Cover
Cover - shares | 3 Months Ended | |
Mar. 31, 2023 | Apr. 30, 2023 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Mar. 31, 2023 | |
Document Transition Report | false | |
Entity File Number | 001-34385 | |
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 | 1331 Spring Street, N.W., Suite 2500, | |
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 | Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding (in shares) | 41,647,244 | |
Entity Central Index Key | 0001437071 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2023 | |
Document Fiscal Period Focus (Q1,Q2,Q3,FY) | Q1 | |
Amendment Flag | false | |
Former Address | ||
Entity Information [Line Items] | ||
Entity Address, Address Line One | 1555 Peachtree Street N.E., Suite 1800 | |
Entity Address, City or Town | Atlanta | |
Entity Address, State or Province | GA | |
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 | Mar. 31, 2023 | Dec. 31, 2022 |
ASSETS | ||
Mortgage-backed securities, at fair value (including pledged securities of $5,085,592 and $4,439,583, respectively) | $ 5,447,143 | $ 4,791,893 |
Cash and cash equivalents | 101,834 | 175,535 |
Restricted cash | 127,038 | 103,246 |
Due from counterparties | 2,983 | 1,584 |
Investment related receivable | 23,239 | 22,744 |
Derivative assets, at fair value | 3,416 | 662 |
Other assets | 1,719 | 1,731 |
Total assets | 5,707,372 | 5,097,395 |
Liabilities: | ||
Repurchase agreements | 4,814,700 | 4,234,823 |
Derivative liabilities, at fair value | 12,291 | 2,079 |
Dividends payable | 16,658 | 25,162 |
Accrued interest payable | 22,381 | 20,546 |
Collateral held payable | 1,571 | 4,892 |
Accounts payable and accrued expenses | 1,917 | 1,365 |
Due to affiliate | 3,739 | 4,453 |
Total liabilities | 4,873,257 | 4,293,320 |
Commitments and contingencies | ||
Stockholders' equity: | ||
Common Stock, par value $0.01 per share; 67,000,000 shares authorized; 41,647,244 and 38,710,916 shares issued and outstanding, respectively | 416 | 387 |
Additional paid in capital | 3,937,487 | 3,901,562 |
Accumulated other comprehensive income | 5,904 | 10,761 |
Retained earnings (distributions in excess of earnings) | (3,408,399) | (3,407,342) |
Total stockholders’ equity | 834,115 | 804,075 |
Total liabilities and stockholders' equity | 5,707,372 | 5,097,395 |
Series B Preferred Stock | ||
Stockholders' equity: | ||
Preferred stock, value | 109,679 | 109,679 |
Series C Preferred Stock | ||
Stockholders' equity: | ||
Preferred stock, value | $ 189,028 | $ 189,028 |
CONDENSED CONSOLIDATED BALANC_2
CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) (Parenthetical) - USD ($) | Mar. 31, 2023 | Dec. 31, 2022 |
Marketable securities pledged as collateral | $ 5,085,592,000 | $ 4,439,583,000 |
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 | 67,000,000 |
Common Stock - shares issued (in shares) | 41,647,244 | 38,710,916 |
Common Stock - shares outstanding (in shares) | 41,647,244 | 38,710,916 |
Series B Preferred Stock | ||
Preferred Stock - dividend rate stated percentage | 7.75% | 7.75% |
Preferred Stock - shares issued (in shares) | 4,537,634 | 4,537,634 |
Preferred Stock - shares outstanding (in shares) | 4,537,634 | 4,537,634 |
Preferred Stock - liquidation preference value | $ 113,441,000 | $ 113,441,000 |
Series C Preferred Stock | ||
Preferred Stock - dividend rate stated percentage | 7.50% | 7.50% |
Preferred Stock - shares issued (in shares) | 7,816,470 | 7,816,470 |
Preferred Stock - shares outstanding (in shares) | 7,816,470 | 7,816,470 |
Preferred Stock - liquidation preference value | $ 195,412,000 | $ 195,412,000 |
CONDENSED CONSOLIDATED STATEMEN
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | ||
Interest income | |||
Mortgage-backed and other securities | $ 69,287 | $ 41,637 | |
Commercial loan | 0 | 537 | |
Total interest income | 69,287 | 42,174 | |
Interest expense | |||
Repurchase agreements | [1] | 49,726 | (2,104) |
Total interest expense | 49,726 | (2,104) | |
Net interest income | 19,561 | 44,278 | |
Other income (loss) | |||
Gain (loss) on investments, net | 51,956 | (504,388) | |
Equity in earnings (losses) of unconsolidated ventures | 2 | 71 | |
Gain (loss) on derivative instruments, net | (44,895) | 238,860 | |
Other investment income (loss), net | (93) | 55 | |
Total other income (loss) | 6,970 | (265,402) | |
Expenses | |||
Management fee – related party | 2,979 | 5,274 | |
General and administrative | 2,089 | 2,024 | |
Total expenses | 5,068 | 7,298 | |
Net income (loss) | 21,463 | (228,422) | |
Dividends to preferred stockholders | (5,862) | (8,394) | |
Net income (loss) attributable to common stockholders | $ 15,601 | $ (236,816) | |
Earnings (loss) per share: | |||
Basic (in USD per share) | $ 0.39 | $ (7.18) | |
Diluted (in USD per share) | $ 0.39 | $ (7.18) | |
[1]Negative interest expense on repurchase agreements in 2022 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 | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Statement of Comprehensive Income [Abstract] | ||
Net income (loss) | $ 21,463 | $ (228,422) |
Other comprehensive income (loss): | ||
Unrealized gain (loss) on mortgage-backed securities, net | (476) | (2,421) |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (4,494) | (5,196) |
Currency translation adjustments on investment in unconsolidated venture | (10) | (200) |
Reclassification of currency translation loss on investment in unconsolidated venture to other investment income (loss), net | 123 | 0 |
Total other comprehensive income (loss) | (4,857) | (7,817) |
Comprehensive income (loss) | 16,606 | (236,239) |
Dividends to preferred stockholders | (5,862) | (8,394) |
Comprehensive income (loss) attributable to common stockholders | $ 10,744 | $ (244,633) |
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 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, 2021 | 6,200,000 | 11,500,000 | |||||||
Beginning balance (in shares) at Dec. 31, 2021 | 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, 2022 | 4,537,634 | 7,816,470 | 4,537,634 | 7,816,470 | |||||
Beginning balance (in shares) at Dec. 31, 2022 | 38,710,916 | 38,710,916 | |||||||
Beginning balance at Dec. 31, 2022 | $ 804,075 | $ 109,679 | $ 189,028 | $ 387 | 3,901,562 | 10,761 | (3,407,342) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Net income (loss) | 21,463 | 21,463 | |||||||
Other comprehensive income (loss) | (4,857) | (4,857) | |||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 2,930,069 | ||||||||
Proceeds from issuance of common stock, net of offering costs | 35,792 | $ 29 | 35,763 | ||||||
Stock awards (in shares) | 6,259 | ||||||||
Stock awards | 0 | ||||||||
Common stock dividends | (16,658) | (16,658) | |||||||
Preferred stock dividends | (5,862) | (5,862) | |||||||
Amortization of equity-based compensation | $ 162 | 162 | |||||||
Ending balance (in shares) at Mar. 31, 2023 | 4,537,634 | 7,816,470 | 4,537,634 | 7,816,470 | |||||
Ending balance (in shares) at Mar. 31, 2023 | 41,647,244 | 41,647,244 | |||||||
Ending balance at Mar. 31, 2023 | $ 834,115 | $ 109,679 | $ 189,028 | $ 416 | $ 3,937,487 | $ 5,904 | $ (3,408,399) |
CONDENSED CONSOLIDATED STATEM_4
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) (Parenthetical) | 1 Months Ended | 3 Months Ended | |
May 03, 2022 | May 31, 2022 | Mar. 31, 2023 | |
Common Stock | |||
Reverse stock split conversion ratio | 0.1 | 0.1 | 0.1 |
CONDENSED CONSOLIDATED STATEM_5
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Cash Flows from Operating Activities | ||
Net income (loss) | $ 21,463 | $ (228,422) |
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 | 1,938 | 4,813 |
Realized and unrealized (gain) loss on derivative instruments, net | 99,359 | (237,576) |
(Gain) loss on investments, net | (51,956) | 504,388 |
(Gain) loss from investments in unconsolidated ventures in excess of distributions received | (2) | 34 |
Other amortization | (4,332) | (5,058) |
Loss on foreign currency translation | 123 | 0 |
Changes in operating assets and liabilities: | ||
(Increase) decrease in operating assets | (1,025) | 1,875 |
Increase (decrease) in operating liabilities | 1,596 | 82 |
Net cash provided by (used in) operating activities | 67,164 | 40,136 |
Cash Flows from Investing Activities | ||
Purchase of mortgage-backed securities | (1,449,957) | (7,602,660) |
Purchase of U.S. Treasury securities | 0 | (502,288) |
Distributions from investments in unconsolidated ventures, net | 40 | 7,388 |
Principal payments from mortgage-backed securities | 61,089 | 168,316 |
Proceeds from sale of mortgage-backed securities | 783,883 | 8,754,469 |
Settlement (termination) of forwards, swaps, and TBAs, net | (91,900) | 283,429 |
Net change in due from counterparties and collateral held payable on derivative instruments | (49) | (38,829) |
Net cash provided by (used in) investing activities | (696,894) | 1,069,825 |
Cash Flows from Financing Activities | ||
Proceeds from issuance of common stock | 35,792 | 0 |
Proceeds from repurchase agreements | 9,318,669 | 23,329,788 |
Principal repayments of repurchase agreements | (8,738,792) | (24,480,202) |
Net change in due from counterparties and collateral held payable on repurchase agreements | (4,671) | (979) |
Payments of deferred costs | (153) | (4) |
Payments of dividends | (31,024) | (38,083) |
Net cash provided by (used in) financing activities | 579,821 | (1,189,480) |
Net change in cash, cash equivalents and restricted cash | (49,909) | (79,519) |
Cash, cash equivalents and restricted cash, beginning of period | 278,781 | 577,052 |
Cash, cash equivalents and restricted cash, end of period | 228,872 | 497,533 |
Supplement Disclosure of Cash Flow Information | ||
Interest paid | 52,386 | 2,771 |
Non-cash Investing and Financing Activities Information | ||
Net change in unrealized gain (loss) on mortgage-backed securities classified as available-for-sale | 476 | (2,421) |
Dividends declared not paid | 16,658 | 29,693 |
Net change in investment related receivable (payable) | (723) | 15 |
Net change in foreign currency translation adjustment recorded in accumulated other comprehensive income | $ (113) | $ 200 |
Organization and Business Opera
Organization and Business Operations | 3 Months Ended |
Mar. 31, 2023 | |
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. As of March 31, 2023, we were invested in: • residential mortgage-backed securities (“RMBS”) that are guaranteed by a U.S. government agency such as the Government National Mortgage Association (“Ginnie Mae”), or a federally chartered corporation such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (collectively “Agency RMBS”); • commercial mortgage-backed securities (“CMBS”) that are 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”); and • other real estate-related financing arrangements. During the periods presented in these condensed consolidated financial statements, we also invested in: • a commercial mortgage loan; and • U.S. Treasury securities. 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 | 3 Months Ended |
Mar. 31, 2023 | |
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, 2022. 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, 2022. |
Variable Interest Entities ("VI
Variable Interest Entities ("VIEs") | 3 Months Ended |
Mar. 31, 2023 | |
Variable Interest Entity Disclosure [Abstract] | |
Variable Interest Entities ("VIEs") | Variable Interest Entities ("VIEs") Our maximum risk of loss in VIEs in which we are not the primary beneficiary at March 31, 2023 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 36,624 36,624 Non-Agency RMBS 8,319 8,319 Investments in unconsolidated ventures 504 504 Total 45,447 45,447 Refer to Note 4 - "Mortgage-Backed Securities" and Note 5 - "Other Assets" for additional details regarding these investments. |
Mortgage-Backed Securities
Mortgage-Backed Securities | 3 Months Ended |
Mar. 31, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities | Mortgage-Backed Securities The following tables summarize our MBS portfolio by asset type as of March 31, 2023 and December 31, 2022. March 31, 2023 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) 30 year fixed-rate Agency RMBS 5,356,642 (157,394) 5,199,248 121,694 5,320,942 5.15 % Agency-CMO (2) 608,132 (527,420) 80,712 546 81,258 9.74 % Non-Agency CMBS 38,652 (1,181) 37,471 (847) 36,624 8.35 % Non-Agency RMBS (3)(4)(5) 301,262 (293,407) 7,855 464 8,319 8.05 % Total 6,304,688 (979,402) 5,325,286 121,857 5,447,143 5.24 % (1) Period-end weighted average yield is based on amortized cost as of March 31, 2023 and incorporates future prepayment and loss assumptions when appropriate. (2) All Agency collateralized mortgage obligations (“Agency-CMO”) are interest-only securities (“Agency IO”). (3) Non-Agency RMBS is 69.1% fixed rate, 30.1% variable rate, and 0.8% 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 97.1% of principal/notional balance, 40.5% of amortized cost and 34.8% of fair value. December 31, 2022 $ in thousands Principal/Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) 30 year fixed-rate Agency RMBS 4,722,768 (115,365) 4,607,403 54,334 4,661,737 5.26 % Agency-CMO (2) 619,069 (536,376) 82,693 2,263 84,956 9.09 % Non-Agency CMBS 38,652 (1,472) 37,180 (393) 36,787 8.35 % Non-Agency RMBS (3)(4)(5) 307,016 (299,012) 8,004 409 8,413 8.33 % Total 5,687,505 (952,225) 4,735,280 56,613 4,791,893 5.35 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2022 and incorporates future prepayment and loss assumptions when appropriate. (2) All Agency-CMO are Agency IO. (3) Non-Agency RMBS is 68.6% fixed rate, 30.6% variable rate and 0.8% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (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 97.1% of principal/notional balance, 41.6% of amortized cost and 35.3% 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 March 31, 2023 and December 31, 2022. 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 March 31, 2023 and December 31, 2022, approximately 99% of our MBS was accounted for under the fair value option. March 31, 2023 December 31, 2022 $ 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 — 5,320,942 5,320,942 — 4,661,737 4,661,737 Agency-CMO — 81,258 81,258 — 84,956 84,956 Non-Agency CMBS 36,624 — 36,624 36,787 — 36,787 Non-Agency RMBS 5,638 2,681 8,319 5,667 2,746 8,413 Total 42,262 5,404,881 5,447,143 42,454 4,749,439 4,791,893 The components of the carrying value of our MBS portfolio at March 31, 2023 and December 31, 2022 are presented below. Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $23.2 million as of March 31, 2023 (December 31, 2022: $21.3 million). March 31, 2023 December 31, 2022 $ in thousands MBS Interest-Only Securities Total MBS Interest-Only Securities Total Principal/notional balance 5,404,033 900,655 6,304,688 4,770,175 917,330 5,687,505 Unamortized premium 5,072 — 5,072 5,195 — 5,195 Unamortized discount (167,711) (816,763) (984,474) (126,112) (831,308) (957,420) Gross unrealized gains (1) 122,940 3,971 126,911 62,245 4,605 66,850 Gross unrealized losses (1) (1,348) (3,706) (5,054) (7,535) (2,702) (10,237) Fair value 5,362,986 84,157 5,447,143 4,703,968 87,925 4,791,893 (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 months ended March 31, 2023 and 2022 is provided below in this Note 4. The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of March 31, 2023 and December 31, 2022 . $ in thousands March 31, 2023 December 31, 2022 Less than one year 26,452 26,593 Greater than one year and less than five years 10,477 10,194 Greater than or equal to five years 5,410,214 4,755,106 Total 5,447,143 4,791,893 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 March 31, 2023 and December 31, 2022. March 31, 2023 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) 244,788 (471) 3 — — — 244,788 (471) 3 Agency-CMO (1) 45,111 (1,959) 9 7,270 (1,259) 2 52,381 (3,218) 11 Non-Agency CMBS (2) 36,623 (847) 3 — — — 36,623 (847) 3 Non-Agency RMBS (3) 437 (30) 3 1,387 (488) 9 1,824 (518) 12 Total 326,959 (3,307) 18 8,657 (1,747) 11 335,616 (5,054) 29 (1) Fair value option has been elected for all Agency securities in an unrealized loss position. (2) Unrealized losses on non-Agency CMBS 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. (3) Includes non-Agency IO with a fair value of $1.4 million for which the fair value option has been elected. Such securities have unrealized losses of $488,000. December 31, 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) 929,292 (7,060) 7 — — — 929,292 (7,060) 7 Agency-CMO (1) 25,417 (1,645) 6 2,934 (496) 1 28,351 (2,141) 7 Non-Agency CMBS (2) 26,592 (439) 2 — — — 26,592 (439) 2 Non-Agency RMBS (3) 349 (36) 2 1,411 (561) 9 1,760 (597) 11 Total 981,650 (9,180) 17 4,345 (1,057) 10 985,995 (10,237) 27 (1) Fair value option has been elected for all Agency securities in an unrealized loss position. (2) Unrealized losses on non-Agency CMBS 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. (3) Includes non-Agency IO with a fair value of $1.4 million for which the fair value option has been elected. Such securities have unrealized losses of $561,000. The following table summarizes the components of our total gain (loss) on investments, net for the three months ended March 31, 2023 and 2022. Three Months Ended March 31, $ in thousands 2023 2022 Gross realized gains on sale of MBS 5,363 — Gross realized losses on sale of MBS (19,128) (318,970) Net unrealized gains (losses) on MBS accounted for under the fair value option 65,721 (165,467) Net unrealized gains (losses) on commercial loan — (124) Net unrealized gains (losses) on U.S. Treasury securities — (19,827) Total gain (loss) on investments, net 51,956 (504,388) The following tables present components of interest income recognized on our mortgage-backed and other securities portfolio for the three months ended March 31, 2023 and 2022. For the three months ended March 31, 2023 $ in thousands Coupon Net (Premium Interest Agency RMBS 67,483 14 67,497 Non-Agency CMBS 475 291 766 Non-Agency RMBS 290 (134) 156 Other 868 — 868 Total 69,116 171 69,287 For the three months ended March 31, 2022 $ in thousands Coupon Net (Premium Interest Agency RMBS 46,598 (6,928) 39,670 Non-Agency CMBS 737 503 1,240 Non-Agency RMBS 330 (151) 179 U.S. Treasury Securities 560 (16) 544 Other 4 — 4 Total 48,229 (6,592) 41,637 |
Other Assets
Other Assets | 3 Months Ended |
Mar. 31, 2023 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets | Other Assets The following table summarizes our other assets as of March 31, 2023 and December 31, 2022. $ in thousands March 31, 2023 December 31, 2022 Investments in unconsolidated ventures 504 552 Prepaid expenses and other assets 1,215 1,179 Total 1,719 1,731 As of December 31, 2022, we were invested in two unconsolidated ventures that were managed by an affiliate of our Manager. Our joint venture whose net assets were denominated in euros was dissolved during the first quarter of 2023. Our remaining unconsolidated venture is in liquidation and plans to sell or settle its remaining investments as expeditiously as possible. Refer to Note 14 - "Commitments and Contingencies" for additional details regarding our commitment to this unconsolidated venture. |
Borrowings
Borrowings | 3 Months Ended |
Mar. 31, 2023 | |
Debt Disclosure [Abstract] | |
Borrowings | Borrowings We finance the majority of our investment portfolio through repurchase agreements. Our repurchase agreements bear interest at a contractually agreed upon rate and generally have maturities ranging from one six onths. We account for our repurchase agreements as secured borrowings since we maintain effective control of the financed assets. Our repurchase agreements are subject to certain financial covenants. We were in compliance with all of these covenants as of March 31, 2023. The following tables summarize certain characteristics of our borrowings at March 31, 2023 and December 31, 2022. Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements. $ in thousands March 31, 2023 December 31, 2022 Weighted Weighted Weighted Average Weighted Average Average Remaining Average Remaining Amount Interest Maturity Amount Interest Maturity Outstanding Rate (days) Outstanding Rate (days) Repurchase Agreements - Agency RMBS 4,814,700 4.91 % 52 4,234,823 4.24 % 28 Total Borrowings 4,814,700 4.91 % 52 4,234,823 4.24 % 28 |
Collateral Positions
Collateral Positions | 3 Months Ended |
Mar. 31, 2023 | |
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 and TBAs as of March 31, 2023 and December 31, 2022. 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, 2022 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 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 March 31, 2023 and December 31, 2022, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets. $ in thousands As of Collateral Pledged March 31, 2023 December 31, 2022 Repurchase Agreements: Agency RMBS 5,085,592 4,439,583 Total repurchase agreements collateral pledged 5,085,592 4,439,583 Derivative Instruments: Cash 2,983 1,584 Restricted cash 127,038 103,246 Total derivative instruments collateral pledged 130,021 104,830 Total collateral pledged: Agency RMBS 5,085,592 4,439,583 Cash 2,983 1,584 Restricted cash 127,038 103,246 Total collateral pledged 5,215,613 4,544,413 As of Collateral Held March 31, 2023 December 31, 2022 Repurchase Agreements: Cash 221 4,892 Non-cash collateral 17,692 7,216 Total repurchase agreements collateral held 17,913 12,108 Derivative instruments: Cash 1,350 — Total derivative instruments collateral held 1,350 — Total collateral held: Cash 1,571 4,892 Non-cash collateral 17,692 7,216 Total collateral held 19,263 12,108 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 106% as of March 31, 2023 (December 31, 2022: 105%) based on the fair value of the securities as reported in our condensed consolidated balance sheets. Interest Rate Swaps As of March 31, 2023 and December 31, 2022, 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 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 3 Months Ended |
Mar. 31, 2023 | |
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 2023. $ in thousands Notional Amount as of December 31, 2022 Additions Settlement, Notional Amount as of March 31, 2023 Interest Rate Swaps (1) (2) 8,150,000 500,000 (525,000) 8,125,000 TBA Purchase Contracts 400,000 1,000,000 (1,100,000) 300,000 TBA Sale Contracts (400,000) (1,000,000) 1,100,000 (300,000) Total 8,150,000 500,000 (525,000) 8,125,000 (1) Does not include interest rate swaps with forward start dates until the date they begin to bear interest. See below for additional detail on our interest rate swaps with forward start dates. (2) Notional amount as of March 31, 2023 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. Notional amount as of December 31, 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 $2.4 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 month to six months. At each settlement date, we typically refinance each repurchase agreement at the market interest rate at that time. Our objectives in using interest rate derivatives are to add stability to interest expense and to manage our exposures to interest rate movements. To accomplish these objectives, we primarily use interest rate swaps as part of our interest rate risk management strategy. Under the terms of the majority of our interest rate swap contracts, we make fixed-rate payments to a counterparty in exchange for the receipt of floating-rate amounts over the life of the agreements without exchange of the underlying notional amount. To a lesser extent, 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 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 $4.5 million as a decrease to interest expense for the three months ended March 31, 2023 (March 31, 2022: $5.2 million as a decrease). As of March 31, 2023, $5.9 million (December 31, 2022: $10.4 million) of unrealized gains on discontinued cash flow hedges, net are still included in accumulated other comprehensive income and are expected to be reclassified as a decrease to interest expense, repurchase agreements over a period of time through December 15, 2023. As of March 31, 2023 and December 31, 2022, 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 March 31, 2023 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 2,050,000 0.18 % 4.82 % 2.2 3 to 5 years 1,475,000 0.27 % 4.82 % 4.5 5 to 7 years 850,000 0.38 % 4.82 % 6.0 7 to 10 years 1,425,000 0.55 % 4.82 % 7.5 Greater than 10 years 500,000 1.92 % 4.82 % 19.0 Total 6,300,000 0.45 % 4.82 % 5.8 $ in thousands As of December 31, 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 % 4.30 % 2.2 3 to 5 years 1,475,000 0.27 % 4.30 % 4.7 5 to 7 years 850,000 0.38 % 4.30 % 6.2 7 to 10 years 1,425,000 0.55 % 4.30 % 7.8 Greater than 10 years 500,000 1.92 % 4.30 % 19.2 Total 5,800,000 0.45 % 4.30 % 6.3 As of March 31, 2023, we held $475.0 million notional amount of interest rate swaps with forward start dates that will receive floating interest based on SOFR (December 31, 2022: $975.0 million). As of March 31, 2023, these interest rate swaps had a weighted average maturity of 30.3 years (December 31, 2022: 16.5 years) and a weighted average fixed pay rate of 1.33% (December 31, 2022: 0.89%). As of March 31, 2023 and December 31, 2022, 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, excluding interest rate swaps with forward start dates. $ in thousands As of March 31, 2023 Maturities Notional Amount Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity 3 to 5 years 350,000 4.82 % 2.78 % 4.1 5 to 7 years 1,000,000 4.82 % 2.67 % 5.9 7 to 10 years 200,000 4.82 % 2.66 % 8.2 Greater than 10 years 275,000 4.82 % 2.72 % 29.2 Total 1,825,000 4.82 % 2.70 % 9.3 $ in thousands As of December 31, 2022 Maturities Notional Amounts Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity Less than 3 years 100,000 4.30 % 4.90 % 0.9 3 to 5 years 550,000 4.30 % 2.74 % 4.0 5 to 7 years 1,125,000 4.30 % 2.66 % 6.0 7 to 10 years 200,000 4.30 % 2.66 % 8.4 Greater than 10 years 375,000 4.30 % 2.67 % 29.5 Total 2,350,000 4.30 % 2.78 % 9.3 As of March 31, 2023, we held $275.0 million notional amount of interest rate swaps with forward start dates that will pay floating interest based on SOFR (December 31, 2022: $275.0 million). As of March 31, 2023, these interest rate swaps had a weighted average maturity of 15.8 years (December 31, 2022: 16.0 years) and a weighted average fixed receive rate of 2.63% (December 31, 2022: 2.63%). Currency Forward Contracts We have historically used 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. We did not have any currency forward contracts outstanding as of March 31, 2023 or December 31, 2022. 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 March 31, 2023 and December 31, 2022. $ in thousands As of March 31, 2023 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA Purchase Contracts (1) 300,000 299,977 303,393 3,416 TBA Sale Contracts (2) (300,000) (299,048) (303,393) (4,345) Net TBA Derivatives — 929 — (929) (1) Net carrying value of TBA purchase contracts includes $3.4 million of derivative assets. (2) Net carrying value of TBA sales contract includes $4.3 million of derivative liabilities. $ in thousands As of December 31, 2022 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA Purchase Contracts (1) 400,000 404,144 402,237 (1,907) TBA Sale Contracts (2) (400,000) (402,707) (402,237) 470 Net TBA Derivatives — 1,437 — (1,437) (1) Net carrying value of TBA purchase contracts includes $1.9 million of derivative liabilities. (2) Net carrying value of TBA sales contract includes $642,000 of derivative assets and $172,000 of derivative liabilities. Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheet The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of March 31, 2023 and December 31, 2022. $ in thousands Derivative Assets Derivative Liabilities As of March 31, 2023 As of December 31, 2022 As of March 31, 2023 As of December 31, 2022 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset — 20 Interest Rate Swaps Liability 7,946 — TBAs 3,416 642 TBAs 4,345 2,079 Total Derivative Assets 3,416 662 Total Derivative Liabilities 12,291 2,079 The following tables summarize the effect of interest rate swaps, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three months ended March 31, 2023 and 2022. $ in thousands Three Months Ended March 31, 2023 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 (90,949) 54,464 (7,968) (44,453) TBAs (951) — 509 (442) Total (91,900) 54,464 (7,459) (44,895) $ in thousands Three Months Ended March 31, 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 343,309 1,284 (11,399) 333,194 Currency Forward Contracts 193 — (41) 152 TBAs (60,073) — (34,413) (94,486) Total 283,429 1,284 (45,853) 238,860 |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 3 Months Ended |
Mar. 31, 2023 | |
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 March 31, 2023 and December 31, 2022. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative liability of $7.9 million at March 31, 2023 (December 31, 2022: asset of $20,000) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of March 31, 2023 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) 3,416 — 3,416 (1,450) (1,350) 616 Total Assets 3,416 — 3,416 (1,450) (1,350) 616 Liabilities Derivatives (1) (2) (4,345) — (4,345) 1,450 2,895 — Repurchase Agreements (3) (4,814,700) — (4,814,700) 4,814,700 — — Total Liabilities (4,819,045) — (4,819,045) 4,816,150 2,895 — As of December 31, 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) 642 — 642 (642) — — Total Assets 642 — 642 (642) — — Liabilities Derivatives (1) (2) (2,079) — (2,079) 642 1,297 (140) Repurchase Agreements (3) (4,234,823) — (4,234,823) 4,234,823 — — Total Liabilities (4,236,902) — (4,236,902) 4,235,465 1,297 (140) (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 $130.0 million as of March 31, 2023 (December 31, 2022: $104.8 million) of which $127.0 million relates to initial margin pledged on centrally cleared interest rate swaps (December 31, 2022: $103.2 million). C entrally cleared interest rate swaps are excluded from the tables above. We held $1.4 million of cash collateral on our derivatives as of March 31, 2023 (December 31, 2022: none). |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 3 Months Ended |
Mar. 31, 2023 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments A three-level valuation hierarchy exists for disclosure of fair value measurements based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect our market assumptions. The three levels are defined as follows: • Level 1 Inputs – Quoted prices for identical instruments in active markets. • Level 2 Inputs – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs – Instruments with primarily unobservable value drivers. The following tables present our assets and liabilities measured at fair value on a recurring basis. March 31, 2023 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (2) Total at Assets: Mortgage-backed securities (1) — 5,447,143 — — 5,447,143 Derivative assets — 3,416 — — 3,416 Other assets — — — 504 504 Total assets — 5,450,559 — 504 5,451,063 Liabilities: Derivative liabilities — 12,291 — — 12,291 Total liabilities — 12,291 — — 12,291 December 31, 2022 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (2) Total at Assets: Mortgage-backed securities (1) — 4,791,893 — — 4,791,893 Derivative assets — 662 — — 662 Other assets — — — 552 552 Total assets — 4,792,555 — 552 4,793,107 Liabilities: Derivative liabilities — 2,079 — — 2,079 Total liabilities — 2,079 — — 2,079 (1) For more detail about the fair value of our MBS, refer to Note 4 - “Mortgage-Backed Securities”. (2) 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 December 31, 2022, we were invested in two unconsolidated ventures that were managed by an affiliate of our Manager. One of the unconsolidated ventures was dissolved during the first quarter of 2023. As of March 31, 2023, the remaining unconsolidated venture was in liquidation and plans to sell or settle its remaining investments as expeditiously as possible. The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at March 31, 2023 and December 31, 2022. March 31, 2023 December 31, 2022 $ in thousands Carrying Estimated Carrying Estimated Financial Liabilities Repurchase agreements 4,814,700 4,814,103 4,234,823 4,233,627 Total 4,814,700 4,814,103 4,234,823 4,233,627 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 | 3 Months Ended |
Mar. 31, 2023 | |
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 months ended March 31, 2023, we reimbursed our Manager $409,000 (March 31, 2022: $413,000) 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 months ended March 31, 2023 and 2022. Three Months Ended March 31, $ in thousands 2023 2022 Incurred costs, prepaid or expensed 1,394 1,337 Incurred costs, charged against equity as a cost of raising capital — 58 Total incurred costs, originally paid by our Manager 1,394 1,395 |
Stockholders' Equity
Stockholders' Equity | 3 Months Ended |
Mar. 31, 2023 | |
Equity [Abstract] | |
Stockholders' Equity | Stockholders’ Equity Preferred Stock In May 2022, our board of directors approved a share repurchase program for our Series B and Series C Preferred Stock. During the three months ended March 31, 2023, we did not repurchase any shares of preferred stock. As of March 31, 2023, 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 London Interbank Offered Rate (“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. The United Kingdom Financial Conduct Authority, which regulates LIBOR, announced that it will cease to publish three-month USD LIBOR settings on July 1, 2023. We do not currently intend to amend our Series B or Series C Preferred Stock to change the existing USD LIBOR cessation fallback language. We expect our Series B and Series C Preferred Stock to pay floating rate dividends using a SOFR-based rate in place of three-month LIBOR. 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 March 31, 2023, we may sell up to 13,069,931 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 months ended March 31, 2023, we sold 2,930,069 shares of common stock under our equity distribution agreement for proceeds of $35.8 million, net of approximately $482,000 in commissions and fees. We did not sell any shares of common stock under equity distribution agreements during the three months ended March 31, 2022. During the three months ended March 31, 2023 and 2022, we did not repurchase any shares of our common stock. As of March 31, 2023, we had authority to purchase 1,816,398 shares of our common stock through our common stock share repurchase program. Accumulated Other Comprehensive Income The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income (“AOCI”) for the three months ended March 31, 2023 and 2022. The tables exclude gains and losses on MBS that are accounted for under the fair value option. Three Months Ended March 31, 2023 $ 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 — (476) — (476) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (4,494) (4,494) Currency translation adjustments on investment in unconsolidated venture (10) — — (10) Reclassification of currency translation loss on investment in unconsolidated venture to other investment income (loss), net 123 — — 123 Total other comprehensive income (loss) 113 (476) (4,494) (4,857) AOCI balance at beginning of period (113) 469 10,405 10,761 Total other comprehensive income (loss) 113 (476) (4,494) (4,857) AOCI balance at end of period — (7) 5,911 5,904 Three Months Ended March 31, 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 — (2,421) — (2,421) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,196) (5,196) Currency translation adjustments on investment in unconsolidated venture (200) — — (200) Total other comprehensive income (loss) (200) (2,421) (5,196) (7,817) AOCI balance at beginning of period 424 6,749 30,113 37,286 Total other comprehensive income (loss) (200) (2,421) (5,196) (7,817) AOCI balance at end of period 224 4,328 24,917 29,469 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 three months ended March 31, 2023 and 2022. 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 B Preferred Stock Per Share In Aggregate Date of Payment 2023 February 17, 2023 0.4844 2,198 March 27, 2023 2022 February 16, 2022 0.4844 3,003 March 28, 2022 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2023 February 17, 2023 0.46875 3,664 March 27, 2023 2022 February 16, 2022 0.46875 5,391 March 28, 2022 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2023 March 27, 2023 0.40 16,658 April 27, 2023 2022 March 28, 2022 0.90 29,693 April 27, 2022 |
Earnings (Loss) per Common Shar
Earnings (Loss) per Common Share | 3 Months Ended |
Mar. 31, 2023 | |
Earnings Per Share [Abstract] | |
Earnings (Loss) per Common Share | Earnings (Loss) per Common Share Earnings (loss) per share for the three months ended March 31, 2023 and 2022 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 March 31, In thousands, except per share amounts 2023 2022 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders 15,601 (236,816) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 39,607 32,985 Effect of dilutive securities: Restricted stock awards 1 — Dilutive Shares 39,608 32,985 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic 0.39 (7.18) Diluted 0.39 (7.18) The following potential weighted average common shares were excluded from diluted earnings per share for the three months ended March 31, 2022 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2023 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies Commitments and Contingencies Commitments and contingencies may arise in the ordinary course of business. Our material off-balance sheet commitments as of March 31, 2023 are discussed below. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2023 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Dividends We declared the following dividends on May 8, 2023: a Series B Preferred Stock dividend of $0.4844 per share payable on June 27, 2023 to our stockholders of record as of June 5, 2023 and a Series C Preferred Stock dividend of $0.46875 per share payable on June 27, 2023 to our stockholders of record as of June 5, 2023. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2023 | |
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, 2022. |
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. |
Variable Interest Entities ("_2
Variable Interest Entities ("VIEs") (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
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 March 31, 2023 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 36,624 36,624 Non-Agency RMBS 8,319 8,319 Investments in unconsolidated ventures 504 504 Total 45,447 45,447 |
Mortgage-Backed Securities (Tab
Mortgage-Backed Securities (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Investment Portfolio | The following tables summarize our MBS portfolio by asset type as of March 31, 2023 and December 31, 2022. March 31, 2023 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) 30 year fixed-rate Agency RMBS 5,356,642 (157,394) 5,199,248 121,694 5,320,942 5.15 % Agency-CMO (2) 608,132 (527,420) 80,712 546 81,258 9.74 % Non-Agency CMBS 38,652 (1,181) 37,471 (847) 36,624 8.35 % Non-Agency RMBS (3)(4)(5) 301,262 (293,407) 7,855 464 8,319 8.05 % Total 6,304,688 (979,402) 5,325,286 121,857 5,447,143 5.24 % (1) Period-end weighted average yield is based on amortized cost as of March 31, 2023 and incorporates future prepayment and loss assumptions when appropriate. (2) All Agency collateralized mortgage obligations (“Agency-CMO”) are interest-only securities (“Agency IO”). (3) Non-Agency RMBS is 69.1% fixed rate, 30.1% variable rate, and 0.8% 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 97.1% of principal/notional balance, 40.5% of amortized cost and 34.8% of fair value. December 31, 2022 $ in thousands Principal/Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) 30 year fixed-rate Agency RMBS 4,722,768 (115,365) 4,607,403 54,334 4,661,737 5.26 % Agency-CMO (2) 619,069 (536,376) 82,693 2,263 84,956 9.09 % Non-Agency CMBS 38,652 (1,472) 37,180 (393) 36,787 8.35 % Non-Agency RMBS (3)(4)(5) 307,016 (299,012) 8,004 409 8,413 8.33 % Total 5,687,505 (952,225) 4,735,280 56,613 4,791,893 5.35 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2022 and incorporates future prepayment and loss assumptions when appropriate. (2) All Agency-CMO are Agency IO. (3) Non-Agency RMBS is 68.6% fixed rate, 30.6% variable rate and 0.8% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (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 97.1% of principal/notional balance, 41.6% of amortized cost and 35.3% of fair value. March 31, 2023 December 31, 2022 $ in thousands MBS Interest-Only Securities Total MBS Interest-Only Securities Total Principal/notional balance 5,404,033 900,655 6,304,688 4,770,175 917,330 5,687,505 Unamortized premium 5,072 — 5,072 5,195 — 5,195 Unamortized discount (167,711) (816,763) (984,474) (126,112) (831,308) (957,420) Gross unrealized gains (1) 122,940 3,971 126,911 62,245 4,605 66,850 Gross unrealized losses (1) (1,348) (3,706) (5,054) (7,535) (2,702) (10,237) Fair value 5,362,986 84,157 5,447,143 4,703,968 87,925 4,791,893 (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 months ended March 31, 2023 and 2022 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 March 31, 2023 and December 31, 2022. 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 March 31, 2023 and December 31, 2022, approximately 99% of our MBS was accounted for under the fair value option. March 31, 2023 December 31, 2022 $ 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 — 5,320,942 5,320,942 — 4,661,737 4,661,737 Agency-CMO — 81,258 81,258 — 84,956 84,956 Non-Agency CMBS 36,624 — 36,624 36,787 — 36,787 Non-Agency RMBS 5,638 2,681 8,319 5,667 2,746 8,413 Total 42,262 5,404,881 5,447,143 42,454 4,749,439 4,791,893 |
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 March 31, 2023 and December 31, 2022 . $ in thousands March 31, 2023 December 31, 2022 Less than one year 26,452 26,593 Greater than one year and less than five years 10,477 10,194 Greater than or equal to five years 5,410,214 4,755,106 Total 5,447,143 4,791,893 |
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 March 31, 2023 and December 31, 2022. March 31, 2023 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) 244,788 (471) 3 — — — 244,788 (471) 3 Agency-CMO (1) 45,111 (1,959) 9 7,270 (1,259) 2 52,381 (3,218) 11 Non-Agency CMBS (2) 36,623 (847) 3 — — — 36,623 (847) 3 Non-Agency RMBS (3) 437 (30) 3 1,387 (488) 9 1,824 (518) 12 Total 326,959 (3,307) 18 8,657 (1,747) 11 335,616 (5,054) 29 (1) Fair value option has been elected for all Agency securities in an unrealized loss position. (2) Unrealized losses on non-Agency CMBS 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. (3) Includes non-Agency IO with a fair value of $1.4 million for which the fair value option has been elected. Such securities have unrealized losses of $488,000. December 31, 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) 929,292 (7,060) 7 — — — 929,292 (7,060) 7 Agency-CMO (1) 25,417 (1,645) 6 2,934 (496) 1 28,351 (2,141) 7 Non-Agency CMBS (2) 26,592 (439) 2 — — — 26,592 (439) 2 Non-Agency RMBS (3) 349 (36) 2 1,411 (561) 9 1,760 (597) 11 Total 981,650 (9,180) 17 4,345 (1,057) 10 985,995 (10,237) 27 (1) Fair value option has been elected for all Agency securities in an unrealized loss position. (2) Unrealized losses on non-Agency CMBS 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. |
Schedule of Gain (Loss) on Investments | The following table summarizes the components of our total gain (loss) on investments, net for the three months ended March 31, 2023 and 2022. Three Months Ended March 31, $ in thousands 2023 2022 Gross realized gains on sale of MBS 5,363 — Gross realized losses on sale of MBS (19,128) (318,970) Net unrealized gains (losses) on MBS accounted for under the fair value option 65,721 (165,467) Net unrealized gains (losses) on commercial loan — (124) Net unrealized gains (losses) on U.S. Treasury securities — (19,827) Total gain (loss) on investments, net 51,956 (504,388) |
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 months ended March 31, 2023 and 2022. For the three months ended March 31, 2023 $ in thousands Coupon Net (Premium Interest Agency RMBS 67,483 14 67,497 Non-Agency CMBS 475 291 766 Non-Agency RMBS 290 (134) 156 Other 868 — 868 Total 69,116 171 69,287 For the three months ended March 31, 2022 $ in thousands Coupon Net (Premium Interest Agency RMBS 46,598 (6,928) 39,670 Non-Agency CMBS 737 503 1,240 Non-Agency RMBS 330 (151) 179 U.S. Treasury Securities 560 (16) 544 Other 4 — 4 Total 48,229 (6,592) 41,637 |
Other Assets (Tables)
Other Assets (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Schedule of Other Assets | The following table summarizes our other assets as of March 31, 2023 and December 31, 2022. $ in thousands March 31, 2023 December 31, 2022 Investments in unconsolidated ventures 504 552 Prepaid expenses and other assets 1,215 1,179 Total 1,719 1,731 |
Borrowings (Tables)
Borrowings (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Debt Disclosure [Abstract] | |
Schedule of Borrowings | The following tables summarize certain characteristics of our borrowings at March 31, 2023 and December 31, 2022. Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements. $ in thousands March 31, 2023 December 31, 2022 Weighted Weighted Weighted Average Weighted Average Average Remaining Average Remaining Amount Interest Maturity Amount Interest Maturity Outstanding Rate (days) Outstanding Rate (days) Repurchase Agreements - Agency RMBS 4,814,700 4.91 % 52 4,234,823 4.24 % 28 Total Borrowings 4,814,700 4.91 % 52 4,234,823 4.24 % 28 |
Collateral Positions (Tables)
Collateral Positions (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
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 and TBAs as of March 31, 2023 and December 31, 2022. 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, 2022 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 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 March 31, 2023 and December 31, 2022, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets. $ in thousands As of Collateral Pledged March 31, 2023 December 31, 2022 Repurchase Agreements: Agency RMBS 5,085,592 4,439,583 Total repurchase agreements collateral pledged 5,085,592 4,439,583 Derivative Instruments: Cash 2,983 1,584 Restricted cash 127,038 103,246 Total derivative instruments collateral pledged 130,021 104,830 Total collateral pledged: Agency RMBS 5,085,592 4,439,583 Cash 2,983 1,584 Restricted cash 127,038 103,246 Total collateral pledged 5,215,613 4,544,413 As of Collateral Held March 31, 2023 December 31, 2022 Repurchase Agreements: Cash 221 4,892 Non-cash collateral 17,692 7,216 Total repurchase agreements collateral held 17,913 12,108 Derivative instruments: Cash 1,350 — Total derivative instruments collateral held 1,350 — Total collateral held: Cash 1,571 4,892 Non-cash collateral 17,692 7,216 Total collateral held 19,263 12,108 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
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 2023. $ in thousands Notional Amount as of December 31, 2022 Additions Settlement, Notional Amount as of March 31, 2023 Interest Rate Swaps (1) (2) 8,150,000 500,000 (525,000) 8,125,000 TBA Purchase Contracts 400,000 1,000,000 (1,100,000) 300,000 TBA Sale Contracts (400,000) (1,000,000) 1,100,000 (300,000) Total 8,150,000 500,000 (525,000) 8,125,000 (1) Does not include interest rate swaps with forward start dates until the date they begin to bear interest. See below for additional detail on our interest rate swaps with forward start dates. (2) Notional amount as of March 31, 2023 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. Notional amount as of December 31, 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 $2.4 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 March 31, 2023 and December 31, 2022, 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 March 31, 2023 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 2,050,000 0.18 % 4.82 % 2.2 3 to 5 years 1,475,000 0.27 % 4.82 % 4.5 5 to 7 years 850,000 0.38 % 4.82 % 6.0 7 to 10 years 1,425,000 0.55 % 4.82 % 7.5 Greater than 10 years 500,000 1.92 % 4.82 % 19.0 Total 6,300,000 0.45 % 4.82 % 5.8 $ in thousands As of December 31, 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 % 4.30 % 2.2 3 to 5 years 1,475,000 0.27 % 4.30 % 4.7 5 to 7 years 850,000 0.38 % 4.30 % 6.2 7 to 10 years 1,425,000 0.55 % 4.30 % 7.8 Greater than 10 years 500,000 1.92 % 4.30 % 19.2 Total 5,800,000 0.45 % 4.30 % 6.3 As of March 31, 2023, we held $475.0 million notional amount of interest rate swaps with forward start dates that will receive floating interest based on SOFR (December 31, 2022: $975.0 million). As of March 31, 2023, these interest rate swaps had a weighted average maturity of 30.3 years (December 31, 2022: 16.5 years) and a weighted average fixed pay rate of 1.33% (December 31, 2022: 0.89%). As of March 31, 2023 and December 31, 2022, 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, excluding interest rate swaps with forward start dates. $ in thousands As of March 31, 2023 Maturities Notional Amount Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity 3 to 5 years 350,000 4.82 % 2.78 % 4.1 5 to 7 years 1,000,000 4.82 % 2.67 % 5.9 7 to 10 years 200,000 4.82 % 2.66 % 8.2 Greater than 10 years 275,000 4.82 % 2.72 % 29.2 Total 1,825,000 4.82 % 2.70 % 9.3 $ in thousands As of December 31, 2022 Maturities Notional Amounts Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity Less than 3 years 100,000 4.30 % 4.90 % 0.9 3 to 5 years 550,000 4.30 % 2.74 % 4.0 5 to 7 years 1,125,000 4.30 % 2.66 % 6.0 7 to 10 years 200,000 4.30 % 2.66 % 8.4 Greater than 10 years 375,000 4.30 % 2.67 % 29.5 Total 2,350,000 4.30 % 2.78 % 9.3 |
Schedule of TBA Contracts | The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of March 31, 2023 and December 31, 2022. $ in thousands As of March 31, 2023 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA Purchase Contracts (1) 300,000 299,977 303,393 3,416 TBA Sale Contracts (2) (300,000) (299,048) (303,393) (4,345) Net TBA Derivatives — 929 — (929) (1) Net carrying value of TBA purchase contracts includes $3.4 million of derivative assets. (2) Net carrying value of TBA sales contract includes $4.3 million of derivative liabilities. $ in thousands As of December 31, 2022 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA Purchase Contracts (1) 400,000 404,144 402,237 (1,907) TBA Sale Contracts (2) (400,000) (402,707) (402,237) 470 Net TBA Derivatives — 1,437 — (1,437) (1) Net carrying value of TBA purchase contracts includes $1.9 million of derivative liabilities. (2) Net carrying value of TBA sales contract includes $642,000 of derivative assets and $172,000 of derivative liabilities. |
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 March 31, 2023 and December 31, 2022. $ in thousands Derivative Assets Derivative Liabilities As of March 31, 2023 As of December 31, 2022 As of March 31, 2023 As of December 31, 2022 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset — 20 Interest Rate Swaps Liability 7,946 — TBAs 3,416 642 TBAs 4,345 2,079 Total Derivative Assets 3,416 662 Total Derivative Liabilities 12,291 2,079 |
Schedule of Effect of Derivative Financial Instruments on Statement of Operations | The following tables summarize the effect of interest rate swaps, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three months ended March 31, 2023 and 2022. $ in thousands Three Months Ended March 31, 2023 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 (90,949) 54,464 (7,968) (44,453) TBAs (951) — 509 (442) Total (91,900) 54,464 (7,459) (44,895) $ in thousands Three Months Ended March 31, 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 343,309 1,284 (11,399) 333,194 Currency Forward Contracts 193 — (41) 152 TBAs (60,073) — (34,413) (94,486) Total 283,429 1,284 (45,853) 238,860 |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
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 March 31, 2023 and December 31, 2022. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative liability of $7.9 million at March 31, 2023 (December 31, 2022: asset of $20,000) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of March 31, 2023 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) 3,416 — 3,416 (1,450) (1,350) 616 Total Assets 3,416 — 3,416 (1,450) (1,350) 616 Liabilities Derivatives (1) (2) (4,345) — (4,345) 1,450 2,895 — Repurchase Agreements (3) (4,814,700) — (4,814,700) 4,814,700 — — Total Liabilities (4,819,045) — (4,819,045) 4,816,150 2,895 — As of December 31, 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) 642 — 642 (642) — — Total Assets 642 — 642 (642) — — Liabilities Derivatives (1) (2) (2,079) — (2,079) 642 1,297 (140) Repurchase Agreements (3) (4,234,823) — (4,234,823) 4,234,823 — — Total Liabilities (4,236,902) — (4,236,902) 4,235,465 1,297 (140) (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 $130.0 million as of March 31, 2023 (December 31, 2022: $104.8 million) of which $127.0 million relates to initial margin pledged on centrally cleared interest rate swaps (December 31, 2022: $103.2 million). C entrally cleared interest rate swaps are excluded from the tables above. We held $1.4 million of cash collateral on our derivatives as of March 31, 2023 (December 31, 2022: none). |
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 March 31, 2023 and December 31, 2022. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative liability of $7.9 million at March 31, 2023 (December 31, 2022: asset of $20,000) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of March 31, 2023 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) 3,416 — 3,416 (1,450) (1,350) 616 Total Assets 3,416 — 3,416 (1,450) (1,350) 616 Liabilities Derivatives (1) (2) (4,345) — (4,345) 1,450 2,895 — Repurchase Agreements (3) (4,814,700) — (4,814,700) 4,814,700 — — Total Liabilities (4,819,045) — (4,819,045) 4,816,150 2,895 — As of December 31, 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) 642 — 642 (642) — — Total Assets 642 — 642 (642) — — Liabilities Derivatives (1) (2) (2,079) — (2,079) 642 1,297 (140) Repurchase Agreements (3) (4,234,823) — (4,234,823) 4,234,823 — — Total Liabilities (4,236,902) — (4,236,902) 4,235,465 1,297 (140) (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 $130.0 million as of March 31, 2023 (December 31, 2022: $104.8 million) of which $127.0 million relates to initial margin pledged on centrally cleared interest rate swaps (December 31, 2022: $103.2 million). C entrally cleared interest rate swaps are excluded from the tables above. We held $1.4 million of cash collateral on our derivatives as of March 31, 2023 (December 31, 2022: none). |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
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. March 31, 2023 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (2) Total at Assets: Mortgage-backed securities (1) — 5,447,143 — — 5,447,143 Derivative assets — 3,416 — — 3,416 Other assets — — — 504 504 Total assets — 5,450,559 — 504 5,451,063 Liabilities: Derivative liabilities — 12,291 — — 12,291 Total liabilities — 12,291 — — 12,291 December 31, 2022 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (2) Total at Assets: Mortgage-backed securities (1) — 4,791,893 — — 4,791,893 Derivative assets — 662 — — 662 Other assets — — — 552 552 Total assets — 4,792,555 — 552 4,793,107 Liabilities: Derivative liabilities — 2,079 — — 2,079 Total liabilities — 2,079 — — 2,079 (1) For more detail about the fair value of our MBS, refer to Note 4 - “Mortgage-Backed Securities”. (2) 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 December 31, 2022, we were invested in two unconsolidated ventures that were managed by an affiliate of our Manager. One of the unconsolidated ventures was dissolved during the first quarter of 2023. As of March 31, 2023, the remaining unconsolidated venture was in liquidation and plans to sell or settle its remaining investments as expeditiously as possible. |
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 March 31, 2023 and December 31, 2022. March 31, 2023 December 31, 2022 $ in thousands Carrying Estimated Carrying Estimated Financial Liabilities Repurchase agreements 4,814,700 4,814,103 4,234,823 4,233,627 Total 4,814,700 4,814,103 4,234,823 4,233,627 |
Related Party Transactions (Tab
Related Party Transactions (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Related Party Transactions [Abstract] | |
Schedule of Related Party Transactions | The following table summarizes the costs incurred on our behalf by our Manager for the three months ended March 31, 2023 and 2022. Three Months Ended March 31, $ in thousands 2023 2022 Incurred costs, prepaid or expensed 1,394 1,337 Incurred costs, charged against equity as a cost of raising capital — 58 Total incurred costs, originally paid by our Manager 1,394 1,395 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
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 March 31, 2023 $ 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 — (476) — (476) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (4,494) (4,494) Currency translation adjustments on investment in unconsolidated venture (10) — — (10) Reclassification of currency translation loss on investment in unconsolidated venture to other investment income (loss), net 123 — — 123 Total other comprehensive income (loss) 113 (476) (4,494) (4,857) AOCI balance at beginning of period (113) 469 10,405 10,761 Total other comprehensive income (loss) 113 (476) (4,494) (4,857) AOCI balance at end of period — (7) 5,911 5,904 Three Months Ended March 31, 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 — (2,421) — (2,421) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,196) (5,196) Currency translation adjustments on investment in unconsolidated venture (200) — — (200) Total other comprehensive income (loss) (200) (2,421) (5,196) (7,817) AOCI balance at beginning of period 424 6,749 30,113 37,286 Total other comprehensive income (loss) (200) (2,421) (5,196) (7,817) AOCI balance at end of period 224 4,328 24,917 29,469 |
Schedule of Dividends Declared | The table below summarizes the dividends we declared during the three months ended March 31, 2023 and 2022. 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 B Preferred Stock Per Share In Aggregate Date of Payment 2023 February 17, 2023 0.4844 2,198 March 27, 2023 2022 February 16, 2022 0.4844 3,003 March 28, 2022 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2023 February 17, 2023 0.46875 3,664 March 27, 2023 2022 February 16, 2022 0.46875 5,391 March 28, 2022 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2023 March 27, 2023 0.40 16,658 April 27, 2023 2022 March 28, 2022 0.90 29,693 April 27, 2022 |
Earnings (Loss) per Common Sh_2
Earnings (Loss) per Common Share (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings (Loss) Per Share | Earnings (loss) per share for the three months ended March 31, 2023 and 2022 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 March 31, In thousands, except per share amounts 2023 2022 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders 15,601 (236,816) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 39,607 32,985 Effect of dilutive securities: Restricted stock awards 1 — Dilutive Shares 39,608 32,985 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic 0.39 (7.18) Diluted 0.39 (7.18) |
Organization and Business Ope_2
Organization and Business Operations (Details) | 3 Months Ended |
Mar. 31, 2023 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 | |
May 03, 2022 | May 31, 2022 | Mar. 31, 2023 | |
Common Stock | |||
Debt Securities, Available-for-sale [Line Items] | |||
Reverse stock split conversion ratio | 0.1 | 0.1 | 0.1 |
Variable Interest Entities ("_3
Variable Interest Entities ("VIEs") - Maximum Risk of Loss (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Variable Interest Entity | ||
Carrying Amount | $ 5,447,143 | $ 4,791,893 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity | ||
Carrying Amount | 45,447 | |
Company's Maximum Risk of Loss | 45,447 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS | ||
Variable Interest Entity | ||
Carrying Amount | 36,624 | |
Company's Maximum Risk of Loss | 36,624 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS | ||
Variable Interest Entity | ||
Carrying Amount | 8,319 | |
Company's Maximum Risk of Loss | 8,319 | |
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures | ||
Variable Interest Entity | ||
Carrying Amount | 504 | |
Company's Maximum Risk of Loss | $ 504 |
Mortgage-Backed Securities - In
Mortgage-Backed Securities - Investment Portfolio (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Dec. 31, 2022 | |
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 6,304,688 | $ 5,687,505 |
Unamortized Premium (Discount) | (979,402) | (952,225) |
Amortized Cost | 5,325,286 | 4,735,280 |
Unrealized Gain/ (Loss), net | 121,857 | 56,613 |
Fair Value | $ 5,447,143 | $ 4,791,893 |
Period-end weighted average yield | 5.24% | 5.35% |
Unamortized premium (discount) non-accretable portion | $ 2,100 | |
Percentage of non-agency RMBS interest-only, principal balance | 97.10% | 97.10% |
Percentage of non-agency RMBS interest-only, amortized cost | 40.50% | 41.60% |
Percentage of non-agency RMBS interest only, fair value | 34.80% | 35.30% |
30 year fixed-rate Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 5,356,642 | $ 4,722,768 |
Unamortized Premium (Discount) | (157,394) | (115,365) |
Amortized Cost | 5,199,248 | 4,607,403 |
Unrealized Gain/ (Loss), net | 121,694 | 54,334 |
Fair Value | $ 5,320,942 | $ 4,661,737 |
Period-end weighted average yield | 5.15% | 5.26% |
Agency-CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 608,132 | $ 619,069 |
Unamortized Premium (Discount) | (527,420) | (536,376) |
Amortized Cost | 80,712 | 82,693 |
Unrealized Gain/ (Loss), net | 546 | 2,263 |
Fair Value | $ 81,258 | $ 84,956 |
Period-end weighted average yield | 9.74% | 9.09% |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 38,652 | $ 38,652 |
Unamortized Premium (Discount) | (1,181) | (1,472) |
Amortized Cost | 37,471 | 37,180 |
Unrealized Gain/ (Loss), net | (847) | (393) |
Fair Value | $ 36,624 | $ 36,787 |
Period-end weighted average yield | 8.35% | 8.35% |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 301,262 | $ 307,016 |
Unamortized Premium (Discount) | (293,407) | (299,012) |
Amortized Cost | 7,855 | 8,004 |
Unrealized Gain/ (Loss), net | 464 | 409 |
Fair Value | $ 8,319 | $ 8,413 |
Period-end weighted average yield | 8.05% | 8.33% |
Percentage of non-agency securities classified as fixed rate | 69.10% | 68.60% |
Percentage of non-agency securities classified as variable rate | 30.10% | 30.60% |
Percentage of non-agency securities classified as floating rate | 0.80% | 0.80% |
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 | Mar. 31, 2023 | Dec. 31, 2022 |
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 | $ 42,262 | $ 42,454 |
Securities under Fair Value Option | 5,404,881 | 4,749,439 |
Total Fair Value | 5,447,143 | 4,791,893 |
30 year fixed-rate Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Securities under Fair Value Option | 5,320,942 | 4,661,737 |
Total Fair Value | 5,320,942 | 4,661,737 |
Agency-CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Securities under Fair Value Option | 81,258 | 84,956 |
Total Fair Value | 81,258 | 84,956 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 36,624 | 36,787 |
Securities under Fair Value Option | 0 | 0 |
Total Fair Value | 36,624 | 36,787 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 5,638 | 5,667 |
Securities under Fair Value Option | 2,681 | 2,746 |
Total Fair Value | $ 8,319 | $ 8,413 |
Mortgage-Backed Securities - Ad
Mortgage-Backed Securities - Additional Information (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Debt Securities, Available-for-sale [Line Items] | ||
Investment related receivable | $ 23,239 | $ 22,744 |
MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investment related receivable | $ 23,200 | $ 21,300 |
Mortgage-Backed Securities - Co
Mortgage-Backed Securities - Components of Carrying Value of MBS and GSE CRT Portfolio (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Debt Securities, Available-for-sale [Line Items] | ||
Principal/notional balance | $ 6,304,688 | $ 5,687,505 |
Unamortized premium | 5,072 | 5,195 |
Unamortized discount | (984,474) | (957,420) |
Gross unrealized gains | 126,911 | 66,850 |
Gross unrealized losses | (5,054) | (10,237) |
Total Fair Value | 5,447,143 | 4,791,893 |
MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/notional balance | 5,404,033 | 4,770,175 |
Unamortized premium | 5,072 | 5,195 |
Unamortized discount | (167,711) | (126,112) |
Gross unrealized gains | 122,940 | 62,245 |
Gross unrealized losses | (1,348) | (7,535) |
Total Fair Value | 5,362,986 | 4,703,968 |
Interest-Only Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/notional balance | 900,655 | 917,330 |
Unamortized premium | 0 | 0 |
Unamortized discount | (816,763) | (831,308) |
Gross unrealized gains | 3,971 | 4,605 |
Gross unrealized losses | (3,706) | (2,702) |
Total Fair Value | $ 84,157 | $ 87,925 |
Mortgage-Backed Securities - _2
Mortgage-Backed Securities - Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Investments, Debt and Equity Securities [Abstract] | ||
Less than one year | $ 26,452 | $ 26,593 |
Greater than one year and less than five years | 10,477 | 10,194 |
Greater than or equal to five years | 5,410,214 | 4,755,106 |
Fair value | $ 5,447,143 | $ 4,791,893 |
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 | Mar. 31, 2023 USD ($) security | Dec. 31, 2022 USD ($) security |
Fair Value | ||
Less than 12 Months | $ 326,959 | $ 981,650 |
12 Months or More | 8,657 | 4,345 |
Total | 335,616 | 985,995 |
Unrealized Losses | ||
Less than 12 Months | (3,307) | (9,180) |
12 Months or More | (1,747) | (1,057) |
Total | $ (5,054) | $ (10,237) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 18 | 17 |
12 Months or More (in securities) | security | 11 | 10 |
Total | security | 29 | 27 |
30 year fixed-rate Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 244,788 | $ 929,292 |
12 Months or More | 0 | 0 |
Total | 244,788 | 929,292 |
Unrealized Losses | ||
Less than 12 Months | (471) | (7,060) |
12 Months or More | 0 | 0 |
Total | $ (471) | $ (7,060) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 3 | 7 |
12 Months or More (in securities) | security | 0 | 0 |
Total | security | 3 | 7 |
Agency - CMO | ||
Fair Value | ||
Less than 12 Months | $ 45,111 | $ 25,417 |
12 Months or More | 7,270 | 2,934 |
Total | 52,381 | 28,351 |
Unrealized Losses | ||
Less than 12 Months | (1,959) | (1,645) |
12 Months or More | (1,259) | (496) |
Total | $ (3,218) | $ (2,141) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 9 | 6 |
12 Months or More (in securities) | security | 2 | 1 |
Total | security | 11 | 7 |
Non-Agency CMBS | ||
Fair Value | ||
Less than 12 Months | $ 36,623 | $ 26,592 |
12 Months or More | 0 | 0 |
Total | 36,623 | 26,592 |
Unrealized Losses | ||
Less than 12 Months | (847) | (439) |
12 Months or More | 0 | 0 |
Total | $ (847) | $ (439) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 3 | 2 |
12 Months or More (in securities) | security | 0 | 0 |
Total | security | 3 | 2 |
Non-Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 437 | $ 349 |
12 Months or More | 1,387 | 1,411 |
Total | 1,824 | 1,760 |
Unrealized Losses | ||
Less than 12 Months | (30) | (36) |
12 Months or More | (488) | (561) |
Total | $ (518) | $ (597) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 3 | 2 |
12 Months or More (in securities) | security | 9 | 9 |
Total | security | 12 | 11 |
Non-Agency IO | ||
Fair Value | ||
Total | $ 1,400 | $ 1,400 |
Unrealized Losses | ||
Total | $ (488) | $ (561) |
Mortgage-Backed Securities - Re
Mortgage-Backed Securities - Realized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | ||
Gross realized gains on sale of MBS | $ 5,363 | $ 0 |
Gross realized losses on sale of MBS | (19,128) | (318,970) |
Net unrealized gains (losses) on MBS accounted for under the fair value option | 65,721 | (165,467) |
Net unrealized gains (losses) on commercial loan | 0 | (124) |
Net unrealized gains (losses) on U.S. Treasury securities | 0 | (19,827) |
Total gain (loss) on investments, net | $ 51,956 | $ (504,388) |
Mortgage-Backed Securities - _3
Mortgage-Backed Securities - Components of MBS and GSE CRT Interest Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Debt Securities, Available-for-sale [Line Items] | ||
Coupon Interest | $ 69,116 | $ 48,229 |
Net (Premium Amortization)/Discount Accretion | 171 | (6,592) |
Interest Income | 69,287 | 41,637 |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon Interest | 67,483 | 46,598 |
Net (Premium Amortization)/Discount Accretion | 14 | (6,928) |
Interest Income | 67,497 | 39,670 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon Interest | 475 | 737 |
Net (Premium Amortization)/Discount Accretion | 291 | 503 |
Interest Income | 766 | 1,240 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon Interest | 290 | 330 |
Net (Premium Amortization)/Discount Accretion | (134) | (151) |
Interest Income | 156 | 179 |
U.S. Treasury Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon Interest | 560 | |
Net (Premium Amortization)/Discount Accretion | (16) | |
Interest Income | 544 | |
Other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon Interest | 868 | 4 |
Net (Premium Amortization)/Discount Accretion | 0 | 0 |
Interest Income | $ 868 | $ 4 |
Other Assets - Other Assets (De
Other Assets - Other Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||
Investments in unconsolidated ventures | $ 504 | $ 552 |
Prepaid expenses and other assets | 1,215 | 1,179 |
Total | $ 1,719 | $ 1,731 |
Other Assets - Additional Infor
Other Assets - Additional Information (Details) | Dec. 31, 2022 segment |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Number of Joint Ventures | 2 |
Borrowings - Additional Informa
Borrowings - Additional Information (Detail) | 3 Months Ended |
Mar. 31, 2023 | |
Minimum | |
Repurchase Agreement Counterparty | |
Repurchase agreements term | 1 month |
Maximum | |
Repurchase Agreement Counterparty | |
Repurchase agreements term | 6 months |
Borrowings - Schedule of Borrow
Borrowings - Schedule of Borrowings (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Dec. 31, 2022 | |
Secured Debt, Excluding Asset-Backed Securities | ||
Total Borrowings | ||
Amount Outstanding | $ 4,814,700 | $ 4,234,823 |
Weighted Average Interest Rate | 4.91% | 4.24% |
Weighted Average Remaining Maturity | 52 days | 28 days |
Agency RMBS | ||
Repurchase Agreements - Agency RMBS | ||
Amount Outstanding | $ 4,814,700 | $ 4,234,823 |
Weighted Average Interest Rate | 4.91% | 4.24% |
Weighted Average Remaining Maturity | 52 days | 28 days |
Collateral Positions - Fair Val
Collateral Positions - Fair Value of Collateral Hold and Pledged (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Dec. 31, 2022 | |
Derivative [Line Items] | ||
Cash | $ 1,571 | $ 4,892 |
Non-cash collateral | 17,692 | 7,216 |
Total collateral held | $ 19,263 | $ 12,108 |
Collateral ratio | 106% | 105% |
Collateral Pledged | ||
Derivative [Line Items] | ||
Total repurchase agreements collateral pledged | $ 5,085,592 | $ 4,439,583 |
Total collateral pledged | 5,215,613 | 4,544,413 |
Cash | ||
Derivative [Line Items] | ||
Cash | 221 | 4,900 |
Cash | Collateral Pledged | ||
Derivative [Line Items] | ||
Total collateral pledged | 2,983 | 1,584 |
Restricted cash | Collateral Pledged | ||
Derivative [Line Items] | ||
Total collateral pledged | 127,038 | 103,246 |
Interest Rate Swaps, Currency Forward Contracts and TBAs | Collateral Pledged | ||
Derivative [Line Items] | ||
Total derivative instruments collateral pledged | 130,021 | 104,830 |
Interest Rate Swaps, Currency Forward Contracts and TBAs | Cash | Collateral Pledged | ||
Derivative [Line Items] | ||
Total derivative instruments collateral pledged | 2,983 | 1,584 |
Interest Rate Swaps, Currency Forward Contracts and TBAs | Restricted cash | Collateral Pledged | ||
Derivative [Line Items] | ||
Total derivative instruments collateral pledged | 127,038 | 103,246 |
Repurchase Agreements: | ||
Derivative [Line Items] | ||
Cash | 221 | 4,892 |
Non-cash collateral | 17,692 | 7,216 |
Total collateral held | 17,913 | 12,108 |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Cash | 1,350 | 0 |
Total collateral held | 1,350 | 0 |
Agency RMBS | Collateral Pledged | ||
Derivative [Line Items] | ||
Total repurchase agreements collateral pledged | 5,085,592 | 4,439,583 |
Total collateral pledged | $ 5,085,592 | $ 4,439,583 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2023 USD ($) | |
Derivative Interest Rate Swaptions | |
Notional amount, beginning balance | $ 8,150,000 |
Additions | 500,000 |
Settlement, Termination, Expiration or Exercise | (525,000) |
Notional amount, ending balance | 8,125,000 |
Interest Rate Swaps | |
Derivative Interest Rate Swaptions | |
Notional amount, beginning balance | 8,150,000 |
Additions | 500,000 |
Settlement, Termination, Expiration or Exercise | (525,000) |
Notional amount, ending balance | 8,125,000 |
TBA Purchase Contracts | |
Derivative Interest Rate Swaptions | |
Notional amount, beginning balance | 400,000 |
Additions | 1,000,000 |
Settlement, Termination, Expiration or Exercise | (1,100,000) |
Notional amount, ending balance | 300,000 |
TBA Sale Contracts | |
Derivative Interest Rate Swaptions | |
Notional amount, beginning balance | (400,000) |
Additions | (1,000,000) |
Settlement, Termination, Expiration or Exercise | 1,100,000 |
Notional amount, ending balance | (300,000) |
Interest Rate Swap, Fixed Rate | |
Derivative Interest Rate Swaptions | |
Notional amount, beginning balance | 5,800,000 |
Notional amount, ending balance | 6,300,000 |
Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | |
Derivative Interest Rate Swaptions | |
Notional amount, beginning balance | 2,350,000 |
Notional amount, ending balance | $ 1,825,000 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | Dec. 31, 2022 | Dec. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Derivative gain (loss) reclassified as a decrease (increase) to interest expense | $ (44,895) | $ 238,860 | ||
Unrealized gain on discontinued cash flow hedges included in AOCI | 834,115 | 1,127,947 | $ 804,075 | $ 1,402,135 |
Derivatives and hedging | ||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Unrealized gain on discontinued cash flow hedges included in AOCI | 5,911 | 24,917 | $ 10,405 | $ 30,113 |
Interest Rate Swaps | ||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Derivative gain (loss) reclassified as a decrease (increase) to interest expense | $ 4,500 | $ 5,200 | ||
Interest Rate Swap, Fixed Rate | ||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||
Weighted Average Years to Maturity | 5 years 9 months 18 days | 6 years 3 months 18 days | ||
Weighted Average Fixed Pay Rate | 0.45% | 0.45% | ||
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 | 15 years 9 months 18 days | 16 years | ||
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 | 3 Months Ended | 6 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Jun. 30, 2022 | Dec. 31, 2022 | |
Derivative [Line Items] | |||
Notional Amount | $ 8,125,000 | $ 8,150,000 | |
Interest Rate Swap, Fixed Rate | |||
Derivative [Line Items] | |||
Notional Amount | $ 6,300,000 | $ 5,800,000 | |
Weighted Average Fixed Pay Rate | 0.45% | 0.45% | |
Weighted Average Floating Receive Rate | 4.82% | 4.30% | |
Weighted Average Years to Maturity | 5 years 9 months 18 days | 6 years 3 months 18 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% | 2.63% | |
Weighted Average Years to Maturity | 15 years 9 months 18 days | 16 years | |
Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | |||
Derivative [Line Items] | |||
Notional Amount | $ 1,825,000 | $ 2,350,000 | |
Weighted Average Fixed Pay Rate | 4.82% | 4.30% | |
Weighted Average Floating Receive Rate | 2.70% | 2.78% | |
Weighted Average Years to Maturity | 9 years 3 months 18 days | 9 years 3 months 18 days | |
TBA Sales Contracts | |||
Derivative [Line Items] | |||
Notional Amount | $ (300,000) | $ (400,000) | |
Interest Rate Swap, Forward Start Dates | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | |||
Derivative [Line Items] | |||
Notional Amount | $ 475,000 | $ 975,000 | |
Weighted Average Fixed Pay Rate | 1.33% | 0.89% | |
Weighted Average Years to Maturity | 30 years 3 months 18 days | 16 years 6 months | |
Less than 3 years | Interest Rate Swap, Fixed Rate | |||
Derivative [Line Items] | |||
Notional Amount | $ 2,050,000 | $ 1,550,000 | |
Weighted Average Fixed Pay Rate | 0.18% | 0.09% | |
Weighted Average Floating Receive Rate | 4.82% | 4.30% | |
Weighted Average Years to Maturity | 2 years 2 months 12 days | 2 years 2 months 12 days | |
Less than 3 years | Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | |||
Derivative [Line Items] | |||
Notional Amount | $ 100,000 | ||
Weighted Average Fixed Pay Rate | 4.30% | ||
Weighted Average Floating Receive Rate | 4.90% | ||
Weighted Average Years to Maturity | 10 months 24 days | ||
3 to 5 years | Interest Rate Swap, Fixed Rate | |||
Derivative [Line Items] | |||
Notional Amount | $ 1,475,000 | $ 1,475,000 | |
Weighted Average Fixed Pay Rate | 0.27% | 0.27% | |
Weighted Average Floating Receive Rate | 4.82% | 4.30% | |
Weighted Average Years to Maturity | 4 years 6 months | 4 years 8 months 12 days | |
3 to 5 years | Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | |||
Derivative [Line Items] | |||
Notional Amount | $ 350,000 | $ 550,000 | |
Weighted Average Fixed Pay Rate | 4.82% | 4.30% | |
Weighted Average Floating Receive Rate | 2.78% | 2.74% | |
Weighted Average Years to Maturity | 4 years 1 month 6 days | 4 years | |
5 to 7 years | Interest Rate Swap, Fixed Rate | |||
Derivative [Line Items] | |||
Notional Amount | $ 850,000 | $ 850,000 | |
Weighted Average Fixed Pay Rate | 0.38% | 0.38% | |
Weighted Average Floating Receive Rate | 4.82% | 4.30% | |
Weighted Average Years to Maturity | 6 years | 6 years 2 months 12 days | |
5 to 7 years | Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | |||
Derivative [Line Items] | |||
Notional Amount | $ 1,000,000 | $ 1,125,000 | |
Weighted Average Fixed Pay Rate | 4.82% | 4.30% | |
Weighted Average Floating Receive Rate | 2.67% | 2.66% | |
Weighted Average Years to Maturity | 5 years 10 months 24 days | 6 years | |
7 to 10 years | Interest Rate Swap, Fixed Rate | |||
Derivative [Line Items] | |||
Notional Amount | $ 1,425,000 | $ 1,425,000 | |
Weighted Average Fixed Pay Rate | 0.55% | 0.55% | |
Weighted Average Floating Receive Rate | 4.82% | 4.30% | |
Weighted Average Years to Maturity | 7 years 6 months | 7 years 9 months 18 days | |
7 to 10 years | Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | |||
Derivative [Line Items] | |||
Notional Amount | $ 200,000 | $ 200,000 | |
Weighted Average Fixed Pay Rate | 4.82% | 4.30% | |
Weighted Average Floating Receive Rate | 2.66% | 2.66% | |
Weighted Average Years to Maturity | 8 years 2 months 12 days | 8 years 4 months 24 days | |
Greater than 10 years | Interest Rate Swap, Fixed Rate | |||
Derivative [Line Items] | |||
Notional Amount | $ 500,000 | $ 500,000 | |
Weighted Average Fixed Pay Rate | 1.92% | 1.92% | |
Weighted Average Floating Receive Rate | 4.82% | 4.30% | |
Weighted Average Years to Maturity | 19 years | 19 years 2 months 12 days | |
Greater than 10 years | Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate | |||
Derivative [Line Items] | |||
Notional Amount | $ 275,000 | $ 375,000 | |
Weighted Average Fixed Pay Rate | 4.82% | 4.30% | |
Weighted Average Floating Receive Rate | 2.72% | 2.67% | |
Weighted Average Years to Maturity | 29 years 2 months 12 days | 29 years 6 months |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities - TBA Contracts (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Derivative [Line Items] | ||
Notional Amount | $ 8,125,000 | $ 8,150,000 |
TBA Purchase Contracts | ||
Derivative [Line Items] | ||
Notional Amount | 300,000 | 400,000 |
Implied Cost Basis | 299,977 | 404,144 |
Implied Market Value | 303,393 | 402,237 |
Net Carrying Value | 3,416 | (1,907) |
Net derivative liabilities | 1,900 | |
TBA Sales Contracts | ||
Derivative [Line Items] | ||
Notional Amount | (300,000) | (400,000) |
Implied Cost Basis | (299,048) | (402,707) |
Implied Market Value | (303,393) | (402,237) |
Net Carrying Value | (4,345) | 470 |
TBA Sale Contracts | ||
Derivative [Line Items] | ||
Notional Amount | (300,000) | (400,000) |
Net derivative liabilities | (4,300) | 172 |
Net derivative assets | 3,400 | 642 |
Net TBA Derivatives | ||
Derivative [Line Items] | ||
Notional Amount | 0 | 0 |
Implied Cost Basis | 929 | 1,437 |
Implied Market Value | 0 | 0 |
Net Carrying Value | $ (929) | $ (1,437) |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Derivatives, Fair Value | ||
Derivative assets, at fair value | $ 3,416 | $ 662 |
Derivative liabilities, at fair value | 12,291 | 2,079 |
Interest Rate Swaps | ||
Derivatives, Fair Value | ||
Derivative assets, at fair value | 0 | 20 |
Derivative liabilities, at fair value | 7,946 | 0 |
TBAs | ||
Derivatives, Fair Value | ||
Derivative assets, at fair value | 3,416 | 642 |
Derivative liabilities, at fair value | $ 4,345 | $ 2,079 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Derivative Instruments, Gain (Loss) | ||
Gain (loss) on derivative instruments, net | $ (44,895) | $ 238,860 |
Interest Rate Swaps | ||
Derivative Instruments, Gain (Loss) | ||
Gain (loss) on derivative instruments, net | 4,500 | 5,200 |
Not Designated as Hedging Instrument | ||
Derivative Instruments, Gain (Loss) | ||
Realized gain (loss) on derivative instruments, net | (91,900) | 283,429 |
Contractual net interest income (expense) | 54,464 | 1,284 |
Unrealized gain (loss), net | (7,459) | (45,853) |
Gain (loss) on derivative instruments, net | (44,895) | 238,860 |
Not Designated as Hedging Instrument | Interest Rate Swaps | ||
Derivative Instruments, Gain (Loss) | ||
Realized gain (loss) on derivative instruments, net | (90,949) | 343,309 |
Contractual net interest income (expense) | 54,464 | 1,284 |
Unrealized gain (loss), net | (7,968) | (11,399) |
Gain (loss) on derivative instruments, net | (44,453) | 333,194 |
Not Designated as Hedging Instrument | Currency Forward Contracts | ||
Derivative Instruments, Gain (Loss) | ||
Realized gain (loss) on derivative instruments, net | 193 | |
Contractual net interest income (expense) | 0 | |
Unrealized gain (loss), net | (41) | |
Gain (loss) on derivative instruments, net | 152 | |
Not Designated as Hedging Instrument | TBAs | ||
Derivative Instruments, Gain (Loss) | ||
Realized gain (loss) on derivative instruments, net | (951) | (60,073) |
Contractual net interest income (expense) | 0 | 0 |
Unrealized gain (loss), net | 509 | (34,413) |
Gain (loss) on derivative instruments, net | $ (442) | $ (94,486) |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Derivative [Line Items] | ||
Derivative assets, at fair value | $ 3,416 | $ 662 |
Central Clearing Counterparty | ||
Derivative [Line Items] | ||
Derivative assets, at fair value | $ (7,900) | $ 20 |
Offsetting Assets and Liabili_4
Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Derivatives | ||
Gross amounts of recognized assets | $ 3,416 | $ 642 |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | 3,416 | 642 |
Gross amounts not offset in the consolidated balance sheets, financial instruments | (1,450) | (642) |
Gross amounts not offset in the consolidated balance sheets, cash collateral (received) pledged | (1,350) | 0 |
Net Amount | $ 616 | $ 0 |
Offsetting Assets and Liabili_5
Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Derivatives: | ||
Gross amounts of recognized liabilities | $ (4,345) | $ (2,079) |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | (4,345) | (2,079) |
Gross amounts not offset in the consolidated balance sheets, financial instruments | 1,450 | 642 |
Gross amounts not offset in the consolidated balance sheets, cash collateral (received) pledged | 2,895 | 1,297 |
Net Amount | 0 | (140) |
Repurchase Agreements: | ||
Gross Amounts of Recognized Assets (Liabilities) | (4,814,700) | (4,234,823) |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | (4,814,700) | (4,234,823) |
Gross amounts not offset in the consolidated balance sheets, financial instruments | 4,814,700 | 4,234,823 |
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) | (4,819,045) | (4,236,902) |
Gross Amounts Offset in the Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets | (4,819,045) | (4,236,902) |
Gross amounts not offset with financial assets (liabilities) in the balance sheets, financial instruments | 4,816,150 | 4,235,465 |
Gross amounts not offset with financial assets (liabilities) in the balance sheets, cash collateral (received) pledged | 2,895 | 1,297 |
Net Amount | 0 | (140) |
Cash collateral pledged on derivatives | 130,000 | 104,800 |
Cash collateral pledged on interest rate swaps | 127,000 | 103,200 |
Derivative asset, fair value of collateral | 19,263 | 12,108 |
Cash collateral received | 1,571 | 4,892 |
Fair value of securities pledged under repurchase agreements, excluding cash collateral | 5,100,000 | 4,400,000 |
Cash | ||
Repurchase Agreements: | ||
Cash collateral received | 221 | 4,900 |
Interest Rate Swaps | ||
Repurchase Agreements: | ||
Derivative asset, fair value of collateral | 1,350 | 0 |
Cash collateral received | 1,350 | 0 |
Repurchase Agreement | ||
Repurchase Agreements: | ||
Derivative asset, fair value of collateral | 17,913 | 12,108 |
Cash collateral received | $ 221 | $ 4,892 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | $ 5,447,143 | $ 4,791,893 |
Derivative assets | 3,416 | 642 |
Derivative liabilities | 4,345 | 2,079 |
Purchase of mortgage-backed securities | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 5,362,986 | 4,703,968 |
Recurring | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 4,791,893 | |
Derivative assets | 3,416 | 662 |
Other assets | 504 | 552 |
Total assets | 5,451,063 | 4,793,107 |
Derivative liabilities | 12,291 | 2,079 |
Total liabilities | 12,291 | 2,079 |
Recurring | Purchase of mortgage-backed securities | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 5,447,143 | |
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 | 4,791,893 | |
Derivative assets | 3,416 | 662 |
Other assets | 0 | 0 |
Total assets | 5,450,559 | 4,792,555 |
Derivative liabilities | 12,291 | 2,079 |
Total liabilities | 12,291 | 2,079 |
Recurring | Level 2 | Purchase of mortgage-backed securities | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed securities | 5,447,143 | |
Recurring | Level 3 | ||
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 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 | $ 504 | $ 552 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2023 | Dec. 31, 2022 |
Carrying Value | ||
Financial Liabilities | ||
Repurchase agreements | $ 4,814,700 | $ 4,234,823 |
Total | 4,814,700 | 4,234,823 |
Estimated Fair Value | ||
Financial Liabilities | ||
Repurchase agreements | 4,814,103 | 4,233,627 |
Total | $ 4,814,103 | $ 4,233,627 |
Related Party Transactions - Ad
Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Related Party Transaction [Line Items] | ||
Management fee – related party | $ 2,979 | $ 5,274 |
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 | $ 409 | $ 413 |
Related Party Transactions - Re
Related Party Transactions - Related Party Transactions (Details) - Manager - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Related Party Transaction [Line Items] | ||
Total incurred costs, originally paid by our Manager | $ 1,394 | $ 1,395 |
Incurred costs, prepaid or expensed | ||
Related Party Transaction [Line Items] | ||
Total incurred costs, originally paid by our Manager | 1,394 | 1,337 |
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 | $ 58 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Detail) $ / shares in Units, $ in Thousands | 1 Months Ended | 3 Months Ended | |
May 03, 2022 | May 31, 2022 | Mar. 31, 2023 USD ($) $ / shares shares | |
Common Stock | |||
Class of Stock [Line Items] | |||
Reverse stock split conversion ratio | 0.1 | 0.1 | 0.1 |
Series B Preferred Stock | |||
Class of Stock [Line Items] | |||
Purchase of additional shares (in shares) | shares | 1,337,634 | ||
Preferred stock dividend rate | 7.75% | ||
Preferred stock, liquidation preference (in USD per share) | $ / shares | $ 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% | ||
Series C Preferred Stock | |||
Class of Stock [Line Items] | |||
Purchase of additional shares (in shares) | shares | 1,316,470 | ||
Preferred stock dividend rate | 7.50% | ||
Preferred stock, liquidation preference (in USD per share) | $ / shares | $ 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% | ||
Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred stock, redemption price per share (in USD per share) | $ / shares | $ 25 | ||
Common Stock | |||
Class of Stock [Line Items] | |||
Purchase of additional shares (in shares) | shares | 1,816,398 | ||
Common Stock | Equity Distribution Agreement | |||
Class of Stock [Line Items] | |||
Equity distribution agreement, authorized (in shares) | shares | 13,069,931 | ||
Number of shares issued during period | shares | 2,930,069 | ||
Proceeds from issuance of common stock | $ | $ 35,800 | ||
Payments of stock issuance commission and fees | $ | $ 482 |
Stockholders' Equity - Componen
Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Unrealized gain (loss) on mortgage-backed securities, net | $ (476) | $ (2,421) |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (4,494) | (5,196) |
Currency translation adjustments on investment in unconsolidated venture | (10) | (200) |
Reclassification of currency translation loss on investment in unconsolidated venture to other investment income (loss), net | 123 | 0 |
Total other comprehensive income (loss) | (4,857) | (7,817) |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||
Beginning balance | 804,075 | 1,402,135 |
Total other comprehensive income (loss) | (4,857) | (7,817) |
Ending balance | 834,115 | 1,127,947 |
Equity method investments | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Currency translation adjustments on investment in unconsolidated venture | (10) | (200) |
Reclassification of currency translation loss on investment in unconsolidated venture to other investment income (loss), net | 123 | |
Total other comprehensive income (loss) | 113 | (200) |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||
Beginning balance | (113) | 424 |
Total other comprehensive income (loss) | 113 | (200) |
Ending balance | 0 | 224 |
Available-for-sale securities | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Unrealized gain (loss) on mortgage-backed securities, net | (476) | (2,421) |
Total other comprehensive income (loss) | (476) | (2,421) |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||
Beginning balance | 469 | 6,749 |
Total other comprehensive income (loss) | (476) | (2,421) |
Ending balance | (7) | 4,328 |
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 | (4,494) | (5,196) |
Total other comprehensive income (loss) | (4,494) | (5,196) |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||
Beginning balance | 10,405 | 30,113 |
Total other comprehensive income (loss) | (4,494) | (5,196) |
Ending balance | 5,911 | 24,917 |
Accumulated other comprehensive income | ||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||
Beginning balance | 10,761 | 37,286 |
Total other comprehensive income (loss) | (4,857) | (7,817) |
Ending balance | $ 5,904 | $ 29,469 |
Stockholders' Equity - Dividend
Stockholders' Equity - Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands | Mar. 27, 2023 | Feb. 17, 2023 | Mar. 28, 2022 | Feb. 16, 2022 |
Class of Stock [Line Items] | ||||
Common stock dividend declared (in USD per share) | $ 0.40 | $ 0.90 | ||
Dividends, common stock | $ 16,658 | $ 29,693 | ||
Series B Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Preferred stock dividend declared (in USD per share) | $ 0.4844 | $ 0.4844 | ||
Dividends, preferred stock | $ 2,198 | $ 3,003 | ||
Series C Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Preferred stock dividend declared (in USD per share) | $ 0.46875 | $ 0.46875 | ||
Dividends, preferred stock | $ 3,664 | $ 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 | ||
May 03, 2022 | May 31, 2022 | Mar. 31, 2023 USD ($) $ / shares shares | Mar. 31, 2022 USD ($) $ / shares shares | |
Basic Earnings: | ||||
Net income (loss) available to common stockholders, basic | $ | $ 15,601 | $ (236,816) | ||
Basic Earnings: | ||||
Shares available to common stockholders (in shares) | 39,607,000 | 32,985,000 | ||
Effect of dilutive securities: | ||||
Restricted stock awards (in shares) | 1,000 | 0 | ||
Dilutive Shares (in shares) | 39,608,000 | 32,985,000 | ||
Net income (loss) attributable to common stockholders | ||||
Basic (in USD per share) | $ / shares | $ 0.39 | $ (7.18) | ||
Diluted (in USD per share) | $ / shares | $ 0.39 | $ (7.18) | ||
Common Stock | ||||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||||
Reverse stock split conversion ratio | 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) | 1,500 |
Commitments and Contingencies (
Commitments and Contingencies (Details) $ in Millions | Mar. 31, 2023 USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate | $ 2.9 |
Subsequent Events (Details)
Subsequent Events (Details) - $ / shares | May 08, 2023 | Feb. 17, 2023 | Feb. 16, 2022 |
Series B Preferred Stock | |||
Subsequent Event [Line Items] | |||
Preferred stock dividend declared (in USD per share) | $ 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 | |
Series C Preferred Stock | Subsequent Event | |||
Subsequent Event [Line Items] | |||
Preferred stock dividend declared (in USD per share) | $ 0.46875 |