1,768 | 1,621 | |
Total interest income | 49,728 | 43,182 | 136,457 | 126,346 | |
Interest expense | |||||
Repurchase agreements | [1] | 18,008 | (3,272) | 19,359 | (8,109) |
Total interest expense | 18,008 | (3,272) | 19,359 | (8,109) | |
Net interest income | 31,720 | 46,454 | 117,098 | 134,455 | |
Other income (loss) | |||||
Gain (loss) on investments, net | (260,837) | (16,830) | (1,090,101) | (276,067) | |
(Increase) decrease in provision for credit losses | 0 | 0 | 0 | 1,768 | |
Equity in earnings (losses) of unconsolidated ventures | (6) | 344 | (287) | 581 | |
Gain (loss) on derivative instruments, net | 133,549 | 35,282 | 554,151 | 135,959 | |
Other investment income (loss), net | 0 | 1 | 44 | 1 | |
Total other income (loss) | (127,294) | 18,797 | (536,193) | (137,758) | |
Expenses | |||||
Management fee – related party | 3,836 | 5,432 | 13,729 | 15,771 | |
General and administrative | 2,018 | 2,139 | 6,561 | 6,279 | |
Total expenses | 5,854 | 7,571 | 20,290 | 22,050 | |
Net income (loss) | (101,428) | 57,680 | (439,385) | (25,353) | |
Dividends to preferred stockholders | (5,862) | (8,394) | (22,356) | (29,401) | |
Gain on repurchase and retirement of preferred stock | 12,688 | 0 | 14,179 | 0 | |
Issuance and redemption costs of redeemed preferred stock | 0 | 0 | 0 | (4,682) | |
Net income (loss) attributable to common stockholders | $ (94,602) | $ 49,286 | $ (447,562) | $ (59,436) | |
Earnings (loss) per share: | |||||
Basic (in USD per share) | $ (2.78) | $ 1.66 | $ (13.42) | $ (2.28) | |
Diluted (in USD per share) | $ (2.78) | $ 1.66 | $ (13.42) | $ (2.28) | |
[1]Negative interest expense on repurchase agreements in 2021 is due to amortization of net deferred gains on de-designated interest rate swaps that exceeds current period interest expense on repurchase agreements. For further information on amortization of amounts classified in accumulated other comprehensive income before we discontinued hedge accounting, see Note 8 - "Derivatives and Hedging Activities" and Note 12 - "Stockholders' Equity". |
CONDENSED CONSOLIDATED STATEM_2
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income (loss) | $ (101,428) | $ 57,680 | $ (439,385) | $ (25,353) |
Other comprehensive income (loss): | ||||
Unrealized gain (loss) on mortgage-backed securities, net | (1,243) | (473) | (5,489) | 1,663 |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (4,855) | (5,601) | (14,853) | (16,398) |
Currency translation adjustments on investment in unconsolidated venture | (141) | 187 | (434) | 164 |
Total other comprehensive income (loss) | (6,239) | (5,887) | (20,776) | (14,571) |
Comprehensive income (loss) | (107,667) | 51,793 | (460,161) | (39,924) |
Dividends to preferred stockholders | (5,862) | (8,394) | (22,356) | (29,401) |
Gain on repurchase and retirement of preferred stock | 12,688 | 0 | 14,179 | 0 |
Issuance and redemption costs of redeemed preferred stock | 0 | 0 | 0 | (4,682) |
Comprehensive income (loss) attributable to common stockholders | $ (100,841) | $ 43,399 | $ (468,338) | $ (74,007) |
CONDENSED CONSOLIDATED STATEM_3
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) - USD ($) $ in Thousands | Total | Series B Preferred Stock | Series C Preferred Stock | Preferred Stock Series A Preferred Stock | Preferred Stock Series B Preferred Stock | Preferred Stock Series C Preferred Stock | Common Stock | Additional Paid in Capital | Accumulated Other Comprehensive Income (Loss) | Retained Earnings (Distributions in excess of earnings) |
Beginning balance (in shares) at Dec. 31, 2020 | 5,600,000 | 6,200,000 | 11,500,000 | |||||||
Beginning balance (in shares) at Dec. 31, 2020 | 20,322,211 | |||||||||
Beginning balance at Dec. 31, 2020 | $ 1,367,158 | $ 135,356 | $ 149,860 | $ 278,108 | $ 203 | $ 3,389,381 | $ 58,605 | $ (2,644,355) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | (9,275) | (9,275) | ||||||||
Other comprehensive income (loss) | (3,778) | (3,778) | ||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 4,315,000 | |||||||||
Proceeds from issuance of common stock, net of offering costs | 160,981 | $ 43 | 160,938 | |||||||
Stock awards (in shares) | 2,560 | |||||||||
Stock awards | 0 | |||||||||
Common stock dividends | (22,176) | (22,176) | ||||||||
Preferred stock dividends | (11,107) | (11,107) | ||||||||
Amortization of equity-based compensation | 129 | 129 | ||||||||
Ending balance (in shares) at Mar. 31, 2021 | 5,600,000 | 6,200,000 | 11,500,000 | |||||||
Ending balance (in shares) at Mar. 31, 2021 | 24,639,771 | |||||||||
Ending balance at Mar. 31, 2021 | 1,481,932 | $ 135,356 | $ 149,860 | $ 278,108 | $ 246 | 3,550,448 | 54,827 | (2,686,913) | ||
Beginning balance (in shares) at Dec. 31, 2020 | 5,600,000 | 6,200,000 | 11,500,000 | |||||||
Beginning balance (in shares) at Dec. 31, 2020 | 20,322,211 | |||||||||
Beginning balance at Dec. 31, 2020 | 1,367,158 | $ 135,356 | $ 149,860 | $ 278,108 | $ 203 | 3,389,381 | 58,605 | (2,644,355) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | (25,353) | |||||||||
Other comprehensive income (loss) | $ (14,571) | |||||||||
Redemption of preferred stock (in shares) | 0 | |||||||||
Ending balance (in shares) at Sep. 30, 2021 | 0 | 6,200,000 | 11,500,000 | 31,174,076 | ||||||
Ending balance at Sep. 30, 2021 | $ 1,456,371 | $ 0 | $ 149,860 | $ 278,108 | $ 312 | 3,764,152 | 44,034 | (2,780,095) | ||
Beginning balance (in shares) at Mar. 31, 2021 | 5,600,000 | 6,200,000 | 11,500,000 | |||||||
Beginning balance (in shares) at Mar. 31, 2021 | 24,639,771 | |||||||||
Beginning balance at Mar. 31, 2021 | 1,481,932 | $ 135,356 | $ 149,860 | $ 278,108 | $ 246 | 3,550,448 | 54,827 | (2,686,913) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | (73,758) | (73,758) | ||||||||
Other comprehensive income (loss) | (4,906) | (4,906) | ||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 4,312,500 | |||||||||
Proceeds from issuance of common stock, net of offering costs | 145,879 | $ 43 | 145,836 | |||||||
Stock awards (in shares) | 15,805 | |||||||||
Stock awards | 1 | $ 1 | ||||||||
Common stock dividends | (26,071) | (26,071) | ||||||||
Preferred stock dividends | (9,900) | (9,900) | ||||||||
Redemption of preferred stock (in shares) | (5,600,000) | |||||||||
Redemption of preferred stock | (140,038) | $ (135,356) | (4,682) | |||||||
Amortization of equity-based compensation | 240 | 240 | ||||||||
Ending balance (in shares) at Jun. 30, 2021 | 0 | 6,200,000 | 11,500,000 | |||||||
Ending balance (in shares) at Jun. 30, 2021 | 28,968,076 | |||||||||
Ending balance at Jun. 30, 2021 | 1,373,379 | $ 0 | $ 149,860 | $ 278,108 | $ 290 | 3,696,524 | 49,921 | (2,801,324) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | 57,680 | 57,680 | ||||||||
Other comprehensive income (loss) | (5,887) | |||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 2,206,000 | |||||||||
Proceeds from issuance of common stock, net of offering costs | 67,528 | $ 22 | 67,506 | |||||||
Common stock dividends | (28,057) | (28,057) | ||||||||
Preferred stock dividends | $ (8,394) | (8,394) | ||||||||
Redemption of preferred stock (in shares) | 0 | |||||||||
Amortization of equity-based compensation | $ 122 | 122 | ||||||||
Ending balance (in shares) at Sep. 30, 2021 | 0 | 6,200,000 | 11,500,000 | 31,174,076 | ||||||
Ending balance at Sep. 30, 2021 | $ 1,456,371 | $ 0 | $ 149,860 | $ 278,108 | $ 312 | 3,764,152 | 44,034 | (2,780,095) | ||
Beginning balance (in shares) at Dec. 31, 2021 | 6,200,000 | 11,500,000 | 6,200,000 | 11,500,000 | ||||||
Beginning balance (in shares) at Dec. 31, 2021 | 32,987,478 | 32,987,478 | ||||||||
Beginning balance at Dec. 31, 2021 | $ 1,402,135 | $ 149,860 | $ 278,108 | $ 330 | 3,819,375 | 37,286 | (2,882,824) | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | (228,422) | (228,422) | ||||||||
Other comprehensive income (loss) | (7,817) | (7,817) | ||||||||
Stock awards (in shares) | 4,315 | |||||||||
Stock awards | 0 | |||||||||
Common stock dividends | (29,693) | (29,693) | ||||||||
Preferred stock dividends | (8,394) | (8,394) | ||||||||
Amortization of equity-based compensation | 138 | 138 | ||||||||
Ending balance (in shares) at Mar. 31, 2022 | 6,200,000 | 11,500,000 | ||||||||
Ending balance (in shares) at Mar. 31, 2022 | 32,991,793 | |||||||||
Ending balance at Mar. 31, 2022 | $ 1,127,947 | $ 149,860 | $ 278,108 | $ 330 | 3,819,513 | 29,469 | (3,149,333) | |||
Beginning balance (in shares) at Dec. 31, 2021 | 6,200,000 | 11,500,000 | 6,200,000 | 11,500,000 | ||||||
Beginning balance (in shares) at Dec. 31, 2021 | 32,987,478 | 32,987,478 | ||||||||
Beginning balance at Dec. 31, 2021 | $ 1,402,135 | $ 149,860 | $ 278,108 | $ 330 | 3,819,375 | 37,286 | (2,882,824) | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | (439,385) | |||||||||
Other comprehensive income (loss) | $ (20,776) | |||||||||
Repurchase and retirement of preferred stock (in shares) | (1,662,366) | (3,683,530) | ||||||||
Redemption of preferred stock (in shares) | 0 | |||||||||
Ending balance (in shares) at Sep. 30, 2022 | 4,537,634 | 7,816,470 | ||||||||
Ending balance (in shares) at Sep. 30, 2022 | 35,352,123 | |||||||||
Ending balance (in shares) at Sep. 30, 2022 | 4,537,634 | 7,816,470 | 35,352,123 | |||||||
Ending balance at Sep. 30, 2022 | $ 761,209 | $ 109,679 | $ 189,028 | $ 353 | 3,858,418 | 16,510 | (3,412,779) | |||
Beginning balance (in shares) at Mar. 31, 2022 | 6,200,000 | 11,500,000 | ||||||||
Beginning balance (in shares) at Mar. 31, 2022 | 32,991,793 | |||||||||
Beginning balance at Mar. 31, 2022 | 1,127,947 | $ 149,860 | $ 278,108 | $ 330 | 3,819,513 | 29,469 | (3,149,333) | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | (109,535) | (109,535) | ||||||||
Other comprehensive income (loss) | (6,720) | (6,720) | ||||||||
Stock awards (in shares) | 32,571 | |||||||||
Stock awards | 0 | |||||||||
Repurchase and retirement of preferred stock (in shares) | (43,820) | (620,141) | ||||||||
Repurchase and retirement of preferred stock | (14,565) | $ (1,059) | $ (14,997) | 1,491 | ||||||
Payments in lieu of fractional shares in connection with one-for-ten reverse stock split (in shares) | (46) | |||||||||
Payments in lieu of fractional shares in connection with one-for-ten reverse stock split | (1) | (1) | ||||||||
Common stock dividends | (29,721) | (29,721) | ||||||||
Preferred stock dividends | (8,100) | (8,100) | ||||||||
Amortization of equity-based compensation | 158 | 158 | ||||||||
Ending balance (in shares) at Jun. 30, 2022 | 6,156,180 | 10,879,859 | ||||||||
Ending balance (in shares) at Jun. 30, 2022 | 33,024,318 | |||||||||
Ending balance at Jun. 30, 2022 | 959,463 | $ 148,801 | $ 263,111 | $ 330 | 3,819,670 | 22,749 | (3,295,198) | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | (101,428) | (101,428) | ||||||||
Other comprehensive income (loss) | (6,239) | (6,239) | ||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 2,327,805 | |||||||||
Proceeds from issuance of common stock, net of offering costs | 38,613 | $ 23 | 38,590 | |||||||
Repurchase and retirement of preferred stock (in shares) | (1,618,546) | (3,063,389) | (1,618,546) | (3,063,389) | ||||||
Repurchase and retirement of preferred stock | (100,517) | $ (39,122) | $ (74,083) | 12,688 | ||||||
Common stock dividends | (22,979) | (22,979) | ||||||||
Preferred stock dividends | $ (5,862) | (5,862) | ||||||||
Redemption of preferred stock (in shares) | 0 | |||||||||
Amortization of equity-based compensation | $ 158 | 158 | ||||||||
Ending balance (in shares) at Sep. 30, 2022 | 4,537,634 | 7,816,470 | ||||||||
Ending balance (in shares) at Sep. 30, 2022 | 35,352,123 | |||||||||
Ending balance (in shares) at Sep. 30, 2022 | 4,537,634 | 7,816,470 | 35,352,123 | |||||||
Ending balance at Sep. 30, 2022 | $ 761,209 | $ 109,679 | $ 189,028 | $ 353 | $ 3,858,418 | $ 16,510 | $ (3,412,779) |
CONDENSED CONSOLIDATED STATEM_4
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) (Parenthetical) | 1 Months Ended | 3 Months Ended | 9 Months Ended | |
May 03, 2022 | May 31, 2022 | Jun. 30, 2022 | Sep. 30, 2022 | |
Common Stock | ||||
Reverse stock split conversion ratio | 0.1 | 0.1 | 0.1 | 0.1 |
CONDENSED CONSOLIDATED STATEM_5
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2022 | Sep. 30, 2021 | |
Cash Flows from Operating Activities | ||
Net income (loss) | $ (439,385) | $ (25,353) |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||
Amortization of mortgage-backed and other securities premiums and (discounts), net | 835 | 28,436 |
Realized and unrealized (gain) loss on derivative instruments, net | (509,156) | (149,255) |
(Gain) loss on investments, net | 1,090,101 | 276,067 |
Increase (decrease) in provision for credit losses | 0 | (1,768) |
(Gain) loss from investments in unconsolidated ventures in excess of distributions received | 38 | 4 |
Other amortization | (14,399) | (15,906) |
Changes in operating assets and liabilities: | ||
(Increase) decrease in operating assets | (1,901) | (2,904) |
Increase (decrease) in operating liabilities | 651 | 1,134 |
Net cash provided by (used in) operating activities | 126,784 | 110,455 |
Cash Flows from Investing Activities | ||
Purchase of mortgage-backed securities | (20,721,166) | (13,387,052) |
Purchase of U.S. Treasury securities | (502,290) | 0 |
Distributions from investments in unconsolidated ventures, net | 8,529 | 4,142 |
Principal payments from mortgage-backed securities | 330,550 | 615,203 |
Proceeds from sale of mortgage-backed securities | 22,775,148 | 11,815,848 |
Proceeds from the sale of U.S. Treasury securities | 468,051 | 0 |
Settlement (termination) of forwards, swaps, swaptions and TBAs, net | 487,538 | 164,396 |
Net change in due from counterparties and collateral held payable on derivative instruments | (649) | (10,167) |
Net cash provided by (used in) investing activities | 2,845,711 | (797,630) |
Cash Flows from Financing Activities | ||
Proceeds from issuance of common stock | 38,726 | 375,283 |
Redemption of preferred stock | 0 | (140,038) |
Repurchase of preferred stock | (115,082) | 0 |
Cash paid in lieu of fractional shares in connection with one-for-ten reverse stock split | (1) | 0 |
Proceeds from repurchase agreements | 51,685,864 | 71,066,670 |
Principal repayments of repurchase agreements | (54,786,407) | (70,421,571) |
Net change in due from counterparties and collateral held payable on repurchase agreements | 3,527 | (2,311) |
Payments of deferred costs | (350) | (575) |
Payments of dividends | (111,459) | (96,618) |
Net cash provided by (used in) financing activities | (3,285,182) | 780,840 |
Net change in cash, cash equivalents and restricted cash | (312,687) | 93,665 |
Cash, cash equivalents and restricted cash, beginning of period | 577,052 | 392,584 |
Cash, cash equivalents and restricted cash, end of period | 264,365 | 486,249 |
Supplement Disclosure of Cash Flow Information | ||
Interest paid | 31,616 | 8,283 |
Non-cash Investing and Financing Activities Information | ||
Net change in unrealized gain (loss) on mortgage-backed securities classified as available-for-sale | (5,489) | 1,663 |
Dividends declared not paid | 22,979 | 28,057 |
Net change in investment related receivable (payable) | (416) | 61 |
Offering costs not paid | 144 | 351 |
Change in foreign currency translation adjustment on other investments | $ 434 | $ (164) |
CONDENSED CONSOLIDATED STATEM_6
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) (Parenthetical) | 1 Months Ended | 3 Months Ended | 9 Months Ended | |
May 03, 2022 | May 31, 2022 | Jun. 30, 2022 | Sep. 30, 2022 | |
Common Stock | ||||
Reverse stock split conversion ratio | 0.1 | 0.1 | 0.1 | 0.1 |
Organization and Business Opera
Organization and Business Operations | 9 Months Ended |
Sep. 30, 2022 | |
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 mortgage-backed securities ("MBS”) and other mortgage-related assets. We invest 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 not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency CMBS”); • RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency RMBS”); • Commercial mortgage loans, • U.S. Treasury securities; and • Other real estate-related financing agreements. We conduct our business through IAS Operating Partnership L.P. (the “Operating Partnership”) and have one operating segment. 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 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 of 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 our exclusion from the “Investment Company” definition under the Investment Company Act of 1940, as amended (the “1940 Act”). |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2022 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation and Consolidation For all periods presented, common shares and per common share amounts have been adjusted on a retroactive basis to reflect our one-for-ten reverse stock split, which was effected following the close of business on June 3, 2022. 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, 2021. Our condensed consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America ("U.S. GAAP") and consolidate the financial statements of the Company and its 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 our 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 on mortgage-backed 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, 2021 other than as detailed below. U.S. Treasury Securities |
Variable Interest Entities ("VI
Variable Interest Entities ("VIEs") | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 37,256 37,256 Non-Agency RMBS 7,604 7,604 Investments in unconsolidated ventures 3,475 3,475 Total 48,335 48,335 Refer to Note 4 - "Mortgage-Backed Securities" and Note 5 - "Other Assets" for additional details regarding these investments. |
Mortgage-Backed Securities
Mortgage-Backed Securities | 9 Months Ended |
Sep. 30, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities | Mortgage-Backed Securities The following tables summarize our MBS portfolio by asset type as of September 30, 2022 and December 31, 2021. September 30, 2022 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) 30 year fixed-rate Agency RMBS 4,451,986 (53,352) 4,398,634 (145,892) 4,252,742 4.65 % Agency-CMO (2) 416,292 (360,444) 55,848 3,541 59,389 8.54 % Non-Agency CMBS 38,652 (1,758) 36,894 362 37,256 8.51 % Non-Agency RMBS (3)(4)(5) 315,941 (307,772) 8,169 (565) 7,604 8.01 % Total 5,222,871 (723,326) 4,499,545 (142,554) 4,356,991 4.74 % (1) Period-end weighted average yield is based on amortized cost as of September 30, 2022 and incorporates future prepayment and loss assumptions. (2) All Agency collateralized mortgage obligations (“Agency-CMO”) are interest-only securities (“Agency IO”). (3) Non-Agency RMBS is 63.9% fixed rate, 35.2% variable rate, and 0.9% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying hybrid adjustable-rate mortgage (“ARM”) loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 97.2% of principal/notional balance, 42.7% of amortized cost and 26.3% of fair value. December 31, 2021 $ in thousands Principal/Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) 30 year fixed-rate Agency RMBS 7,514,229 246,183 7,760,412 (58,889) 7,701,523 2.07 % Agency-CMO (2) 235,216 (203,180) 32,036 (1,279) 30,757 6.47 % Non-Agency CMBS 61,427 (3,096) 58,331 4,578 62,909 8.63 % Non-Agency RMBS (3)(4)(5) 392,543 (383,591) 8,952 118 9,070 5.26 % Total 8,203,415 (343,684) 7,859,731 (55,472) 7,804,259 2.14 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2021 and incorporates future prepayment and loss assumptions. (2) All Agency-CMO are Agency IO. (3) Non-Agency RMBS is 63.5% fixed rate, 35.6% variable rate and 0.9% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying hybrid adjustable-rate mortgage (“ARM”) loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes non-Agency IO which represent 97.7% of principal/notional balance, 44.8% of amortized cost and 19.9% of fair value. 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 September 30, 2022 and December 31, 2021. We have elected the fair value option for all of our RMBS interest-only securities and our MBS purchased on or after September 1, 2016. As of September 30, 2022 and December 31, 2021, approximately 99% of our MBS are accounted for under the fair value option. September 30, 2022 December 31, 2021 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Available-for-sale Securities Securities under Fair Value Option Total 30 year fixed-rate Agency RMBS — 4,252,742 4,252,742 — 7,701,523 7,701,523 Agency-CMO — 59,389 59,389 — 30,757 30,757 Non-Agency CMBS 37,256 — 37,256 62,909 — 62,909 Non-Agency RMBS 5,719 1,885 7,604 7,288 1,782 9,070 Total 42,975 4,314,016 4,356,991 70,197 7,734,062 7,804,259 The components of the carrying value of our MBS portfolio at September 30, 2022 and December 31, 2021 are presented below. Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $17.9 million at September 30, 2022 (December 31, 2021: $16.6 million). September 30, 2022 $ in thousands MBS Interest-Only Securities Total Principal/notional balance 4,499,427 723,444 5,222,871 Unamortized premium 29,388 — 29,388 Unamortized discount (88,604) (664,110) (752,714) Gross unrealized gains (1) 2,931 4,790 7,721 Gross unrealized losses (1) (147,542) (2,733) (150,275) Fair value 4,295,600 61,391 4,356,991 December 31, 2021 $ in thousands MBS Interest-Only Securities Total Principal/notional balance 7,584,812 618,603 8,203,415 Unamortized premium 250,771 — 250,771 Unamortized discount (11,902) (582,553) (594,455) Gross unrealized gains (1) 8,754 109 8,863 Gross unrealized losses (1) (60,741) (3,594) (64,335) Fair value 7,771,694 32,565 7,804,259 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for 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 and nine months ended September 30, 2022 and 2021 is provided below in this Note 4. The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of September 30, 2022 and December 31, 2021 . $ in thousands September 30, 2022 December 31, 2021 Less than one year 26,951 23,150 Greater than one year and less than five years 10,306 891,510 Greater than or equal to five years 4,319,734 6,889,599 Total 4,356,991 7,804,259 The following tables present the estimated fair value and gross unrealized losses of our MBS by length of time that such securities have been in a continuous unrealized loss position at September 30, 2022 and December 31, 2021. September 30, 2022 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number 30 year fixed-rate Agency RMBS (1) 4,040,618 (147,512) 40 — — — 4,040,618 (147,512) 40 Agency-CMO (1) 6,914 (798) 2 3,064 (451) 1 9,978 (1,249) 3 Non-Agency RMBS (2) 358 (30) 2 2,002 (1,484) 14 2,360 (1,514) 16 Total 4,047,890 (148,340) 44 5,066 (1,935) 15 4,052,956 (150,275) 59 (1) Fair value option has been elected for all Agency securities in an unrealized loss position. (2) Includes non-Agency IO with a fair value of $1.8 million for which the fair value option has been elected. Such securities have unrealized losses of $1.5 million. December 31, 2021 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number 30 year fixed-rate Agency RMBS (1) 6,838,999 (60,741) 54 — — — 6,838,999 (60,741) 54 Agency-CMO (1) 21,810 (1,389) 5 — — — 21,810 (1,389) 5 Non-Agency RMBS (2) 767 (1,132) 5 1,042 (1,073) 9 1,809 (2,205) 14 Total 6,861,576 (63,262) 64 1,042 (1,073) 9 6,862,618 (64,335) 73 (1) Fair value option has been elected for all Agency securities in an unrealized loss position. (2) Includes non-Agency IO with a fair value of $1.7 million for which the fair value option has been elected. Such securities have unrealized losses of $2.1 million. The remaining $136,000 of unrealized losses on non-Agency RMBS are included in accumulated other comprehensive income. These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis. As of September 30, 2022 and December 31, 2021, we did not have an allowance for credit losses recorded on our condensed consolidated balance sheets. The following table presents a roll-forward of our allowance for credit losses. Nine Months Ended September 30, $ in thousands 2021 Beginning allowance for credit losses (1,768) Decrease to the allowance for credit losses on securities that had an allowance recorded in a previous period 1,768 Ending allowance for credit losses — The following table summarizes the components of our total gain (loss) on investments, net for the three and nine months ended September 30, 2022 and 2021. Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2022 2021 2022 2021 Gross realized gains on sale of MBS — 3,096 5,348 3,297 Gross realized losses on sale of MBS (120,418) (7,547) (979,792) (242,601) Net unrealized gains (losses) on MBS accounted for under the fair value option (140,590) (13,825) (81,593) (35,933) Net unrealized gains (losses) on commercial loan 171 1,446 134 (830) Net realized gains (losses) on U.S. Treasury securities — — (34,198) — Total gain (loss) on investments, net (260,837) (16,830) (1,090,101) (276,067) The following tables present components of interest income recognized on our mortgage-backed and other securities portfolio for the three and nine months ended September 30, 2022 and 2021. For the three months ended September 30, 2022 $ in thousands Coupon Net (Premium Interest Agency RMBS 48,075 (355) 47,720 Non-Agency CMBS 485 328 813 Non-Agency RMBS 288 (139) 149 Other 376 — 376 Total 49,224 (166) 49,058 For the three months ended September 30, 2021 $ in thousands Coupon Net (Premium Interest Agency RMBS 50,748 (9,548) 41,200 Non-Agency CMBS 761 480 1,241 Non-Agency RMBS 483 (273) 210 Other 6 — 6 Total 51,998 (9,341) 42,657 For the nine months ended September 30, 2022 $ in thousands Coupon Net (Premium Interest Agency RMBS 135,600 (6,861) 128,739 Non-Agency CMBS 1,890 1,340 3,230 Non-Agency RMBS 928 (422) 506 U.S. Treasury securities 1,773 (41) 1,732 Other 482 — 482 Total 140,673 (5,984) 134,689 For the nine months ended September 30, 2021 $ in thousands Coupon Net (Premium Interest Agency RMBS 150,306 (31,482) 118,824 Non-Agency CMBS 3,102 2,203 5,305 Non-Agency RMBS 1,574 (997) 577 Other 19 — 19 Total 155,001 (30,276) 124,725 |
Other Assets
Other Assets | 9 Months Ended |
Sep. 30, 2022 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets | Other Assets The following table summarizes our other assets as of September 30, 2022 and December 31, 2021. $ in thousands September 30, 2022 December 31, 2021 Commercial loan, held-for-investment 23,649 23,515 Investments in unconsolidated ventures 3,475 12,476 Prepaid expenses and other assets 1,855 1,518 Total 28,979 37,509 Our commercial loan had a principal balance of $23.9 million as of September 30, 2022 and December 31, 2021 and a weighted average coupon rate of 11.06% as of September 30, 2022 and 8.60% as of December 31, 2021. We accounted for this loan under the fair value option and, accordingly, there were no capitalized origination costs or fees associated with the loan. We recorded unrealized gains of $171,000 and $134,000 on this loan in our condensed consolidated statements of operations during the three and nine months ended September 30, 2022, respectively. We recorded unrealized gains of $1.4 million and unrealized losses of $830,000 on this loan during the three and nine months ended September 30, 2021, respectively. In September 2022, we extended the contractual maturity of our commercial loan to November 2022; however, the loan was repaid in full in October 2022. 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 | 9 Months Ended |
Sep. 30, 2022 | |
Debt Disclosure [Abstract] | |
Borrowings | Borrowings We finance the majority of our investment portfolio through repurchase agreements. The following tables summarize certain characteristics of our borrowings at September 30, 2022 and December 31, 2021. Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements. $ in thousands September 30, 2022 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 3,887,291 3.27 % 60 Total Borrowings 3,887,291 3.27 % 60 $ in thousands December 31, 2021 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 6,987,834 0.14 % 29 Total Borrowings 6,987,834 0.14 % 29 Repurchase Agreements Our repurchase agreements bear interest at a contractually agreed upon rate. Agency RMBS repurchase agreements generally have maturities ranging from one to six months. Repurchase agreements are accounted for as secured borrowings since we maintain effective control of the financed assets. The repurchase agreements are subject to certain financial covenants. We were in compliance with all of these covenants as of September 30, 2022. |
Collateral Positions
Collateral Positions | 9 Months Ended |
Sep. 30, 2022 | |
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, interest rate swaps, currency forward contracts and TBAs as of September 30, 2022 and December 31, 2021. 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, 2021 for a description of how we determine fair value. Agency RMBS collateral pledged is included in mortgage-backed securities on our condensed consolidated balance sheets. Cash collateral pledged on 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 and TBAs accounted for as derivatives is classified as due from counterparties on our condensed consolidated balance sheets. Cash collateral held 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 September 30, 2022 and December 31, 2021, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets. $ in thousands As of Collateral Pledged September 30, 2022 December 31, 2021 Repurchase Agreements: Agency RMBS 4,043,370 7,326,175 Cash — 3,527 Total repurchase agreements collateral pledged 4,043,370 7,329,702 Derivative Instruments: Cash 4,837 4,458 Restricted cash 100,775 219,918 Total derivative instruments collateral pledged 105,612 224,376 Total collateral pledged: Agency RMBS 4,043,370 7,326,175 Cash 4,837 7,985 Restricted cash 100,775 219,918 Total collateral pledged 4,148,982 7,554,078 As of Collateral Held September 30, 2022 December 31, 2021 Repurchase Agreements: Non-cash collateral 908 248 Total repurchase agreements collateral held 908 248 Derivative instruments: Cash 10 280 Total derivative instruments collateral held 10 280 Total collateral held: Cash 10 280 Non-cash collateral 908 248 Total collateral held 918 528 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 to fund margin calls if the value of pledged assets declined. We intend to maintain a level of liquidity that will enable us to meet margin calls. The ratio of our total repurchase agreements collateral pledged to our total repurchase agreements outstanding was 104% as of September 30, 2022 (December 31, 2021: 105%). Interest Rate Swaps As of September 30, 2022 and December 31, 2021, all of our interest rate swaps 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 condensed consolidated statements of operations. Certain of our FCM agreements include cross default provisions. TBAs and Currency Forward Contracts |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 9 Months Ended |
Sep. 30, 2022 | |
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 2022. $ in thousands Notional Amount as of December 31, 2021 Additions Settlement, Notional Amount as of September 30, 2022 Interest Rate Swaps (1) (2) 8,050,000 9,575,000 (9,150,000) 8,475,000 Currency Forward Contracts 13,596 22,027 (33,955) 1,668 TBA Purchase Contracts 1,600,000 18,462,000 (19,922,000) 140,000 TBA Sale Contracts — (19,922,000) 19,922,000 — Total 9,663,596 8,137,027 (9,183,955) 8,616,668 (1) Does not include interest rate swaps with forward start dates. See below for additional detail on our interest rate swaps with forward start dates. (2) Notional amount as of September 30, 2022 includes $5.8 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $2.7 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate. Notional amount as of December 31, 2021 includes $6.3 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $1.8 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate. 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 we also enter into interest rate swap contracts whereby we make floating-rate payments to a counterparty in exchange for the receipt of fixed-rate amounts as part of our overall risk management strategy. 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 $4.9 million and $14.9 million as a decrease (September 30, 2021: $5.6 million and $16.4 million as a decrease) to interest expense for the three and nine months ended September 30, 2022, respectively. During the next 12 months, we estimate that $14.4 million will be reclas sified as a decrease to interest expense, repurchase agreements. As of September 30, 2022, $15.3 million (December 31, 2021: $30.1 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. As of September 30, 2022 and December 31, 2021, we had interest rate swaps whereby we pay interest at a fixed rate and receive floating interest based on the secured overnight financing rate ("SOFR") with the following maturities outstand ing, excluding interest rate swaps with forward start dates. $ in thousands As of September 30, 2022 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 1,550,000 0.09 % 2.98 % 2.4 3 to 5 years 1,075,000 0.25 % 2.98 % 4.9 5 to 7 years 850,000 0.34 % 2.98 % 5.6 7 to 10 years 1,825,000 0.52 % 2.98 % 7.8 Greater than 10 years 500,000 1.92 % 2.98 % 19.5 Total 5,800,000 0.45 % 2.98 % 6.5 $ in thousands As of December 31, 2021 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 1,000,000 0.06 % 0.05 % 2.6 3 to 5 years 1,250,000 0.12 % 0.05 % 3.6 5 to 7 years 2,225,000 0.32 % 0.05 % 5.9 7 to 10 years 1,825,000 0.52 % 0.05 % 8.6 Total 6,300,000 0.30 % 0.05 % 5.7 As of September 30, 2022, we held $975.0 million notional amount of interest rate swaps with forward start dates that will receive floating interest based on SOFR (December 31, 2021: $1.3 billion). As of September 30, 2022, these interest rate swaps had a weighted average maturity of 16.7 years (December 31, 2021: 20.8 years) and a weighted average fixed pay rate of 0.89% (December 31, 2021: 0.99%). As of September 30, 2022 and December 31, 2021, we had interest rate swaps whereby we pay floating interest based on SOFR and receive interest at a fixed rate with the following maturities outstanding. $ in thousands As of September 30, 2022 Maturities Notional Amount Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity Less than 3 years 250,000 2.98 % 4.00 % 0.6 3 to 5 years 600,000 2.98 % 2.73 % 4.2 5 to 7 years 1,125,000 2.98 % 2.66 % 6.3 7 to 10 years 325,000 2.98 % 2.61 % 9.1 Greater than 10 years 375,000 2.98 % 2.67 % 29.8 Total 2,675,000 2.98 % 2.80 % 8.9 $ in thousands As of December 31, 2021 Maturities Notional Amounts Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity Less than 3 years 1,000,000 0.05 % 0.77 % 2.6 5 to 7 years 500,000 0.05 % 1.26 % 6.9 7 to 10 years 250,000 0.05 % 1.27 % 10.0 Total 1,750,000 0.05 % 0.98 % 4.9 As of September 30, 2022, we held $275.0 million notional amount of interest rate swaps with forward start dates that will pay floating interest based on SOFR. As of September 30, 2022, these interest rate swaps had a weighted average maturity of 16.3 years and a weighted average fixed receive rate of 2.63%. We did not hold any such interest rate swaps as of December 31, 2021. Swaptions and Currency Forward Contracts We periodically purchase interest rate swaptions to help mitigate the potential impact of increases or decreases in interest rates on the performance of our Agency RMBS portfolio (referred to as "convexity risk"). The interest rate swaptions provide us the option to enter into interest rate swap agreements for a predetermined notional amount, stated term and pay and receive interest rates in the future. The premium paid for interest rate swaptions is reported as a derivative asset in our condensed consolidated balance sheets. The premium is valued at an amount equal to the fair value of the swaption that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the swaption is reported in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. If an interest rate swaption expires unexercised, the loss on the interest rate swaption would equal the premium paid. If we sell or exercise an interest rate swaption, the realized gain or loss on the interest rate swaption would equal the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid. 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 September 30, 2022, we had $1.7 million (December 31, 2021: $13.6 million) of notional amount of currency forward contracts related to an investment in an unconsolidated venture denominated in Euro. TBAs We primarily use TBAs that we do not intend to physically settle on the contractual settlement date as an alternative means of investing in and financing Agency RMBS. The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of September 30, 2022 and December 31, 2021. $ in thousands As of September 30, 2022 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA Purchase Contracts 140,000 142,842 139,147 (3,695) $ in thousands As of December 31, 2021 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA Purchase Contracts 1,600,000 1,636,906 1,633,955 (2,951) 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 September 30, 2022 and December 31, 2021. $ in thousands Derivative Assets Derivative Liabilities As of September 30, 2022 As of December 31, 2021 As of September 30, 2022 As of December 31, 2021 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset 11,161 — Interest Rate Swaps Liability — 11,405 Currency Forward Contracts 66 270 Currency Forward Contracts — — TBAs — — TBAs 3,695 2,951 Total Derivative Assets 11,227 270 Total Derivative Liabilities 3,695 14,356 The following tables summarize the effect of interest rate swaps, interest rate swaptions, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and nine months ended September 30, 2022 and 2021. $ in thousands Three Months Ended September 30, 2022 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 71,862 30,145 36,930 138,937 Currency Forward Contracts 187 — 14 201 TBAs (9,172) — 3,583 (5,589) Total 62,877 30,145 40,527 133,549 $ in thousands Three Months Ended September 30, 2021 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 22,663 (4,175) 11,997 30,485 Currency Forward Contracts 610 — (266) 344 TBAs 14,820 — (10,367) 4,453 Total 38,093 (4,175) 1,364 35,282 $ in thousands Nine Months Ended September 30, 2022 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 625,084 44,995 22,565 692,644 Currency Forward Contracts 866 — (204) 662 TBAs (138,412) — (743) (139,155) Total 487,538 44,995 21,618 554,151 $ in thousands Nine Months Ended September 30, 2021 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 183,825 (13,296) 292 170,821 Interest Rate Swaptions (553) — — (553) Currency Forward Contracts 58 — 847 905 TBAs (18,934) — (16,280) (35,214) Total 164,396 (13,296) (15,141) 135,959 |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 9 Months Ended |
Sep. 30, 2022 | |
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 arrangements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at September 30, 2022 and December 31, 2021. 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 $11.2 million at September 30, 2022 (December 31, 2021: liability of $11.4 million) 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 September 30, 2022 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 Cash Collateral Net Amount Assets Derivatives (1) (2) 66 — 66 — (10) 56 Total Assets 66 — 66 — (10) 56 Liabilities Derivatives (1) (2) (3,695) — (3,695) — 3,617 (78) Repurchase Agreements (3) (3,887,291) — (3,887,291) 3,887,291 — — Total Liabilities (3,890,986) — (3,890,986) 3,887,291 3,617 (78) As of December 31, 2021 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 Cash Collateral Net Amount Assets Derivatives (1) (2) 270 — 270 — (270) — Total Assets 270 — 270 — (270) — Liabilities Derivatives (1) (2) (2,951) — (2,951) — 2,951 — Repurchase Agreements (3) (6,987,834) — (6,987,834) 6,987,834 — — Total Liabilities (6,990,785) — (6,990,785) 6,987,834 2,951 — (1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (2) Cash collateral pledged by us on our derivatives was $105.6 million and $224.4 million as of September 30, 2022 and December 31, 2021, 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 $10,000 and $280,000 as of September 30, 2022 and December 31, 2021, respectively. (3) The fair value of securities pledged against our borrowings under repurchase agreements was $4.0 billion and $7.3 billion at September 30, 2022 and December 31, 2021, respectively. We pledged no cash collateral and $3.5 million of cash collateral under repurchase agreements as of September 30, 2022 and December 31, 2021, respectively. We did not hold any cash collateral under repurchase agreements as of September 30, 2022 or December 31, 2021. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 9 Months Ended |
Sep. 30, 2022 | |
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. September 30, 2022 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 (2) NAV as a practical expedient (3) Total at Assets: Mortgage-backed securities (1) — 4,356,991 — — 4,356,991 Derivative assets — 11,227 — — 11,227 Other assets — — 23,649 3,475 27,124 Total assets — 4,368,218 23,649 3,475 4,395,342 Liabilities: Derivative liabilities — 3,695 — — 3,695 Total liabilities — 3,695 — — 3,695 December 31, 2021 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 (2) NAV as a practical expedient (3) Total at Assets: Mortgage-backed securities (1) — 7,804,259 — — 7,804,259 Derivative assets — 270 — — 270 Other assets — — 23,515 12,476 35,991 Total assets — 7,804,529 23,515 12,476 7,840,520 Liabilities: Derivative liabilities — 14,356 — — 14,356 Total liabilities — 14,356 — — 14,356 (1) For more detail about the fair value of our MBS, refer to Note 4 - "Mortgage-Backed Securities." (2) Amounts reflect our commercial loan investment for which we have elected the fair value option and valued using a third party appraisal. (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 September 30, 2022 and December 31, 2021, our unconsolidated ventures were in liquidation and plan to sell or settle their remaining investments as expeditiously as possible. The following table shows a reconciliation of the beginning and ending fair value measurements of our commercial loan investment, which we have valued utilizing Level 3 inputs. Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2022 2021 2022 2021 Beginning balance 23,478 20,822 23,515 23,098 Unrealized gains (losses) 171 1,446 134 (830) Ending balance 23,649 22,268 23,649 22,268 Unrealized gains and losses on our commercial loan investment are included in gain (loss) on investments, net in our condensed consolidated statements of operations. 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 September 30, 2022 Technique Input Rate Commercial Loan 23,649 Discounted Cash Flow Discount rate 20.6 % Fair Value at Valuation Unobservable $ in thousands December 31, 2021 Technique Input Rate Commercial Loan 23,515 Discounted Cash Flow Discount rate 18.8 % 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 September 30, 2022 and December 31, 2021. September 30, 2022 December 31, 2021 $ in thousands Carrying Estimated Carrying Estimated Financial Liabilities Repurchase agreements 3,887,291 3,885,463 6,987,834 6,987,806 Total 3,887,291 3,885,463 6,987,834 6,987,806 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. |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2022 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Our Manager is at all times subject to the supervision and oversight of our board of directors and has only such functions and authority as we delegate to it. 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 and nine months ended September 30, 2022, we reimbursed our Manager $375,000 and $1.1 million, respectively (September 30, 2021: $287,000 and $846,000, respectively) for costs of support personnel. Management Fee We pay our Manager a fee 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. 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, legal 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 and nine months ended September 30, 2022 and 2021. Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2022 2021 2022 2021 Incurred costs, prepaid or expensed 3,060 2,724 6,417 5,577 Incurred costs, charged against equity as a cost of raising capital — 254 217 646 Total incurred costs, originally paid by our Manager 3,060 2,978 6,634 6,223 |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2022 | |
Equity [Abstract] | |
Stockholders' Equity | Stockholders’ Equity Preferred Stock In June 2021, we redeemed all issued and outstanding shares of our Series A Preferred Stock for $140.0 million plus accrued and unpaid dividends. The excess of the consideration transferred over carrying value was accounted for as a deemed dividend and resulted in a reduction of $4.7 million in net income (loss) attributable to common stockholders during the nine months ended September 30, 2021. In May 2022, our board of directors approved a share repurchase program for our Series B and Series C Preferred Stock. During the three and nine months ended September 30, 2022, we repurchased and retired 1,618,546 shares and 1,662,366 shares of Series B Preferred Stock, respectively. During the three and nine months ended September 30, 2022, we repurchased and retired 3,063,389 shares and 3,683,530 shares of Series C Preferred Stock, respectively. As of September 30, 2022, we had authority to purchase 1,337,634 additional shares of our Series B Preferred Stock and 1,316,470 additional shares of our Series C Preferred Stock under the current share repurchase program. 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. 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 before those times, except under circumstances intended to preserve our qualification as a REIT or upon the occurrence of a change in control. Common Stock In May 2022, our board of directors approved a one-for-ten reverse split of outstanding shares of our common stock. The reverse stock split was effected following the close of business on June 3, 2022 (the "Effective Time"). At the Effective Time, every ten issued and outstanding shares of our common stock were converted into one share of our common stock. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares received cash, in lieu of such fractional shares, in an amount determined based on the closing price of our common stock at the Effective Time. The reverse stock split applied to all of our outstanding shares of common stock and did not affect any stockholder’s ownership percentage of our common stock, except for changes resulting from the payment of cash for fractional shares. As of September 30, 2022, we may sell up to 3,358,793 shares of our common stock from time to time in at-the-market or privately negotiated transactions under our equity distribution agreement with placement agents. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). During the three and nine months ended September 30, 2022, we sold 2,327,805 shares of common stock under our equity distribution agreement for proceeds of $38.6 million, net of approximately $603,000 in commissions and fees. During the three months ended September 30, 2021, we sold 2,206,000 shares of common stock under an equity distribution agreement for proceeds of $67.5 million, net of approximately $1.0 million in commissions and fees. During the nine months ended September 30, 2021, we sold 3,761,000 shares of common stock under an equity distribution agreement for proceeds of $125.4 million, net of approximately $1.8 million in commissions and fees. During the three and nine months ended September 30, 2022 and 2021, we did not repurchase any shares of our common stock. As of September 30, 2022, we had authority to purchase 1,816,398 shares of our common stock through our common stock share repurchase program. In May 2022, we granted 32,571 restricted shares of common stock to our independent directors. The restricted shares will become unrestricted shares of common stock on the first anniversary of the grant date unless forfeited, subject to certain conditions that accelerate vesting. Accumulated Other Comprehensive Income The following tables present the components of total other comprehensive income (loss), net and AOCI for the three and nine months ended September 30, 2022 and 2021. The tables exclude gains and losses on MBS that are accounted for under the fair value option. Three Months Ended September 30, 2022 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — (1,243) — (1,243) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (4,855) (4,855) Currency translation adjustments on investment in unconsolidated venture (141) — — (141) Total other comprehensive income (loss) (141) (1,243) (4,855) (6,239) AOCI balance at beginning of period 131 2,503 20,115 22,749 Total other comprehensive income (loss) (141) (1,243) (4,855) (6,239) AOCI balance at end of period (10) 1,260 15,260 16,510 Three Months Ended September 30, 2021 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — (473) — (473) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,601) (5,601) Currency translation adjustments on investment in unconsolidated venture 187 — — 187 Total other comprehensive income (loss) 187 (473) (5,601) (5,887) AOCI balance at beginning of period 476 8,129 41,316 49,921 Total other comprehensive income (loss) 187 (473) (5,601) (5,887) AOCI balance at end of period 663 7,656 35,715 44,034 Nine Months Ended September 30, 2022 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — (5,489) — (5,489) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (14,853) (14,853) Currency translation adjustments on investment in unconsolidated venture (434) — — (434) Total other comprehensive income (loss) (434) (5,489) (14,853) (20,776) AOCI balance at beginning of period 424 6,749 30,113 37,286 Total other comprehensive income (loss) (434) (5,489) (14,853) (20,776) AOCI balance at end of period (10) 1,260 15,260 16,510 Nine Months Ended September 30, 2021 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — 1,663 — 1,663 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (16,398) (16,398) Currency translation adjustments on investment in unconsolidated venture 164 — — 164 Total other comprehensive income (loss) 164 1,663 (16,398) (14,571) AOCI balance at beginning of period 499 5,993 52,113 58,605 Total other comprehensive income (loss) 164 1,663 (16,398) (14,571) AOCI balance at end of period 663 7,656 35,715 44,034 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 The table below summarizes the dividends we declared during the nine months ended September 30, 2022 and 2021. Dividends declared per share on our common stock have been retroactively adjusted to reflect our one-for-ten reverse stock split that was effected following the close of business on June 3, 2022. $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2021 (1) February 19, 2021 0.4844 2,713 April 26, 2021 (1) On June 16, 2021, we paid a final dividend of $0.2691 per share ($1.5 million in aggregate) in connection with the redemption of our Series A Preferred Stock. $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2022 August 2, 2022 0.4844 2,198 September 27, 2022 May 3, 2022 0.4844 2,991 June 27, 2022 February 16, 2022 0.4844 3,003 March 28, 2022 2021 August 3, 2021 0.4844 3,003 September 27, 2021 May 4, 2021 0.4844 3,004 June 28, 2021 February 19, 2021 0.4844 3,003 March 29, 2021 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2022 August 2, 2022 0.46875 3,664 September 27, 2022 May 3, 2022 0.46875 5,109 June 27, 2022 February 16, 2022 0.46875 5,391 March 28, 2022 2021 August 3, 2021 0.46875 5,391 September 27, 2021 May 4, 2021 0.46875 5,390 June 28, 2021 February 19, 2021 0.46875 5,391 March 29, 2021 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2022 September 28, 2022 0.65 22,979 October 27, 2022 June 27, 2022 0.90 29,721 July 27, 2022 March 28, 2022 0.90 29,693 April 27, 2022 2021 September 28, 2021 0.90 28,057 October 26, 2021 June 23, 2021 0.90 26,071 July 27, 2021 March 26, 2021 0.90 22,176 April 27, 2021 |
Earnings (Loss) per Common Shar
Earnings (Loss) per Common Share | 9 Months Ended |
Sep. 30, 2022 | |
Earnings Per Share [Abstract] | |
Earnings (Loss) per Common Share | Earnings (Loss) per Common Share Earnings (loss) per share for the three and nine months ended September 30, 2022 and 2021 is computed as shown in the table below. Common share amounts and earnings (loss) per share have been retroactively adjusted to reflect our one-for-ten reverse stock split that was effected following the close of business on June 3, 2022. Three Months Ended September 30, Nine Months Ended September 30, In thousands, except per share amounts 2022 2021 2022 2021 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (94,602) 49,286 (447,562) (59,436) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 34,051 29,720 33,346 26,070 Effect of dilutive securities: Restricted stock awards — 1 — — Dilutive Shares 34,051 29,721 33,346 26,070 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic (2.78) 1.66 (13.42) (2.28) Diluted (2.78) 1.66 (13.42) (2.28) The following potential weighted average common shares were excluded from diluted earnings per share for three and nine months ended September 30, 2022 as the effect would be antidilutive: 1,127 and 1,248 for restricted stock awards, respectively (1,582 for restricted stock awards for nine months ended September 30, 2021). |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2022 | |
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 September 30, 2022 are discussed below. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2022 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Dividends We declared the following dividends on November 1, 2022: a Series B Preferred Stock dividend of $0.4844 per share payable on December 27, 2022 to our stockholders of record as of December 5, 2022 and a Series C Preferred Stock dividend of $0.46875 per share payable on December 27, 2022 to our stockholders of record as of December 5, 2022. Commercial Loan In October 2022, our commercial loan with a principal balance of $23.9 million was repaid in full. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2022 | |
Accounting Policies [Abstract] | |
Basis of Presentation | For all periods presented, common shares and per common share amounts have been adjusted on a retroactive basis to reflect our one-for-ten reverse stock split, which was effected following the close of business on June 3, 2022. 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, 2021. |
Consolidation | Our condensed consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America ("U.S. GAAP") and consolidate the financial statements of the Company and its 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 our 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 on mortgage-backed securities and allowances for credit losses. Actual results may differ from those estimates. |
U.S. Treasury Securities | U.S. Treasury securities are classified as trading securities and reported at fair value on our condensed consolidated balance sheets. Purchases of U.S. Treasury Securities are recorded on the trade date. Changes in the fair value of U.S. Treasury securities are recognized within gain (loss) on investments, net in our condensed consolidated statements of operations. Coupon interest income is accrued based on the outstanding principal balance of the securities and their contractual terms. Interest income on U.S. Treasury securities is recognized within mortgage-backed and other securities interest income on our condensed consolidated statements of operations. |
Variable Interest Entities ("_2
Variable Interest Entities ("VIEs") (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Variable Interest Entity Disclosure [Abstract] | |
Schedule of Maximum Risk of Loss | Our maximum risk of loss in VIEs in which we are not the primary beneficiary at September 30, 2022 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 37,256 37,256 Non-Agency RMBS 7,604 7,604 Investments in unconsolidated ventures 3,475 3,475 Total 48,335 48,335 |
Mortgage-Backed Securities (Tab
Mortgage-Backed Securities (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Investment Portfolio | The following tables summarize our MBS portfolio by asset type as of September 30, 2022 and December 31, 2021. September 30, 2022 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) 30 year fixed-rate Agency RMBS 4,451,986 (53,352) 4,398,634 (145,892) 4,252,742 4.65 % Agency-CMO (2) 416,292 (360,444) 55,848 3,541 59,389 8.54 % Non-Agency CMBS 38,652 (1,758) 36,894 362 37,256 8.51 % Non-Agency RMBS (3)(4)(5) 315,941 (307,772) 8,169 (565) 7,604 8.01 % Total 5,222,871 (723,326) 4,499,545 (142,554) 4,356,991 4.74 % (1) Period-end weighted average yield is based on amortized cost as of September 30, 2022 and incorporates future prepayment and loss assumptions. (2) All Agency collateralized mortgage obligations (“Agency-CMO”) are interest-only securities (“Agency IO”). (3) Non-Agency RMBS is 63.9% fixed rate, 35.2% variable rate, and 0.9% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying hybrid adjustable-rate mortgage (“ARM”) loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 97.2% of principal/notional balance, 42.7% of amortized cost and 26.3% of fair value. December 31, 2021 $ in thousands Principal/Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) 30 year fixed-rate Agency RMBS 7,514,229 246,183 7,760,412 (58,889) 7,701,523 2.07 % Agency-CMO (2) 235,216 (203,180) 32,036 (1,279) 30,757 6.47 % Non-Agency CMBS 61,427 (3,096) 58,331 4,578 62,909 8.63 % Non-Agency RMBS (3)(4)(5) 392,543 (383,591) 8,952 118 9,070 5.26 % Total 8,203,415 (343,684) 7,859,731 (55,472) 7,804,259 2.14 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2021 and incorporates future prepayment and loss assumptions. (2) All Agency-CMO are Agency IO. (3) Non-Agency RMBS is 63.5% fixed rate, 35.6% variable rate and 0.9% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying hybrid adjustable-rate mortgage (“ARM”) loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes non-Agency IO which represent 97.7% of principal/notional balance, 44.8% of amortized cost and 19.9% of fair value. September 30, 2022 $ in thousands MBS Interest-Only Securities Total Principal/notional balance 4,499,427 723,444 5,222,871 Unamortized premium 29,388 — 29,388 Unamortized discount (88,604) (664,110) (752,714) Gross unrealized gains (1) 2,931 4,790 7,721 Gross unrealized losses (1) (147,542) (2,733) (150,275) Fair value 4,295,600 61,391 4,356,991 December 31, 2021 $ in thousands MBS Interest-Only Securities Total Principal/notional balance 7,584,812 618,603 8,203,415 Unamortized premium 250,771 — 250,771 Unamortized discount (11,902) (582,553) (594,455) Gross unrealized gains (1) 8,754 109 8,863 Gross unrealized losses (1) (60,741) (3,594) (64,335) Fair value 7,771,694 32,565 7,804,259 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for 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 and nine months ended September 30, 2022 and 2021 is provided below in 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 September 30, 2022 and December 31, 2021. We have elected the fair value option for all of our RMBS interest-only securities and our MBS purchased on or after September 1, 2016. As of September 30, 2022 and December 31, 2021, approximately 99% of our MBS are accounted for under the fair value option. September 30, 2022 December 31, 2021 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Available-for-sale Securities Securities under Fair Value Option Total 30 year fixed-rate Agency RMBS — 4,252,742 4,252,742 — 7,701,523 7,701,523 Agency-CMO — 59,389 59,389 — 30,757 30,757 Non-Agency CMBS 37,256 — 37,256 62,909 — 62,909 Non-Agency RMBS 5,719 1,885 7,604 7,288 1,782 9,070 Total 42,975 4,314,016 4,356,991 70,197 7,734,062 7,804,259 |
Schedule of Fair Value of MBS and GSE CRTs According to Weighted Average Life Classification | The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of September 30, 2022 and December 31, 2021 . $ in thousands September 30, 2022 December 31, 2021 Less than one year 26,951 23,150 Greater than one year and less than five years 10,306 891,510 Greater than or equal to five years 4,319,734 6,889,599 Total 4,356,991 7,804,259 |
Schedule of Unrealized Losses and Estimated Fair Value of MBS and GSE CRTs by Length of Time | The following tables present the estimated fair value and gross unrealized losses of our MBS by length of time that such securities have been in a continuous unrealized loss position at September 30, 2022 and December 31, 2021. September 30, 2022 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number 30 year fixed-rate Agency RMBS (1) 4,040,618 (147,512) 40 — — — 4,040,618 (147,512) 40 Agency-CMO (1) 6,914 (798) 2 3,064 (451) 1 9,978 (1,249) 3 Non-Agency RMBS (2) 358 (30) 2 2,002 (1,484) 14 2,360 (1,514) 16 Total 4,047,890 (148,340) 44 5,066 (1,935) 15 4,052,956 (150,275) 59 (1) Fair value option has been elected for all Agency securities in an unrealized loss position. (2) Includes non-Agency IO with a fair value of $1.8 million for which the fair value option has been elected. Such securities have unrealized losses of $1.5 million. December 31, 2021 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number 30 year fixed-rate Agency RMBS (1) 6,838,999 (60,741) 54 — — — 6,838,999 (60,741) 54 Agency-CMO (1) 21,810 (1,389) 5 — — — 21,810 (1,389) 5 Non-Agency RMBS (2) 767 (1,132) 5 1,042 (1,073) 9 1,809 (2,205) 14 Total 6,861,576 (63,262) 64 1,042 (1,073) 9 6,862,618 (64,335) 73 (1) Fair value option has been elected for all Agency securities in an unrealized loss position. |
Schedule of Debt Securities, Available-for-sale, Allowance for Credit Loss | The following table presents a roll-forward of our allowance for credit losses. Nine Months Ended September 30, $ in thousands 2021 Beginning allowance for credit losses (1,768) Decrease to the allowance for credit losses on securities that had an allowance recorded in a previous period 1,768 Ending allowance for credit losses — |
Schedule of Gain (Loss) on Investments | The following table summarizes the components of our total gain (loss) on investments, net for the three and nine months ended September 30, 2022 and 2021. Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2022 2021 2022 2021 Gross realized gains on sale of MBS — 3,096 5,348 3,297 Gross realized losses on sale of MBS (120,418) (7,547) (979,792) (242,601) Net unrealized gains (losses) on MBS accounted for under the fair value option (140,590) (13,825) (81,593) (35,933) Net unrealized gains (losses) on commercial loan 171 1,446 134 (830) Net realized gains (losses) on U.S. Treasury securities — — (34,198) — Total gain (loss) on investments, net (260,837) (16,830) (1,090,101) (276,067) |
Schedule of Components of MBS and GSE CRT Interest Income | The following tables present components of interest income recognized on our mortgage-backed and other securities portfolio for the three and nine months ended September 30, 2022 and 2021. For the three months ended September 30, 2022 $ in thousands Coupon Net (Premium Interest Agency RMBS 48,075 (355) 47,720 Non-Agency CMBS 485 328 813 Non-Agency RMBS 288 (139) 149 Other 376 — 376 Total 49,224 (166) 49,058 For the three months ended September 30, 2021 $ in thousands Coupon Net (Premium Interest Agency RMBS 50,748 (9,548) 41,200 Non-Agency CMBS 761 480 1,241 Non-Agency RMBS 483 (273) 210 Other 6 — 6 Total 51,998 (9,341) 42,657 For the nine months ended September 30, 2022 $ in thousands Coupon Net (Premium Interest Agency RMBS 135,600 (6,861) 128,739 Non-Agency CMBS 1,890 1,340 3,230 Non-Agency RMBS 928 (422) 506 U.S. Treasury securities 1,773 (41) 1,732 Other 482 — 482 Total 140,673 (5,984) 134,689 For the nine months ended September 30, 2021 $ in thousands Coupon Net (Premium Interest Agency RMBS 150,306 (31,482) 118,824 Non-Agency CMBS 3,102 2,203 5,305 Non-Agency RMBS 1,574 (997) 577 Other 19 — 19 Total 155,001 (30,276) 124,725 |
Other Assets (Tables)
Other Assets (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Schedule of Other Assets | The following table summarizes our other assets as of September 30, 2022 and December 31, 2021. $ in thousands September 30, 2022 December 31, 2021 Commercial loan, held-for-investment 23,649 23,515 Investments in unconsolidated ventures 3,475 12,476 Prepaid expenses and other assets 1,855 1,518 Total 28,979 37,509 |
Borrowings (Tables)
Borrowings (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Debt Disclosure [Abstract] | |
Schedule of Borrowings | The following tables summarize certain characteristics of our borrowings at September 30, 2022 and December 31, 2021. Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements. $ in thousands September 30, 2022 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 3,887,291 3.27 % 60 Total Borrowings 3,887,291 3.27 % 60 $ in thousands December 31, 2021 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 6,987,834 0.14 % 29 Total Borrowings 6,987,834 0.14 % 29 |
Collateral Positions (Tables)
Collateral Positions (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of 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, interest rate swaps, currency forward contracts and TBAs as of September 30, 2022 and December 31, 2021. 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, 2021 for a description of how we determine fair value. Agency RMBS collateral pledged is included in mortgage-backed securities on our condensed consolidated balance sheets. Cash collateral pledged on 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 and TBAs accounted for as derivatives is classified as due from counterparties on our condensed consolidated balance sheets. Cash collateral held 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 September 30, 2022 and December 31, 2021, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets. $ in thousands As of Collateral Pledged September 30, 2022 December 31, 2021 Repurchase Agreements: Agency RMBS 4,043,370 7,326,175 Cash — 3,527 Total repurchase agreements collateral pledged 4,043,370 7,329,702 Derivative Instruments: Cash 4,837 4,458 Restricted cash 100,775 219,918 Total derivative instruments collateral pledged 105,612 224,376 Total collateral pledged: Agency RMBS 4,043,370 7,326,175 Cash 4,837 7,985 Restricted cash 100,775 219,918 Total collateral pledged 4,148,982 7,554,078 As of Collateral Held September 30, 2022 December 31, 2021 Repurchase Agreements: Non-cash collateral 908 248 Total repurchase agreements collateral held 908 248 Derivative instruments: Cash 10 280 Total derivative instruments collateral held 10 280 Total collateral held: Cash 10 280 Non-cash collateral 908 248 Total collateral held 918 528 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments | The following table summarizes changes in the notional amount of our derivative instruments during 2022. $ in thousands Notional Amount as of December 31, 2021 Additions Settlement, Notional Amount as of September 30, 2022 Interest Rate Swaps (1) (2) 8,050,000 9,575,000 (9,150,000) 8,475,000 Currency Forward Contracts 13,596 22,027 (33,955) 1,668 TBA Purchase Contracts 1,600,000 18,462,000 (19,922,000) 140,000 TBA Sale Contracts — (19,922,000) 19,922,000 — Total 9,663,596 8,137,027 (9,183,955) 8,616,668 (1) Does not include interest rate swaps with forward start dates. See below for additional detail on our interest rate swaps with forward start dates. (2) Notional amount as of September 30, 2022 includes $5.8 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $2.7 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate. Notional amount as of December 31, 2021 includes $6.3 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $1.8 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate. |
Schedule of Interest Rate Swaps Outstanding | As of September 30, 2022 and December 31, 2021, we had interest rate swaps whereby we pay interest at a fixed rate and receive floating interest based on the secured overnight financing rate ("SOFR") with the following maturities outstand ing, excluding interest rate swaps with forward start dates. $ in thousands As of September 30, 2022 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 1,550,000 0.09 % 2.98 % 2.4 3 to 5 years 1,075,000 0.25 % 2.98 % 4.9 5 to 7 years 850,000 0.34 % 2.98 % 5.6 7 to 10 years 1,825,000 0.52 % 2.98 % 7.8 Greater than 10 years 500,000 1.92 % 2.98 % 19.5 Total 5,800,000 0.45 % 2.98 % 6.5 $ in thousands As of December 31, 2021 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 1,000,000 0.06 % 0.05 % 2.6 3 to 5 years 1,250,000 0.12 % 0.05 % 3.6 5 to 7 years 2,225,000 0.32 % 0.05 % 5.9 7 to 10 years 1,825,000 0.52 % 0.05 % 8.6 Total 6,300,000 0.30 % 0.05 % 5.7 As of September 30, 2022, we held $975.0 million notional amount of interest rate swaps with forward start dates that will receive floating interest based on SOFR (December 31, 2021: $1.3 billion). As of September 30, 2022, these interest rate swaps had a weighted average maturity of 16.7 years (December 31, 2021: 20.8 years) and a weighted average fixed pay rate of 0.89% (December 31, 2021: 0.99%). As of September 30, 2022 and December 31, 2021, we had interest rate swaps whereby we pay floating interest based on SOFR and receive interest at a fixed rate with the following maturities outstanding. $ in thousands As of September 30, 2022 Maturities Notional Amount Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity Less than 3 years 250,000 2.98 % 4.00 % 0.6 3 to 5 years 600,000 2.98 % 2.73 % 4.2 5 to 7 years 1,125,000 2.98 % 2.66 % 6.3 7 to 10 years 325,000 2.98 % 2.61 % 9.1 Greater than 10 years 375,000 2.98 % 2.67 % 29.8 Total 2,675,000 2.98 % 2.80 % 8.9 $ in thousands As of December 31, 2021 Maturities Notional Amounts Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity Less than 3 years 1,000,000 0.05 % 0.77 % 2.6 5 to 7 years 500,000 0.05 % 1.26 % 6.9 7 to 10 years 250,000 0.05 % 1.27 % 10.0 Total 1,750,000 0.05 % 0.98 % 4.9 |
Schedule of TBA Contracts | The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of September 30, 2022 and December 31, 2021. $ in thousands As of September 30, 2022 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA Purchase Contracts 140,000 142,842 139,147 (3,695) $ in thousands As of December 31, 2021 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA Purchase Contracts 1,600,000 1,636,906 1,633,955 (2,951) |
Schedule of 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 September 30, 2022 and December 31, 2021. $ in thousands Derivative Assets Derivative Liabilities As of September 30, 2022 As of December 31, 2021 As of September 30, 2022 As of December 31, 2021 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset 11,161 — Interest Rate Swaps Liability — 11,405 Currency Forward Contracts 66 270 Currency Forward Contracts — — TBAs — — TBAs 3,695 2,951 Total Derivative Assets 11,227 270 Total Derivative Liabilities 3,695 14,356 |
Schedule of Effect of Derivative Financial Instruments on Statement of Operations | The following tables summarize the effect of interest rate swaps, interest rate swaptions, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and nine months ended September 30, 2022 and 2021. $ in thousands Three Months Ended September 30, 2022 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 71,862 30,145 36,930 138,937 Currency Forward Contracts 187 — 14 201 TBAs (9,172) — 3,583 (5,589) Total 62,877 30,145 40,527 133,549 $ in thousands Three Months Ended September 30, 2021 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 22,663 (4,175) 11,997 30,485 Currency Forward Contracts 610 — (266) 344 TBAs 14,820 — (10,367) 4,453 Total 38,093 (4,175) 1,364 35,282 $ in thousands Nine Months Ended September 30, 2022 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 625,084 44,995 22,565 692,644 Currency Forward Contracts 866 — (204) 662 TBAs (138,412) — (743) (139,155) Total 487,538 44,995 21,618 554,151 $ in thousands Nine Months Ended September 30, 2021 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 183,825 (13,296) 292 170,821 Interest Rate Swaptions (553) — — (553) Currency Forward Contracts 58 — 847 905 TBAs (18,934) — (16,280) (35,214) Total 164,396 (13,296) (15,141) 135,959 |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Offsetting [Abstract] | |
Schedule of Offsetting Assets | The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at September 30, 2022 and December 31, 2021. 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 $11.2 million at September 30, 2022 (December 31, 2021: liability of $11.4 million) 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 September 30, 2022 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 Cash Collateral Net Amount Assets Derivatives (1) (2) 66 — 66 — (10) 56 Total Assets 66 — 66 — (10) 56 Liabilities Derivatives (1) (2) (3,695) — (3,695) — 3,617 (78) Repurchase Agreements (3) (3,887,291) — (3,887,291) 3,887,291 — — Total Liabilities (3,890,986) — (3,890,986) 3,887,291 3,617 (78) As of December 31, 2021 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 Cash Collateral Net Amount Assets Derivatives (1) (2) 270 — 270 — (270) — Total Assets 270 — 270 — (270) — Liabilities Derivatives (1) (2) (2,951) — (2,951) — 2,951 — Repurchase Agreements (3) (6,987,834) — (6,987,834) 6,987,834 — — Total Liabilities (6,990,785) — (6,990,785) 6,987,834 2,951 — (1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (2) Cash collateral pledged by us on our derivatives was $105.6 million and $224.4 million as of September 30, 2022 and December 31, 2021, 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 $10,000 and $280,000 as of September 30, 2022 and December 31, 2021, respectively. (3) The fair value of securities pledged against our borrowings under repurchase agreements was $4.0 billion and $7.3 billion at September 30, 2022 and December 31, 2021, respectively. We pledged no cash collateral and $3.5 million of cash collateral under repurchase agreements as of September 30, 2022 and December 31, 2021, respectively. We did not hold any cash collateral under repurchase agreements as of September 30, 2022 or December 31, 2021. |
Schedule of Offsetting Liabilities | The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at September 30, 2022 and December 31, 2021. 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 $11.2 million at September 30, 2022 (December 31, 2021: liability of $11.4 million) 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 September 30, 2022 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 Cash Collateral Net Amount Assets Derivatives (1) (2) 66 — 66 — (10) 56 Total Assets 66 — 66 — (10) 56 Liabilities Derivatives (1) (2) (3,695) — (3,695) — 3,617 (78) Repurchase Agreements (3) (3,887,291) — (3,887,291) 3,887,291 — — Total Liabilities (3,890,986) — (3,890,986) 3,887,291 3,617 (78) As of December 31, 2021 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 Cash Collateral Net Amount Assets Derivatives (1) (2) 270 — 270 — (270) — Total Assets 270 — 270 — (270) — Liabilities Derivatives (1) (2) (2,951) — (2,951) — 2,951 — Repurchase Agreements (3) (6,987,834) — (6,987,834) 6,987,834 — — Total Liabilities (6,990,785) — (6,990,785) 6,987,834 2,951 — (1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (2) Cash collateral pledged by us on our derivatives was $105.6 million and $224.4 million as of September 30, 2022 and December 31, 2021, 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 $10,000 and $280,000 as of September 30, 2022 and December 31, 2021, respectively. (3) The fair value of securities pledged against our borrowings under repurchase agreements was $4.0 billion and $7.3 billion at September 30, 2022 and December 31, 2021, respectively. We pledged no cash collateral and $3.5 million of cash collateral under repurchase agreements as of September 30, 2022 and December 31, 2021, respectively. We did not hold any cash collateral under repurchase agreements as of September 30, 2022 or December 31, 2021. |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Values Measured on Recurring Basis | The following tables present our assets and liabilities measured at fair value on a recurring basis. September 30, 2022 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 (2) NAV as a practical expedient (3) Total at Assets: Mortgage-backed securities (1) — 4,356,991 — — 4,356,991 Derivative assets — 11,227 — — 11,227 Other assets — — 23,649 3,475 27,124 Total assets — 4,368,218 23,649 3,475 4,395,342 Liabilities: Derivative liabilities — 3,695 — — 3,695 Total liabilities — 3,695 — — 3,695 December 31, 2021 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 (2) NAV as a practical expedient (3) Total at Assets: Mortgage-backed securities (1) — 7,804,259 — — 7,804,259 Derivative assets — 270 — — 270 Other assets — — 23,515 12,476 35,991 Total assets — 7,804,529 23,515 12,476 7,840,520 Liabilities: Derivative liabilities — 14,356 — — 14,356 Total liabilities — 14,356 — — 14,356 (1) For more detail about the fair value of our MBS, refer to Note 4 - "Mortgage-Backed Securities." (2) Amounts reflect our commercial loan investment for which we have elected the fair value option and valued using a third party appraisal. (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 September 30, 2022 and December 31, 2021, our unconsolidated ventures were in liquidation and plan to sell or settle their remaining investments as expeditiously as possible. |
Schedule of Loan Participation Interest Level 3 Roll Forward | The following table shows a reconciliation of the beginning and ending fair value measurements of our commercial loan investment, which we have valued utilizing Level 3 inputs. Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2022 2021 2022 2021 Beginning balance 23,478 20,822 23,515 23,098 Unrealized gains (losses) 171 1,446 134 (830) Ending balance 23,649 22,268 23,649 22,268 |
Schedule of Fair Value Measurement of Commercial Loan | 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 September 30, 2022 Technique Input Rate Commercial Loan 23,649 Discounted Cash Flow Discount rate 20.6 % Fair Value at Valuation Unobservable $ in thousands December 31, 2021 Technique Input Rate Commercial Loan 23,515 Discounted Cash Flow Discount rate 18.8 % |
Schedule of Carrying Values 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 September 30, 2022 and December 31, 2021. September 30, 2022 December 31, 2021 $ in thousands Carrying Estimated Carrying Estimated Financial Liabilities Repurchase agreements 3,887,291 3,885,463 6,987,834 6,987,806 Total 3,887,291 3,885,463 6,987,834 6,987,806 |
Related Party Transactions (Tab
Related Party Transactions (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
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 and nine months ended September 30, 2022 and 2021. Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2022 2021 2022 2021 Incurred costs, prepaid or expensed 3,060 2,724 6,417 5,577 Incurred costs, charged against equity as a cost of raising capital — 254 217 646 Total incurred costs, originally paid by our Manager 3,060 2,978 6,634 6,223 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Equity [Abstract] | |
Schedule of Accumulated Other Comprehensive Income | The tables exclude gains and losses on MBS that are accounted for under the fair value option. Three Months Ended September 30, 2022 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — (1,243) — (1,243) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (4,855) (4,855) Currency translation adjustments on investment in unconsolidated venture (141) — — (141) Total other comprehensive income (loss) (141) (1,243) (4,855) (6,239) AOCI balance at beginning of period 131 2,503 20,115 22,749 Total other comprehensive income (loss) (141) (1,243) (4,855) (6,239) AOCI balance at end of period (10) 1,260 15,260 16,510 Three Months Ended September 30, 2021 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — (473) — (473) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,601) (5,601) Currency translation adjustments on investment in unconsolidated venture 187 — — 187 Total other comprehensive income (loss) 187 (473) (5,601) (5,887) AOCI balance at beginning of period 476 8,129 41,316 49,921 Total other comprehensive income (loss) 187 (473) (5,601) (5,887) AOCI balance at end of period 663 7,656 35,715 44,034 Nine Months Ended September 30, 2022 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — (5,489) — (5,489) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (14,853) (14,853) Currency translation adjustments on investment in unconsolidated venture (434) — — (434) Total other comprehensive income (loss) (434) (5,489) (14,853) (20,776) AOCI balance at beginning of period 424 6,749 30,113 37,286 Total other comprehensive income (loss) (434) (5,489) (14,853) (20,776) AOCI balance at end of period (10) 1,260 15,260 16,510 Nine Months Ended September 30, 2021 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — 1,663 — 1,663 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (16,398) (16,398) Currency translation adjustments on investment in unconsolidated venture 164 — — 164 Total other comprehensive income (loss) 164 1,663 (16,398) (14,571) AOCI balance at beginning of period 499 5,993 52,113 58,605 Total other comprehensive income (loss) 164 1,663 (16,398) (14,571) AOCI balance at end of period 663 7,656 35,715 44,034 |
Schedule of Dividends Declared | The table below summarizes the dividends we declared during the nine months ended September 30, 2022 and 2021. Dividends declared per share on our common stock have been retroactively adjusted to reflect our one-for-ten reverse stock split that was effected following the close of business on June 3, 2022. $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2021 (1) February 19, 2021 0.4844 2,713 April 26, 2021 (1) On June 16, 2021, we paid a final dividend of $0.2691 per share ($1.5 million in aggregate) in connection with the redemption of our Series A Preferred Stock. $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2022 August 2, 2022 0.4844 2,198 September 27, 2022 May 3, 2022 0.4844 2,991 June 27, 2022 February 16, 2022 0.4844 3,003 March 28, 2022 2021 August 3, 2021 0.4844 3,003 September 27, 2021 May 4, 2021 0.4844 3,004 June 28, 2021 February 19, 2021 0.4844 3,003 March 29, 2021 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2022 August 2, 2022 0.46875 3,664 September 27, 2022 May 3, 2022 0.46875 5,109 June 27, 2022 February 16, 2022 0.46875 5,391 March 28, 2022 2021 August 3, 2021 0.46875 5,391 September 27, 2021 May 4, 2021 0.46875 5,390 June 28, 2021 February 19, 2021 0.46875 5,391 March 29, 2021 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2022 September 28, 2022 0.65 22,979 October 27, 2022 June 27, 2022 0.90 29,721 July 27, 2022 March 28, 2022 0.90 29,693 April 27, 2022 2021 September 28, 2021 0.90 28,057 October 26, 2021 June 23, 2021 0.90 26,071 July 27, 2021 March 26, 2021 0.90 22,176 April 27, 2021 |
Earnings (Loss) per Common Sh_2
Earnings (Loss) per Common Share (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings (Loss) Per Share | Earnings (loss) per share for the three and nine months ended September 30, 2022 and 2021 is computed as shown in the table below. Common share amounts and earnings (loss) per share have been retroactively adjusted to reflect our one-for-ten reverse stock split that was effected following the close of business on June 3, 2022. Three Months Ended September 30, Nine Months Ended September 30, In thousands, except per share amounts 2022 2021 2022 2021 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (94,602) 49,286 (447,562) (59,436) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 34,051 29,720 33,346 26,070 Effect of dilutive securities: Restricted stock awards — 1 — — Dilutive Shares 34,051 29,721 33,346 26,070 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic (2.78) 1.66 (13.42) (2.28) Diluted (2.78) 1.66 (13.42) (2.28) |
Organization and Business Ope_2
Organization and Business Operations (Details) | 9 Months Ended |
Sep. 30, 2022 segment | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of operating segments | 1 |
Minimum distribution percentage of taxable income to qualify for REIT | 90% |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Details) | 1 Months Ended | 3 Months Ended | 9 Months Ended | |
May 03, 2022 | May 31, 2022 | Jun. 30, 2022 | Sep. 30, 2022 | |
Common Stock | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Reverse stock split conversion ratio | 0.1 | 0.1 | 0.1 | 0.1 |
Variable Interest Entities ("_3
Variable Interest Entities ("VIEs") - Maximum Risk of Loss (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Variable Interest Entity | ||
Carrying Amount | $ 4,356,991 | $ 7,804,259 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity | ||
Carrying Amount | 48,335 | |
Company's Maximum Risk of Loss | 48,335 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS | ||
Variable Interest Entity | ||
Carrying Amount | 37,256 | |
Company's Maximum Risk of Loss | 37,256 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS | ||
Variable Interest Entity | ||
Carrying Amount | 7,604 | |
Company's Maximum Risk of Loss | 7,604 | |
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures | ||
Variable Interest Entity | ||
Carrying Amount | 3,475 | |
Company's Maximum Risk of Loss | $ 3,475 |
Mortgage-Backed Securities - In
Mortgage-Backed Securities - Investment Portfolio (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 5,222,871 | $ 8,203,415 |
Unamortized Premium (Discount) | (723,326) | (343,684) |
Amortized Cost | 4,499,545 | 7,859,731 |
Unrealized Gain/ (Loss), net | (142,554) | (55,472) |
Fair Value | $ 4,356,991 | $ 7,804,259 |
Period-end weighted average yield | 4.74% | 2.14% |
Unamortized premium (discount) non-accretable portion | $ 2,100 | |
Percentage of non-agency RMBS interest-only, principal balance | 97.20% | 97.70% |
Percentage of non-agency RMBS interest-only, amortized cost | 42.70% | 44.80% |
Percentage of non-agency RMBS interest only, fair value | 26.30% | 19.90% |
30 year fixed-rate Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 4,451,986 | $ 7,514,229 |
Unamortized Premium (Discount) | (53,352) | 246,183 |
Amortized Cost | 4,398,634 | 7,760,412 |
Unrealized Gain/ (Loss), net | (145,892) | (58,889) |
Fair Value | $ 4,252,742 | $ 7,701,523 |
Period-end weighted average yield | 4.65% | 2.07% |
Agency-CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 416,292 | $ 235,216 |
Unamortized Premium (Discount) | (360,444) | (203,180) |
Amortized Cost | 55,848 | 32,036 |
Unrealized Gain/ (Loss), net | 3,541 | (1,279) |
Fair Value | $ 59,389 | $ 30,757 |
Period-end weighted average yield | 8.54% | 6.47% |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 38,652 | $ 61,427 |
Unamortized Premium (Discount) | (1,758) | (3,096) |
Amortized Cost | 36,894 | 58,331 |
Unrealized Gain/ (Loss), net | 362 | 4,578 |
Fair Value | $ 37,256 | $ 62,909 |
Period-end weighted average yield | 8.51% | 8.63% |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 315,941 | $ 392,543 |
Unamortized Premium (Discount) | (307,772) | (383,591) |
Amortized Cost | 8,169 | 8,952 |
Unrealized Gain/ (Loss), net | (565) | 118 |
Fair Value | $ 7,604 | $ 9,070 |
Period-end weighted average yield | 8.01% | 5.26% |
Percentage of non-agency securities classified as fixed rate | 63.90% | 63.50% |
Percentage of non-agency securities classified as variable rate | 35.20% | 35.60% |
Percentage of non-agency securities classified as floating rate | 0.90% | 0.90% |
Unamortized premium (discount) non-accretable portion | $ 2,100 |
Mortgage-Backed Securities - Fa
Mortgage-Backed Securities - Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of MBS and GSE CRT are accounted for under the fair value option | 99% | 99% |
Available-for-sale Securities | $ 42,975 | $ 70,197 |
Securities under Fair Value Option | 4,314,016 | 7,734,062 |
Total Fair Value | 4,356,991 | 7,804,259 |
30 year fixed-rate Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Securities under Fair Value Option | 4,252,742 | 7,701,523 |
Total Fair Value | 4,252,742 | 7,701,523 |
Agency-CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Securities under Fair Value Option | 59,389 | 30,757 |
Total Fair Value | 59,389 | 30,757 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 37,256 | 62,909 |
Securities under Fair Value Option | 0 | 0 |
Total Fair Value | 37,256 | 62,909 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 5,719 | 7,288 |
Securities under Fair Value Option | 1,885 | 1,782 |
Total Fair Value | $ 7,604 | $ 9,070 |
Mortgage-Backed Securities - Ad
Mortgage-Backed Securities - Additional Information (Details) - USD ($) | Sep. 30, 2022 | Dec. 31, 2021 | Sep. 30, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||||
Investment related receivable | $ 19,306,000 | $ 16,766,000 | ||
Allowance for credit loss | 0 | 0 | $ 0 | $ (1,768,000) |
MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Investment related receivable | $ 17,900,000 | $ 16,600,000 |
Mortgage-Backed Securities - Co
Mortgage-Backed Securities - Components of Carrying Value of MBS and GSE CRT Portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Debt Securities, Available-for-sale [Line Items] | ||
Principal/notional balance | $ 5,222,871 | $ 8,203,415 |
Unamortized premium | 29,388 | 250,771 |
Unamortized discount | (752,714) | (594,455) |
Gross unrealized gains | 7,721 | 8,863 |
Gross unrealized losses | (150,275) | (64,335) |
Total Fair Value | 4,356,991 | 7,804,259 |
MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/notional balance | 4,499,427 | 7,584,812 |
Unamortized premium | 29,388 | 250,771 |
Unamortized discount | (88,604) | (11,902) |
Gross unrealized gains | 2,931 | 8,754 |
Gross unrealized losses | (147,542) | (60,741) |
Total Fair Value | 4,295,600 | 7,771,694 |
Interest-Only Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/notional balance | 723,444 | 618,603 |
Unamortized premium | 0 | 0 |
Unamortized discount | (664,110) | (582,553) |
Gross unrealized gains | 4,790 | 109 |
Gross unrealized losses | (2,733) | (3,594) |
Total Fair Value | $ 61,391 | $ 32,565 |
Mortgage-Backed Securities - _2
Mortgage-Backed Securities - Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Investments, Debt and Equity Securities [Abstract] | ||
Less than one year | $ 26,951 | $ 23,150 |
Greater than one year and less than five years | 10,306 | 891,510 |
Greater than or equal to five years | 4,319,734 | 6,889,599 |
Fair value | $ 4,356,991 | $ 7,804,259 |
Mortgage-Backed Securities - Un
Mortgage-Backed Securities - Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time (Details) $ in Thousands | Sep. 30, 2022 USD ($) security | Dec. 31, 2021 USD ($) security |
Fair Value | ||
Less than 12 Months | $ 4,047,890 | $ 6,861,576 |
12 Months or More | 5,066 | 1,042 |
Total | 4,052,956 | 6,862,618 |
Unrealized Losses | ||
Less than 12 Months | (148,340) | (63,262) |
12 Months or More | (1,935) | (1,073) |
Total | $ (150,275) | $ (64,335) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 44 | 64 |
12 Months or More (in securities) | security | 15 | 9 |
Total | security | 59 | 73 |
30 year fixed-rate Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 4,040,618 | $ 6,838,999 |
12 Months or More | 0 | 0 |
Total | 4,040,618 | 6,838,999 |
Unrealized Losses | ||
Less than 12 Months | (147,512) | (60,741) |
12 Months or More | 0 | 0 |
Total | $ (147,512) | $ (60,741) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 40 | 54 |
12 Months or More (in securities) | security | 0 | 0 |
Total | security | 40 | 54 |
Agency - CMO | ||
Fair Value | ||
Less than 12 Months | $ 6,914 | $ 21,810 |
12 Months or More | 3,064 | 0 |
Total | 9,978 | 21,810 |
Unrealized Losses | ||
Less than 12 Months | (798) | (1,389) |
12 Months or More | (451) | 0 |
Total | $ (1,249) | $ (1,389) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 2 | 5 |
12 Months or More (in securities) | security | 1 | 0 |
Total | security | 3 | 5 |
Non-Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 358 | $ 767 |
12 Months or More | 2,002 | 1,042 |
Total | 2,360 | 1,809 |
Unrealized Losses | ||
Less than 12 Months | (30) | (1,132) |
12 Months or More | (1,484) | (1,073) |
Total | $ (1,514) | $ (2,205) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 2 | 5 |
12 Months or More (in securities) | security | 14 | 9 |
Total | security | 16 | 14 |
Non-Agency IO | ||
Fair Value | ||
Total | $ 1,800 | $ 1,700 |
Unrealized Losses | ||
Total | $ (1,500) | (2,100) |
Non-Agency Residential Mortgage Backed Securities, Excluding Non-Agency IO | ||
Unrealized Losses | ||
Total | $ (136) |
Mortgage-Backed Securities - Ro
Mortgage-Backed Securities - Roll-forward of Allowance For Credit Losses (Detail) $ in Thousands | 9 Months Ended |
Sep. 30, 2021 USD ($) | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | |
Beginning allowance for credit losses | $ 1,768 |
Decrease to the allowance for credit losses on securities that had an allowance recorded in a previous period | 1,768 |
Ending allowance for credit losses | $ 0 |
Mortgage-Backed Securities - Re
Mortgage-Backed Securities - Realized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Gross realized gains on sale of MBS | $ 0 | $ 3,096 | $ 5,348 | $ 3,297 |
Gross realized losses on sale of MBS | (120,418) | (7,547) | (979,792) | (242,601) |
Net unrealized gains (losses) on MBS accounted for under the fair value option | (140,590) | (13,825) | (81,593) | (35,933) |
Net unrealized gains (losses) on commercial loan | 171 | 1,446 | 134 | (830) |
Net realized gains (losses) on U.S. Treasury securities | 0 | 0 | (34,198) | 0 |
Total gain (loss) on investments, net | $ (260,837) | $ (16,830) | $ (1,090,101) | $ (276,067) |
Mortgage-Backed Securities - _3
Mortgage-Backed Securities - Components of MBS and GSE CRT Interest Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | $ 49,224 | $ 51,998 | $ 140,673 | $ 155,001 |
Net (Premium Amortization)/Discount Accretion | (166) | (9,341) | (5,984) | (30,276) |
Interest Income | 49,058 | 42,657 | 134,689 | 124,725 |
Agency RMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 48,075 | 50,748 | 135,600 | 150,306 |
Net (Premium Amortization)/Discount Accretion | (355) | (9,548) | (6,861) | (31,482) |
Interest Income | 47,720 | 41,200 | 128,739 | 118,824 |
Non-Agency CMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 485 | 761 | 1,890 | 3,102 |
Net (Premium Amortization)/Discount Accretion | 328 | 480 | 1,340 | 2,203 |
Interest Income | 813 | 1,241 | 3,230 | 5,305 |
Non-Agency RMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 288 | 483 | 928 | 1,574 |
Net (Premium Amortization)/Discount Accretion | (139) | (273) | (422) | (997) |
Interest Income | 149 | 210 | 506 | 577 |
U.S. Treasury securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 1,773 | |||
Net (Premium Amortization)/Discount Accretion | (41) | |||
Interest Income | 1,732 | |||
Other | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 376 | 6 | 482 | 19 |
Net (Premium Amortization)/Discount Accretion | 0 | 0 | 0 | 0 |
Interest Income | $ 376 | $ 6 | $ 482 | $ 19 |
Other Assets - Other Assets (De
Other Assets - Other Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||
Commercial loan, held-for-investment | $ 23,649 | $ 23,515 |
Investments in unconsolidated ventures | 3,475 | 12,476 |
Prepaid expenses and other assets | 1,855 | 1,518 |
Total | $ 28,979 | $ 37,509 |
Other Assets - Additional Infor
Other Assets - Additional Information (Details) - Commercial - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Loans and Leases Receivable Disclosure [Line Items] | |||||
Face amount of loan | $ 23,900 | $ 23,900 | $ 23,900 | ||
Weighted average coupon rate | 11.06% | 8.60% | |||
Unrealized gain (loss) on investments in commercial loan | $ 171 | $ 1,400 | $ 134 | $ (830) |
Borrowings - Schedule of Borrow
Borrowings - Schedule of Borrowings (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Secured Debt, Excluding Asset-Backed Securities | ||
Total Borrowings | ||
Amount outstanding | $ 3,887,291 | $ 6,987,834 |
Weighted average interest rate | 3.27% | 0.14% |
Weighted average remaining maturity | 60 days | 29 days |
Agency RMBS | ||
Repurchase Agreements - Agency RMBS | ||
Amount outstanding | $ 3,887,291 | $ 6,987,834 |
Weighted average interest rate | 3.27% | 0.14% |
Weighted average remaining maturity | 60 days | 29 days |
Collateral Positions - Fair Val
Collateral Positions - Fair Value of Collateral Hold and Pledged (Details) - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Derivative [Line Items] | ||
Cash | $ 10,000 | $ 280,000 |
Non-cash collateral | 908,000 | 248,000 |
Total collateral held | $ 918,000 | $ 528,000 |
Collateral ratio | 104% | 105% |
Asset Pledged as Collateral | ||
Derivative [Line Items] | ||
Total repurchase agreements collateral pledged | $ 4,043,370,000 | $ 7,329,702,000 |
Total collateral pledged | 4,148,982,000 | 7,554,078,000 |
Cash | ||
Derivative [Line Items] | ||
Total repurchase agreements collateral pledged | 0 | 3,500,000 |
Cash | Asset Pledged as Collateral | ||
Derivative [Line Items] | ||
Total repurchase agreements collateral pledged | 0 | 3,527,000 |
Total collateral pledged | 4,837,000 | 7,985,000 |
Restricted cash | Asset Pledged as Collateral | ||
Derivative [Line Items] | ||
Total collateral pledged | 100,775,000 | 219,918,000 |
Interest Rate Swaps, Currency Forward Contracts and TBAs | Asset Pledged as Collateral | ||
Derivative [Line Items] | ||
Total derivative instruments collateral pledged | 105,612,000 | 224,376,000 |
Interest Rate Swaps, Currency Forward Contracts and TBAs | Cash | Asset Pledged as Collateral | ||
Derivative [Line Items] | ||
Total derivative instruments collateral pledged | 4,837,000 | 4,458,000 |
Interest Rate Swaps, Currency Forward Contracts and TBAs | Restricted cash | Asset Pledged as Collateral | ||
Derivative [Line Items] | ||
Total derivative instruments collateral pledged | 100,775,000 | 219,918,000 |
Repurchase Agreements | ||
Derivative [Line Items] | ||
Non-cash collateral | 908,000 | 248,000 |
Total collateral held | 908,000 | 248,000 |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Cash | 10,000 | 280,000 |
Total collateral held | 10,000 | 280,000 |
Agency RMBS | Asset Pledged as Collateral | ||
Derivative [Line Items] | ||
Total repurchase agreements collateral pledged | 4,043,370,000 | 7,326,175,000 |
Total collateral pledged | $ 4,043,370,000 | $ 7,326,175,000 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2022 USD ($) | |
Derivative Interest Rate Swaptions | |
Notional amount, beginning balance | $ 9,663,596 |
Additions | 8,137,027 |
Settlement, Termination, Expiration or Exercise | (9,183,955) |
Notional amount, ending balance | 8,616,668 |
Interest Rate Swaps | |
Derivative Interest Rate Swaptions | |
Notional amount, beginning balance | 8,050,000 |
Additions | 9,575,000 |
Settlement, Termination, Expiration or Exercise | (9,150,000) |
Notional amount, ending balance | 8,475,000 |
Currency Forward Contracts | |
Derivative Interest Rate Swaptions | |
Notional amount, beginning balance | 13,596 |
Additions | 22,027 |
Settlement, Termination, Expiration or Exercise | (33,955) |
Notional amount, ending balance | 1,668 |
TBA Purchase Contracts | |
Derivative Interest Rate Swaptions | |
Notional amount, beginning balance | 1,600,000 |
Additions | 18,462,000 |
Settlement, Termination, Expiration or Exercise | (19,922,000) |
Notional amount, ending balance | 140,000 |
TBA Sale Contracts | |
Derivative Interest Rate Swaptions | |
Notional amount, beginning balance | 0 |
Additions | (19,922,000) |
Settlement, Termination, Expiration or Exercise | 19,922,000 |
Notional amount, ending balance | 0 |
Interest Rate Swap, Fixed Rate | |
Derivative Interest Rate Swaptions | |
Notional amount, beginning balance | 6,300,000 |
Notional amount, ending balance | 5,800,000 |
Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | |
Derivative Interest Rate Swaptions | |
Notional amount, beginning balance | 1,750,000 |
Notional amount, ending balance | $ 2,675,000 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | |||||||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | Jun. 30, 2022 | Mar. 31, 2022 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||||
Derivative gain (loss) reclassified as a decrease (increase) to interest expense | $ 133,549 | $ 35,282 | $ 554,151 | $ 135,959 | ||||||
Amount reclassified to interest expenses within next 12 months | 14,400 | 14,400 | ||||||||
Unrealized gain on discontinued cash flow hedges included in AOCI | 761,209 | 1,456,371 | 761,209 | 1,456,371 | $ 1,402,135 | $ 959,463 | $ 1,127,947 | $ 1,373,379 | $ 1,481,932 | $ 1,367,158 |
Notional Amount | 8,616,668 | 8,616,668 | 9,663,596 | |||||||
Derivatives and hedging | ||||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||||
Unrealized gain on discontinued cash flow hedges included in AOCI | 15,260 | 35,715 | 15,260 | 35,715 | 30,113 | $ 20,115 | $ 41,316 | $ 52,113 | ||
Interest Rate Swaps | ||||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||||
Derivative gain (loss) reclassified as a decrease (increase) to interest expense | 4,900 | $ 5,600 | 14,900 | $ 16,400 | ||||||
Notional Amount | $ 8,475,000 | $ 8,475,000 | $ 8,050,000 | |||||||
Interest Rate Swaps | Minimum | ||||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||||
Repurchase obligation maturity | 1 month | |||||||||
Interest Rate Swaps | Maximum | ||||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||||
Repurchase obligation maturity | 6 months | |||||||||
Interest Rate Swap, Forward Start Dates | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | ||||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||||
Weighted Average Years to Maturity | 16 years 8 months 12 days | 20 years 9 months 18 days | ||||||||
Weighted Average Fixed Pay Rate | 0.89% | 0.89% | 0.99% | |||||||
Notional Amount | $ 975,000 | $ 975,000 | $ 1,300,000 | |||||||
Currency Forward Contracts | ||||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||||
Notional Amount | 1,668 | 1,668 | 13,596 | |||||||
Currency Forward Contracts | Euro | ||||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||||
Notional Amount | $ 1,700 | $ 1,700 | $ 13,600 | |||||||
Interest Rate Swap, Fixed Rate | ||||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||||
Weighted Average Years to Maturity | 6 years 6 months | 5 years 8 months 12 days | ||||||||
Weighted Average Fixed Pay Rate | 0.45% | 0.45% | 0.30% | |||||||
Notional Amount | $ 5,800,000 | $ 5,800,000 | $ 6,300,000 | |||||||
Interest Rate Swap, Fixed Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | ||||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||||
Notional Amount | $ 275,000 | $ 275,000 | ||||||||
Weighted Average Years to Maturity | 16 years 3 months 18 days | |||||||||
Weighted Average Fixed Pay Rate | 2.63% | 2.63% |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities - Interest Rate Swaps Outstanding (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2022 | Dec. 31, 2021 | |
Derivative [Line Items] | ||
Notional Amount | $ 8,616,668 | $ 9,663,596 |
Interest Rate Swap, Fixed Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 5,800,000 | $ 6,300,000 |
Weighted Average Fixed Pay Rate | 0.45% | 0.30% |
Weighted Average Floating Receive Rate | 2.98% | 0.05% |
Weighted Average Years to Maturity | 6 years 6 months | 5 years 8 months 12 days |
Interest Rate Swap, Fixed Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | ||
Derivative [Line Items] | ||
Weighted Average Fixed Pay Rate | 2.63% | |
Weighted Average Years to Maturity | 16 years 3 months 18 days | |
Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 2,675,000 | $ 1,750,000 |
Weighted Average Fixed Pay Rate | 2.98% | 0.05% |
Weighted Average Floating Receive Rate | 2.80% | 0.98% |
Weighted Average Years to Maturity | 8 years 10 months 24 days | 4 years 10 months 24 days |
Less than 3 years | Interest Rate Swap, Fixed Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,550,000 | $ 1,000,000 |
Weighted Average Fixed Pay Rate | 0.09% | 0.06% |
Weighted Average Floating Receive Rate | 2.98% | 0.05% |
Weighted Average Years to Maturity | 2 years 4 months 24 days | 2 years 7 months 6 days |
Less than 3 years | Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 250,000 | $ 1,000,000 |
Weighted Average Fixed Pay Rate | 2.98% | 0.05% |
Weighted Average Floating Receive Rate | 4% | 0.77% |
Weighted Average Years to Maturity | 7 months 6 days | 2 years 7 months 6 days |
3 to 5 years | Interest Rate Swap, Fixed Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,075,000 | $ 1,250,000 |
Weighted Average Fixed Pay Rate | 0.25% | 0.12% |
Weighted Average Floating Receive Rate | 2.98% | 0.05% |
Weighted Average Years to Maturity | 4 years 10 months 24 days | 3 years 7 months 6 days |
3 to 5 years | Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 600,000 | |
Weighted Average Fixed Pay Rate | 2.98% | |
Weighted Average Floating Receive Rate | 2.73% | |
Weighted Average Years to Maturity | 4 years 2 months 12 days | |
5 to 7 years | Interest Rate Swap, Fixed Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 850,000 | $ 2,225,000 |
Weighted Average Fixed Pay Rate | 0.34% | 0.32% |
Weighted Average Floating Receive Rate | 2.98% | 0.05% |
Weighted Average Years to Maturity | 5 years 7 months 6 days | 5 years 10 months 24 days |
5 to 7 years | Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,125,000 | $ 500,000 |
Weighted Average Fixed Pay Rate | 2.98% | 0.05% |
Weighted Average Floating Receive Rate | 2.66% | 1.26% |
Weighted Average Years to Maturity | 6 years 3 months 18 days | 6 years 10 months 24 days |
7 to 10 years | Interest Rate Swap, Fixed Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,825,000 | $ 1,825,000 |
Weighted Average Fixed Pay Rate | 0.52% | 0.52% |
Weighted Average Floating Receive Rate | 2.98% | 0.05% |
Weighted Average Years to Maturity | 7 years 9 months 18 days | 8 years 7 months 6 days |
7 to 10 years | Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 325,000 | $ 250,000 |
Weighted Average Fixed Pay Rate | 2.98% | 0.05% |
Weighted Average Floating Receive Rate | 2.61% | 1.27% |
Weighted Average Years to Maturity | 9 years 1 month 6 days | 10 years |
Greater than 10 years | Interest Rate Swap, Fixed Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 500,000 | |
Weighted Average Fixed Pay Rate | 1.92% | |
Weighted Average Floating Receive Rate | 2.98% | |
Weighted Average Years to Maturity | 19 years 6 months | |
Greater than 10 years | Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | ||
Derivative [Line Items] | ||
Notional Amount | $ 375,000 | |
Weighted Average Fixed Pay Rate | 2.98% | |
Weighted Average Floating Receive Rate | 2.67% | |
Weighted Average Years to Maturity | 29 years 9 months 18 days |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities - TBA Contracts (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Derivative [Line Items] | ||
Notional Amount | $ 8,616,668 | $ 9,663,596 |
TBA Purchase Contracts | ||
Derivative [Line Items] | ||
Notional Amount | 140,000 | 1,600,000 |
Implied Cost Basis | 142,842 | 1,636,906 |
Implied Market Value | 139,147 | 1,633,955 |
Net Carrying Value | $ (3,695) | $ (2,951) |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Derivatives, Fair Value | ||
Derivative assets, at fair value | $ 11,227 | $ 270 |
Derivative liabilities, at fair value | 3,695 | 14,356 |
Interest Rate Swaps | ||
Derivatives, Fair Value | ||
Derivative assets, at fair value | 11,161 | 0 |
Derivative liabilities, at fair value | 0 | 11,405 |
Currency Forward Contracts | ||
Derivatives, Fair Value | ||
Derivative assets, at fair value | 66 | 270 |
Derivative liabilities, at fair value | 0 | 0 |
TBAs | ||
Derivatives, Fair Value | ||
Derivative assets, at fair value | 0 | 0 |
Derivative liabilities, at fair value | $ 3,695 | $ 2,951 |
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 | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Derivative Instruments, Gain (Loss) | ||||
Gain (loss) on derivative instruments, net | $ 133,549 | $ 35,282 | $ 554,151 | $ 135,959 |
Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) | ||||
Gain (loss) on derivative instruments, net | 4,900 | 5,600 | 14,900 | 16,400 |
Not Designated as Hedging Instrument | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | 62,877 | 38,093 | 487,538 | 164,396 |
Contractual net interest income (expense) | 30,145 | (4,175) | 44,995 | (13,296) |
Unrealized gain (loss), net | 40,527 | 1,364 | 21,618 | (15,141) |
Gain (loss) on derivative instruments, net | 133,549 | 35,282 | 554,151 | 135,959 |
Not Designated as Hedging Instrument | Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | 71,862 | 22,663 | 625,084 | 183,825 |
Contractual net interest income (expense) | 30,145 | (4,175) | 44,995 | (13,296) |
Unrealized gain (loss), net | 36,930 | 11,997 | 22,565 | 292 |
Gain (loss) on derivative instruments, net | 138,937 | 30,485 | 692,644 | 170,821 |
Not Designated as Hedging Instrument | Currency Forward Contracts | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | 187 | 610 | 866 | 58 |
Contractual net interest income (expense) | 0 | 0 | 0 | 0 |
Unrealized gain (loss), net | 14 | (266) | (204) | 847 |
Gain (loss) on derivative instruments, net | 201 | 344 | 662 | 905 |
Not Designated as Hedging Instrument | Interest Rate Swaptions | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | (553) | |||
Contractual net interest income (expense) | 0 | |||
Unrealized gain (loss), net | 0 | |||
Gain (loss) on derivative instruments, net | (553) | |||
Not Designated as Hedging Instrument | TBAs | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | (9,172) | 14,820 | (138,412) | (18,934) |
Contractual net interest income (expense) | 0 | 0 | 0 | 0 |
Unrealized gain (loss), net | 3,583 | (10,367) | (743) | (16,280) |
Gain (loss) on derivative instruments, net | $ (5,589) | $ 4,453 | $ (139,155) | $ (35,214) |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Derivative [Line Items] | ||
Derivative liabilities, at fair value | $ 3,695 | $ 14,356 |
Central Clearing Counterparty | ||
Derivative [Line Items] | ||
Derivative liabilities, at fair value | $ 11,200 | $ 11,400 |
Offsetting Assets and Liabili_4
Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Derivatives | ||
Gross amounts of recognized assets | $ 66 | $ 270 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | 66 | 270 |
Gross amounts not offset in the consolidated balance sheets, financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheets, cash collateral (received) pledged | (10) | (270) |
Net Amount | $ 56 | $ 0 |
Offsetting Assets and Liabili_5
Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($) | Sep. 30, 2022 | Dec. 31, 2021 |
Derivatives: | ||
Gross amounts of recognized liabilities | $ (3,695,000) | $ (2,951,000) |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | (3,695,000) | (2,951,000) |
Gross amounts not offset in the consolidated balance sheets, financial instruments | 0 | 0 |
Gross amounts not offset in the consolidated balance sheets, cash collateral (received) pledged | 3,617,000 | 2,951,000 |
Net Amount | (78,000) | 0 |
Repurchase Agreements: | ||
Gross Amounts of Recognized Assets (Liabilities) | (3,887,291,000) | (6,987,834,000) |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | (3,887,291,000) | (6,987,834,000) |
Gross amounts not offset in the consolidated balance sheets, financial instruments | 3,887,291,000 | 6,987,834,000 |
Gross amounts not offset in the consolidated balance sheets, cash collateral (received) pledged | 0 | 0 |
Net Amount | 0 | 0 |
Gross Amounts of Recognized Assets (Liabilities) | (3,890,986,000) | (6,990,785,000) |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | (3,890,986,000) | (6,990,785,000) |
Gross amounts not offset with financial assets (liabilities) in the balance sheets, financial instruments | 3,887,291,000 | 6,987,834,000 |
Gross amounts not offset with financial assets (liabilities) in the balance sheets, cash collateral (received) pledged | 3,617,000 | 2,951,000 |
Net Amount | (78,000) | 0 |
Cash collateral pledged on derivatives | 105,600,000 | 224,400,000 |
Cash collateral received | 10,000 | 280,000 |
Fair value of securities pledged under repurchase agreements, excluding cash collateral | 4,000,000,000 | 7,300,000,000 |
Cash | ||
Repurchase Agreements: | ||
Securities sold under agreements to repurchase fair value of collateral | 0 | 3,500,000 |
Interest Rate Swaps | ||
Repurchase Agreements: | ||
Cash collateral received | $ 10,000 | $ 280,000 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | $ 4,356,991 | $ 7,804,259 |
Derivative assets | 66 | 270 |
Derivative liabilities | 3,695 | 2,951 |
Purchase of mortgage-backed securities | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 4,295,600 | 7,771,694 |
Recurring | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 7,804,259 | |
Derivative assets | 11,227 | 270 |
Other assets | 27,124 | 35,991 |
Total assets | 4,395,342 | 7,840,520 |
Derivative liabilities | 3,695 | 14,356 |
Total liabilities | 3,695 | 14,356 |
Recurring | Purchase of mortgage-backed securities | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 4,356,991 | |
Recurring | Level 1 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 0 | |
Derivative assets | 0 | 0 |
Other assets | 0 | 0 |
Total assets | 0 | 0 |
Derivative liabilities | 0 | 0 |
Total liabilities | 0 | 0 |
Recurring | Level 1 | Purchase of mortgage-backed securities | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 0 | |
Recurring | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 7,804,259 | |
Derivative assets | 11,227 | 270 |
Other assets | 0 | 0 |
Total assets | 4,368,218 | 7,804,529 |
Derivative liabilities | 3,695 | 14,356 |
Total liabilities | 3,695 | 14,356 |
Recurring | Level 2 | Purchase of mortgage-backed securities | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 4,356,991 | |
Recurring | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 0 | |
Derivative assets | 0 | 0 |
Other assets | 23,649 | 23,515 |
Total assets | 23,649 | 23,515 |
Derivative liabilities | 0 | 0 |
Total liabilities | 0 | 0 |
Recurring | Level 3 | Purchase of mortgage-backed securities | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 0 | |
Recurring | NAV as a practical expedient | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
NAV as a practical expedient | $ 3,475 | $ 12,476 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Loan Participation Interest Level 3 Roll Forward (Details) - Commercial loan - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | $ 23,478 | $ 20,822 | $ 23,515 | $ 23,098 |
Unrealized gains (losses) | 171 | 1,446 | 134 | (830) |
Ending balance | $ 23,649 | $ 22,268 | $ 23,649 | $ 22,268 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Schedule of Fair Value Measurement of Commercial Loan (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Commercial loan, held-for-investment | $ 23,649 | $ 23,515 |
Measurement Input, Discount Rate | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Loan receivable measurement input | 20.60% | 18.80% |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Carrying Value | ||
Financial Liabilities | ||
Repurchase agreements | $ 3,887,291 | $ 6,987,834 |
Total | 3,887,291 | 6,987,834 |
Estimated Fair Value | ||
Financial Liabilities | ||
Repurchase agreements | 3,885,463 | 6,987,806 |
Total | $ 3,885,463 | $ 6,987,806 |
Related Party Transactions - Ad
Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Related Party Transaction [Line Items] | ||||
Management fee – related party | $ 3,836 | $ 5,432 | $ 13,729 | $ 15,771 |
Manager | ||||
Related Party Transaction [Line Items] | ||||
Management fee as percentage of stockholders' equity per annum | 1.50% | |||
Invesco Advisers, Inc. | Affiliated Entity | ||||
Related Party Transaction [Line Items] | ||||
Management fee – related party | $ 375 | $ 287 | $ 1,100 | $ 846 |
Related Party Transactions - Re
Related Party Transactions - Related Party Transactions (Details) - Manager - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Related Party Transaction [Line Items] | ||||
Total incurred costs, originally paid by our Manager | $ 3,060 | $ 2,978 | $ 6,634 | $ 6,223 |
Incurred costs, prepaid or expensed | ||||
Related Party Transaction [Line Items] | ||||
Total incurred costs, originally paid by our Manager | 3,060 | 2,724 | 6,417 | 5,577 |
Incurred costs, charged against equity as a cost of raising capital | ||||
Related Party Transaction [Line Items] | ||||
Total incurred costs, originally paid by our Manager | $ 0 | $ 254 | $ 217 | $ 646 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Detail) $ / shares in Units, $ in Thousands | 1 Months Ended | 3 Months Ended | 9 Months Ended | |||||
May 03, 2022 | May 31, 2022 shares | Sep. 30, 2022 USD ($) $ / shares shares | Jun. 30, 2022 | Sep. 30, 2021 USD ($) shares | Sep. 30, 2022 USD ($) $ / shares shares | Sep. 30, 2021 USD ($) shares | Jun. 30, 2021 USD ($) | |
Class of Stock [Line Items] | ||||||||
Issuance and redemption costs of redeemed preferred stock | $ | $ 0 | $ 0 | $ 0 | $ 4,682 | ||||
Number of shares repurchased during period (in shares) | 0 | 0 | 0 | 0 | ||||
Restricted Stock | ||||||||
Class of Stock [Line Items] | ||||||||
Shares granted during the period (in shares) | 32,571 | |||||||
Common Stock | ||||||||
Class of Stock [Line Items] | ||||||||
Reverse stock split conversion ratio | 0.1 | 0.1 | 0.1 | 0.1 | ||||
Series A Preferred Stock | ||||||||
Class of Stock [Line Items] | ||||||||
Preferred stock, redemption amount | $ | $ 140,000 | |||||||
Series B Preferred Stock | ||||||||
Class of Stock [Line Items] | ||||||||
Number of shares repurchased and retired during period (in shares) | 1,618,546 | 1,662,366 | ||||||
Purchase of additional shares (in shares) | 1,337,634 | 1,337,634 | ||||||
Preferred stock dividend rate | 7.75% | |||||||
Preferred stock, liquidation preference (in USD per share) | $ / shares | $ 25 | $ 25 | ||||||
Preferred stock, dividends per annum (in USD per share) | $ / shares | $ 1.9375 | |||||||
Series B Preferred Stock | LIBOR | ||||||||
Class of Stock [Line Items] | ||||||||
Preferred stock dividend variable rate spread | 5.18% | 5.18% | ||||||
Series C Preferred Stock | ||||||||
Class of Stock [Line Items] | ||||||||
Number of shares repurchased and retired during period (in shares) | 3,063,389 | 3,683,530 | ||||||
Purchase of additional shares (in shares) | 1,316,470 | 1,316,470 | ||||||
Preferred stock dividend rate | 7.50% | |||||||
Preferred stock, liquidation preference (in USD per share) | $ / shares | $ 25 | $ 25 | ||||||
Preferred stock, dividends per annum (in USD per share) | $ / shares | $ 1.875 | |||||||
Series C Preferred Stock | LIBOR | ||||||||
Class of Stock [Line Items] | ||||||||
Preferred stock dividend variable rate spread | 5.289% | 5.289% | ||||||
Preferred Stock | ||||||||
Class of Stock [Line Items] | ||||||||
Preferred stock, redemption price per share (in USD per share) | $ / shares | $ 25 | $ 25 | ||||||
Common Stock | ||||||||
Class of Stock [Line Items] | ||||||||
Purchase of additional shares (in shares) | 1,816,398 | 1,816,398 | ||||||
Common Stock | Equity Distribution Agreement | ||||||||
Class of Stock [Line Items] | ||||||||
Equity distribution agreement, authorized (in shares) | 3,358,793 | |||||||
Number of shares issued during period | 2,327,805 | 2,206,000 | 2,327,805 | 3,761,000 | ||||
Proceeds from issuance of common stock | $ | $ 38,600 | $ 67,500 | $ 38,600 | $ 125,400 | ||||
Payments of stock issuance commission and fees | $ | $ 603 | $ 1,000 | $ 603 | $ 1,800 |
Stockholders' Equity - Componen
Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2022 | Jun. 30, 2022 | Mar. 31, 2022 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Unrealized gain (loss) on mortgage-backed securities, net | $ (1,243) | $ (473) | $ (5,489) | $ 1,663 | ||||
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (4,855) | (5,601) | (14,853) | (16,398) | ||||
Currency translation adjustments on investment in unconsolidated venture | (141) | 187 | (434) | 164 | ||||
Total other comprehensive income (loss) | (6,239) | (5,887) | (20,776) | (14,571) | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||||
Beginning balance | 959,463 | $ 1,127,947 | $ 1,402,135 | 1,373,379 | $ 1,481,932 | $ 1,367,158 | 1,402,135 | 1,367,158 |
Total other comprehensive income (loss) | (6,239) | (6,720) | (7,817) | (5,887) | (4,906) | (3,778) | (20,776) | (14,571) |
Ending balance | 761,209 | 959,463 | 1,127,947 | 1,456,371 | 1,373,379 | 1,481,932 | 761,209 | 1,456,371 |
Equity method investments | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Currency translation adjustments on investment in unconsolidated venture | (141) | 187 | (434) | 164 | ||||
Total other comprehensive income (loss) | (141) | 187 | (434) | 164 | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||||
Beginning balance | 131 | 424 | 476 | 499 | 424 | 499 | ||
Total other comprehensive income (loss) | (141) | 187 | (434) | 164 | ||||
Ending balance | (10) | 131 | 663 | 476 | (10) | 663 | ||
Available-for-sale securities | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Unrealized gain (loss) on mortgage-backed securities, net | (1,243) | (473) | (5,489) | 1,663 | ||||
Total other comprehensive income (loss) | (1,243) | (473) | (5,489) | 1,663 | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||||
Beginning balance | 2,503 | 6,749 | 8,129 | 5,993 | 6,749 | 5,993 | ||
Total other comprehensive income (loss) | (1,243) | (473) | (5,489) | 1,663 | ||||
Ending balance | 1,260 | 2,503 | 7,656 | 8,129 | 1,260 | 7,656 | ||
Accumulated other comprehensive income | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Total other comprehensive income (loss) | (5,887) | |||||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||||
Beginning balance | 22,749 | 29,469 | 37,286 | 49,921 | 54,827 | 58,605 | 37,286 | 58,605 |
Total other comprehensive income (loss) | (6,239) | (6,720) | (7,817) | (4,906) | (3,778) | |||
Ending balance | 16,510 | 22,749 | 29,469 | 44,034 | 49,921 | 54,827 | 16,510 | 44,034 |
Derivatives and hedging | ||||||||
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 | (4,855) | (5,601) | (14,853) | (16,398) | ||||
Total other comprehensive income (loss) | (4,855) | (5,601) | (14,853) | (16,398) | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||||
Beginning balance | 20,115 | $ 30,113 | 41,316 | $ 52,113 | 30,113 | 52,113 | ||
Total other comprehensive income (loss) | (4,855) | (5,601) | (14,853) | (16,398) | ||||
Ending balance | $ 15,260 | $ 20,115 | $ 35,715 | $ 41,316 | $ 15,260 | $ 35,715 |
Stockholders' Equity - Dividend
Stockholders' Equity - Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands | Sep. 28, 2022 | Aug. 02, 2022 | Jun. 27, 2022 | May 03, 2022 | Mar. 28, 2022 | Feb. 16, 2022 | Sep. 28, 2021 | Aug. 03, 2021 | Jun. 23, 2021 | Jun. 16, 2021 | May 04, 2021 | Mar. 26, 2021 | Feb. 19, 2021 |
Class of Stock [Line Items] | |||||||||||||
Common stock dividend declared (in USD per share) | $ 0.65 | $ 0.90 | $ 0.90 | $ 0.90 | $ 0.90 | $ 0.90 | |||||||
Dividends, common stock | $ 22,979 | $ 29,721 | $ 29,693 | $ 28,057 | $ 26,071 | $ 22,176 | |||||||
Series A Preferred Stock | |||||||||||||
Class of Stock [Line Items] | |||||||||||||
Preferred stock dividend declared (in USD per share) | $ 0.2691 | $ 0.4844 | |||||||||||
Dividends, preferred stock | $ 1,500 | $ 2,713 | |||||||||||
Series B Preferred Stock | |||||||||||||
Class of Stock [Line Items] | |||||||||||||
Preferred stock dividend declared (in USD per share) | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | |||||||
Dividends, preferred stock | $ 2,198 | $ 2,991 | $ 3,003 | $ 3,003 | $ 3,004 | $ 3,003 | |||||||
Series C Preferred Stock | |||||||||||||
Class of Stock [Line Items] | |||||||||||||
Preferred stock dividend declared (in USD per share) | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | |||||||
Dividends, preferred stock | $ 3,664 | $ 5,109 | $ 5,391 | $ 5,391 | $ 5,390 | $ 5,391 |
Earnings (Loss) per Common Sh_3
Earnings (Loss) per Common Share - Earnings (Loss) Per Share (Details) $ / shares in Units, $ in Thousands | 1 Months Ended | 3 Months Ended | 9 Months Ended | ||||
May 03, 2022 | May 31, 2022 | Sep. 30, 2022 USD ($) $ / shares shares | Jun. 30, 2022 | Sep. 30, 2021 USD ($) $ / shares shares | Sep. 30, 2022 USD ($) $ / shares shares | Sep. 30, 2021 USD ($) $ / shares shares | |
Basic Earnings: | |||||||
Net income (loss) available to common stockholders, basic | $ | $ (94,602) | $ 49,286 | $ (447,562) | $ (59,436) | |||
Net income (loss) available to common stockholders, diluted | $ | $ (94,602) | $ 49,286 | $ (447,562) | $ (59,436) | |||
Basic Earnings: | |||||||
Shares available to common stockholders (in shares) | 34,051,000 | 29,720,000 | 33,346,000 | 26,070,000 | |||
Effect of dilutive securities: | |||||||
Restricted stock awards (in shares) | 0 | 1,000 | 0 | 0 | |||
Dilutive Shares (in shares) | 34,051,000 | 29,721,000 | 33,346,000 | 26,070,000 | |||
Net income (loss) attributable to common stockholders | |||||||
Basic (in USD per share) | $ / shares | $ (2.78) | $ 1.66 | $ (13.42) | $ (2.28) | |||
Diluted (in USD per share) | $ / shares | $ (2.78) | $ 1.66 | $ (13.42) | $ (2.28) | |||
Common Stock | |||||||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | |||||||
Reverse stock split conversion ratio | 0.1 | 0.1 | 0.1 | 0.1 | |||
Restricted Stock Awards | |||||||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | |||||||
Antidilutive securities excluded from computation of EPS (in shares) | 1,127 | 1,248 | 1,582 |
Commitments and Contingencies (
Commitments and Contingencies (Details) $ in Millions | Sep. 30, 2022 USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate | $ 6 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Millions | 1 Months Ended | |||||||
Nov. 01, 2022 | Aug. 02, 2022 | May 03, 2022 | Feb. 16, 2022 | Aug. 03, 2021 | May 04, 2021 | Feb. 19, 2021 | Oct. 31, 2022 | |
Subsequent Event | Commercial loan | ||||||||
Subsequent Event [Line Items] | ||||||||
Extinguishment of Debt, Amount | $ 23.9 | |||||||
Series B Preferred Stock | ||||||||
Subsequent Event [Line Items] | ||||||||
Preferred stock dividend declared (in USD per share) | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | ||
Series B Preferred Stock | Subsequent Event | ||||||||
Subsequent Event [Line Items] | ||||||||
Preferred stock dividend declared (in USD per share) | $ 0.4844 | |||||||
Series C Preferred Stock | ||||||||
Subsequent Event [Line Items] | ||||||||
Preferred stock dividend declared (in USD per share) | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | ||
Series C Preferred Stock | Subsequent Event | ||||||||
Subsequent Event [Line Items] | ||||||||
Preferred stock dividend declared (in USD per share) | $ 0.46875 |