Cover
Cover - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Mar. 03, 2021 | Jun. 30, 2020 | |
Cover [Abstract] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2020 | ||
Document Transition Report | false | ||
Entity File Number | 001-35543 | ||
Entity Incorporation, State or Country Code | DE | ||
Entity Tax Identification Number | 27-0298092 | ||
Entity Registrant Name | Western Asset Mortgage Capital Corporation | ||
Entity Address, Address Line One | 385 East Colorado Boulevard | ||
Entity Address, City or Town | Pasadena | ||
Entity Address, State or Province | CA | ||
Entity Address, Postal Zip Code | 91101 | ||
City Area Code | (626) | ||
Local Phone Number | 844-9400 | ||
Title of 12(b) Security | Common Stock, $0.01 par value | ||
Trading Symbol | WMC | ||
Security Exchange Name | NYSE | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
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 Central Index Key | 0001465885 | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 157,840,509 | ||
Entity Common Stock, Shares Outstanding (in shares) | 60,812,701 | ||
Document Fiscal Year Focus | 2020 | ||
Document Fiscal Period Focus | FY | ||
Current Fiscal Year End Date | --12-31 | ||
Amendment Flag | false |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Assets: | ||
Cash and cash equivalents | $ 31,613 | $ 31,331 |
Restricted cash | 76,132 | 52,948 |
Residential Whole-Loans, at fair value ($1,008,782 and $1,375,860 pledged as collateral, at fair value, respectively) | 1,008,782 | 1,375,860 |
Residential Bridge Loans ($12,813 and $33,269 at fair value and $12,960 and $34,897 pledged as collateral, respectively) | 13,916 | 36,419 |
Securitized commercial loans, at fair value | 1,605,335 | 909,040 |
Commercial Loans, at fair value ($310,523 and $350,213 pledged as collateral, at fair value, respectively) | 310,523 | 370,213 |
Investment related receivable | 30,576 | 19,931 |
Interest receivable | 13,568 | 19,413 |
Due from counterparties | 2,327 | 98,947 |
Derivative assets, at fair value | 161 | 5,111 |
Other assets | 3,152 | 4,509 |
Total assets | 3,336,009 | 5,160,971 |
Liabilities: | ||
Repurchase agreements, net | 356,923 | 2,824,801 |
Convertible senior unsecured notes, net | 170,797 | 197,299 |
Securitized debt, net ($1,553,722 and $681,643 at fair value and $215,753 and $142,905 held by affiliates, respectively) | 2,446,012 | 1,477,454 |
Interest payable (includes $784 and $647 on securitized debt held by affiliates, respectively) | 12,006 | 15,001 |
Due to counterparties | 321 | 709 |
Derivative liability, at fair value | 656 | 6,370 |
Accounts payable and accrued expenses | 2,686 | 3,188 |
Payable to affiliate | 3,171 | 2,148 |
Dividend payable | 3,649 | 16,592 |
Other liabilities | 84,674 | 52,948 |
Total liabilities | 3,080,895 | 4,596,510 |
Commitments and contingencies | ||
Stockholders' Equity: | ||
Common stock, $0.01 par value, 500,000,000 shares authorized, and 60,812,701 and 53,523,876 outstanding, respectively | 609 | 535 |
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding | 0 | 0 |
Treasury stock, at cost 0,100 and 0 shares held, respectively | (578) | 0 |
Additional paid-in capital | 915,458 | 889,227 |
Retained earnings (accumulated deficit) | (660,377) | (325,301) |
Total Stockholders' Equity | 255,112 | 564,461 |
Non-controlling interest | 2 | 0 |
Total Equity | 255,114 | 564,461 |
Total Liabilities and Stockholders' Equity | 3,336,009 | 5,160,971 |
VIE | ||
Assets: | ||
Cash and cash equivalents | 0 | 7,589 |
Restricted cash | 76,132 | 52,948 |
Residential Whole-Loans, at fair value ($1,008,782 and $1,375,860 pledged as collateral, at fair value, respectively) | 1,008,782 | 1,375,860 |
Securitized commercial loans, at fair value | 1,605,335 | 909,040 |
Investment related receivable | 27,987 | 19,138 |
Interest receivable | 10,936 | 10,829 |
Other assets | 80 | 90 |
Total assets | 2,810,678 | 2,501,179 |
Liabilities: | ||
Securitized debt, net ($1,553,722 and $681,643 at fair value and $215,753 and $142,905 held by affiliates, respectively) | 2,446,012 | 1,477,454 |
Interest payable (includes $784 and $647 on securitized debt held by affiliates, respectively) | 7,882 | 3,886 |
Accounts payable and accrued expenses | 89 | 185 |
Other liabilities | 76,132 | 52,948 |
Total liabilities | 2,530,115 | 1,534,473 |
Subtotal Agency MBS | ||
Assets: | ||
Estimated Fair Value | 1,708 | 1,795,255 |
Non-Agency MBS | ||
Assets: | ||
Estimated Fair Value | 189,462 | 361,833 |
Other securities | ||
Assets: | ||
Estimated Fair Value | 48,754 | 80,161 |
Residential Whole-Loan And Residential Bridge Loan | VIE | ||
Assets: | ||
Cash and cash equivalents | 0 | 1,811 |
Residential Whole-Loans, at fair value ($1,008,782 and $1,375,860 pledged as collateral, at fair value, respectively) | 1,008,782 | 1,375,860 |
Investment related receivable | 27,987 | 19,138 |
Interest receivable | 4,688 | 7,840 |
Other assets | 80 | 90 |
Total assets | 1,054,497 | 1,439,636 |
Liabilities: | ||
Securitized debt, net ($1,553,722 and $681,643 at fair value and $215,753 and $142,905 held by affiliates, respectively) | 892,290 | 795,811 |
Interest payable (includes $784 and $647 on securitized debt held by affiliates, respectively) | 2,222 | 2,367 |
Accounts payable and accrued expenses | 77 | 173 |
Total liabilities | $ 894,589 | $ 798,351 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Fair value of residential whole-loans pledged as collateral | $ 1,008,782 | $ 1,375,860 |
Residential bridge loan. at fair value | 12,813 | 33,269 |
Commercial Loans, at fair value | 310,523 | 350,213 |
Securitized debt | 15,418 | |
Securitized debt, at fair value | 2,446,012 | 1,477,454 |
Interest payable | $ 12,006 | $ 15,001 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 500,000,000 | 500,000,000 |
Common stock, shares issued (in shares) | 60,812,701 | 53,523,876 |
Common stock, shares outstanding (in shares) | 60,812,701 | 53,523,876 |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 100,000,000 | 100,000,000 |
Preferred stock, shares outstanding (in shares) | 0 | 0 |
Treasury Stock, Shares | 0 | 0 |
Residential whole loans, fair value | $ 1,008,782 | $ 1,375,860 |
Subtotal Agency MBS | ||
Fair value of mortgage-backed securities pledged as collateral | 1,708 | 1,756,917 |
Non-Agency MBS | ||
Fair value of mortgage-backed securities pledged as collateral | 167,970 | 292,613 |
Other securities | ||
Fair value of mortgage-backed securities pledged as collateral | 48,754 | 80,031 |
Affiliated Entity | ||
Securitized debt | 1,553,722 | 681,643 |
Securitized debt, at fair value | 215,753 | 142,905 |
Interest payable | 784 | 647 |
VIE | ||
Commercial Loans, at fair value | 68,466 | 90,788 |
Securitized debt, at fair value | 2,446,012 | 1,477,454 |
Interest payable | 7,882 | 3,886 |
Residential whole loans, fair value | 1,008,782 | 1,375,860 |
Borrowings under repurchase agreements | 11,858 | 31,748 |
Residential bridge loans | 12,960 | 34,897 |
Residential Whole-Loan And Residential Bridge Loan | VIE | ||
Securitized debt, at fair value | 892,290 | 795,811 |
Interest payable | 2,222 | 2,367 |
Residential whole loans, fair value | 1,008,782 | 1,375,860 |
Residential bridge loans | $ 12,960 | $ 34,897 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Net Interest Income | |||||||||||
Interest income | $ 47,718 | $ 43,970 | $ 31,494 | $ 54,846 | $ 55,761 | $ 55,652 | $ 53,818 | $ 52,033 | $ 178,028 | $ 217,264 | $ 209,362 |
Interest expense (includes $8,877, $5,674 and $13,739 on securitized debt held by affiliates, respectively) | 38,215 | 33,853 | 24,418 | 36,105 | 36,834 | 39,082 | 37,958 | 36,400 | 132,591 | 150,274 | 138,240 |
Net Interest Income | 9,503 | 10,117 | 7,076 | 18,741 | 18,927 | 16,570 | 15,860 | 15,633 | 45,437 | 66,990 | 71,122 |
Other Income (Loss) | |||||||||||
Realized gain (loss), net | 1,327 | 718 | (6,960) | 89,186 | 11,992 | 21,399 | (8) | (5,105) | 84,271 | 28,278 | (63,257) |
Other than temporary impairment | 0 | 8,574 | 11,180 | ||||||||
Unrealized gain (loss), net | (52,896) | 35,030 | 74,614 | 50,781 | (221,387) | 107,529 | (24,671) | ||||
Gain (loss) on derivative instruments, net | 219 | (88) | (8,143) | (189,691) | 42,007 | (47,056) | (71,530) | (27,148) | (197,703) | (103,727) | 77,969 |
Other, net | (46) | (31) | (45) | 461 | 518 | 918 | 532 | 236 | 339 | 2,204 | (189) |
Other Income (Loss) | 5,494 | 55,289 | 892 | (396,155) | (607) | 8,472 | 313 | 17,532 | (334,480) | 25,710 | (21,328) |
Expenses | |||||||||||
Management fee to affiliate | 1,528 | 1,513 | 464 | 1,039 | 1,987 | 1,800 | 1,832 | 1,735 | 4,544 | 7,354 | 8,673 |
Financing fee | 0 | 0 | 20,540 | 0 | 20,540 | 0 | 0 | ||||
Other operating expenses | (139) | 1,198 | 796 | 1,000 | 1,079 | 1,589 | 1,253 | 1,598 | 2,855 | 5,519 | 6,076 |
General and administrative expenses: | |||||||||||
Compensation expense | 717 | 716 | 692 | 662 | 671 | 671 | 705 | 544 | 2,787 | 2,591 | 2,186 |
Professional fees | 1,030 | 827 | 1,541 | 1,480 | 1,031 | 973 | 761 | 1,215 | 4,878 | 3,980 | 4,299 |
Other general and administrative expenses | 1,040 | 1,138 | 772 | 353 | 441 | 344 | 530 | 185 | 3,303 | 1,500 | 1,442 |
Total general and administrative expenses | 2,787 | 2,681 | 3,005 | 2,495 | 2,143 | 1,988 | 1,996 | 1,944 | 10,968 | 8,071 | 7,927 |
Total Expenses | 4,176 | 5,392 | 24,805 | 4,534 | 5,209 | 5,377 | 5,081 | 5,277 | 38,907 | 20,944 | 22,676 |
Income (loss) before income taxes | 10,821 | 60,014 | (16,837) | (381,948) | 13,111 | 19,665 | 11,092 | 27,888 | (327,950) | 71,756 | 27,118 |
Income tax provision (benefit) | 29 | 205 | 255 | (93) | 622 | (55) | 478 | 12 | 396 | 1,057 | 709 |
Net income (loss) | 10,792 | 59,809 | (17,092) | (381,855) | (328,346) | 70,699 | 26,409 | ||||
Net income attributable to non-controlling interest | 2 | 2 | 2 | 2 | 8 | 0 | 0 | ||||
Net income (loss) attributable to common stockholders and participating securities | $ 10,790 | $ 59,807 | $ (17,094) | $ (381,857) | $ 12,489 | $ 19,720 | $ 10,614 | $ 27,876 | $ (328,354) | $ 70,699 | $ 26,409 |
Net income per Common Share — Basic (in dollars per share) | $ 0.18 | $ 0.98 | $ (0.31) | $ (7.15) | $ 0.23 | $ 0.37 | $ 0.21 | $ 0.58 | $ (5.72) | $ 1.37 | $ 0.61 |
Net income per Common Share — Diluted (in dollars per share) | $ 0.18 | $ 0.98 | $ (0.31) | $ (7.15) | $ 0.23 | $ 0.37 | $ 0.21 | $ 0.58 | $ (5.72) | $ 1.37 | $ 0.61 |
Consolidated Statements of Op_2
Consolidated Statements of Operations (Parenthetical) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Interest Expense | $ 132,591 | $ 150,274 | $ 138,240 |
Affiliated Entity | |||
Interest Expense | $ 5,674 | $ 13,739 | $ 981 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Stockholders' Equity - USD ($) $ in Thousands | Total | Total Stockholders' Equity | Common Stock Outstanding | Additional Paid-In Capital | Retained Earnings (Accumulated) Deficit | Treasury Stock | Noncontrolling Interest |
Balance (in shares) at Dec. 31, 2017 | 41,794,079 | ||||||
Beginning balance at Dec. 31, 2017 | $ 466,038 | $ 466,038 | $ 419 | $ 768,763 | $ (301,912) | $ (1,232) | $ 0 |
Increase (Decrease) in Stockholders' Equity | |||||||
Proceeds from public offerings of common stock (in shares) | 6,196,578 | ||||||
Proceeds from public offerings of common stock | 64,880 | 64,880 | $ 62 | 64,818 | |||
Offering costs | (373) | (373) | (373) | ||||
Vesting of restricted stock | 265 | 265 | 265 | ||||
Treasury stock (in shares) | 125,722 | ||||||
Treasury Stock | 1,445 | 1,445 | 213 | 1,232 | |||
Net income (loss) | 26,409 | 26,409 | 26,409 | ||||
Dividends on common stock | (55,655) | (55,655) | 124 | (55,779) | |||
Balance (in shares) at Dec. 31, 2018 | 48,116,379 | ||||||
Ending balance at Dec. 31, 2018 | 503,009 | 503,009 | $ 481 | 833,810 | (331,282) | 0 | 0 |
Increase (Decrease) in Stockholders' Equity | |||||||
Proceeds from public offerings of common stock (in shares) | 5,299,497 | ||||||
Proceeds from public offerings of common stock | 52,714 | 52,714 | $ 53 | 52,661 | |||
Offering costs | (430) | (430) | (430) | ||||
Vesting of restricted stock | 564 | 564 | 564 | ||||
Grants of restricted stock (in shares) | 108,000 | ||||||
Grants of restricted stock | $ 1 | (1) | |||||
Equity component of convertible senior unsecured notes | 2,445 | 2,445 | 2,445 | ||||
Net income (loss) | 70,699 | 70,699 | 70,699 | ||||
Dividends on common stock | $ (64,540) | (64,540) | 178 | (64,718) | |||
Balance (in shares) at Dec. 31, 2019 | 53,523,876 | 53,523,876 | |||||
Ending balance at Dec. 31, 2019 | $ 564,461 | 564,461 | $ 535 | 889,227 | (325,301) | 0 | 0 |
Increase (Decrease) in Stockholders' Equity | |||||||
Proceeds from public offerings of common stock (in shares) | 6,034,741 | ||||||
Proceeds from public offerings of common stock | 22,357 | 22,357 | $ 60 | 22,297 | |||
Offering costs | (371) | (371) | (371) | ||||
Proceeds from non-controlling interest, net of offering costs | 2 | 2 | |||||
Exchange of convertible senior notes (in shares) | 1,354,084 | ||||||
Exchange of convertible senior notes | 3,588 | 3,588 | $ 14 | 3,574 | |||
Vesting of restricted stock | 699 | 699 | 699 | ||||
Treasury stock (in shares) | 100,000 | ||||||
Treasury Stock | (578) | (578) | (578) | ||||
Net income (loss) | (328,346) | (328,354) | (328,354) | 8 | |||
Dividends declared on non-controlling interest | (8) | (8) | |||||
Dividends on common stock | $ (6,690) | (6,690) | 32 | (6,722) | |||
Balance (in shares) at Dec. 31, 2020 | 60,812,701 | 60,812,701 | |||||
Ending balance at Dec. 31, 2020 | $ 255,114 | $ 255,112 | $ 609 | $ 915,458 | $ (660,377) | $ (578) | $ 2 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | |
Net income (loss) | $ (328,346) | $ 70,699 | $ 26,409 |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||
Premium amortization and (discount accretion), net | 5,141 | 7,398 | 5,374 |
Interest income earned added to principal of investments | (829) | 0 | 0 |
Amortization of deferred financing costs | 3,577 | 1,488 | 767 |
Amortization of Debt Discount (Premium) | 1,097 | 718 | 550 |
Restricted stock amortization | 699 | 564 | 265 |
Interest payments and basis recovered on MAC interest rate swaps | 202 | 5,772 | 2,465 |
Premium on purchase of Residential Whole Loans | (3,858) | (15,304) | (15,850) |
Premium on purchase of Residential Bridge Loans | 0 | 0 | (3,889) |
Premium on purchase of securitized commercial loans | 0 | (3,769) | (3,019) |
Financing fee | 12,000 | 0 | 0 |
Unrealized (gain) loss, net | 221,387 | (107,529) | 24,671 |
Unrealized (gain) loss on derivative instruments, net | 3,953 | (9,390) | 10,381 |
Other than temporary impairment | 0 | 8,574 | 11,180 |
Realized gain on exchange and extinguishment of convertible senior notes | (3,644) | 0 | 0 |
Realized loss on sale of real estate owned ("REO"), net | 789 | 90 | 0 |
Realized (gain) loss on investments, net | (81,416) | (28,368) | 63,257 |
(Gain) loss on derivatives, net | 13,134 | 9,631 | (10,316) |
Changes in operating assets and liabilities: | |||
Decrease (increase) in interest receivable | 5,845 | 2,546 | (8,356) |
Increase in investment related receivable | (2,544) | 0 | 0 |
Decrease (increase) in other assets | (905) | 1,157 | (184) |
(Decrease) increase in interest payable | (2,995) | 6,469 | 210 |
(Decrease) increase in accounts payable and accrued expenses | (499) | (519) | 563 |
Increase (decrease) in payable to related party | 1,023 | (2,467) | 2,574 |
Increase in other liabilities | 8,541 | 0 | 0 |
Net cash (used in) provided by operating activities | (147,648) | (52,240) | 107,052 |
Cash flows from investing activities: | |||
Purchase of securities | (320,996) | (1,581,485) | (1,128,399) |
Proceeds from sale of securities | 2,234,048 | 1,136,617 | 2,430,054 |
Principal repayments and basis recovered on securities | 35,352 | 126,091 | 123,837 |
Proceeds from sale of REO | 2,620 | 1,033 | 0 |
Purchase of Residential Whole Loans | (109,480) | (563,821) | (873,911) |
Proceeds from sale of Residential Whole Loans | 144,258 | 0 | 0 |
Principal repayments on Residential Whole Loans | 288,568 | 254,125 | 76,942 |
Purchase of commercial loans | 0 | (350,232) | (235,857) |
Principal repayments on commercial loans | 44,819 | 197,245 | 20,638 |
Purchase of securitized commercial loans | 0 | (1,109,461) | (1,350,000) |
Principal repayments on securitized commercial loans | 349,608 | 1,214,688 | 361,781 |
Purchase of Residential Bridge Loans | 0 | 0 | (418,953) |
Principal repayments on Residential Bridge Loans | 22,075 | 211,316 | 274,964 |
Payment of premium for option derivatives | 0 | (780) | (1,757) |
Premium received from option derivatives | 0 | 2,158 | 1,236 |
Premium for credit default swaps, net | (14,028) | 3,885 | (297) |
Net settlements of TBAs | (2,430) | 1,934 | (800) |
Proceeds from (Payments on) termination of futures, net | 0 | (12,862) | 6,112 |
Due from counterparties, net | 2,340 | (2,850) | 0 |
Interest payments and basis recovered on MAC interest rate swaps | (202) | (5,772) | (2,465) |
Premium for interest rate swaptions, net | 80 | (332) | 0 |
Net cash provided by (used in) investing activities | 2,676,632 | (478,503) | (716,875) |
Cash flows from financing activities: | |||
Net proceeds from issuance of common stock | 22,357 | 52,714 | 64,880 |
Payment of offering costs | (374) | (580) | (195) |
Repurchase of common stock | (578) | 0 | (1,733) |
Proceeds from sale of treasury stock | 0 | 0 | 3,177 |
Proceeds from repurchase agreement borrowings | 10,020,593 | 21,381,571 | 21,472,963 |
Proceeds from convertible note offering | 0 | 90,625 | 0 |
Payments on extinguishment of convertible senior notes | (21,975) | 0 | 0 |
Proceeds from offering to non-controlling interest, net of offering costs | 2 | 0 | 0 |
Repayments of repurchase agreement borrowings | (12,486,624) | (21,375,531) | (21,905,812) |
Proceeds from securitized debt | 460,787 | 1,828,361 | 1,285,219 |
Repayments of securitized debt | (579,705) | (1,292,141) | (344,612) |
Financing fee | (12,000) | 0 | 0 |
Payments made for deferred financing costs | (5,437) | (8,522) | 0 |
Due from counterparties, net | 94,280 | (56,474) | 47,307 |
Due to counterparties, net | (388) | (17,072) | 16,291 |
Increase (decrease) in other liabilities, net | 23,185 | (2,860) | 55,808 |
Dividends paid on common stock | (19,633) | (62,864) | (53,699) |
Dividends paid to non-controlling interest | (8) | 0 | 0 |
Net cash (used in) provided by financing activities | (2,505,518) | 537,227 | 639,594 |
Net increase in cash and cash equivalents | 23,466 | 6,484 | 29,771 |
Cash, cash equivalents and restricted cash, beginning of period | 84,279 | 77,795 | 48,024 |
Cash, cash equivalents and restricted cash, end of period | 107,745 | 84,279 | 77,795 |
Supplemental disclosure of operating cash flow information: | |||
Interest paid | 119,957 | 144,987 | 138,524 |
Income taxes paid | 810 | 549 | 1,635 |
Supplemental disclosure of non-cash financing/investing activities: | |||
Underwriting and offering costs payable | 0 | 27 | 177 |
Principal payments of securities, not settled | 44 | 0 | 0 |
Assets of deconsolidated VIE | (150,804) | 0 | 0 |
Liabilities, of Deconsolidated Variable Interest Entities | 143,952 | 0 | 0 |
Mortgage-backed Securities Recorded upon Deconsolidation | 6,852 | 0 | 0 |
Mortgage-backed Securities Derecognized upon VIE Consolidation | (13,737) | 0 | 0 |
Dividends and distributions declared, not paid | 3,649 | 16,592 | 14,916 |
Principal payments of Residential Whole Loans, not settled | 26,885 | 17,254 | 9,230 |
Principal payments of Residential Bridge Loans, not settled | 1,102 | 1,949 | 33,717 |
Other assets - Transfer of Bridge Loans to REO | 419 | 5,029 | 143 |
Proceeds from sale of REO, not settled | 0 | 728 | 0 |
Financing fee payable | (8,540) | 0 | 0 |
Exchange of convertible senior notes for commons stock | 3,588 | 0 | 0 |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents [Abstract] | |||
Cash and cash equivalents | 31,613 | 31,331 | 21,987 |
Restricted cash | 76,132 | 52,948 | 55,808 |
VIE | |||
Supplemental disclosure of non-cash financing/investing activities: | |||
Assets, Current | 1,245,287 | 0 | 0 |
Liabilities, Current | (1,231,549) | 0 | $ 0 |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents [Abstract] | |||
Cash and cash equivalents | 0 | 7,589 | |
Restricted cash | $ 76,132 | $ 52,948 |
Organization
Organization | 12 Months Ended |
Dec. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization Western Asset Mortgage Capital Corporation, a Delaware corporation, and its subsidiaries (the “Company”), commenced operations in May 2012. The Company invests in, finances and manages a diversified portfolio of real estate related securities, Whole Loans and other financial assets. The Company’s current portfolio is comprised of Non-Qualified Residential Whole Loans ("Non-QM"), Commercial Loans, Non-Agency CMBS and to a lesser extent Agency RMBS, Non-Agency RMBS, Residential Bridge Loans, GSE Risk Transfer Securities and asset-backed securities (“ABS”) investments secured by a portfolio of private student loans. The Company’s investment strategy is based on Western Asset Management Company, LLC’s (the “Manager”) perspective of which mix of portfolio assets it believes provides the Company with the best risk-reward opportunities at any given time. The Manager will vary the allocation among various asset classes subject to maintaining the Company’s qualification as a REIT and maintaining its exemption from the Investment Company Act of 1940, as amended (the “1940 Act”). These restrictions limit the Company’s ability to invest in non-qualifying MBS, non-real estate assets and/or assets which are not secured by real estate. Accordingly, the Company’s portfolio will continue to be principally invested in qualifying MBS, Whole Loans and other real estate related assets. The Company is externally managed by the Manager, an investment advisor registered with the Securities and Exchange Commission ("SEC"). The Manager is a wholly-owned subsidiary of Franklin Resources, Inc. (“Franklin”), which on July 31, 2020 acquired the Manager's previous parent Legg Mason Inc. The Company operates and has elected to be taxed as a real estate investment trust or “REIT” commencing with its taxable, year ended December 31, 2012. |
Basis of Presentation and Summa
Basis of Presentation and Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Summary of Significant Accounting Policies | Basis of Presentation and Summary of Significant Accounting Policies Basis of Presentation and Consolidation The accompanying financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America ("GAAP"). The consolidated financial statements include the accounts of the Company, its wholly -owned subsidiaries and variable interest entities ("VIEs") in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiaries and consolidated VIEs have been eliminated in consolidation. Variable Interest Entities VIEs are defined as entities that by design either lack sufficient equity for the entity to finance its activities without additional subordinated financial support or are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses or the right to receive benefits of the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes: first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests. This assessment requires the Company to apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. In instances where the Company and its related parties have variable interests in a VIE, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed. If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group as a whole meets these two criteria, the determination of primary beneficiary within the related party group requires significant judgment. The analysis is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related-party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required. Use of Estimates The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Actual results could differ from those estimates. Impact of the COVID-19 Pandemic During the first quarter of 2020, the outbreak of COVID-19, which the World Health Organization designated a pandemic, created extensive disruptions to the global economy and the lives of individuals throughout the world. Governments, businesses, and the public have taken and are continuing to take unprecedented actions to contain the spread of COVID-19 and to mitigate its effects, including quarantines, travel bans, shelter-in-place orders, closures of businesses and schools, fiscal stimulus, and legislation designed to deliver monetary aid and other relief. The scope, duration, and full effects of COVID-19 are still not fully known. The pandemic and related efforts to contain the COVID-19 have disrupted global economic activity, impacted interest rates, increased economic and market uncertainty, disrupted trade and supply chains, and created unprecedented financial market conditions and disruptions. This rapid disruption in the fixed income markets specifically in mortgage markets had an adverse impact on our book value, liquidity, results of operations, and financial position. While the development and initial application of vaccines offer hope on the horizon, our Manager's view is the recovery will take a long time. The full impact of COVID-19 on our results of operations, financial position and cost of capital is still uncertain as it depends on several factors beyond our control. Our Manager's outlook is that (i) COVID-19 related growth setbacks have meaningfully reduced global and U.S. growth, (ii) vaccine distribution will take time but as noted recent developments are encouraging, (iii) second half of 2021 should should see a meaning pick up in growth as the economy reopens (iii) U.S. and global inflation are expected to be very subdued, (iv) fiscal policy and monetary policy will remain supportive, and (v) Central banks are expected to keep rates ultra low for long. We continue to operate with a defensive stance to preserve liquidity, reduce our exposure to short-term repurchase agreement financings, and reduce expenses. Earnings (Loss) Per Share GAAP requires use of the two-class method in computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company’s participating securities are not allocated a share of the net loss, as the participating securities do not have a contractual obligation to share in the net losses of the Company. The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of weighted average outstanding common shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes the weighted average outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares. Offering Costs Offering costs borne by the Company in connection with common stock offerings and private placements are reflected as a reduction of additional paid-in-capital. Offering costs borne by the Company in connection with its shelf registration will be deferred and recorded in "Other assets" until such time the Company completes a common stock offering where all or a portion will be reclassified and reflected as a reduction of additional paid-in-capital. The deferred offering costs will be expensed upon the expiration of the shelf if the Company does not complete an equity offering. Cash and Cash Equivalents The Company considers all highly liquid short-term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit. Restricted Cash Restricted cash represents cash held by the trustee or servicer for mortgage escrows in connection with the Company's securitized loan and commercial loan investments held in its consolidated VIEs. These escrows consist of principal and interest escrows, capital improvement reserves, repair reserves, real estate tax and insurance reserves and tenant reserves. The corresponding liability is recorded in "Other liabilities" in the Consolidated Balance Sheets. The restricted cash is not available for general corporate use. Valuation of Financial Instruments The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). ASC 820, "Fair Value Measurement and Disclosures" establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. ASC 820 further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows: Level I — Quoted prices in active markets for identical assets or liabilities. Level II — Quoted prices for similar assets and liabilities 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 III — Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable, for example, when there is little or no market activity for an investment at the end of the period, unobservable inputs may be used. The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. Refer to Note 3 - "Fair Value of Financial Instruments." Mortgage-Backed Securities and Other Securities The Company's mortgage-backed securities and other securities portfolio primarily consisted of Agency CMBS, Non-Agency CMBS, Agency RMBS, Non-Agency RMBS, ABS and other real estate related securities. These investments are recorded in accordance with ASC 320, “Investments - Debt and Equity Securities” and ASC 325-40, “Beneficial Interests in Securitized Financial Assets.” The Company has chosen to elect the fair value option pursuant to ASC 825, “Financial Instruments” for its mortgage-backed securities and other securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Operations as a component of “Unrealized gain (loss), net.” As of January 1, 2020, the Company has adopted ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments ("CECL") in the first quarter of 2020. The standard significantly changes how entities measure credit losses for most financial assets and certain other instruments that are not measured at fair value through the income statement. The standard replaced the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. Since the Company elected the Fair Value Option for its mortgage-backed securities and other securities, the Company does not apply the expected loss model instead the Company records changes in fair value of these investment in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net." If the Company purchases securities with evidence of credit deterioration, it will analyze to determine if the guidance in ASU 2016-13, "Financial Instruments - Credit Losses, is applicable. Residential Whole Loans Investments in Residential Whole Loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs." The Company has chosen to elect the fair value option pursuant to ASC 825 for our entire Residential Whole-Loan portfolio. Residential Whole Loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net." All other costs incurred in connection with acquiring Residential Whole Loans or committing to purchase these loans are charged to expense as incurred. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. The Company does not record an allowance for credit losses under ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments because it has elected the fair value option. Residential Bridge Loans For the Bridge Loans acquired prior to October 25, 2017, the Company did not elect the fair value option pursuant to ASC 825. These loans are recorded at their principal amount outstanding, net of any premium or discount. Commencing with purchases on October 25, 2017, the Company decided to elect the fair value option pursuant to ASC 825 to be consistent with the accounting of its' other investments, which are all carried at fair value. These loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net." All other costs incurred in connection with acquiring the Residential Bridge Loans or committing to purchase these loans are charged to expense as incurred. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. The Company evaluates each of its Residential Bridge Loans on a quarterly basis. These loans are individually specific as they relate to the borrower, collateral type, interest rate, LTV and term as well as geographic location. The Company evaluates the collectability of both principal and interest of each loan. When a loan is impaired, the impairment is then measured based on fair value of the collateral less cost to sell, since these loans are collateral dependent. For loans the Company did not elect the fair value option, upon measurement of impairment, the Company records an allowance for credit losses to reduce the carrying value of the loan with a corresponding charge to earnings. Significant judgments are required in determining impairment, including assumptions regarding the value of the loan, the value of the underlying collateral and other provisions such as guarantees. The Company does not record an allowance for credit losses for the Residential Bridge Loans under ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments that it has elected the fair value option. Securitized Commercial Loans Securitized commercial loans are comprised of commercial loans of consolidated variable interest entities which were sponsored by third parties. These loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs." The Company has chosen to elect the fair value option pursuant to ASC 825. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net." The securitized commercial loans are typically collateralized by commercial real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and/or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. The Company does not record an allowance for credit losses under ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments because it has elected the fair value option. Commercial Loans Investments in Commercial Loans, which are comprised of first lien commercial mortgage loans and commercial mezzanine loans, are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs." The Company has chosen to make the fair value election pursuant to ASC 825 for its Commercial Loan portfolio. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net." All other costs incurred in connection with acquiring the Commercial Loans or committing to purchase these loans are charged to expense as incurred. The Company’s loans are typically collateralized by commercial real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. The Company does not record an allowance for credit losses under ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments because it has elected the fair value option. Interest Income Recognition Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase Interest income on mortgage-backed and other securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. The Company records interest income in accordance with ASC subtopic 835-30 "Imputation of Interest," using the effective interest method. As such premiums and discounts associated with Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, are amortized into interest income over the estimated life of such securities. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and, as a result, if the projected prepayment speed increases, the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if projected prepayment speeds decrease, the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization. Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives Interest income on Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are also recognized in accordance with ASC 835, using the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company’s observation of the then current information and events, where applicable, and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the underlying collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities. The Company adopted ASU 2016-13 beginning January 1, 2020. The ASU requires a company to measure credit loss using an expected credit loss model. The Company has elected the fair value option for its investments and as such does not apply the expected loss model instead the Company records changes in fair value of these investment in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net." For the purposes of calculating interest income, to ensure that a projected credit loss of a security does not impact the effective yield and F interest income the Company maintains a “shadow allowance” account. The Company uses the shadow allowance to create a management basis. The management basis which is the difference between the net present value of projected cash flows less shadow allowance amount. The shadow allowance and the management basis are operational accounts that are used solely for the purposes of determining and calculating accretable yield and accretable book value and are not recorded in the Company's consolidated financial statements. The management basis is limited to a fair market value of the investment. Actual realized loss on a security is recorded as a reduction in both the management basis and the amortized cost basis. Interest income is computed using the amortized basis as the reference amount and applying the yield calculated using management basis. Loan Portfolio Interest income on the Company's residential loan portfolio and commercial loan portfolio is recorded using the effective interest method based on the contractual payment terms of the loan. Any premium amortization or discount accretion will be reflected as a component of "Interest income" in the Consolidated Statements of Operations. Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated. Purchases and Sales of Investments The Company accounts for a contract for the purchase or sale of securities, or other securities that do not yet exist on a trade date basis, which it intends to take possession and thus recognizes the acquisition or disposition of the securities at the inception of the contract. Sales of investments are driven by the Company’s portfolio management process. The Company seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities and/or other investments the Company’s Manager believes have more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of investments, including Agency Interest-Only Strips not characterized as derivatives, are a component of "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Operations, and are recorded at the time of disposition. Realized gains or losses on Interest-Only Strips which are characterized as derivatives are a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. Due From Counterparties / Due To Counterparties "Due from counterparties" represents cash posted by the Company with its counterparties as collateral for the Company’s interest rate and/or futures contracts, repurchase agreements, and TBAs. "Due to counterparties" represents cash posted with the Company by its counterparties as collateral under the Company’s interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Included in "Due from counterparties" and/or "Due to counterparties" are daily variation margin settlement amounts with counterparties which are based on the price movement of the Company’s futures contracts. Daily variation margin on only the Company's centrally cleared derivatives was treated as a settlement and classified as either "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. In addition, as provided below, "Due to counterparties" may include non-cash collateral in which the Company has the obligation to return and which the Company has either sold or pledged. To the extent the Company receives collateral other than cash from its counterparties, such assets are not included in the Company’s Consolidated Balance Sheets. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability are reflected in the Consolidated Balance Sheets. Derivatives and Hedging Activities Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company as part of its hedging strategy, we may enter into interest rate swaps, including forward starting swaps, interest rate swaptions, U.S. Treasury options, Eurodollar, Volatility Index and U.S, Treasury futures, TBAs, total return swaps, credit default swaps and forwards to hedge the interest rate and currency risk associated with its portfolio and related borrowings. Derivatives, subject to REIT requirements, are used for hedging purposes rather than speculation. The Company determines the fair value of its derivative positions and obtains quotations from third parties, including the Chicago Mercantile Exchange or CME, to facilitate the process of determining such fair values. The Company does not necessarily seek to hedge all such risks. In addition, if the Company’s hedging activities do not achieve the desired results, reported earnings may be adversely affected. GAAP requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative. The fair value adjustment will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a for hedge for accounting purposes and if so, the nature of the hedging activity. The Company elected not to apply hedge accounting for its derivative instruments. Accordingly, the Company records the change in fair value of its derivative instruments, which includes net interest rate swap payments/receipts (including accrued amounts) and net currency payments/receipts (including accrued amounts) related to interest rate swaps and currency swaps, respectively, in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. In January 2017, the CME amended its rulebooks to legally characterize variation margin payments and receipts for over-the-counter derivatives they clear as settlements of the derivatives' exposure rather than collateral against exposure. As a result of the change in legal characterization, effective January 1, 2017, variation margin is no longer classified as collateral in the Consolidated Balance Sheets in either "Due from counterparties" or "Due to counterparties," but rather a component of the respective "Derivative asset, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. The variation margin is now considered partial settlements of the derivative contract and will result in realized gains or losses which prior to January 1, 2017 were classified as unrealized gains or losses on derivatives. Prior to the CME rulebook change variation margin was included in financing activities in the Company's Consolidated Statement of Cash Flows in either "Due from counterparties, net" or "Due to counterparties, net." Commencing in January 2017, cash postings for variation margin are included in operating activities in the Consolidated Statements of Cash Flows. In the Company’s Consolidated Statements of Cash Flows, premiums received or paid on termination of its interest rate swaps are included in cash flows from operating activities. Notwithstanding the foregoing, proceeds and payments on settlement of swaptions, futures contracts and TBAs are included in cash flows from investing activities. Proceeds and payments on settlement of forward contracts are reflected in cash flows from financing activities in the Company’s Consolidated Statements of Cash Flows. For Agency and Non-Agency Interest-Only Strips accounted for as derivatives, the purchase, sale and recovery of basis activity is included with MBS and other securities under cash flows from investing activities in the Company’s Consolidated Statements of Cash Flows. The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows have been altered from that of the underlying mortgage collateral. Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives. The carrying value of the Agency and Non-Agency Interest-Only Strips, accounted for as derivatives, is included in "Mortgage-backed securities and other securities, at fair value" in the Consolidated Balance Sheets. The carrying value of interest rate swaptions, currency forwards, futures contracts and TBAs is included in "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. Interest earned or paid along with the change in fair value of these instruments accounted for as derivatives is recorded in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. The Company evaluates all of its financial instruments to determine if such instruments are derivatives or contain features that qualify as embed |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments The following tables present the Company's financial instruments carried at fair value as of December 31, 2020 and December 31, 2019, based upon the valuation hierarchy (dollars in thousands): December 31, 2020 Fair Value Assets Level I Level II Level III Total Agency RMBS $ — $ — $ 143 $ 143 Agency RMBS Interest-Only Strips — — 1,565 1,565 Subtotal Agency MBS — — 1,708 1,708 Non-Agency CMBS — 155,093 8,988 164,081 Non-Agency RMBS — — 21,416 21,416 Non-Agency RMBS Interest-Only Strips — — 3,965 3,965 Subtotal Non-Agency MBS — 155,093 34,369 189,462 Other securities — 40,161 8,593 48,754 Total mortgage-backed securities and other securities — 195,254 44,670 239,924 Residential Whole Loans — — 1,008,782 1,008,782 Residential Bridge Loans — — 12,813 12,813 Commercial loans — — 310,523 310,523 Securitized commercial loans — — 1,605,335 1,605,335 Derivative assets — 161 — 161 Total Assets $ — $ 195,415 $ 2,982,123 $ 3,177,538 Liabilities Derivative liabilities $ — $ 656 $ — $ 656 Securitized debt — 1,538,304 15,418 1,553,722 Total Liabilities $ — $ 1,538,960 $ 15,418 $ 1,554,378 December 31, 2019 Fair Value Assets Level I Level II Level III Total Agency CMBS $ — $ 1,435,477 $ — $ 1,435,477 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 3,092 — 3,092 Agency RMBS — 340,771 — 340,771 Agency RMBS Interest-Only Strips — — 10,343 10,343 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 5,572 5,572 Subtotal Agency MBS — 1,779,340 15,915 1,795,255 Non-Agency CMBS — 316,019 — 316,019 Non-Agency RMBS — — 38,131 38,131 Non-Agency RMBS Interest-Only Strips — — 7,683 7,683 Subtotal Non-Agency MBS — 316,019 45,814 361,833 Other securities — 62,965 17,196 80,161 Total mortgage-backed securities and other securities — 2,158,324 78,925 2,237,249 Residential Whole Loans — — 1,375,860 1,375,860 Residential Bridge Loans — 33,269 33,269 Commercial loans — — 370,213 370,213 Securitized commercial loan — — 909,040 909,040 Derivative assets — 5,111 — 5,111 Total Assets $ — $ 2,163,435 $ 2,767,307 $ 4,930,742 Liabilities Derivative liabilities $ — $ 6,370 $ — $ 6,370 Securitized debt — 680,586 1,057 681,643 Total Liabilities $ — $ 686,956 $ 1,057 $ 688,013 When available, the Company uses quoted market prices to determine the fair value of an asset or liability. If quoted market prices are not available, the Company will use independent pricing services and if the independent pricing service cannot price a particular asset or liability, the Company will obtain third party broker quotes. The Manager's pricing group, which functions independently from its portfolio management personnel, reviews the third party broker quotes by comparing the broker quotes for reasonableness to alternate sources when available. If independent pricing services or third party broker quotes are not available, the Company determines the fair value of the securities using valuation techniques that use, when possible, current market-based or independently sourced market parameters, such as interest rates and when applicable, estimates of prepayments and credit losses. In instances when the Company is required to consolidate a VIE that is determined to be a qualifying collateralized financing entity ("CFE"), under GAAP and if the Company has elected the fair value option for the securitized debt, the Company will measure both the financial assets and financial liabilities of the VIE using the fair value of either the VIE’s financial assets or financial liabilities, whichever is more observable. Mortgage-backed securities and other securities In determining the proper fair value hierarchy or level the Company considers the amount of available observable market data for each security. Agency RMBS and Agency CMBS, given the amount of available observable market data, generally are classified in Level II. For newly issued Agency CMBS securities that have not settled at period end and do not have a CUSIP yet, the Company utilizes a broker quote due to lack of observable market data. Accordingly, these securities are classified in Level III. For Agency IOs, Non-Agency RMBS, CMBS and other securities, to determine whether a security should be a Level II, the securities are grouped by security type and the Manager reviews the internal trade history, for the quarter, for each security type. If there is sufficient trade data above a predetermined threshold of a security type, the Manager determines it has sufficient observable market data and the security will be categorized as a Level II; otherwise, the security is classified as a Level III. Values for the Company's securities are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments, and are designed to produce a pricing process that is responsive to market conditions. Depending on the type of asset and the underlying collateral, the primary inputs to the model include yields for TBAs, Agency RMBS, the U.S. Treasury market and floating rate indices such as LIBOR, the Constant Maturity Treasury rate and the prime rate as a benchmark yield. In addition, the model may incorporate the current weighted average maturity and additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. When the third party pricing service cannot adequately price a particular security, the Company utilizes a broker's quote which is reviewed for reasonableness by the Manager's pricing group. Residential Whole Loans and Residential Bridge Loans Values for the Company's Non-QM Residential Whole Loans and Bridge Loans are based upon prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a discounted cash flow valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Company's Residential Whole Loans and Residential Bridge Loans. The key loan inputs include loan balance, interest rate, loan to value, delinquencies and fair value of the collateral for collateral dependent loans. The assumption made by the independent third party pricing service includes the market discount rate, default assumptions and loss severity. Other inputs and assumptions relevant to the pricing of Residential Whole Loans include FICO scores and prepayment speeds. In the second half of 2020 there was very limited, if any residential whole loans sale transactions. As a result the independent third party pricing service used recent residential whole loans securitization transactions, which was very active, to form their opinion on the appropriate discount rate. To arrive at the appropriate discount rate for residential whole loans, the vendor made adjustments for deal cost and liquidity premium. The values for the Conforming Residential Whole Loan Portfolio were based on a third party pricing service valuation model that assigns a loan value using TBA prices, adjusted for delivery to Fannie Mae using Fannie Mae's loan-level price adjustment matrix. In addition to pricing the underlying mortgages, the third party pricing service uses a service release premium valuation representing the sale of the right to service the mortgages. Together, the TBA price and service release premium price form the "All-In" price for these mortgages. During the second quarter of 2020, the Company sold its Conforming Residential Whole Loan portfolio and as of December 31, 2020, holds no Conforming Residential Whole Loans in its investment portfolio. The Company reviews the analysis provided by pricing service as well as the key assumptions made available to the Company. Due to the inherent uncertainty of such valuation, the fair values established for residential loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's loans are classified as Level III. Commercial Loans Values for the Company's Commercial Loans are based upon prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Company's Commercial Loans. The assumptions made by the independent third party pricing vendor include a market discount rate, default assumption and loss severity. The Company reviews the analysis provided by pricing service as well as the key assumptions. Due to the inherent uncertainty of such valuation, the fair values established for commercial loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's commercial loans are classified as a Level III. Securitized commercial loans Values for the Company’s securitized commercial loans are based on the CFE valuation methodology. Since there is an extremely limited market for the securitized commercial loans, the Company determined the securitized debt is more actively traded and therefore was more observable. Due to the inherent uncertainty of the securitized commercial loans' valuation, the Company classifies its securitized commercial loans as Level III. Securitized debt Values for the Company's securitized debt that the Company elected the fair value option are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Since the securitized debt represents traded debt securities, the Manager's pricing team reviews the trade activity during the quarter for each security to determine the appropriate level within the fair value hierarchy. If there is sufficient trade data above a predetermined volume threshold, the Manager determines it has sufficient observable market data and the debt security will be categorized as a Level II. If there is not sufficient observable market data the debt security will be categorized as a Level III. Derivatives Values for the Company's derivatives are based upon prices from third party pricing services, whose pricing is subject to review by the Manager's pricing committee. In valuing its over-the-counter interest rate derivatives, such as swaps and swaptions, its currency derivatives, such as swaps and forwards and credit derivatives such as total return swaps, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. No credit valuation adjustment was made in determining the fair value of interest rate derivatives and/or futures contracts for the years ended December 31, 2020 and December 31, 2019. Third Party Pricing Data Review The Company performs quarterly reviews of the independent third party pricing data. These reviews may include a review of the valuation methodology used by third party valuation specialists and review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices, utilizing the Manager's pricing group. The Manager's pricing group, which functions independently from its portfolio management personnel, reviews the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations. If the price change or difference cannot be corroborated, the Manager's pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted. To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, the Manager generally challenges the independent pricing service price. The following tables present a summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of December 31, 2020 and December 31, 2019 (dollars in thousands). Fair Value at Range December 31, 2020 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans 1,008,782 Discounted Cash Flow Market Discount Rate 2.1 % 7.5 % 4.1 % Weighted Average Life 1.5 8.4 2.9 Residential Bridge Loans 12,813 Discounted Cash Flow Market Discount Rate 8.0 % 35.2 % (1) 18.0 % Weighted Average Life 0.3 2.6 1.3 Commercial Loans 310,523 Discounted Cash Flow Market Discount Rate 6.3 % 18.4 % 10.5 % Weighted Average Life 0.5 1.9 0.7 Fair Value at Range December 31, 2019 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans (2) 1,375,860 Discounted Cash Flow Market Discount Rate 3.4 % 7.0 % 3.7 % Weighted Average Life 1.4 7.8 3.0 Residential Bridge Loans 33,269 Discounted Cash Flow Market Discount Rate 7.5 % 27.0 % (1) 9.8 % Weighted Average Life 0.3 1.8 0.8 Commercial Loans: 370,213 Discounted Cash Flow Market Discount Rate 4.7 % 10.9 % 7.5 % Weighted Average Life 0.4 2.9 1.6 (1) Yield to maturity is the total return on the loan expressed as an annual rate. Delinquent Bridge Loans that are nearing maturity and with fair value that is significantly less than the principal amount have a higher yield to maturity. (2) As of December 31, 2019, excludes $175,294 Conforming Residential Whole Loans, which are valued using TBA prices, adjusted for delivery to Fannie Mae using Fannie Mae's loan-level price adjustment matrix. As of December 31, 2019, the TBA prices used for valuing the conforming loans range from $101.39 to $107.63. The following tables present additional information about the Company's financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: Year ended December 31, 2020 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized Beginning balance $ 15,915 $ 45,814 $ 17,196 $ 1,375,860 $ 33,269 $ 370,213 $ 909,040 $ 1,057 Transfers into Level III from Level II — — — — — — — — Transfers from Level III into Level II — — (6,482) — — — — — Purchases — — — 92,822 — — — — Sales and settlements (11,529) (12,658) — (144,259) — — — — Transfers to REO — — — — (419) — — — VIE consolidation — — — — — — 1,245,287 17,960 VIE deconsolidation — 6,852 — — — — (150,804) — Loan modifications / capitalized interest — — — 779 — 49 — — Principal repayments — (710) (154) (278,316) (19,105) (44,819) (349,609) — Total net gains/losses included in net income Realized gains/(losses), net on assets 1,528 (60) — (10,511) (373) — — — Unrealized gains/(losses), net on assets (1) (2,609) (4,013) (1,949) (23,094) (499) (15,282) (58,421) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (887) Premium and discount amortization, net (1,597) (856) (18) (4,499) (60) 362 9,842 (2,712) Ending balance $ 1,708 $ 34,369 $ 8,593 $ 1,008,782 $ 12,813 $ 310,523 $ 1,605,335 $ 15,418 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (616) $ (3,783) $ (599) $ (14,807) $ (881) $ (15,282) $ 746 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 887 Year ended December 31, 2019 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Commercial Loans Securitized Debt Beginning balance $ 19,837 $ 50,555 $ 8,951 $ 1,041,885 $ 211,999 $ 216,123 $ 1,013,511 $ 2,286 Transfers into Level III from Level II — — 8,386 — — — — — Transfers from Level III into Level II — — — — — — — — Purchases — — — 544,426 — 274,422 1,113,231 — Sales and settlements (401) — — — — — — 3,769 Transfers to REO — — — — (2,677) — — — Principal repayments — (965) (555) (228,163) (175,422) (121,245) (1,214,688) — Total net gains / (losses) included in net income Realized gains/(losses), net on assets — — — — (351) — — — Other than temporary impairment (222) (1,332) — — — — — — Unrealized gains/(losses), net on assets (1) 762 (229) 693 20,887 397 (122) (1,070) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (2,373) Premium and discount amortization, net (4,061) (2,215) (279) (3,175) (677) 1,035 (1,944) (2,625) Ending balance $ 15,915 $ 45,814 $ 17,196 $ 1,375,860 $ 33,269 $ 370,213 $ 909,040 $ 1,057 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 780 $ (229) $ 693 $ 21,768 $ (488) $ 128 $ (1,042) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 375 (1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) Gains and losses on securitized debt are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. Transfers between hierarchy levels for the years ended December 31, 2020 and December 31, 2019 were based on the availability of sufficient observable inputs. Movements from Level II to Level III was based on the back-testing of historical sales transactions performed by the Manager, which did not provide sufficient observable data to meet Level II versus Level III criteria, resulting in the movement from Level II to Level III. Movements from Level III to Level II was based on information received from a third party pricing service which, along with the back-testing of historical sales transactions performed by the Manager, which provided the sufficient observable data for the movement from Level III to Level II. The Company did not have transfers between either Level I and Level II or Level I and Level III for the years ended December 31, 2020 and December 31, 2019. Other Fair Value Disclosures Certain Residential Bridge Loans, repurchase agreement borrowings, convertible senior unsecured notes and securitized debt are not carried at fair value in the consolidated financial statements. The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value, as of December 31, 2020 and December 31, 2019, in the consolidated financial statements (dollars in thousands): December 31, 2020 December 31, 2019 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 1,103 $ 1,095 $ 3,150 $ 3,148 Total $ 1,103 $ 1,095 $ 3,150 $ 3,148 Liabilities Borrowings under repurchase agreements $ 356,923 $ 359,799 $ 2,824,801 $ 2,829,093 Convertible senior unsecured notes 170,797 155,129 197,299 209,172 Securitized debt (1) 899,207 922,362 801,109 810,914 Total $ 1,426,927 $ 1,437,290 $ 3,823,209 $ 3,849,179 (1) Carrying value excludes $6.9 million and $5.3 million of deferred financing costs as of December 31, 2020 and December 31, 2019, respectively. "Due from counterparties" and "Due to counterparties" in the Company’s Consolidated Balance Sheets are reflected at cost which approximates fair value. Residential Bridge Loans Values for the Company's Bridge Loans are based upon prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a discounted cash flow valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Residential Bridge Loans. The key loan inputs include loan balance, interest rate, loan to value, FICO score, debt to income ratio and delinquencies. The assumption made by the independent third party pricing service includes the market discount rate, prepayment, default assumption and loss severity. The Company reviews the analysis provided by pricing service as well as the key assumptions made available to the Company. Due to the inherent uncertainty of such valuation, the fair values established for residential bridge loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's loans are classified as Level III. Borrowings under repurchase agreements The fair values of the borrowings under repurchase agreements are based on a net present value technique. This method discounts future estimated cash flows using rates the Company determined best estimates current market interest rates that would be offered for loans with similar characteristics and credit quality. The use of different market assumptions or estimation methodologies could have a material effect on the fair value amounts. This fair value measurement is based on observable inputs, and as such, are classified as Level II. Convertible senior unsecured notes The fair value of the convertible senior unsecured notes is based on quoted market prices. Accordingly, the Company's convertible senior unsecured notes are classified as Level I. Securitized debt Values for the Company's securitized debt, related to the securitization of a portion of its Residential Whole Loans, are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Since the securitized debt represents traded debt securities, the Manager's pricing team reviews the trade activity during the quarter for each security to determine the appropriate level within the fair value hierarchy. If there is sufficient trade data above a predetermined threshold, the Manager determines it has sufficient observable market data and the debt security will be categorized as a Level II. If there is not sufficient observable market data the debt security will be categorized as a Level III. At December 31, 2020, there was not sufficient observable market data for the debt to be classified as a Level II, accordingly it was classified as a Level III. |
Mortgage-Backed Securities and
Mortgage-Backed Securities and other securities | 12 Months Ended |
Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities and other securities | 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 143 $ — $ 143 Agency RMBS Interest-Only Strips, accounted for as derivatives — 1,565 — — 1,565 Subtotal Agency — 1,565 143 — 1,708 Non-Agency CMBS 59,724 50,408 53,269 680 164,081 Non-Agency RMBS — — 7,958 13,458 21,416 Non-Agency RMBS Interest-Only Strips — — 472 3,493 3,965 Subtotal Non-Agency 59,724 50,408 61,699 17,631 189,462 Other securities 7,247 6,203 24,610 10,694 48,754 Total $ 66,971 $ 58,176 $ 86,452 $ 28,325 $ 239,924 December 31, 2019 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency CMBS $ 973,189 $ 462,288 $ — $ — $ 1,435,477 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 3,092 3,092 Agency RMBS — — 340,771 — 340,771 Agency RMBS Interest-Only Strips 2,413 1,966 5,964 — 10,343 Agency RMBS Interest-Only Strips, accounted for as derivatives 669 3,893 1,010 — 5,572 Subtotal Agency 976,271 468,147 347,745 3,092 1,795,255 Non-Agency CMBS 89,782 125,282 92,610 8,345 316,019 Non-Agency RMBS — — 8,966 29,165 38,131 Non-Agency RMBS Interest-Only Strips — — 1,716 5,967 7,683 Subtotal Non-Agency 89,782 125,282 103,292 43,477 361,833 Other securities 25,824 31,823 2,768 19,746 80,161 Total $ 1,091,877 $ 625,252 $ 453,805 $ 66,315 $ 2,237,249 The following tables present the gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ 102,935 $ (33,602) 16 $ 50,887 $ (15,406) 15 $ 153,822 $ (49,008) 31 Non-Agency RMBS 18,242 (2,498) 4 — — — 18,242 (2,498) 4 Non-Agency RMBS Interest-Only Strips 3,492 (790) 3 472 (1,516) 1 3,964 (2,306) 4 Subtotal Non-Agency 124,669 (36,890) 23 51,359 (16,922) 16 176,028 (53,812) 39 Other securities 26,365 (1,818) 6 — — — 26,365 (1,818) 6 Total $ 151,034 $ (38,708) 29 $ 51,359 $ (16,922) 16 $ 202,393 $ (55,630) 45 December 31, 2019 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency CMBS $ 214,084 $ (5,798) 16 $ — $ — — $ 214,084 $ (5,798) 16 Agency RMBS Interest-Only Strips 1,376 (43) 4 1,828 (95) 7 3,204 (138) 11 Subtotal Agency 215,460 (5,841) 20 1,828 (95) 7 217,288 (5,936) 27 Non-Agency CMBS 171,650 (4,302) 31 18,069 (571) 4 189,719 (4,873) 35 Non-Agency RMBS 13,214 (260) 1 — — — 13,214 (260) 1 Non-Agency RMBS Interest-Only Strips 1,716 (658) 1 — — — 1,716 (658) 1 Subtotal Non-Agency 186,580 (5,220) 33 18,069 (571) 4 204,649 (5,791) 37 Other securities 10,512 (206) 2 — — — 10,512 (206) 2 Total $ 412,552 $ (11,267) 55 $ 19,897 $ (666) 11 $ 432,449 $ (11,933) 66 The following table presents the OTTI the Company recorded on its securities portfolio prior to the adoption of CECL (dollars in thousands): For the year ended December 31, 2019 For the year ended December 31, 2018 Agency RMBS (1) $ 74 $ 807 Non-Agency RMBS 1,331 996 Non-Agency CMBS 6,565 8,660 Other securities 604 717 Total $ 8,574 $ 11,180 (1) Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that the Company had the intent to sell at the end of the period, if applicable. The following table presents components of interest income on the Company's MBS and other securities for the three years ended December 31, 2020, December 31, 2019 and December 31, 2018, respectively (dollars in thousands): For the year ended December 31, 2020 For the year ended December 31, 2019 For the year ended December 31, 2018 Coupon Net (Premium Interest Coupon Net (Premium Interest Coupon Net (Premium Interest Agency CMBS $ 11,336 $ (636) $ 10,700 $ 51,286 $ (2,327) $ 48,959 $ 60,148 $ (646) $ 59,502 Agency RMBS 2,975 (987) 1,988 12,181 (3,053) 9,128 19,507 (5,092) 14,415 Non-Agency CMBS 15,331 6,467 21,798 14,178 4,017 18,195 20,058 6,366 26,424 Non-Agency RMBS 2,732 (1,193) 1,539 4,682 (2,214) 2,468 7,120 (1,073) 6,047 Other securities 8,263 (4,781) 3,482 11,633 (6,472) 5,161 14,805 (6,371) 8,434 Total $ 40,637 $ (1,130) $ 39,507 $ 93,960 $ (10,049) $ 83,911 $ 121,638 $ (6,816) $ 114,822 The following tables present the sales and realized gains (losses) of the Company's MBS and other securities for the three years ended December 31, 2020, December 31, 2019 and December 31, 2018, respectively (dollars in thousands): For the year ended December 31, 2020 Proceeds Gross Gross Net Agency CMBS $ 1,668,149 $ 116,463 $ (6,486) $ 109,977 Agency RMBS 400,948 12,552 (506) 12,046 Non-Agency CMBS 111,804 1 (23,624) (23,623) Non-Agency RMBS 12,658 — (60) (60) Other securities 35,957 113 (6,223) (6,110) Total $ 2,229,516 $ 129,129 $ (36,899) $ 92,230 For the year ended December 31, 2019 Proceeds Gross Gross Net Agency CMBS $ 891,072 $ 32,793 $ (4,190) $ 28,603 Agency RMBS 205,310 1,559 — 1,559 Non-Agency CMBS 40,235 317 (1,624) (1,307) Total $ 1,136,617 $ 34,669 $ (5,814) $ 28,855 For the year ended December 31, 2018 Proceeds Gross Gross Net Agency RMBS $ 589,854 $ 18 $ (23,997) $ (23,979) Agency CMBS 1,534,967 — (51,045) (51,045) Non-Agency RMBS 99,842 7,008 (478) 6,530 Non-Agency CMBS 140,292 3,086 (6,201) (3,115) Other securities 65,099 8,400 — 8,400 Total $ 2,430,054 $ 18,512 $ (81,721) $ (63,209) Unconsolidated CMBS VIEs The Company’s economic interests held in unconsolidated CMBS VIEs are limited in nature to those of a passive holder of CMBS issued by securitization trusts; the Company was not involved in the design or creation of the securitization trusts. The Company evaluates its CMBS holdings for potential consolidation of the securitized trust, in which it owns the most subordinate tranche or a portion of the controlling class. As of December 31, 2020 and December 31, 2019, the Company held seven and ten variable interests in unconsolidated CMBS VIEs, respectively, in which it either owned the most subordinate class or a portion of the controlling class. The Company determined it was not the primary beneficiary and accordingly, the CMBS VIEs were not consolidated in the Company’s consolidated financial statements. As of December 31, 2020 and December 31, 2019, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $48.9 million and $117.7 million, respectively. These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of December 31, 2020 and December 31, 2019, the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities." id="sjs-B4">Mortgage-Backed Securities and other securities The following tables present certain information about the Company's investment portfolio at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 Principal Unamortized Amortized Unrealized Unrealized Loss Estimated Net Weighted Average Coupon (4) Agency RMBS Interest-Only Strips (1) N/A N/A $ 89 $ 54 $ — $ 143 2.1 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A 1,565 2.6 % Total Agency MBS — — 89 54 — 1,708 2.5 % Non-Agency RMBS 38,112 (14,649) 23,463 451 (2,498) 21,416 1.6 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 6,271 — (2,306) 3,965 0.4 % Subtotal Non-Agency RMBS 38,112 (14,649) 29,734 451 (4,804) 25,381 0.6 % Non-Agency CMBS 235,497 (25,258) 210,239 2,850 (49,008) 164,081 5.0 % Total Non-Agency MBS 273,609 (39,907) 239,973 3,301 (53,812) 189,462 2.4 % Other securities (3) 51,537 (8,239) 49,420 1,152 (1,818) 48,754 4.4 % Total $ 325,146 $ (48,146) $ 289,482 $ 4,507 $ (55,630) $ 239,924 2.5 % December 31, 2019 Principal Unamortized Discount Amortized Unrealized Gain Unrealized Estimated Net Weighted Average Coupon (4) Agency CMBS $ 1,347,929 $ 26,514 $ — $ 1,374,443 $ 66,832 $ (5,798) $ 1,435,477 3.4 % Agency CMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A N/A 3,092 0.4 % Subtotal Agency CMBS 1,347,929 26,514 — 1,374,443 66,832 (5,798) 1,438,569 3.1 % Agency RMBS 327,814 5,473 — 333,287 7,484 — 340,771 3.5 % Agency RMBS Interest-Only Strips (1) N/A N/A N/A 8,661 1,820 (138) 10,343 2.8 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A N/A 5,572 3.0 % Subtotal Agency RMBS 327,814 5,473 — 341,948 9,304 (138) 356,686 3.3 % Total Agency MBS 1,675,743 31,987 — 1,716,391 76,136 (5,936) 1,795,255 3.1 % Non-Agency RMBS 52,767 4,492 (20,256) 37,003 1,388 (260) 38,131 4.8 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A N/A 7,705 636 (658) 7,683 0.6 % Subtotal Non-Agency RMBS 52,767 4,492 (20,256) 44,708 2,024 (918) 45,814 1.0 % Non-Agency CMBS 354,458 (17,909) (22,016) 314,533 6,359 (4,873) 316,019 5.1 % Total Non-Agency MBS 407,225 (13,417) (42,272) 359,241 8,383 (5,791) 361,833 2.7 % Other securities (3) 71,896 (2,437) (6,203) 73,975 6,392 (206) 80,161 6.7 % Total $ 2,154,864 $ 16,133 $ (48,475) $ 2,149,607 $ 90,911 $ (11,933) $ 2,237,249 3.1 % (1) IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At December 31, 2020, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, and Agency RMBS IOs and IIOs, accounted for as derivatives was $3.7 million, $306.0 million and $21.6 million, respectively. At December 31, 2019, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $121.7 million, $442.4 million, $64.8 million and $160.2 million, respectively. (2) Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. (3) Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $6.1 million and $10.7 million, as of December 31, 2020 and December 31, 2019, respectively. (4) The calculation of the weighted average coupon rate includes the weighted average coupon rates of IOs and IIOs accounted for as derivatives using their notional amounts. As of December 31, 2020 and December 31, 2019, the weighted average expected remaining term of the MBS and other securities investment portfolio was 5.5 years and 7.9 years, respectively. Prior to the adoption of CECL on January 1, 2020, the Company recorded Other Than Temporary Impairment ("OTTI") when the credit quality of the underlying collateral of the beneficial interest deteriorates and or the scheduled payments are faster than previously projected. As of January 1, 2020, since we elected the fair value option for these investment a credit loss adjustment, if any, would be reflected in the fair value of these securities and reported as "Unrealized gain (loss), net in the Consolidated Statements of Operations. The following table presents the changes in the components of the Company's purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the years ended December 31, 2019 and December 31, 2018 (dollars in thousands): Year ended December 31, 2019 Year ended December 31, 2018 Discount Designated as Accretable Discount (1) Amortizable Premium (1) Discount Designated as Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (53,523) $ (29,465) $ 14,928 $ (72,915) $ (68,438) $ 20,872 Accretion of discount — 4,364 — — 7,137 — Amortization of premium — — (1,215) — — (675) Realized credit losses 7,290 — — 5,863 — — Purchases (28) (7,953) 819 (7,182) (6,473) 435 Sales 26,706 — (19,640) 32,301 40,338 (9,590) Net impairment losses recognized in earnings (6,612) — — (9,733) — — Transfers/release of credit reserve (2) (22,308) 2,889 19,419 (1,857) (2,029) 3,886 Balance at end of period $ (48,475) $ (30,165) $ 14,311 $ (53,523) $ (29,465) $ 14,928 (1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. (2) Subsequent reductions of a security's non-accretable discount results in a corresponding reduction in its amortizable premium. The following tables present the fair value and contractual maturities of the Company's investment securities at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 143 $ — $ 143 Agency RMBS Interest-Only Strips, accounted for as derivatives — 1,565 — — 1,565 Subtotal Agency — 1,565 143 — 1,708 Non-Agency CMBS 59,724 50,408 53,269 680 164,081 Non-Agency RMBS — — 7,958 13,458 21,416 Non-Agency RMBS Interest-Only Strips — — 472 3,493 3,965 Subtotal Non-Agency 59,724 50,408 61,699 17,631 189,462 Other securities 7,247 6,203 24,610 10,694 48,754 Total $ 66,971 $ 58,176 $ 86,452 $ 28,325 $ 239,924 December 31, 2019 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency CMBS $ 973,189 $ 462,288 $ — $ — $ 1,435,477 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 3,092 3,092 Agency RMBS — — 340,771 — 340,771 Agency RMBS Interest-Only Strips 2,413 1,966 5,964 — 10,343 Agency RMBS Interest-Only Strips, accounted for as derivatives 669 3,893 1,010 — 5,572 Subtotal Agency 976,271 468,147 347,745 3,092 1,795,255 Non-Agency CMBS 89,782 125,282 92,610 8,345 316,019 Non-Agency RMBS — — 8,966 29,165 38,131 Non-Agency RMBS Interest-Only Strips — — 1,716 5,967 7,683 Subtotal Non-Agency 89,782 125,282 103,292 43,477 361,833 Other securities 25,824 31,823 2,768 19,746 80,161 Total $ 1,091,877 $ 625,252 $ 453,805 $ 66,315 $ 2,237,249 The following tables present the gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ 102,935 $ (33,602) 16 $ 50,887 $ (15,406) 15 $ 153,822 $ (49,008) 31 Non-Agency RMBS 18,242 (2,498) 4 — — — 18,242 (2,498) 4 Non-Agency RMBS Interest-Only Strips 3,492 (790) 3 472 (1,516) 1 3,964 (2,306) 4 Subtotal Non-Agency 124,669 (36,890) 23 51,359 (16,922) 16 176,028 (53,812) 39 Other securities 26,365 (1,818) 6 — — — 26,365 (1,818) 6 Total $ 151,034 $ (38,708) 29 $ 51,359 $ (16,922) 16 $ 202,393 $ (55,630) 45 December 31, 2019 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency CMBS $ 214,084 $ (5,798) 16 $ — $ — — $ 214,084 $ (5,798) 16 Agency RMBS Interest-Only Strips 1,376 (43) 4 1,828 (95) 7 3,204 (138) 11 Subtotal Agency 215,460 (5,841) 20 1,828 (95) 7 217,288 (5,936) 27 Non-Agency CMBS 171,650 (4,302) 31 18,069 (571) 4 189,719 (4,873) 35 Non-Agency RMBS 13,214 (260) 1 — — — 13,214 (260) 1 Non-Agency RMBS Interest-Only Strips 1,716 (658) 1 — — — 1,716 (658) 1 Subtotal Non-Agency 186,580 (5,220) 33 18,069 (571) 4 204,649 (5,791) 37 Other securities 10,512 (206) 2 — — — 10,512 (206) 2 Total $ 412,552 $ (11,267) 55 $ 19,897 $ (666) 11 $ 432,449 $ (11,933) 66 The following table presents the OTTI the Company recorded on its securities portfolio prior to the adoption of CECL (dollars in thousands): For the year ended December 31, 2019 For the year ended December 31, 2018 Agency RMBS (1) $ 74 $ 807 Non-Agency RMBS 1,331 996 Non-Agency CMBS 6,565 8,660 Other securities 604 717 Total $ 8,574 $ 11,180 (1) Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that the Company had the intent to sell at the end of the period, if applicable. The following table presents components of interest income on the Company's MBS and other securities for the three years ended December 31, 2020, December 31, 2019 and December 31, 2018, respectively (dollars in thousands): For the year ended December 31, 2020 For the year ended December 31, 2019 For the year ended December 31, 2018 Coupon Net (Premium Interest Coupon Net (Premium Interest Coupon Net (Premium Interest Agency CMBS $ 11,336 $ (636) $ 10,700 $ 51,286 $ (2,327) $ 48,959 $ 60,148 $ (646) $ 59,502 Agency RMBS 2,975 (987) 1,988 12,181 (3,053) 9,128 19,507 (5,092) 14,415 Non-Agency CMBS 15,331 6,467 21,798 14,178 4,017 18,195 20,058 6,366 26,424 Non-Agency RMBS 2,732 (1,193) 1,539 4,682 (2,214) 2,468 7,120 (1,073) 6,047 Other securities 8,263 (4,781) 3,482 11,633 (6,472) 5,161 14,805 (6,371) 8,434 Total $ 40,637 $ (1,130) $ 39,507 $ 93,960 $ (10,049) $ 83,911 $ 121,638 $ (6,816) $ 114,822 The following tables present the sales and realized gains (losses) of the Company's MBS and other securities for the three years ended December 31, 2020, December 31, 2019 and December 31, 2018, respectively (dollars in thousands): For the year ended December 31, 2020 Proceeds Gross Gross Net Agency CMBS $ 1,668,149 $ 116,463 $ (6,486) $ 109,977 Agency RMBS 400,948 12,552 (506) 12,046 Non-Agency CMBS 111,804 1 (23,624) (23,623) Non-Agency RMBS 12,658 — (60) (60) Other securities 35,957 113 (6,223) (6,110) Total $ 2,229,516 $ 129,129 $ (36,899) $ 92,230 For the year ended December 31, 2019 Proceeds Gross Gross Net Agency CMBS $ 891,072 $ 32,793 $ (4,190) $ 28,603 Agency RMBS 205,310 1,559 — 1,559 Non-Agency CMBS 40,235 317 (1,624) (1,307) Total $ 1,136,617 $ 34,669 $ (5,814) $ 28,855 For the year ended December 31, 2018 Proceeds Gross Gross Net Agency RMBS $ 589,854 $ 18 $ (23,997) $ (23,979) Agency CMBS 1,534,967 — (51,045) (51,045) Non-Agency RMBS 99,842 7,008 (478) 6,530 Non-Agency CMBS 140,292 3,086 (6,201) (3,115) Other securities 65,099 8,400 — 8,400 Total $ 2,430,054 $ 18,512 $ (81,721) $ (63,209) Unconsolidated CMBS VIEs The Company’s economic interests held in unconsolidated CMBS VIEs are limited in nature to those of a passive holder of CMBS issued by securitization trusts; the Company was not involved in the design or creation of the securitization trusts. The Company evaluates its CMBS holdings for potential consolidation of the securitized trust, in which it owns the most subordinate tranche or a portion of the controlling class. As of December 31, 2020 and December 31, 2019, the Company held seven and ten variable interests in unconsolidated CMBS VIEs, respectively, in which it either owned the most subordinate class or a portion of the controlling class. The Company determined it was not the primary beneficiary and accordingly, the CMBS VIEs were not consolidated in the Company’s consolidated financial statements. As of December 31, 2020 and December 31, 2019, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $48.9 million and $117.7 million, respectively. These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of December 31, 2020 and December 31, 2019, the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities. |
Residential Whole Loans and Bri
Residential Whole Loans and Bridge Loans | 12 Months Ended |
Dec. 31, 2020 | |
Variable Interest Entities | |
Residential Whole Loans and Bridge Loans | Residential Whole Loans and Bridge Loans Residential Whole-Loan Trust The consolidated financial statements include the consolidation of Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") since it met the definition of a VIE and the Company determined that it was the primary beneficiary of the trust because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. RMI 2015 Trust has issued a trust certificate that is wholly-owned by the Company and represents the entire beneficial interest in pools of Non-QM Residential Whole Loans held by the trust. As of December 31, 2020 and December 31, 2019, the Company financed the trust certificate with $30.2 million and $209.9 million, respectively, on long-term financing facilities. The financing liability is held outside the trust. The Company classifies the underlying Residential Whole Loans owned by the trust in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets and has eliminated the intercompany trust certificate in consolidation. In August 2018, the Company formed Revolving Mortgage Investment Trust 2018-RCR ("RCR Trust") to acquire Conforming Residential Whole Loans. The Company determined that RCR Trust was a VIE and that the Company was the primary beneficiary of the trust because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of December 31, 2019, the Company financed the trust certificate with $164.3 million of repurchase agreements, which is a liability held outside the trust. The Company classifies the underlying conforming mortgages owned by the trust in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. In May 2020, the conforming mortgages held by RCR Trust were sold and the trust was terminated. In September 2018, the Company formed Revolving Mortgage Investment Trust 2018-RNR ("RNR Trust") to acquire Non-QM Residential Whole Loans. The Company determined that RNR Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of December 31, 2019, the Company's trust certificate was financed with $8.1 million of repurchase agreements, which is a liability held outside the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. In April 2020, the RNR Trust was terminated following the transfer of the Non-QM Residential Whole Loans it held to RMI 2015 Trust. In May 2019, the Company completed a residential mortgage-backed securitization comprised of a portion of its Residential Whole Loan portfolio. During the securitization, RMI 2015 Trust and RNR Trust collectively transferred $945.5 million of Non-QM Residential Whole Loans, to a wholly-owned subsidiary of the Company, Arroyo Mortgage Trust 2019-2 ("Arroyo Trust"). The Company issued $919.0 million of mortgage-backed notes and retained all the subordinate and residual debt securities ("Owner Certificates"), which includes the required 5% eligible risk retention. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company determined that Arroyo Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in the design of the trust and the Company has significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the Arroyo Trust that could potentially be significant to the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany Owner Certificates in consolidation. In November 2019, the Company formed Revolving Mortgage Investment Trust 2019-RBR ("RBR Trust") to acquire Non-QM Residential Whole Loans. The Company determined that RBR Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of December 31, 2019, the Company's trust certificate was financed with $91.7 million of repurchase agreements, which is a liability held outside the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. In April 2020, the RBR Trust was terminated following the transfer of the Non-QM Residential Whole Loans it held to RMI 2015 Trust. In June 2020, the Company completed a residential mortgage-backed securitization comprised of a portion of its Residential Whole Loan portfolio. During the securitization, RMI 2015 Trust transferred $355.8 million of Non-QM Residential Whole Loans, to a wholly-owned subsidiary of the Company, Arroyo Mortgage Trust 2020-1 ("Arroyo Trust 2020"). The Company issued $341.7 million of mortgage-backed notes and retained all the subordinate and residual debt securities, which includes the required 5% eligible risk retention. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company determined that Arroyo Trust 2020 was a VIE and that the Company was also the primary beneficiary because the Manager was involved in the design of the trust and the Company has significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the Arroyo Trust 2020 that could potentially be significant to the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany Owner Certificates in consolidation. Residential Bridge Loan Trust In February 2017, the Company formed Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI 2017 Trust") and acquired the trust certificate, which represents the entire beneficial interest in pools of Residential Bridge Loans and certain Residential Whole Loans held by the trust. Residential Bridge Loans are mortgage loans secured by residences, typically short-term. The Company determined that RMI Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of December 31, 2020 and December 31, 2019, the Company financed the trust certificate with $13.4 million and $32.1 million, respectively, of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies both the underlying Residential Bridge Loans carried at amortized cost and the Residential Bridge Loans that it elected the fair value option in "Residential Bridge Loans" and the Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. Consolidated Residential Whole-Loan and Residential Bridge Loan Trusts The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. The three consolidated Residential Whole-Loan trusts collectively hold 2,489 Residential Whole Loans and the consolidated Bridge Loan Trust holds 25 Residential Bridge Loans and eight Residential Whole Loans as of December 31, 2020. The following table presents a summary of the assets and liabilities of the consolidated residential whole-loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 December 31, 2019 Cash and cash equivalents $ — $ 1,811 Residential Whole-Loans, at fair value ($1,008,782 and $1,375,860 pledged as collateral, at fair value, respectively) 1,008,782 1,375,860 Residential Bridge Loans ($11,858 and $31,748 at fair value and $12,960 and $34,897 pledged as collateral, respectively) 12,960 34,897 Investment related receivable 27,987 19,138 Interest receivable 4,688 7,840 Other assets 80 90 Total assets $ 1,054,497 $ 1,439,636 Securitized debt, net $ 892,290 $ 795,811 Interest payable 2,222 2,367 Accounts payable and accrued expenses 77 173 Total liabilities $ 894,589 $ 798,351 The Company's risk with respect to its investment in each residential loan trust is limited to its direct ownership in the trust. The Residential Whole Loans, Residential Bridge Loans and Commercial Loan held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The Company is not contractually required and has not provided any additional financial support to the trusts for the years ended December 31, 2020 and December 31, 2019. The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of December 31, 2020 and December 31, 2019 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 Principal balance $ 984,555 $ 1,325,443 $ 14,144 $ 34,041 $ 1,103 $ 3,155 Unamortized premium 24,248 28,588 3 79 — 6 Unamortized discount (1,799) (2,839) — (13) — (11) Amortized cost 1,007,004 1,351,192 14,147 34,107 1,103 3,150 Gross unrealized gains 9,282 26,363 5 10 N/A N/A Gross unrealized losses (7,504) (1,695) (1,339) (848) N/A N/A Fair value $ 1,008,782 $ 1,375,860 $ 12,813 $ 33,269 N/A N/A (1) These loans are classified in "Residential Bridge Loans" in the Consolidated Balance Sheets Residential Whole Loans The Residential Whole Loans have low LTV's and are comprised of 2,489 Non-QM adjustable rate mortgages and eight investor owned fixed rate mortgages. The following tables present certain information about the Company's Residential Whole Loan investment portfolio at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected Contractual Coupon 2.01 - 3.00% 4 $ 3,239 66.7 % 733 5.9 28.0 2.7 % 3.01 - 4.00% 118 41,489 55.8 % 709 3.8 23.3 3.7 % 4.01 - 5.00% 1,172 403,398 61.8 % 751 2.7 27.7 4.9 % 5.01 - 6.00% 1,166 523,105 64.2 % 740 2.9 27.7 5.4 % 6.01 - 7.00% 35 12,813 67.5 % 720 3.2 27.0 6.3 % 7.01 - 8.00% 2 511 73.2 % 753 4.1 27.6 7.1 % Total 2,497 $ 984,555 62.9 % 744 2.9 27.5 5.1 % (1) The original FICO score is not available for 236 loans with a principal balance of approximately $75.2 million at December 31, 2020. The Company has excluded these loans from the weighted average computations. December 31, 2019 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected Contractual Coupon 3.01 - 4.00% 53 $ 17,284 61.7 % 736 2.4 28.0 3.9 % 4.01 - 5.00% 1,689 557,144 61.4 % 744 2.8 28.5 4.8 % 5.01 - 6.00% 1,682 713,397 62.0 % 736 3.0 28.3 5.4 % 6.01 - 7.00% 103 37,102 54.1 % 727 3.8 25.3 6.2 % 7.01 - 8.00% 2 516 73.2 % 753 4.7 28.6 7.1 % Total 3,529 $ 1,325,443 61.5 % 739 3.0 28.3 5.2 % (1) The original FICO score is not available for 286 loans with a principal balance of approximately $94.6 million at December 31, 2019. The Company has excluded these loans from the weighted average computations. (2) Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust. The following table presents the various states across the United States in which the collateral securing the Company's Residential Whole Loans at December 31, 2020 and December 31, 2019, based on principal balance, is located (dollars in thousands): December 31, 2020 December 31, 2019 State Concentration Principal Balance State Concentration Principal Balance California 65.8 % $ 647,877 California 66.1 % $ 875,738 New York 17.7 % 173,788 New York 16.2 % 214,141 Georgia 3.4 % 33,577 Georgia 3.4 % 45,189 Florida 2.8 % 27,274 Florida 2.8 % 36,641 New Jersey 2.5 % 24,704 New Jersey 2.3 % 30,450 Other 7.8 % 77,335 Other 9.2 % 123,284 Total 100.0 % $ 984,555 Total 100.0 % $ 1,325,443 Residential Bridge Loans The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (1) Coupon 7.01 – 9.00% 10 $ 8,295 69.6 % 1.4 8.7 % 9.01 – 11.00% 15 6,123 75.5 % 0.5 10.1 % 11.01 - 13.00% 3 705 69.8 % 0.0 11.4 % 17.01 – 19.00% 1 124 75.0 % 0.0 18.0 % Total 29 $ 15,247 72.0 % 0.8 9.4 % December 31, 2019 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (1) Coupon 7.01 – 9.00% 36 $ 22,409 70.2 % 5.8 8.4 % 9.01 – 11.00% 28 9,972 74.0 % 5.6 10.1 % 11.01 – 13.00% 9 2,741 63.1 % 2.0 11.7 % 13.01 – 15.00% 1 1,125 75.0 % 0.0 13.5 % 17.01 - 19.00% 2 949 75.0 % 0.0 18.0 % Total 76 $ 37,196 71.0 % 5.6 9.5 % (1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity. The weighted average contractual maturity for these loans is zero. The following table presents the various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2020 and December 31, 2019, based on principal balance, is located (dollars in thousands): December 31, 2020 December 31, 2019 State Concentration Principal Balance State Concentration Principal Balance California 37.5 % $ 5,713 California 50.4 % $ 18,763 New York 17.3 % 2,632 Washington 13.1 % 4,863 Washington 16.1 % 2,461 New York 12.1 % 4,518 Florida 12.9 % 1,969 Florida 8.9 % 3,296 Connecticut 5.7 % 872 New Jersey 3.8 % 1,424 Other 10.5 % 1,600 Other 11.7 % 4,332 Total 100.0 % $ 15,247 Total 100.0 % $ 37,196 Non-performing Loans The following table presents the aging of the Residential Whole Loans and Bridge Loans as of December 31, 2020 (dollars in thousands): Residential Whole Loans Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value (1) Current (2) 2446 $ 953,071 $ 977,875 5 $ 2,906 $ 2,839 1-30 days delinquent 16 7,972 8,181 2 1,430 1,287 31-60 days delinquent 3 823 810 1 849 764 61-90 days delinquent 6 7,378 7,196 — — — 90+ days delinquent 26 15,311 14,720 21 10,062 9,026 Total 2,497 $ 984,555 $ 1,008,782 29 $ 15,247 $ 13,916 (1) Includes a $124 thousand loan carried at amortize cost. (2) Includes 7 loans in forbearance with unpaid principal balance of approximately $$2.4 million and 142 loans that were previously in forbearance but are currently performing under the repayment plan with unpaid principal balance of approximately $59.0 million. COVID-19 has materially disrupted business operations, resulting in significantly higher levels of unemployment or underemployment. As a result, some of its Residential Whole Loan borrowers have experienced financial hardship, making it difficult to meet their payment obligations to the Company, leading to requests for forbearance and higher levels of delinquency and potentially defaults. The Company maintains a strong relationship with its servicers and has utilized these relationships to manage the impacts of COVID-19 pandemic on the Company's Non-QM loans. As of December 31, 2020, the Company had 7 Non-QM loans in forbearance and 142 Non-QM loans in the repayment phase following forbearance. Under the forbearance agreement, the borrower can generally elect to defer the principal and interest payments for 3 months. At the end of the forbearance period, the borrower can either request an extension for payment deferral, repay the deferred principal and interest in full or over the next 9 months or capitalize the deferred principal and interest to the loan balance and calculate a new amortizatio n payment. Loans under a forbearance agreement are treated as "Current" in the above table. These loans are carried at fair value and had an unpaid principal balance of approximately $2.4 million , a fair value of $2.4 million , a weighted average original LTV of 65.3% and represent approximately 0.2% of the total outstanding principal balance of our Residential Whole Loans. Residential Whole Loans As of December 31, 2020, there were 26 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $15.3 million and a fair value of approximately $14.7 million. These nonperforming loans represent approximately 1.6% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 60.4%. As of December 31, 2019, there were 12 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $7.1 million and a fair value of approximately $6.7 million. These nonperforming loans represent approximately 0.5% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 62.1%. These loans are carried at fair value, and accordingly no allowance for credit losses or credit loss expense was recorded, since the adjustment for credit losses, if any, would be reflected in the fair value of these loans as a component of "Unrealized gain (loss), net in the Consolidated Statements of Operations. The Company stops accruing interest income for these loans when they became contractually 90 days delinquent. Residential Bridge Loans As of December 31, 2020, there was 1 Residential Bridge Loan carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $123.8 thousand and 20 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $9.9 million and a fair value of $8.9 million. These nonperforming loans represent approximately 66.0% of the total outstanding Bridge Loans principal balance of $15.2 million. These loans are collateral dependent with a weighted average original LTV of 73.0%. As of December 31, 2019, there were 27 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of $12.1 million and a fair value of $11.4 million. These nonperforming loans represented approximately 32.6% of the total outstanding Bridge Loans principal balance of $37.2 million. These loans are collateral dependent with a weighted average original LTV of 72.1%. The Company concluded that an allowance for credit losses was not necessary for loans carried at amortized costs as of and for the years ended December 31, 2020 and December 31, 2019 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. For loans carried at fair value no allowance for credit l;losses was recorded as of and for the years ended December 31, 2020 and December 31, 2019 since the valuation adjustment, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. As of December 31, 2020, the Company had real estate owned ("REO") properties with an aggregate carrying value of $1.1 million related to foreclosed Bridge Loans. The REO properties are held for sale and accordingly carried at the lower of cost or fair value less cost to sell. The REO properties are classified in "Other assets" in the Consolidated Balance Sheet. Securitized Commercial Loans Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At December 31, 2020, the Company had variable interests in two third party sponsored CMBS VIEs, RETL 2019-RVP and CSMC Trust 2014-USA, that it determined it was the primary beneficiary and was required to consolidate. The commercial loans that serve as collateral for the securitized debt issued by these VIEs can only be used to settle the securitized debt. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. CMSC Trust 2015 - Longhouse MZ In November 2015, the Company acquired a $14.0 million interest in the trust certificate issued by CSMC Trust 2015 - Longhouse MZ (“CSMC Trust”). The Company determined that CSMC Trust was a VIE and that the Company was the primary beneficiary because it was involved in certain aspects of the design of the trust, has certain oversight rights on defaulted assets and has other significant decision making powers. As the primary beneficiary, the Company was required to consolidate CSMC Trust and accordingly its investment in CSMC Trust was eliminated in consolidation. The CSMC Trust holds a mezzanine loan collateralized by interests in commercial real estate. The mezzanine loan serves as collateral for the trust certificates. In June 2020, the variable interest the Company acquired was paid off and, accordingly the CSMC Trust is no longer consolidated. RETL 2019-RVP and RETL 2018-RVP RETL 2018-RVP was refinanced with a new securitization RETL 2019-RVP ("RETL 2019 Trust") in March 2019. The Company acquired a $65.3 million interest in the trust certificates issued by the RETL 2019 Trust, including $45.3 million which represents the 5% eligible risk retention certificate. The Company determined that RETL 2019 Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company together with other related party entities own more than 50% of the controlling class. As the primary beneficiary, the Company consolidated RETL 2019 Trust and its investment in the trust certificates (HRR class and a portion of the C class) of RETL 2019 Trust were eliminated in the consolidation. The RETL 2019 Trust holds a commercial loan collateralized by first mortgages, deeds of trusts and interests in commercial real estate. The outstanding principal balance on this commercial loan is $354.2 million as of December 31, 2020. The loan's stated maturity date is March 15, 2021 (subject to the borrower's option to extend the initial stated maturity date for two successive one-year terms) and bears an interest rate of one month LIBOR plus 3.94%. As of December 31, 2020, the RETL HRR bonds are held in WMC RETL LLC, which is a wholly owned subsidiary of the Company. MRCD 2019-PRKC Mortgage Trust In December 2019, the Company acquired a $161.4 million interest in the trust certificates issued by the MRCD 2019-PRKC Mortgage Trust ("MRCD Trust"), including $10.5 million which represents the initial controlling class (HRR class). The Company determined that MRCD Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company owns the controlling class. As the primary beneficiary, the Company consolidated MRCD Trust and its investment in the trust certificates (HRR class and a portion of the A class) of MRCD Trust were eliminated in the consolidation. On March 24, 2020, the Company sold its investments in the A Class certificates of the MRCD Trust. Shortly after the sale, the Company entered into an agreement to irrevocably assign the controlling rights and appointed one of the buyers as the new Directing Holder. As a result, the assets and liabilities of the MRCD Trust were deconsolidated, since the Company no longer has the power to direct the activities that significantly impact the economic performance of the MRCD Trust. MRCD qualified as a CFE under GAAP and the Company measured both the financial assets and financial liabilities using the fair value of the financial liabilities, since it was more observable. The Company recognized an unrealized loss of $43.7 million in earnings, related to the periodic change in fair value of MRCD's assets and liabilities in March 2020, prior to deconsolidation. Also, the Company retained the HRR certificates, which were measured at fair value at the date of deconsolidation and is included in the "Non-Agency mortgage-backed securities, at fair value" in the Consolidated Balance Sheets. CSMC Trust 2014-USA The Company together with other related party entities own more than 50% of the controlling class of CSMC Trust 2014-USA ("CSMC USA"). As of December 31, 2020 , the Company held an 8.8% interest in the trust certificates issued by CSMC USA (F Class) with an outstanding principal balance of $14.9 million. The Company performs ongoing reassessment of its CMBS VIE holdings for potential consolidation of the securitized trust in which it owns a portion of the controlling class. Since the ownership of the controlling financial interest is held within a related party group, the Company must determine whether it is the primary beneficiary under the related party tie-breaker rule, which requires the evaluation of the following considerations: (1) the principal-agency relationship between parties; (2) relationship and significance of the VIE's activities to the variable interest holders; (3) variable interest holder's exposure to VIE's expected losses and (4) the design of the VIE. As a result of the Company's evaluation, it was determined that the Company is the primary beneficiary of CSMC USA, and effective on August 1, 2020, consolidated CSMC USA. The Company’s investment in the trust certificate of CSMC USA (F Class) was eliminated in the consolidation. The CSMC USA holds a commercial loan secured by a first mortgage lien on the borrowers’ fee and leasehold interests in a portion of a super-regional mall. The outstanding principal balance on this commercial loan is $1.4 billion as of December 31, 2020 . The loan's stated maturity date is September 11, 2025 and bears a fixed interest rate of 4.38%. The Company elected the fair value option for the commercial loan as well as the associated securitized debt. In December 2020, the commercial loan held by CSMC USA was amended to an interest only payment through maturity. As part of the modification a Cash Management Forbearance Agreement was entered into by Special Servicer and the borrower, that required both increased reporting requirements and monthly net cash remittance continues to be in effect. Commercial Loans In January 2019, WMC CRE LLC ("CRE LLC"), a wholly-owned subsidiary of the Company, was formed for the purpose of acquiring commercial loans. The following table presents the commercial loans held by CRE LLC as of December 31, 2020 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral Collateral Location CRE 1 June 2018 Interest-Only First Mortgage $ 30,000 $ 27,403 65% 1-Month LIBOR plus 4.50% 6/9/2021 None Hotel CA CRE 2 June 2019 Principal & Interest First Mortgage 47,219 46,776 75% 1-Month LIBOR plus 4.75% 1/11/2022 Two One-Year Extensions Nursing Facilities SC, GA CRE 3 August 2019 Interest-Only Mezzanine loan 90,000 80,291 58% 1-Month LIBOR plus 9.25% 6/29/2021 Two-Year First Extension and One-Year Second Extension Entertainment and Retail NJ CRE 4 September 2019 Interest-Only First Mortgage 40,000 39,300 63% 1-Month LIBOR plus 3.02% 8/6/2021 Two One-Year Extensions Retail CT CRE 5 December 2019 Interest-Only First Mortgage 24,535 23,887 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One-Year Extensions Hotel NY CRE 6 December 2019 Interest-Only First Mortgage 13,207 12,858 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One-Year Extensions Hotel CA CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,067 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One-Year Extensions Hotel IL CRE8 December 2019 Interest-Only First Mortgage 4,474 4,475 79% 1-Month LIBOR plus 4.85% 12/6/2022 None Assisted Living FL $ 256,694 $ 242,057 Commercial Loan Trust In March 2018, the Company formed the Revolving Small Balance Commercial Trust 2018-1 ("RSBC Trust") to acquire commercial real estate mortgage loans. The Company determined that the wholly-owned RSBC Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust and holds significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of December 31, 2020, the Company financed the trust certificate with $34.4 million of repurchase agreements, which is a liability held outside the trust. The following table presents the commercial real estate loans held by RSBC Trust as of December 31, 2020 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral Collateral Location SBC 1 July 2018 Interest-Only First Mortgage $ 45,188 $ 44,965 74% One-Month LIBOR plus 4.25% (1) 8/1/2021 One-Year Extensions Nursing Facilities MI SBC 2 January 2019 Interest-Only First Mortgage 9,200 9,179 84% One-Month LIBOR plus 4.00% (2) 12/1/2021 One-Year Extension Apartment Complex MO SBC 3 January 2019 Interest-Only First Mortgage 14,362 14,322 49% One-Month LIBOR plus 4.10% 7/1/2021 None Nursing Facilities CT $ 68,750 $ 68,466 (1) Subject to LIBOR floor of 1.25%. (2) Subject to LIBOR floor of 2.00%. Consolidated Securitized Commercial Loan Trusts and Commercial Loan Trust The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. The three consolidated trusts, RETL 2019 Trust, CSMC USA and RSBC Trust collectively hold five commercial loans as of December 31, 2020. The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 December 31, 2019 Cash $ — $ 5,778 Restricted cash 76,132 52,948 Securitized commercial loans, at fair value 1,605,335 909,040 Commercial Loans, at fair value 68,466 90,788 Interest receivable 6,248 2,989 Total assets $ 1,756,181 $ 1,061,543 Securitized debt, at fair value $ 1,553,722 $ 681,643 Interest payable 5,660 1,519 Accounts payable and accrued expenses 12 12 Other liabilities 76,132 52,948 Total liabilities $ 1,635,526 $ 736,122 The Company’s risk with respect |
Commercial Loans
Commercial Loans | 12 Months Ended |
Dec. 31, 2020 | |
Noncontrolling Interest [Abstract] | |
Commercial Loans | Residential Whole Loans and Bridge Loans Residential Whole-Loan Trust The consolidated financial statements include the consolidation of Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") since it met the definition of a VIE and the Company determined that it was the primary beneficiary of the trust because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. RMI 2015 Trust has issued a trust certificate that is wholly-owned by the Company and represents the entire beneficial interest in pools of Non-QM Residential Whole Loans held by the trust. As of December 31, 2020 and December 31, 2019, the Company financed the trust certificate with $30.2 million and $209.9 million, respectively, on long-term financing facilities. The financing liability is held outside the trust. The Company classifies the underlying Residential Whole Loans owned by the trust in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets and has eliminated the intercompany trust certificate in consolidation. In August 2018, the Company formed Revolving Mortgage Investment Trust 2018-RCR ("RCR Trust") to acquire Conforming Residential Whole Loans. The Company determined that RCR Trust was a VIE and that the Company was the primary beneficiary of the trust because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of December 31, 2019, the Company financed the trust certificate with $164.3 million of repurchase agreements, which is a liability held outside the trust. The Company classifies the underlying conforming mortgages owned by the trust in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. In May 2020, the conforming mortgages held by RCR Trust were sold and the trust was terminated. In September 2018, the Company formed Revolving Mortgage Investment Trust 2018-RNR ("RNR Trust") to acquire Non-QM Residential Whole Loans. The Company determined that RNR Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of December 31, 2019, the Company's trust certificate was financed with $8.1 million of repurchase agreements, which is a liability held outside the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. In April 2020, the RNR Trust was terminated following the transfer of the Non-QM Residential Whole Loans it held to RMI 2015 Trust. In May 2019, the Company completed a residential mortgage-backed securitization comprised of a portion of its Residential Whole Loan portfolio. During the securitization, RMI 2015 Trust and RNR Trust collectively transferred $945.5 million of Non-QM Residential Whole Loans, to a wholly-owned subsidiary of the Company, Arroyo Mortgage Trust 2019-2 ("Arroyo Trust"). The Company issued $919.0 million of mortgage-backed notes and retained all the subordinate and residual debt securities ("Owner Certificates"), which includes the required 5% eligible risk retention. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company determined that Arroyo Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in the design of the trust and the Company has significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the Arroyo Trust that could potentially be significant to the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany Owner Certificates in consolidation. In November 2019, the Company formed Revolving Mortgage Investment Trust 2019-RBR ("RBR Trust") to acquire Non-QM Residential Whole Loans. The Company determined that RBR Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of December 31, 2019, the Company's trust certificate was financed with $91.7 million of repurchase agreements, which is a liability held outside the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. In April 2020, the RBR Trust was terminated following the transfer of the Non-QM Residential Whole Loans it held to RMI 2015 Trust. In June 2020, the Company completed a residential mortgage-backed securitization comprised of a portion of its Residential Whole Loan portfolio. During the securitization, RMI 2015 Trust transferred $355.8 million of Non-QM Residential Whole Loans, to a wholly-owned subsidiary of the Company, Arroyo Mortgage Trust 2020-1 ("Arroyo Trust 2020"). The Company issued $341.7 million of mortgage-backed notes and retained all the subordinate and residual debt securities, which includes the required 5% eligible risk retention. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company determined that Arroyo Trust 2020 was a VIE and that the Company was also the primary beneficiary because the Manager was involved in the design of the trust and the Company has significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the Arroyo Trust 2020 that could potentially be significant to the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany Owner Certificates in consolidation. Residential Bridge Loan Trust In February 2017, the Company formed Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI 2017 Trust") and acquired the trust certificate, which represents the entire beneficial interest in pools of Residential Bridge Loans and certain Residential Whole Loans held by the trust. Residential Bridge Loans are mortgage loans secured by residences, typically short-term. The Company determined that RMI Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of December 31, 2020 and December 31, 2019, the Company financed the trust certificate with $13.4 million and $32.1 million, respectively, of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies both the underlying Residential Bridge Loans carried at amortized cost and the Residential Bridge Loans that it elected the fair value option in "Residential Bridge Loans" and the Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation. Consolidated Residential Whole-Loan and Residential Bridge Loan Trusts The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. The three consolidated Residential Whole-Loan trusts collectively hold 2,489 Residential Whole Loans and the consolidated Bridge Loan Trust holds 25 Residential Bridge Loans and eight Residential Whole Loans as of December 31, 2020. The following table presents a summary of the assets and liabilities of the consolidated residential whole-loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 December 31, 2019 Cash and cash equivalents $ — $ 1,811 Residential Whole-Loans, at fair value ($1,008,782 and $1,375,860 pledged as collateral, at fair value, respectively) 1,008,782 1,375,860 Residential Bridge Loans ($11,858 and $31,748 at fair value and $12,960 and $34,897 pledged as collateral, respectively) 12,960 34,897 Investment related receivable 27,987 19,138 Interest receivable 4,688 7,840 Other assets 80 90 Total assets $ 1,054,497 $ 1,439,636 Securitized debt, net $ 892,290 $ 795,811 Interest payable 2,222 2,367 Accounts payable and accrued expenses 77 173 Total liabilities $ 894,589 $ 798,351 The Company's risk with respect to its investment in each residential loan trust is limited to its direct ownership in the trust. The Residential Whole Loans, Residential Bridge Loans and Commercial Loan held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The Company is not contractually required and has not provided any additional financial support to the trusts for the years ended December 31, 2020 and December 31, 2019. The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of December 31, 2020 and December 31, 2019 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 Principal balance $ 984,555 $ 1,325,443 $ 14,144 $ 34,041 $ 1,103 $ 3,155 Unamortized premium 24,248 28,588 3 79 — 6 Unamortized discount (1,799) (2,839) — (13) — (11) Amortized cost 1,007,004 1,351,192 14,147 34,107 1,103 3,150 Gross unrealized gains 9,282 26,363 5 10 N/A N/A Gross unrealized losses (7,504) (1,695) (1,339) (848) N/A N/A Fair value $ 1,008,782 $ 1,375,860 $ 12,813 $ 33,269 N/A N/A (1) These loans are classified in "Residential Bridge Loans" in the Consolidated Balance Sheets Residential Whole Loans The Residential Whole Loans have low LTV's and are comprised of 2,489 Non-QM adjustable rate mortgages and eight investor owned fixed rate mortgages. The following tables present certain information about the Company's Residential Whole Loan investment portfolio at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected Contractual Coupon 2.01 - 3.00% 4 $ 3,239 66.7 % 733 5.9 28.0 2.7 % 3.01 - 4.00% 118 41,489 55.8 % 709 3.8 23.3 3.7 % 4.01 - 5.00% 1,172 403,398 61.8 % 751 2.7 27.7 4.9 % 5.01 - 6.00% 1,166 523,105 64.2 % 740 2.9 27.7 5.4 % 6.01 - 7.00% 35 12,813 67.5 % 720 3.2 27.0 6.3 % 7.01 - 8.00% 2 511 73.2 % 753 4.1 27.6 7.1 % Total 2,497 $ 984,555 62.9 % 744 2.9 27.5 5.1 % (1) The original FICO score is not available for 236 loans with a principal balance of approximately $75.2 million at December 31, 2020. The Company has excluded these loans from the weighted average computations. December 31, 2019 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected Contractual Coupon 3.01 - 4.00% 53 $ 17,284 61.7 % 736 2.4 28.0 3.9 % 4.01 - 5.00% 1,689 557,144 61.4 % 744 2.8 28.5 4.8 % 5.01 - 6.00% 1,682 713,397 62.0 % 736 3.0 28.3 5.4 % 6.01 - 7.00% 103 37,102 54.1 % 727 3.8 25.3 6.2 % 7.01 - 8.00% 2 516 73.2 % 753 4.7 28.6 7.1 % Total 3,529 $ 1,325,443 61.5 % 739 3.0 28.3 5.2 % (1) The original FICO score is not available for 286 loans with a principal balance of approximately $94.6 million at December 31, 2019. The Company has excluded these loans from the weighted average computations. (2) Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust. The following table presents the various states across the United States in which the collateral securing the Company's Residential Whole Loans at December 31, 2020 and December 31, 2019, based on principal balance, is located (dollars in thousands): December 31, 2020 December 31, 2019 State Concentration Principal Balance State Concentration Principal Balance California 65.8 % $ 647,877 California 66.1 % $ 875,738 New York 17.7 % 173,788 New York 16.2 % 214,141 Georgia 3.4 % 33,577 Georgia 3.4 % 45,189 Florida 2.8 % 27,274 Florida 2.8 % 36,641 New Jersey 2.5 % 24,704 New Jersey 2.3 % 30,450 Other 7.8 % 77,335 Other 9.2 % 123,284 Total 100.0 % $ 984,555 Total 100.0 % $ 1,325,443 Residential Bridge Loans The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (1) Coupon 7.01 – 9.00% 10 $ 8,295 69.6 % 1.4 8.7 % 9.01 – 11.00% 15 6,123 75.5 % 0.5 10.1 % 11.01 - 13.00% 3 705 69.8 % 0.0 11.4 % 17.01 – 19.00% 1 124 75.0 % 0.0 18.0 % Total 29 $ 15,247 72.0 % 0.8 9.4 % December 31, 2019 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (1) Coupon 7.01 – 9.00% 36 $ 22,409 70.2 % 5.8 8.4 % 9.01 – 11.00% 28 9,972 74.0 % 5.6 10.1 % 11.01 – 13.00% 9 2,741 63.1 % 2.0 11.7 % 13.01 – 15.00% 1 1,125 75.0 % 0.0 13.5 % 17.01 - 19.00% 2 949 75.0 % 0.0 18.0 % Total 76 $ 37,196 71.0 % 5.6 9.5 % (1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity. The weighted average contractual maturity for these loans is zero. The following table presents the various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2020 and December 31, 2019, based on principal balance, is located (dollars in thousands): December 31, 2020 December 31, 2019 State Concentration Principal Balance State Concentration Principal Balance California 37.5 % $ 5,713 California 50.4 % $ 18,763 New York 17.3 % 2,632 Washington 13.1 % 4,863 Washington 16.1 % 2,461 New York 12.1 % 4,518 Florida 12.9 % 1,969 Florida 8.9 % 3,296 Connecticut 5.7 % 872 New Jersey 3.8 % 1,424 Other 10.5 % 1,600 Other 11.7 % 4,332 Total 100.0 % $ 15,247 Total 100.0 % $ 37,196 Non-performing Loans The following table presents the aging of the Residential Whole Loans and Bridge Loans as of December 31, 2020 (dollars in thousands): Residential Whole Loans Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value (1) Current (2) 2446 $ 953,071 $ 977,875 5 $ 2,906 $ 2,839 1-30 days delinquent 16 7,972 8,181 2 1,430 1,287 31-60 days delinquent 3 823 810 1 849 764 61-90 days delinquent 6 7,378 7,196 — — — 90+ days delinquent 26 15,311 14,720 21 10,062 9,026 Total 2,497 $ 984,555 $ 1,008,782 29 $ 15,247 $ 13,916 (1) Includes a $124 thousand loan carried at amortize cost. (2) Includes 7 loans in forbearance with unpaid principal balance of approximately $$2.4 million and 142 loans that were previously in forbearance but are currently performing under the repayment plan with unpaid principal balance of approximately $59.0 million. COVID-19 has materially disrupted business operations, resulting in significantly higher levels of unemployment or underemployment. As a result, some of its Residential Whole Loan borrowers have experienced financial hardship, making it difficult to meet their payment obligations to the Company, leading to requests for forbearance and higher levels of delinquency and potentially defaults. The Company maintains a strong relationship with its servicers and has utilized these relationships to manage the impacts of COVID-19 pandemic on the Company's Non-QM loans. As of December 31, 2020, the Company had 7 Non-QM loans in forbearance and 142 Non-QM loans in the repayment phase following forbearance. Under the forbearance agreement, the borrower can generally elect to defer the principal and interest payments for 3 months. At the end of the forbearance period, the borrower can either request an extension for payment deferral, repay the deferred principal and interest in full or over the next 9 months or capitalize the deferred principal and interest to the loan balance and calculate a new amortizatio n payment. Loans under a forbearance agreement are treated as "Current" in the above table. These loans are carried at fair value and had an unpaid principal balance of approximately $2.4 million , a fair value of $2.4 million , a weighted average original LTV of 65.3% and represent approximately 0.2% of the total outstanding principal balance of our Residential Whole Loans. Residential Whole Loans As of December 31, 2020, there were 26 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $15.3 million and a fair value of approximately $14.7 million. These nonperforming loans represent approximately 1.6% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 60.4%. As of December 31, 2019, there were 12 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $7.1 million and a fair value of approximately $6.7 million. These nonperforming loans represent approximately 0.5% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 62.1%. These loans are carried at fair value, and accordingly no allowance for credit losses or credit loss expense was recorded, since the adjustment for credit losses, if any, would be reflected in the fair value of these loans as a component of "Unrealized gain (loss), net in the Consolidated Statements of Operations. The Company stops accruing interest income for these loans when they became contractually 90 days delinquent. Residential Bridge Loans As of December 31, 2020, there was 1 Residential Bridge Loan carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $123.8 thousand and 20 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $9.9 million and a fair value of $8.9 million. These nonperforming loans represent approximately 66.0% of the total outstanding Bridge Loans principal balance of $15.2 million. These loans are collateral dependent with a weighted average original LTV of 73.0%. As of December 31, 2019, there were 27 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of $12.1 million and a fair value of $11.4 million. These nonperforming loans represented approximately 32.6% of the total outstanding Bridge Loans principal balance of $37.2 million. These loans are collateral dependent with a weighted average original LTV of 72.1%. The Company concluded that an allowance for credit losses was not necessary for loans carried at amortized costs as of and for the years ended December 31, 2020 and December 31, 2019 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. For loans carried at fair value no allowance for credit l;losses was recorded as of and for the years ended December 31, 2020 and December 31, 2019 since the valuation adjustment, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. As of December 31, 2020, the Company had real estate owned ("REO") properties with an aggregate carrying value of $1.1 million related to foreclosed Bridge Loans. The REO properties are held for sale and accordingly carried at the lower of cost or fair value less cost to sell. The REO properties are classified in "Other assets" in the Consolidated Balance Sheet. Securitized Commercial Loans Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At December 31, 2020, the Company had variable interests in two third party sponsored CMBS VIEs, RETL 2019-RVP and CSMC Trust 2014-USA, that it determined it was the primary beneficiary and was required to consolidate. The commercial loans that serve as collateral for the securitized debt issued by these VIEs can only be used to settle the securitized debt. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. CMSC Trust 2015 - Longhouse MZ In November 2015, the Company acquired a $14.0 million interest in the trust certificate issued by CSMC Trust 2015 - Longhouse MZ (“CSMC Trust”). The Company determined that CSMC Trust was a VIE and that the Company was the primary beneficiary because it was involved in certain aspects of the design of the trust, has certain oversight rights on defaulted assets and has other significant decision making powers. As the primary beneficiary, the Company was required to consolidate CSMC Trust and accordingly its investment in CSMC Trust was eliminated in consolidation. The CSMC Trust holds a mezzanine loan collateralized by interests in commercial real estate. The mezzanine loan serves as collateral for the trust certificates. In June 2020, the variable interest the Company acquired was paid off and, accordingly the CSMC Trust is no longer consolidated. RETL 2019-RVP and RETL 2018-RVP RETL 2018-RVP was refinanced with a new securitization RETL 2019-RVP ("RETL 2019 Trust") in March 2019. The Company acquired a $65.3 million interest in the trust certificates issued by the RETL 2019 Trust, including $45.3 million which represents the 5% eligible risk retention certificate. The Company determined that RETL 2019 Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company together with other related party entities own more than 50% of the controlling class. As the primary beneficiary, the Company consolidated RETL 2019 Trust and its investment in the trust certificates (HRR class and a portion of the C class) of RETL 2019 Trust were eliminated in the consolidation. The RETL 2019 Trust holds a commercial loan collateralized by first mortgages, deeds of trusts and interests in commercial real estate. The outstanding principal balance on this commercial loan is $354.2 million as of December 31, 2020. The loan's stated maturity date is March 15, 2021 (subject to the borrower's option to extend the initial stated maturity date for two successive one-year terms) and bears an interest rate of one month LIBOR plus 3.94%. As of December 31, 2020, the RETL HRR bonds are held in WMC RETL LLC, which is a wholly owned subsidiary of the Company. MRCD 2019-PRKC Mortgage Trust In December 2019, the Company acquired a $161.4 million interest in the trust certificates issued by the MRCD 2019-PRKC Mortgage Trust ("MRCD Trust"), including $10.5 million which represents the initial controlling class (HRR class). The Company determined that MRCD Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company owns the controlling class. As the primary beneficiary, the Company consolidated MRCD Trust and its investment in the trust certificates (HRR class and a portion of the A class) of MRCD Trust were eliminated in the consolidation. On March 24, 2020, the Company sold its investments in the A Class certificates of the MRCD Trust. Shortly after the sale, the Company entered into an agreement to irrevocably assign the controlling rights and appointed one of the buyers as the new Directing Holder. As a result, the assets and liabilities of the MRCD Trust were deconsolidated, since the Company no longer has the power to direct the activities that significantly impact the economic performance of the MRCD Trust. MRCD qualified as a CFE under GAAP and the Company measured both the financial assets and financial liabilities using the fair value of the financial liabilities, since it was more observable. The Company recognized an unrealized loss of $43.7 million in earnings, related to the periodic change in fair value of MRCD's assets and liabilities in March 2020, prior to deconsolidation. Also, the Company retained the HRR certificates, which were measured at fair value at the date of deconsolidation and is included in the "Non-Agency mortgage-backed securities, at fair value" in the Consolidated Balance Sheets. CSMC Trust 2014-USA The Company together with other related party entities own more than 50% of the controlling class of CSMC Trust 2014-USA ("CSMC USA"). As of December 31, 2020 , the Company held an 8.8% interest in the trust certificates issued by CSMC USA (F Class) with an outstanding principal balance of $14.9 million. The Company performs ongoing reassessment of its CMBS VIE holdings for potential consolidation of the securitized trust in which it owns a portion of the controlling class. Since the ownership of the controlling financial interest is held within a related party group, the Company must determine whether it is the primary beneficiary under the related party tie-breaker rule, which requires the evaluation of the following considerations: (1) the principal-agency relationship between parties; (2) relationship and significance of the VIE's activities to the variable interest holders; (3) variable interest holder's exposure to VIE's expected losses and (4) the design of the VIE. As a result of the Company's evaluation, it was determined that the Company is the primary beneficiary of CSMC USA, and effective on August 1, 2020, consolidated CSMC USA. The Company’s investment in the trust certificate of CSMC USA (F Class) was eliminated in the consolidation. The CSMC USA holds a commercial loan secured by a first mortgage lien on the borrowers’ fee and leasehold interests in a portion of a super-regional mall. The outstanding principal balance on this commercial loan is $1.4 billion as of December 31, 2020 . The loan's stated maturity date is September 11, 2025 and bears a fixed interest rate of 4.38%. The Company elected the fair value option for the commercial loan as well as the associated securitized debt. In December 2020, the commercial loan held by CSMC USA was amended to an interest only payment through maturity. As part of the modification a Cash Management Forbearance Agreement was entered into by Special Servicer and the borrower, that required both increased reporting requirements and monthly net cash remittance continues to be in effect. Commercial Loans In January 2019, WMC CRE LLC ("CRE LLC"), a wholly-owned subsidiary of the Company, was formed for the purpose of acquiring commercial loans. The following table presents the commercial loans held by CRE LLC as of December 31, 2020 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral Collateral Location CRE 1 June 2018 Interest-Only First Mortgage $ 30,000 $ 27,403 65% 1-Month LIBOR plus 4.50% 6/9/2021 None Hotel CA CRE 2 June 2019 Principal & Interest First Mortgage 47,219 46,776 75% 1-Month LIBOR plus 4.75% 1/11/2022 Two One-Year Extensions Nursing Facilities SC, GA CRE 3 August 2019 Interest-Only Mezzanine loan 90,000 80,291 58% 1-Month LIBOR plus 9.25% 6/29/2021 Two-Year First Extension and One-Year Second Extension Entertainment and Retail NJ CRE 4 September 2019 Interest-Only First Mortgage 40,000 39,300 63% 1-Month LIBOR plus 3.02% 8/6/2021 Two One-Year Extensions Retail CT CRE 5 December 2019 Interest-Only First Mortgage 24,535 23,887 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One-Year Extensions Hotel NY CRE 6 December 2019 Interest-Only First Mortgage 13,207 12,858 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One-Year Extensions Hotel CA CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,067 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One-Year Extensions Hotel IL CRE8 December 2019 Interest-Only First Mortgage 4,474 4,475 79% 1-Month LIBOR plus 4.85% 12/6/2022 None Assisted Living FL $ 256,694 $ 242,057 Commercial Loan Trust In March 2018, the Company formed the Revolving Small Balance Commercial Trust 2018-1 ("RSBC Trust") to acquire commercial real estate mortgage loans. The Company determined that the wholly-owned RSBC Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust and holds significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of December 31, 2020, the Company financed the trust certificate with $34.4 million of repurchase agreements, which is a liability held outside the trust. The following table presents the commercial real estate loans held by RSBC Trust as of December 31, 2020 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral Collateral Location SBC 1 July 2018 Interest-Only First Mortgage $ 45,188 $ 44,965 74% One-Month LIBOR plus 4.25% (1) 8/1/2021 One-Year Extensions Nursing Facilities MI SBC 2 January 2019 Interest-Only First Mortgage 9,200 9,179 84% One-Month LIBOR plus 4.00% (2) 12/1/2021 One-Year Extension Apartment Complex MO SBC 3 January 2019 Interest-Only First Mortgage 14,362 14,322 49% One-Month LIBOR plus 4.10% 7/1/2021 None Nursing Facilities CT $ 68,750 $ 68,466 (1) Subject to LIBOR floor of 1.25%. (2) Subject to LIBOR floor of 2.00%. Consolidated Securitized Commercial Loan Trusts and Commercial Loan Trust The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. The three consolidated trusts, RETL 2019 Trust, CSMC USA and RSBC Trust collectively hold five commercial loans as of December 31, 2020. The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 December 31, 2019 Cash $ — $ 5,778 Restricted cash 76,132 52,948 Securitized commercial loans, at fair value 1,605,335 909,040 Commercial Loans, at fair value 68,466 90,788 Interest receivable 6,248 2,989 Total assets $ 1,756,181 $ 1,061,543 Securitized debt, at fair value $ 1,553,722 $ 681,643 Interest payable 5,660 1,519 Accounts payable and accrued expenses 12 12 Other liabilities 76,132 52,948 Total liabilities $ 1,635,526 $ 736,122 The Company’s risk with respect |
Financings
Financings | 12 Months Ended |
Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |
Financings | Financings Repurchase Agreements The Company has primarily financed its investment acquisitions with repurchase agreements. The repurchase agreements bear interest at a contractually agreed-upon rate and historically had terms ranging from one month to 18 months. The Company’s repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets. Under these repurchase agreements, the respective counterparties retain the right to determine the fair value of the underlying collateral. A reduction in the value of pledged assets normally requires the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, and is referred to as a margin call. The inability of the Company to post adequate collateral for a margin call by a counterparty, in a time frame as short as the close of the same business day, could result in a condition of default under the Company’s repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company’s financial position, results of operations and cash flows. The market disruptions surrounding COVID-19 resulted in the decline of the Company's asset values making it challenging to obtain repurchase agreement financing with favorable terms or at all. The Company's repurchase agreement counterparties have increased borrowing rates and increased haircuts. In the second quarter i n order to manage the severe market conditions and the resulting large margin demands from lenders and pressure on the Company’s liquidity, the Company entered into two longer term financing arrangements to reduce its exposure to short-term financings with daily mark to market exposure. Below is a summary of each of these financing arrangements. Residential Whole Loan Facility On April 21, 2020, the Company entered into amendments with respect to certain of its loan warehouse facilities. These amendments mainly served to convert an existing residential whole loan facility into a term facility by removing any mark to market margin requirements, and to consolidate the Company’s Non-Qualified Mortgage loans, which were previously financed by three separate, unaffiliated counterparties, into a single facility. The target advance rate under the amended and restated facility is approximately 84% of the aggregate unpaid principal balance of the loans. The original facility matured on October 20, 2021. All principal payments and income generated by the loans during the term of the facility w used to pay principal and interest on the facility. Upon the securitization or sale by the Company of any whole loan subject to this amended and restated facility, the counterparty was entitled to receive a recapture premium fee of 30% of all realized value on any whole loans above such counterparty’s amortized basis as well as an exit fee of 0.50% of the loan amount in circumstances where the counterparty was not involved in the disposition of the loans. The financing cost of this facility was reflective of the challenging market conditions, at the time, when we entered into the agreement. On June 29, 2020, the Company securitized approximately $355.8 million of the Residential Whole Loans and paid down the facility by approximately $339.4 million (see "Securitized Debt" below for additional details). As noted above part of the financing arrangements the Company agreed to pay the lender a fee of 30% of all realized value on the Residential Whole Loans above the counterparty's amortized basis upon securitization or sale. As a result of refinancing the Residential Whole Loans through a securitization, the Company accrued a premium recapture fee of approximately $20.5 million, which is payable at the maturity of the facility, and is recorded in "Financing fees" in the Consolidated Statements of Operations. On October 6, 2020 the Company entered into an amendment with respect to this residential loan warehouse facility. The amendment serves to convert the existing residential loan facility to a limited mark to market margin facility that bears an interest rate of LIBOR plus 2.75%, with a LIBOR floor of 0.25%. The target advance rate under the amended facility is 85% and the facility matures on October 5, 2021. I n connection with the amendment to the facility the Company paid $12.0 million of the premium recapture fee and the balance of $8.5 million is payable at the maturity of the amended facility, October 5, 2021. T he premium recapture fee was eliminated for investments financed under the amended facility. As of December 31, 2020 approximately $67.1 million in non QM loans remained in the facility with a borrowing amount of $30.2 million. Non-Agency CMBS and Non-Agency RMBS Facility On May 4, 2020, the Company supplemented one of its existing securities repurchase facilities to consolidate most of its CMBS and RMBS assets, which were financed by multiple counterparties, into a single term facility with limited mark to market margin requirements. Pursuant to the agreement, a margin deficit will not occur until such time as the loan to value ratio surpasses a certain threshold (the “LTV Trigger”), on a weighted average basis per asset type, calculated on a portfolio level. If this threshold is reached, the Company may elect to provide cash margin or sell certain assets to the extent necessary to lower the ratio. The term of this facility is 12 months, subject to 12 month extensions at the counterparty’s option. All interest income generated by the assets during the term of the facility will be paid to the Company no less often than monthly. Interest on the facility is due from the Company at a rate of three-month LIBOR plus 5.00% payable quarterly in arrears. Half of all principal repayments on the underlying assets will be applied to repay the obligations owed to the counterparty, with the remainder paid to the Company, unless the LTV Trigger has occurred, in which case all principal payments will be applied to repay the obligations. As of December 31, 2020, the outstanding balance under this facility was $95.1 million. Certain of the financing arrangements provide the counterparty with the right to terminate the agreement if the Company does not maintain certain equity, liquidity and leverage metrics. With the exception of one repurchase agreement for which the Company received a waiver, the Company was in compliance with the terms of such financial tests as of December 31, 2020. As of December 31, 2020, the Company had borrowings under five of its master repurchase agreements. The following table summarizes certain characteristics of the Company's repurchase agreements at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 December 31, 2019 Securities Pledged Repurchase Weighted Average Weighted Average Repurchase Weighted Average Weighted Average Short Term Borrowings: Agency CMBS $ — — % 0 $ 1,352,248 2.05 % 26 Agency RMBS 1,418 1.34 % 59 348,274 1.99 % 52 Non-Agency CMBS 10,313 2.25 % 14 190,390 3.05 % 35 Non-Agency RMBS — — % 0 30,481 3.56 % 9 Residential Whole Loans (1) 29,800 3.71 % 15 266,294 3.14 % 202 Residential Bridge Loans (1) 11,254 2.73 % 36 29,869 3.93 % 28 Commercial Loans (1) 34,375 3.32 % 75 62,746 4.04 % 28 Securitized commercial loans (1)(4) — — % 0 116,087 3.93 % 49 Membership Interest 18,844 2.90 % 29 — — % 0 Other securities 2,594 4.51 % 19 56,762 3.23 % 34 Subtotal 108,598 3.19 % 39 2,453,151 2.44 % 51 Long Term Borrowings: Non-Agency CMBS (3) 66,767 5.23 % 126 N/A N/A N/A Non-Agency RMBS 14,643 5.23 % 126 N/A N/A N/A Residential Whole Loans (1) (2) 30,224 3.00 % 278 209,878 3.55 % 1358 Commercial Loans (2) 124,937 2.17 % 287 161,848 3.88 % 590 Other Securities 13,677 5.24 % 126 N/A N/A N/A Subtotal 250,248 3.74 % 225 371,726 3.70 % 1024 Repurchase agreements borrowings $ 358,846 3.57 % 169 $ 2,824,877 2.61 % 179 Less unamortized debt issuance costs 1,923 N/A N/A 76 N/A N/A Repurchase agreements borrowings, net $ 356,923 3.57 % 169 $ 2,824,801 2.61 % 179 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation. (2) Certain Residential Whole Loans and Commercial Loans were financed under two longer term repurchase agreements. The Residential Whole facility is 18 months and the Commercial Loan facility automatically rolls until such time as they are terminated or until certain conditions of default. The weighted average remaining maturity days was calculated using expected weighted life of the underlying collateral. (3) Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation. (4) Repurchase agreement borrowings on subordinate securities owned in the consolidated securitizations are reflected in Non-Agency CMBS for the year ended December 31, 2020. At December 31, 2020 and December 31, 2019, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) December 31, 2020 December 31, 2019 1 to 29 days $ 59,856 $ 1,480,286 30 to 59 days 13,421 552,786 60 to 89 days 35,321 255,814 Greater than or equal to 90 days 250,248 535,991 Total $ 358,846 $ 2,824,877 At December 31, 2020, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands): December 31, 2020 Counterparty Amount of Collateral Weighted Average Percentage of Credit Suisse AG, Cayman Islands Branch $ 171,503 224 67.2 % Citigroup Global Markets Inc. 111,562 126 43.7 % Nomura Securities International, Inc. 36,654 64 14.4 % Collateral for Borrowings under Repurchase Agreements The following table summarizes the Company's collateral positions, with respect to its borrowings under repurchase agreements at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 December 31, 2019 Assets Accrued Assets Pledged Assets Accrued Assets Pledged Assets pledged for borrowings under repurchase agreements: Agency CMBS, at fair value $ — $ — $ — $ 1,400,230 $ 3,916 $ 1,404,146 Agency RMBS, at fair value 1,708 49 1,757 356,687 1,336 358,023 Non-Agency CMBS, at fair value (1) 152,275 649 152,924 246,797 951 247,748 Non-Agency RMBS, at fair value 25,382 160 25,542 45,816 414 46,230 Residential Whole Loans, at fair value (2) 97,566 543 98,109 529,495 3,704 533,199 Residential Bridge Loans (2) 12,960 180 13,140 34,897 471 35,368 Commercial Loans, at fair value (2) 310,523 1,850 312,373 350,213 1,855 352,068 Securitized commercial loans, at fair value (2) — — — 171,640 674 172,314 Membership interest (3) 33,690 — 33,690 — — — Other securities, at fair value 48,754 44 48,798 80,031 128 80,159 Cash (4) 1,817 — 1,817 43,499 — 43,499 Total $ 684,675 $ 3,475 $ 688,150 $ 3,259,305 $ 13,449 $ 3,272,754 (1) Includes securities eliminated upon VIE consolidation. (2) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (3) The pledged amount relates to the Company's non-controlling membership interest in its wholly owned subsidiary WMC RETL LLC, which was financed under a repurchase agreement. The membership interest is eliminated in consolidation. (4) Cash posted as collateral is included in "Due from counterparties" in the Company's Consolidated Balance Sheets. A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call. At December 31, 2020 and December 31, 2019, investments held by counterparties as security for repurchase agreements totaled approximately $682.9 million and approximately $3.2 billion, respectively. Cash collateral held by repurchase agreement counterparties at December 31, 2020 and December 31, 2019 was approximately $1.8 million and $43.5 million, respectively. Cash posted by repurchase agreement counterparties at December 31, 2020 and December 31, 2019, was approximately $320 thousand and $709 thousand, respectively. Convertible Senior Unsecured Notes As of December 31, 2020 and December 31, 2019, the Company had $175.0 million and $205.0 million aggregate principal amount, respectively, of 6.75% convertible senior unsecured notes (the "2022 Notes") outstanding through three issuances. Interest on the notes is paid semiannually. The notes are convertible into, at the Company's election, cash, shares of the Company's common stock or a combination of both, subject to the satisfaction of certain conditions and during specified periods. The conversion rate is subject to adjustment upon the occurrence of certain specified events and the holders may require the Company to repurchase all or any portion of their notes for cash equal to 100% of the principal amount of the notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the agreement. The initial conversion rate was 83.1947 of common stock per $1,000 principal amount of notes and represented a conversion price of $12.02 per share of common stock. The notes mature on October 1, 2022, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by us except during the final three months prior to maturity. On July 1, 2020, the Company issued an aggregate of 1,354,084 shares of its common stock, par value $0.01 per share (the “Common Stock”), in exchange for $5.0 million aggregate principal amount of the 2022 Notes pursuant to separate privately negotiated exchange agreements entered into on July 1, 2020 (collectively, the “Exchange Agreement”) between the Company and certain holders of the 2022 Notes. The Company did not receive any cash proceeds as a result of the Exchange Agreement, and the 2022 Notes exchanged pursuant to the Exchange Agreement were retired and cancelled. The common stock was issued in reliance upon the exemption set forth in Section 3(a)(9) of the Securities Act of 1933 for securities exchanged by the Company and an existing security holder where no commission or other remuneration is paid or given directly or indirectly by the Company for soliciting such exchange. In the fourth quarter of 2020, the Company repurchased $25.0 million aggregate principal amount of the 2022 Notes at an approximate 13% discount to par value, plus accrued and unpaid interest. Securitized Debt Commercial Mortgage-Backed Notes RETL 2019 Trust The following table summarizes RETL 2019 Trust's commercial mortgage pass-through certificates at December 31, 2020 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class B $ 502 1.7% $ 492 3/15/2021 Class C 308,400 2.3% 296,933 3/15/2021 Class X-EXT (1) N/A 1.1% 31 3/15/2021 $ 308,902 $ 297,456 (1) Class X-EXT is an interest-only class with a notional balance of $308.4 million as of December 31, 2020. At December 31, 2020, the Company owned the entire class of HRR certificates with a outstanding principal balance of $45.3 million, which is eliminated in consolidation and the remaining RETL debt with a fair value of $297.5 million is recorded in "Securitized debt, net" in the Consolidated Balance Sheets. Of the outstanding principal balance of the Securitized debt of $308.9 million, excluding the interest-only debt securities, $45.6 million is owned by related parties and $263.3 million is owned by third parties. The securitized debt of the RETL 2019 Trust can only be settled with the commercial loan, with an outstanding principal balance of approximately $354.2 million at December 31, 2020, that serves as collateral for the securitized debt and is non-recourse to the Company. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the periodic changes in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net." CSMC 2014 USA The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at December 31, 2020 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A-1 $ 120,391 3.3 % $ 120,443 9/11/2025 Class A-2 531,700 4.0 % 538,469 9/11/2025 Class B 136,400 4.2 % 137,970 9/11/2025 Class C 94,500 4.3 % 85,140 9/11/2025 Class D 153,950 4.4 % 127,092 9/11/2025 Class E 180,150 4.4 % 131,906 9/11/2025 Class F 153,600 4.4 % 99,859 9/11/2025 Class X-1 (1) n/a 0.5 % 12,794 9/11/2025 Class X-2 (1) n/a 0.4 % 2,593 9/11/2025 $ 1,370,691 $ 1,256,266 (1) Class X-1 and Class X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of December 31, 2020, respectively. At December 31, 2020, the Company owned a portion of the class F certificates with an outstanding principal balance of $14.9 million, which is eliminated in consolidation. The remaining CSMC USA debt that we elected the fair value option had a fair value of $1.3 billion, and is recorded in "Securitized debt, net" in the Consolidated Balance Sheets. Of the remaining outstanding principal balance of $1.4 billion, $208.2 million is owned by related parties and $1.2 billion is owned by third parties. The securitized debt of the CSMC USA can only be settled with the commercial loan with an outstanding principal balance of approximately $1.4 billion at December 31, 2020, that serves as collateral for the securitized debt and is non-recourse to the Company. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the periodic changes in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net." Residential Mortgage-Backed Notes Arroyo Trust 2019 In May 2019, the Company completed a residential mortgage-backed securitization comprised of $945.5 million of Non-QM Residential Whole Loans, issuing $919.0 million of mortgage-backed notes. The Company did not elect the fair value option for these notes and accordingly they are recorded at their principal balance less unamortized deferred financing costs and classified in "Securitized debt, net" in the Consolidated Balance Sheets. The following table summarizes the issued Arroyo Trust's residential mortgage pass-through certificates at December 31, 2020 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 511,623 3.3% $ 511,620 4/25/2049 Class A-2 27,414 3.5% 27,414 4/25/2049 Class A-3 43,433 3.8% 43,430 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 607,525 $ 607,519 Less: Unamortized Deferred Financing Costs N/A 4,398 Total $ 607,525 $ 603,121 The Company retained the non-offered securities in the securitization, which include the class B, Class A-IO-S and Class XS certificates. These non-offered securities were eliminated in consolidation. The securitized debt of the Arroyo Trust can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At December 31, 2020, Residential Whole Loans, with an outstanding principal balance of approximately $615.3 million, serve as collateral for the Arroyo Trust's securitized debt. The Company may redeem the offered notes on or after the earlier of (i) the three-year anniversary of the closing date or (ii) the date on which the aggregate collateral balance is 20% of the original principal balance. The notes are redeemable at their face value plus accrued interest. Arroyo Trust 2020 In June 2020, the Company completed a residential mortgage-backed securitization comprised of $355.8 million of Non-QM Residential Whole Loans, issuing $341.7 million of mortgage-backed notes. The Company did not elect the fair value option for these notes and accordingly they are recorded at their principal balance less unamortized deferred financing cost and classified in "Securitized debt, net" in the Consolidated Balance Sheets. The following table summarizes the issued Arroyo Trust 2020's residential mortgage pass-through certificates at December 31, 2020 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1A $ 222,117 1.7% $ 222,112 3/25/2055 Class A-1B 26,357 2.1% 26,357 3/25/2055 Class A-2 13,518 2.9% 13,517 3/25/2055 Class A-3 17,963 3.3% 17,963 3/25/2055 Class M-1 11,739 4.3% 11,739 3/25/2055 Subtotal $ 291,694 $ 291,688 Less: Unamortized Deferred Financing Costs N/A 2,519 Total $ 291,694 $ 289,169 The Company retained the non-offered securities in the securitization, which include the Class B, Class A-IO-S and Class XS certificates. These non-offered securities were eliminated in consolidation. The securitized debt of the Arroyo Trust 2020 can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At December 31, 2020 |
Derivative Instruments
Derivative Instruments | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | Derivative Instruments The Company's derivatives may include interest rate swaps, swaptions, options, futures contracts, TBAs, Agency and Non-Agency Interest-Only Strips that are classified as derivatives, credit default swaps and total return swaps. The following table summarizes the Company's derivative instruments at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 December 31, 2019 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Fair Notional Fair Interest rate swaps, asset Non-Hedge Derivative assets, at fair value $ — $ — $ 2,701,000 $ 3,017 Credit default swaps, asset Non-Hedge Derivative assets, at fair value 2,030 161 60,100 948 TBA securities, asset Non-Hedge Derivative assets, at fair value — — 1,000,000 1,146 Total derivative instruments, assets 161 5,111 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value — — 1,255,000 (501) Credit default swaps, liability Non-Hedge Derivative liability, at fair value 4,140 (656) 90,900 (3,795) TBA securities, liability Non-Hedge Derivative liability, at fair value — — 1,000,000 (2,074) Total derivative instruments, liabilities (656) (6,370) Total derivative instruments, net $ (495) $ (1,259) The following tables summarize the effects of the Company's derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the years ended December 31, 2020, December 31, 2019 and December 31, 2018 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return Mark-to-Market Contractual interest Total Year ended December 31, 2020 Interest rate swaps $ (262) $ (179,759) $ 262 $ (2,515) $ (1,395) $ (183,669) Interest rate swaptions 80 — — — — 80 Interest-Only Strips—accounted for as derivatives (940) — (1,096) (532) 1,324 (1,244) Credit default swaps (9,534) — — (1,834) — (11,368) TBAs (2,430) — — 928 — (1,502) Total $ (13,086) $ (179,759) $ (834) $ (3,953) $ (71) $ (197,703) Year ended December 31, 2019 Interest rate swaps $ (4,978) $ (108,169) $ 5,769 $ 5,140 $ 3,732 $ (98,506) Interest rate swaptions (332) — — — — (332) Interest-Only Strips—accounted for as derivatives — — (2,688) (508) 3,277 81 Options 1,378 — — — — 1,378 Futures contracts (12,862) — — 4,657 — (8,205) Credit default swaps (178) — — 1,029 — 851 TBAs 1,934 — — (928) — 1,006 Total $ (15,038) $ (108,169) $ 3,081 $ 9,390 $ 7,009 $ (103,727) Year ended December 31, 2018 Interest rate swaps $ 163 $ 76,979 $ 2,465 $ (5,147) $ 3,693 $ 78,153 Interest-Only Strips—accounted for as derivatives — — (3,661) (655) 4,511 195 Options (871) — — 300 — (571) Futures contracts 6,112 — — (5,285) — 827 Credit default swaps (241) — — 396 — 155 TBAs (800) — — 10 — (790) Total $ 4,363 $ 76,979 $ (1,196) $ (10,381) $ 8,204 $ 77,969 At December 31, 2020 and December 31, 2019, the Company had cash pledged as collateral for its derivatives of approximately $510 thousand and approximately $55.4 million respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets. Interest rate swaps and interest rate swaptions The Company enters into interest rate swaps and interest rate swaptions to mitigate its exposure to higher short-term interest rates in connection with its repurchase agreements. Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. Notwithstanding the foregoing, in order to manage its hedge position with regard to its liabilities, the Company on occasion will enter into interest rate swaps which involve the receipt of fixed-rate amounts from a counterparty in exchange for the Company making variable-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. The Company also enters into forward starting swaps and interest rate swaptions to help mitigate the effects of changes in interest rates on a portion of its borrowings under repurchase agreements. Interest rate swaptions provide the Company the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. The Company generally enters into MAC (Market Agreed Coupon) interest rate swaps in which it may receive or make a payment at the time of entering such interest rate swap to compensate for the out of the market nature of such interest rate swap. Similar to all other interest rate swaps, these interest rate swaps are also subject to margin requirements. The Company has not elected to account for its interest rate swaps as "hedges" under GAAP, accordingly the change in fair value of the interest rate swaps not designated in hedging relationships are recorded together with periodic net interest settlement amounts in "Gain (loss) on derivatives instruments, net" in the Consolidated Statements of Operations. Interest Rate Swaps The Company did not have any interest rate swaps in its holdings at December 31, 2020. The following tables provide additional information on the Company's fixed pay interest rate swaps and the variable pay interest rate swaps as of December 31, 2019 (dollars in thousands): December 31, 2019 Fixed Pay Interest Rate Swap Remaining Term Notional Average Fixed Pay Average Floating Receive Average 1 year or less $ 200,000 1.8 % 1.9 % 0.4 Greater than 3 years and less than 5 years 622,400 2.6 % 1.9 % 4.1 Greater than 5 years 1,728,600 2.1 % 2.0 % 8.9 Total $ 2,551,000 2.2 % 2.0 % 7.1 December 31, 2019 Variable Pay Interest Rate Swap Remaining Term Notional Amount Average Average Fixed Receive Rate Average Maturity (Years) Greater than 1 years and less than 3years $ 810,000 2.0 % 2.0 % 1.6 Greater than 3 years and less than 5 years 550,000 1.9 % 1.6 % 5.0 Greater than 5 years 45,000 1.9 % 2.3 % 19.5 Total $ 1,405,000 2.0 % 1.9 % 3.5 Interest Rate Swaptions The Company did not have any swaptions in its derivative holdings as of December 31, 2020 and December 31, 2019. Futures Contracts From time to time, the Company may enter into Eurodollar, Volatility Index, and U.S. Treasury futures. As of December 31, 2020 and December 31, 2019, the Company had no open futures contracts. To-Be-Announced Securities The Company purchased or sold TBAs during the years ended December 31, 2020 and December 31, 2019. There were no open TBA positions as of December 31, 2020. The following is a summary of the Company's TBA positions as of December 31, 2019, reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands): December 31, 2019 Notional Fair Purchase contracts, asset $ 1,000,000 $ 1,146 Purchase contracts, liability (1,000,000) (2,074) TBA securities, net $ — $ (928) The following table presents additional information about the Company's contracts to purchase and sell TBAs for the year ended December 31, 2020 (dollars in thousands): Notional Amount Settlement, Termination, Notional Amount December 31, 2019 Additions Expiration or Exercise December 31, 2020 Purchase of TBAs $ 1,000,000 $ 5,257,000 $ (6,257,000) $ — Sale of TBAs $ 1,000,000 $ 5,257,000 $ (6,257,000) $ — Interest-Only Strips The Company also invests in Interest-Only Strips. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows has been altered from that of the underlying mortgage collateral. Generally, Interest-Only Strips for which the security represents a strip off of a mortgage pass through security will be considered a hybrid instrument classified as an MBS investment in the Consolidated Balance Sheets utilizing the fair value option. Alternatively, those Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives at fair value with changes recognized in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, along with any interest received. The carrying value of these Interest-Only Strips is included in "Agency mortgage-backed securities, at fair value" in the Consolidated Balance Sheets. Credit Default Swaps |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 12 Months Ended |
Dec. 31, 2020 | |
Offsetting [Abstract] | |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company's Consolidated Balance Sheets at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 Gross Gross Net Amounts Gross Amounts Not Offset Financial Instruments (1) Cash Collateral (1) Net Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,565 $ — $ 1,565 $ (1,565) $ — $ — Derivative asset, at fair value (2) 161 — 161 (161) — — Total derivative assets $ 1,726 $ — $ 1,726 $ (1,726) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 656 $ — $ 656 $ (161) $ (495) $ — Repurchase Agreements (4) 356,923 — 356,923 (356,923) — — Total derivative liability $ 357,579 $ — $ 357,579 $ (357,084) $ (495) $ — (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, credit default swaps and futures contracts. (3) Cash collateral pledged against the Company's derivative counterparties was approximately $510 thousand as of December 31, 2020. (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $682.9 million as of December 31, 2020 . December 31, 2019 Gross Gross Net Amounts Gross Amounts Not Offset Financial Instruments (1) Cash Collateral (1) Net Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 8,665 $ — $ 8,665 $ (8,665) $ — $ — Derivative asset, at fair value (2) 5,111 — 5,111 (2,576) — 2,535 Total derivative assets $ 13,776 $ — $ 13,776 $ (11,241) $ — $ 2,535 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 6,370 $ — $ 6,370 $ (2,576) $ (2,819) $ 975 Repurchase Agreements (4) 2,824,801 — 2,824,801 (2,824,801) — — Total derivative liability $ 2,831,171 $ — $ 2,831,171 $ (2,827,377) $ (2,819) $ 975 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, credit default swaps and futures contracts. (3) Cash collateral pledged against the Company's derivative counterparties was approximately $55.4 million as of December 31, 2019. (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $3.2 billion as of December 31, 2019. |
Related Party Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2020 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Management Agreement In connection with the Company's initial public offering ("IPO") in May 2012, the Company entered into a management agreement (the "Management Agreement") with the Manager, which describes the services to be provided by the Manager and compensation for such services. The Manager is responsible for managing the Company's operations, including: (i) performing all of its day-to-day functions; (ii) determining investment criteria in conjunction with the Board of Directors; (iii) sourcing, analyzing and executing investments, asset sales and financings; (iv) performing asset management duties; and (v) performing financial and accounting management, subject to the direction and oversight of the Company's Board of Directors. Pursuant to the terms of the Management Agreement, the Manager is paid a management fee equal to 1.50% per annum of the Company's stockholders' equity (as defined in the Management Agreement), calculated and payable (in cash) quarterly in arrears. For purposes of calculating the management fee, "stockholders' equity" means the sum of the net proceeds from any issuances of the Company's equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus retained earnings, calculated in accordance with GAAP, at the end of the most recently completed fiscal quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount paid for repurchases of the Company's shares of common stock, excluding any unrealized gains or losses on our investments and derivatives and other non-cash items, (excluding OTTI) that have impacted stockholders' equity as reported in the Company's consolidated financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP and certain other non-cash charges after discussions between the Manager and the Company's independent directors and after approval by a majority of the Company's independent directors. However, if the Company's stockholders' equity for any given quarter is negative based on the calculation described above, the Manager will not be entitled to receive any management fee for that quarter. On August 3, 2016, the Company and the Manager entered into an amendment to the Management Agreement that amended the definition of "Equity" in the Management Agreement. Under the new definition, for all periods beginning on January 1, 2016, OTTI will reduce the Company's "Equity" for any completed fiscal quarter that OTTI was recognized, which in turn will reduce the Company's management fee from what would have been payable before the amendment. In addition, the Company may be required to reimburse the Manager for certain expenses as described below, and shall reimburse the Manager for the compensation paid to the Company's chief financial officer, controller and their staff. Expense reimbursements to the Manager are made in cash on a regular basis. The Company's reimbursement obligation is not subject to any dollar limitation. Because the Manager's personnel perform certain legal, accounting, due diligence tasks and other services that outside professionals or outside consultants otherwise would perform, the Manager may be paid or reimbursed for the documented cost of performing such tasks, provided that such costs and reimbursements are in amounts which are no greater than those which would be payable to outside professionals or consultants engaged to perform such services pursuant to agreements negotiated on an arm's-length basis. The Management Agreement may be amended, supplemented or modified by agreement between the Company and the Manager. The Management Agreement expires on May 16, 2022 It is automatically renewed for one year terms on each May 15th unless previously terminated as described below. The Company's independent directors review the Manager's performance and any fees payable to the Manager annually and, the Management Agreement may be terminated annually upon the affirmative vote of at least two-thirds (2/3) of the Company's independent directors, based upon: (i) the Manager's unsatisfactory performance that is materially detrimental to the Company; or (ii) the Company's determination that any fees payable to the Manager are not fair, subject to the Manager's right to prevent such termination due to unfair fees by accepting a reduction of management fees agreed to by at least two-thirds (2/3) of the Company's independent directors. The Company will provide the Manager 180 days prior notice of any such termination. Unless terminated for cause, the Company will pay the Manager a termination fee equal to three times the average annual management fee earned by the Manager during the prior 24-month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. The Company may also terminate the Management Agreement at any time, without the payment of any termination fee, with 30 days prior written notice from the Company's Board of Directors for cause, which will be determined by at least two-thirds (2/3) of the Company's independent directors, which is defined as: (i) the Manager's continued material breach of any provision of the Management Agreement (including the Manager's failure to comply with the Company's investment guidelines); (ii) the Manager's fraud, misappropriation of funds, or embezzlement against the Company; (iii) the Manager's gross negligence in the performance of its duties under the Management Agreement; (iv) the occurrence of certain events with respect to the bankruptcy or insolvency of the Manager, including an order for relief in an involuntary bankruptcy case or the Manager authorizing or filing a voluntary bankruptcy petition; (v) the Manager is convicted (including a plea of nolo contendere) of a felony; or (vi) the dissolution of the Manager. For the years ended December 31, 2020, December 31, 2019 and December 31, 2018 the Company incurred $4.5 million, $7.4 million and $8.7 million in management fees, respectively. The Manager waived the management fee in part for six months from October 2018 through March 2019 to reduce the impact of 2018 secondary public offering on earnings as the Company fully deployed the capital into its target assets. The Manger waived the management fee for three months from March 2020 through May 2020 because of the unprecedented market disruption and dislocation across fixed income markets surrounding the uncertainty related to the COVID-19 pandemic. Future waivers, if any, will be at the Manager's discretion. In addition to the management fee, the Company is also responsible for reimbursing the Manager for certain expenses paid by the Manager on behalf of the Company, as defined in the Management Agreement. For the years ended December 31, 2020, December 31, 2019 and December 31, 2018, the Company recorded expenses included in general and administrative expenses totaling approximately $1.7 million, $1.6 million and $1.5 million, respectively, related to reimbursable employee costs. Any such expenses incurred by the Manager and reimbursed by the Company, including the employee compensation expense, are typically included in the Company's general and administrative expense in the Consolidated Statements of Operations. At December 31, 2020 and December 31, 2019, approximately $3.0 million and approximately $2.0 million, respectively, for management fees incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets. In addition, at December 31, 2020 and December 31, 2019, approximately $148 thousand and approximately $181 thousand, respectively of reimbursable costs incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets. |
Share-Based Payments
Share-Based Payments | 12 Months Ended |
Dec. 31, 2020 | |
Share-based Payment Arrangement, Noncash Expense [Abstract] | |
Share-Based Payments | Share-Based Payments In conjunction with the Company's IPO and concurrent private placement, the Company's Board of Directors approved the Western Asset Mortgage Capital Corporation Equity Plan (the "Equity Plan") and the Western Asset Manager Equity Plan (the "Manager Equity Plan" and collectively the "Equity Incentive Plans"). The Equity Incentive Plans include provisions for grants of restricted common stock and other equity-based awards to the Manager, its employees and employees of its affiliates and to the Company's directors, officers and employees. The Company can issue up to 3.0% of the total number of issued and outstanding shares of its common stock (on a fully diluted basis) at the time of each award (other than any shares previously issued or subject to awards made pursuant to one of the Company's Equity Incentive Plans) under these Equity Incentive Plans. Upon the completion of the Company's most recent secondary public offering, the number of shares of common stock available under the Equity Incentive Plans increased to 1,804,258. Approximately 1,025,542 of shares have been issued under the Equity Plans with 778,716 shares available for issuance as of December 31, 2020. Under the Equity Plan, the Company made the following grants during the years ended December 31, 2020 and December 31, 2019: On March 28, 2019, the Company granted 108,000 shares of restricted common stock to the Manager under the Manager Equity Plan. One-third of the shares vested on March 28, 2020, one-third will vest on March 28, 2021 and the remaining one-third will vest on March 28, 2022. On June 6, 2019, the Company granted a total of 28,780 shares (7,195 each) of restricted common stock under the Equity Plan to the Company’s four independent directors. These restricted shares vested in full on June 6, 2020, the first anniversary of the grant date. Each of the independent directors has elected to defer the shares granted to him under the Company’s Director Deferred Fee Plan (the “Director Deferred Fee Plan”). The Director Deferred Fee Plan permits eligible members of the Company's board of directors to defer certain stock awards made under its director compensation programs. The Director Deferred Fee Plan allows directors to defer issuance of their stock awards and therefore defer payment of any tax liability until the deferral is terminated, pursuant to the election form executed each year by each eligible director. On June 19, 2020, the Company granted a total of 127,275 shares (25,455 each) of restricted common stock under the Equity Plan to the Company’s five independent directors. These restricted shares will vest in full on June 19, 2021, the first anniversary of the grant date. Each of the independent directors has elected to defer the shares granted under the Director Deferred Fee Plan. During the years ended December 31, 2020, December 31, 2019 and December 31, 2018, 67,480, 29,200 and 84,203 restricted common shares vested, respectively, including shares whose issuance has been deferred under the Director Deferred Fee Plan. The Company recognized stock-based compensation expense of approximately $699 thousand, $564 thousand and $265 thousand for the years ended December 31, 2020, December 31, 2019 and December 31, 2018, respectively. In addition, the Company had unamortized compensation expense of $619 thousand and $968 thousand for equity awards at December 31, 2020 and December 31, 2019, respectively. All restricted common shares granted, other than those whose issuance has been deferred pursuant to the Director Deferred Fee Plan, possess all incidents of ownership, including the right to receive dividends and distributions currently, and the right to vote. Dividend equivalent payments otherwise allocable to restricted common shares under the Company's Director Deferred Fee Plan are deemed to purchase additional phantom shares of the Company's common stock that are credited to each participant's deferral account. The award agreements include restrictions whereby the restricted shares cannot be sold, assigned, transferred, pledged, hypothecated or otherwise disposed of prior to the lapse of restrictions under the respective award agreement. The restrictions lapse on the unvested restricted shares awarded when vested, subject to the grantee's continuing to provide services to the Company as of the vesting date. Unvested restricted shares and rights to dividends thereon are forfeited upon termination of the grantee. The following is a summary of restricted common stock vesting dates as of December 31, 2020 and December 31, 2019, including shares whose issuance has been deferred under the Director Deferred Fee Plan: December 31, 2020 December 31, 2019 Vesting Date Shares Vesting Shares Vesting March 2020 — 36,000 June 2020 — 30,592 March 2021 36,000 36,000 June 2021 130,365 — March 2022 36,000 36,000 202,365 138,592 The following table presents information with respect to the Company's restricted stock for the years ended December 31, 2020 and December 31, 2019, including shares whose issuance has been deferred under the Director Deferred Fee Plan: December 31, 2020 December 31, 2019 Shares of Weighted Average Grant Date Fair Value (1) Shares of Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 894,289 $ 15.76 753,973 $ 16.77 Granted (2) 131,253 2.79 140,316 10.34 Outstanding at end of period 1,025,542 $ 14.10 894,289 $ 15.76 Unvested at end of period 202,365 $ 5.50 138,592 $ 10.34 (1) The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date. (2) Includes 3,978 shares and 3,536 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan for the years ended December 31, 2020 and December 31, 2019, respectively. |
Stockholders' Equity
Stockholders' Equity | 12 Months Ended |
Dec. 31, 2020 | |
Stockholders' Equity Note [Abstract] | |
Stockholders' Equity | Stockholders' Equity At-The-Market Program In March 2017, the Company entered into an equity distribution agreement with JMP Securities LLC, which was amended on June 5, 2020, under which the Company may offer and sell up to $100.0 million shares of common stock in an At-The-Market equity offering. During the year ended December 31, 2020, the Company sold 6,034,741 shares under this agreement with an average price of $3.70 per share for a total net proceeds of approximately $22.0 million. During the year ended December 31, 2019, the Company sold 299,497 shares under the agreement with an average price of $10.21 for a total net proceeds of approximately $3.0 million. Secondary Public Offerings In May 2019, the Company completed a secondary public offering in which it sold 5,000,000 shares of our common stock at a price of $10.14 per share, for net proceeds of approximately $49.3 million after subtracting underwriting commissions and offering expenses of approximately $1.4 million. The Company used the net proceeds from the offering to opportunistically invest in its target assets in accordance with its investment guidelines. Stock Repurchase Program On December 19, 2019, the Board of Directors of the Company reauthorized its repurchase program of up to 2,700,000 shares of its common stock through December 31, 2021. The previous reauthorization announced on December 21, 2017 of the Company's repurchase program of up to 2,100,000 shares of its common stock expired on December 31, 2019. Purchases made pursuant to the program will be made in the open market, in privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rules 10b5-1 and 10b-18 of the Securities and Exchange Act of 1934, as amended. The authorization does not obligate the Company to acquire any particular amount of common shares and the program may be suspended or discontinued at the Company's discretion without prior notice. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. In March 2020, the Company repurchased 100,000 shares of common stock with a weighted average price of $5.78. The repurchased stock was not retired and will be accounted for as treasury stock. Convertible Notes Exchange On July 1, 2020, the Company issued an aggregate of 1,354,084 shares of its common stock in exchange for $5.0 million aggregate principal amount of its 2022 Notes. See Note 7 - "Financings" for information related to the convertible notes agreement. Dividends To preserve liquidity, the Company suspended its first and second quarter of 2020 common stock dividends given extraordinary market volatility driven by uncertainty surrounding the COVID-19 pandemic. Starting in the third quarter of 2020, the Company resumed payment of the quarterly dividend after making progress strengthening its balance sheet and improving liquidity and earnings power of its investment portfolio. The following table presents cash dividends declared and paid by the Company on its common stock: Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2020 December 17, 2020 December 28, 2020 January 26, 2021 $ 0.06 Not yet determined (1) September 22, 2020 October 2, 2020 October 26, 2020 $ 0.05 Return of capital 2019 December 19, 2019 December 30, 2019 January 24, 2020 $ 0.31 50% Ordinary income and 50% Return of Capital (2) September 19, 2019 September 30, 2019 October 25, 2019 $ 0.31 Ordinary income June 20, 2019 July 1, 2019 July 26, 2019 $ 0.31 Ordinary income March 21, 2019 April 1, 2019 April 26, 2019 $ 0.31 Ordinary income (1) The cash distributions made on January 26, 2021, with a record date of December 28, 2020, are treated as received by stockholders on January 26, 2021 and taxable in calendar year 2021. The tax characterization of these distributions will be determined in January 2022. (2) Only 50% of the cash distributions made on January 24, 2020, with a record date of December 30, 2019, were treated as received by stockholders on December 30, 2019 and taxable in calendar year 2019 as ordinary income with the remaining 50% taxable in calendar year 2020 and treated as return of capital. |
Net Income per Common Share
Net Income per Common Share | 12 Months Ended |
Dec. 31, 2020 | |
Earnings Per Share [Abstract] | |
Net Income per Common Share | Net Income per Common Share The table below presents basic and diluted net income per share of common stock using the two-class method for the years ended December 31, 2020, December 31, 2019 and December 31, 2018 (dollars, other than shares and per share amounts, in thousands): For the year ended December 31, 2020 For the year ended December 31, 2019 For the year ended December 31, 2018 Numerator : Net income attributable to common stockholders and participating securities for basic and diluted earnings per share $ (328,354) $ 70,699 $ 26,409 Less: Dividends and undistributed earnings allocated to participating securities 36 303 138 Net income allocable to common stockholders—basic and diluted $ (328,390) $ 70,396 $ 26,271 Denominator : Weighted average common shares outstanding for basic earnings per share 57,411,384 51,278,932 43,388,810 Weighted average common shares outstanding for diluted earnings per share 57,411,384 51,278,932 43,388,810 Basic earnings per common share $ (5.72) $ 1.37 $ 0.61 Diluted earnings per common share $ (5.72) $ 1.37 $ 0.61 For the years ended December 31, 2020, December 31, 2019 and December 31, 2018, the Company excluded the effects of the convertible senior unsecured notes from the computation of diluted earnings per share since the average market value per share of the Company's common stock was below the exercise price of the convertible senior unsecured notes. For the years ended December 31, 2019 and December 31, 2018, the Company excluded the effects of the warrants from the computation of diluted earnings per share since the average market value per share of the Company’s common stock was below the exercise price of the warrants. |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders and satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income and stock ownership tests. Based on the Company's analysis of any potential uncertain income tax positions, the Company concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria as of December 31, 2020. The Company files U.S. federal and state income tax returns. As of December 31, 2020, U.S. federal tax returns filed by the Company for 2019, 2018 and 2017 and state tax returns filed for 2019, 2018, 2017, 2016 and 2015 are open for examination pursuant to relevant statutes of limitation. In the event that the Company incurs income tax related interest and penalties, the Company's policy is to classify them as a component of its provision for income taxes. Income Tax Provision Subject to the limitation under the REIT asset test rules, the Company is permitted to own up to 100% of the stock of one or more TRS. Currently, the Company owns one TRS that is taxable as a corporation and is subject to federal, state and local income tax on its net income at the applicable corporate rates. The TRS, which was formed in Delaware on July 28, 2014, is a limited liability company and a wholly-owned subsidiary of the Company. For the years ended December 31, 2020, December 31, 2019 and December 31, 2018, the Company recorded a federal and state tax provision of approximately $396 thousand, $1.1 million, and $709 thousand, respectively. The following table summarizes the Company's income tax provision for the years ended December 31, 2020, December 31, 2019 and December 31, 2018 (dollars in thousands): For the year ended December 31, 2020 For the year ended December 31, 2019 For the year ended December 31, 2018 Current Tax Provision (Benefit) Federal $ 527 $ 860 $ 709 State (452) 197 — Total Current Provision for Income Taxes, net 75 1,057 709 Deferred Provision (Benefit) for Income Taxes Federal (85) — — State 406 — — Total Deferred Benefit for Income Taxes, net 321 — — Total Income Tax Provision, net $ 396 $ 1,057 $ 709 Deferred Tax Asset and Deferred Tax Liability As of December 31, 2020 and December 31, 2019, the Company recorded a deferred tax asset of approximately $21.0 million and $8.5 million, respectively, relating to capital loss carryforward and temporary differences as a result of the timing of income recognition of certain investments held in the TRS. The capital loss carryforwards may only be recognized to the extent of capital gains. There is uncertainty as to the TRS ability to recognize capital gains in the future. As a result, the Company has concluded it is more likely than not the deferred tax asset will not be realized and has recorded a full valuation allowance. In addition, the REIT generated net operating losses ("NOLs") during the years ended December 31, 2020 and December 31, 2017, related to its swap terminations, and for its California return a portion of the NOLs is apportioned to the TRS. The Company recorded a deferred state tax asset of $19.3 million and $6.0 million in the REIT and $2.1 million and $1.3 million in the TRS as of December 31, 2020 and December 31, 2019, respectively. The TRS can carryback the NOLs generated during the years ended December 31, 2020 and December 31, 2017 to each of the two preceding years to request a refund for taxes paid. As of December 31, 2020 and December 31, 2019, the Company has concluded it is more likely than not the deferred tax asset relating to the NOLs will not be realized, with the exception of the TRS carryback to 2015, and it has recorded a combined valuation allowance of $21.4 million and $6.9 million, respectively. The Company also recorded a deferred federal tax liability of $85 thousand as of December 31, 2019 in anticipation of the receipt of the state tax refund as a result of the carryback of the California NOL. The state tax refund was received during the year ended December 31, 2020. The following tables disclose the components of the Company's deferred tax asset and deferred tax liability at December 31, 2020 and 2019 (dollars in thousands): Deferred Tax Asset December 31, 2020 December 31, 2019 Net operating loss available for carry-back and carry-forward (1) $ 21,402 $ 7,295 Net capital loss carry-forward (1) 11,966 6,775 Investments 9,061 1,719 Deferred tax asset 42,429 15,789 Allowance (42,429) (15,382) Net deferred tax asset $ — $ 407 Deferred Tax Liability December 31, 2020 December 31, 2019 Net operating loss available for carry-back and carry-forward $ — $ 85 Net deferred tax liability $ — $ 85 (1) Net operating loss available for carry-forward begin to expire in 2037. Net capital loss available for carry-forward begin to expire in 2021. Reconciliation of Tax Rate to Effective Tax Rate T he Company's effective tax rate differs from its combined federal and state income tax rate primarily due to the deduction of dividends distributions to be paid under Code Section 857(a). The reconciliation of these rates are as follows: For the year ended December 31, 2020 For the year ended December 31, 2019 Federal statutory rate 21.0 % 21.0 % State statutory rate, net of federal benefit 1.5 % (1.0) % Other — % 0.1 % Change in valuation allowance (4.4) % 3.6 % REIT earnings not subject to corporate taxes (18.2) % (22.2) % Effective Tax Rate (0.1) % 1.5 % |
Contingencies
Contingencies | 12 Months Ended |
Dec. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Contingencies | Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any material contingencies at December 31, 2020. |
Summarized Quarterly Results (u
Summarized Quarterly Results (unaudited) | 12 Months Ended |
Dec. 31, 2020 | |
Quarterly Financial Information Disclosure [Abstract] | |
Summarized Quarterly Results (unaudited) | Summarized Quarterly Results (unaudited) The following is a presentation of selected unaudited results of operations (in thousands - except per share data): Quarter Ended March 31, 2020 June 30, 2020 (1) (Revised) September 30, 2020 December 31, 2020 Net Interest Income: Interest income $ 54,846 $ 31,494 $ 43,970 $ 47,718 Interest expense 36,105 24,418 33,853 38,215 Net Interest Income 18,741 7,076 10,117 9,503 Other Income (Loss): Realized gain (loss), net 89,186 (6,960) 718 1,327 Unrealized gain (loss), net (296,111) 16,040 54,690 3,994 Gain (loss) on derivative instruments, net (189,691) (8,143) (88) 219 Other, net 461 (45) (31) (46) Other Income (Loss) (396,155) 892 55,289 5,494 Expenses: Management fee to affiliate 1,039 464 1,513 1,528 Financing fee — 20,540 — — Other operating expenses 1,000 796 1,198 (139) General and administrative expenses: Compensation expense 662 692 716 717 Professional fees 1,480 1,541 827 1,030 Other general and administrative expenses 353 772 1,138 1,040 Total general and administrative expenses 2,495 3,005 2,681 2,787 Total Expenses 4,534 24,805 5,392 4,176 Income (loss) before income taxes (381,948) (16,837) 60,014 10,821 Income tax provision (benefit) (93) 255 205 29 Net income (loss) (381,855) (17,092) 59,809 10,792 Net income attributable to non-controlling interest 2 2 2 2 Net income (loss) attributable to common stockholders and participating securities $ (381,857) $ (17,094) $ 59,807 $ 10,790 Net income (loss) per Common Share — Basic $ (7.15) $ (0.31) $ 0.98 $ 0.18 Net income (loss) per Common Share — Diluted $ (7.15) $ (0.31) $ 0.98 $ 0.18 Quarter Ended March 31, 2019 June 30, 2019 September 30, 2019 December 31, 2019 Net Interest Income: Interest income $ 52,033 $ 53,818 $ 55,652 $ 55,761 Interest expense 36,400 37,958 39,082 36,834 Net Interest Income 15,633 15,860 16,570 18,927 Other Income (Loss): Realized gain (loss), net (5,105) (8) 21,399 11,992 Other than temporary impairment (1,232) (3,295) (1,819) (2,228) Unrealized gain (loss), net 50,781 74,614 35,030 (52,896) Gain (loss) on derivative instruments, net (27,148) (71,530) (47,056) 42,007 Other, net 236 532 918 518 Other Income (Loss) 17,532 313 8,472 (607) Expenses: Management fee to affiliate 1,735 1,832 1,800 1,987 Other operating expenses 1,598 1,253 1,589 1,079 General and administrative expenses: Compensation expense 544 705 671 671 Professional fees 1,215 761 973 1,031 Other general and administrative expenses 185 530 344 441 Total general and administrative expenses 1,944 1,996 1,988 2,143 Total Expenses 5,277 5,081 5,377 5,209 Income before income taxes 27,888 11,092 19,665 13,111 Income tax provision (benefit) 12 478 (55) 622 Net income $ 27,876 $ 10,614 $ 19,720 $ 12,489 Net income per Common Share—Basic $ 0.58 $ 0.21 $ 0.37 $ 0.23 Net income per Common Share—Diluted $ 0.58 $ 0.21 $ 0.37 $ 0.23 (1) The consolidated statements of operations for the three months ended June 30, 2020 was revised during the three months ended September 30, 2020 to reflect the under accrual of interest expense in the amount of $1.5 million. |
Schedule IV - Mortgage Loans on
Schedule IV - Mortgage Loans on Real Estate | 12 Months Ended |
Dec. 31, 2020 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Schedule IV - Mortgage Loans on Real Estate | $ in thousands Description Number of Interest Maturity Periodic Payment Terms (1) Prior Face Carrying Amount of Mortgages (5) Principal Residential Whole-Loans and Bridge Loans Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $0 - $249,999 616 Hybrid ARM 3.5% to 6.4% 11/01/2041 to 02/1/2050 P&I $ — $ 97,397 $ 99,803 $ 437 Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 871 Hybrid ARM 2.7% to 6.5% 01/01/2042 to 02/1/2050 P&I — 286,860 294,282 3,352 Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 283 Hybrid ARM 2.7% to 6.3% 02/01/2042 to 02/01/2050 P&I — 159,657 163,515 2,348 Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $750,000 - $999,999 125 Hybrid ARM 3.5% to 6.4% 05/01/2043 to 02/01/2050 P&I — 101,109 103,489 790 Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,000,000 - $1,249,999 30 Hybrid ARM 3.5% to 5.6% 9/01/2043 to 02/01/2050 P&I — 31,365 31,956 989 Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 16 Hybrid ARM 3.5% to 5.6% 12/01/2041 to 01/01/2050 P&I — 21,025 21,514 — Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,500,000 and above 25 Hybrid ARM 2.7% to 6.1% 02/01/2042 to 01/01/2050 P&I — 61,014 62,306 2,658 Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $0 - $249,999 4 Variable 4.2% to 5.2% 02/01/2044 to 05/01/2044 P&I — 546 571 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 4 Variable 4% to 5.2% 04/01/2044 to 06/01/2046 P&I — 1,288 1,343 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 1 Variable 5.2% to 5.2% 04/01/2044 to 04/01/2044 P&I — 440 449 — Variable Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 2 Variable 4.2% to 5.2% 02/01/2044 to 05/01/2044 P&I — 1,314 1,389 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $0 - $249,999 163 Fixed 4.6% to 7.1% 07/01/2026 to 02/01/2050 P&I — 24,752 25,457 340 $ in thousands Description Number of Interest Maturity Periodic Payment Terms (1) Prior Face Carrying Amount of Mortgages (5) Principal Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 194 Fixed 4.2% to 7.2% 09/01/2026 to 02/01/2050 P&I — 66,638 68,391 691 Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 93 Fixed 4.6% to 6.5% 11/01/2033 to 02/01/2050 P&I — 53,733 54,964 630 Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $750,000 - $999,999 35 Fixed 2.7% to 5.9% 11/01/2033 to 02/01/2050 P&I — 29,259 29,974 805 Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,000,000 - $1,249,999 15 Fixed 4.9% to 5.9% 02/01/2048 to 01/01/2050 P&I — 16,129 16,547 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 10 Fixed 4.7% to 6.3% 02/01/2036 to 02/01/2050 P&I — 12,443 12,822 — Fixed Rate Residential Mortgage Loan Held in Securitization Trusts Original Loan Balance $1,500,000 and above 10 Fixed 4.6% to 5.7% 09/01/2048 to 02/01/2050 P&I — 19,586 20,010 2,271 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $0 - $249,999 12 Fixed 9% to 18% 12/31/2020 to 12/31/2020 Interest Only (3) — 1,373 1,101 1,268 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $250,000 - $499,999 3 Fixed 8% to 11.3% 12/31/2020 to 02/01/2021 Interest Only (3) — 1,144 1,067 771 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $500,000 - $749,999 4 Fixed 8.8% to 10% 12/31/2020 to 12/31/2020 Interest Only (3) — 2,455 2,357 1,353 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $750,000 - $999,999 7 Fixed 8.5% to 10.5% 12/31/2020 to 12/31/2020 Interest Only (3) — 6,183 5,708 2,579 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $1,000,000 - $1,249,999 1 Fixed 9% to 9% 12/31/2020 to 12/31/2020 Interest Only (3) — 1,125 1,013 1,125 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $1,250,000 - $1,499,999 1 Fixed 10.8% to 10.8% 12/31/2020 to 12/31/2020 Interest Only (3) — 1,295 1,165 1,295 Fixed Rate Residential Bridge Loans Held in Securitization Trusts Original Loan Balance $1,500,000 and above 1 Fixed 8.5% to 8.5% 12/31/2020 to 12/31/2020 Interest Only (3) — 1,672 1,505 1,672 Total Residential Whole-Loans and Bridge Loans $ — $ 999,802 $ 1,022,698 $ 25,374 Western Asset Mortgage Capital Corporation and Subsidiaries Schedule IV Mortgage Loans on Real Estate As of December 31, 2020 $ in thousands Description Number of Interest Maturity Periodic Payment Terms (1) Prior Face Carrying Amount of Mortgages (5) Principal Commercial Loans Commercial Loan Held in Securitization Trust Original Loan Balance $45,187,500 1 LIBOR + 4.25% 08/06/2021 Interest Only (4) $ — $ 45,188 $ 44,965 $ — Commercial Loan Held in Securitization Trust Original Loan Balance $13,600,000 1 LIBOR + 4.00% 11/30/2021 Interest Only (4) — 9,200 9,179 — Commercial Loan Held in Securitization Trust Original Loan Balance $32,000,000 1 LIBOR + 4.10% 07/06/2021 Interest Only (4) $ — $ 14,362 $ 14,322 $ — Commercial Loan Original Loan Balance $30,000,000 1 LIBOR + 4.5% 06/09/2020 Interest Only (4) — 30,000 27,403 30,000 Commercial Loan Original Loan Balance $50,000,000 1 LIBOR + 4.75% 01/11/2024 Interest Only (4) — 47,219 46,776 — Commercial Loan Original Loan Balance $90,000,000 1 LIBOR + 9.25% 06/29/2024 Interest Only (4) — 90,000 80,291 — Commercial Loan Original Loan Balance $40,000,000 1 LIBOR + 3.02% 08/09/2023 Interest Only (4) — 40,000 39,300 — Commercial Loan Original Loan Balance $13,206,521 1 LIBOR + 3.75% 11/06/2024 Interest Only (4) — 13,207 12,858 — Commercial Loan Original Loan Balance $24,534,783 1 LIBOR + 3.75% 11/06/2024 Interest Only (4) — 24,535 23,887 — Commercial Loan Original Loan Balance $7,258,696 1 LIBOR + 3.75% 11/06/2024 Interest Only (4) — 7,259 7,067 — Commercial Loan Original Loan Balance $4,425,400 1 LIBOR + 4.85% 12/06/2022 Interest Only (4) — 4,474 4,475 — Total Commercial Loans $ — $ 325,444 $ 310,523 $ 30,000 Securitized Commercial Loans Commercial Loan Held in Securitization Trust Original Loan Balance $900,000,000 1 LIBOR + 8.50% 03/09/2021 Interest Only (4) — 354,202 339,384 — Commercial Loan Held in Securitization Trust Original Loan Balance $1,400,000,000 1 Fixed 4.37% 09/15/2025 Interest Only (4) — 1,385,591 1,265,951 — Total Securitized Commercial Loans $ — $ 1,739,793 $ 1,605,335 $ — Total Residential and Commercial Loans $ — $ 3,065,039 $ 2,938,556 $ 55,374 (1) Principal and interest ("P&I") (2) Interest only payments for initial 2 years. After 2 years, monthly P&I payments are based on an 2 years amortization schedule and a balloon payment is due on the maturity date. (3) Residential Bridge Loans are mainly interest only loans with a balloon payment at maturity. (4) The borrower may prepay the commercial loan in whole or in part at any time in accordance with the terms of the loan agreement. (5) The carrying value of the reflects the fair value of the mortgage loans. Reconciliation of Carrying Value of Mortgage Loans on Real Estate: 2020 2019 2018 Beginning balance $ 2,691,532 $ 2,493,238 $ 368,972 Additions during period: New mortgage loans 113,340 2,042,587 2,901,479 Unrealized gains — 21,291 631 Capitalized interest 829 — — Mortgage loan of consolidated VIE 1,245,287 — — Deductions during period: Collections of principal 713,854 1,853,630 769,605 Transfer to REO 419 5,029 143 Amortization of premium and (discounts), net (4,805) 5,247 5,692 Unrealized losses 97,089 1,191 2,356 Sales of mortgage loans 144,259 — — Realized losses 10,812 487 48 Mortgage loan of deconsolidated VIE 150,804 — — Balance at end of period $ 2,938,556 $ 2,691,532 $ 2,493,238 |
Basis of Presentation and Sum_2
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | Basis of Presentation and Consolidation The accompanying financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America ("GAAP"). The consolidated financial statements include the accounts of the Company, its wholly -owned subsidiaries and variable interest entities ("VIEs") in which it is considered the primary beneficiary. All intercompany amounts between the Company and its subsidiaries and consolidated VIEs have been eliminated in consolidation. |
Variable Interest Entity | Variable Interest Entities VIEs are defined as entities that by design either lack sufficient equity for the entity to finance its activities without additional subordinated financial support or are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses or the right to receive benefits of the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes: first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers are deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests. This assessment requires the Company to apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. In instances where the Company and its related parties have variable interests in a VIE, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed. If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group as a whole meets these two criteria, the determination of primary beneficiary within the related party group requires significant judgment. The analysis is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related-party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required. |
Use of Estimates | Use of Estimates The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Actual results could differ from those estimates. |
Earnings (Loss) per share | Earnings (Loss) Per Share GAAP requires use of the two-class method in computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company’s participating securities are not allocated a share of the net loss, as the participating securities do not have a contractual obligation to share in the net losses of the Company. The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of weighted average outstanding common shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes the weighted average outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares. |
Offering Costs | Offering Costs |
Cash and Cash Equivalents | Cash and Cash Equivalents The Company considers all highly liquid short-term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit. |
Valuation of financial instruments | Valuation of Financial Instruments The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). ASC 820, "Fair Value Measurement and Disclosures" establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. ASC 820 further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows: Level I — Quoted prices in active markets for identical assets or liabilities. Level II — Quoted prices for similar assets and liabilities 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 III — Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable, for example, when there is little or no market activity for an investment at the end of the period, unobservable inputs may be used. The level in the fair value hierarchy within which a fair value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. Refer to Note 3 - "Fair Value of Financial Instruments." |
Mortgage-Backed Securities and Other Securities | Mortgage-Backed Securities and Other Securities The Company's mortgage-backed securities and other securities portfolio primarily consisted of Agency CMBS, Non-Agency CMBS, Agency RMBS, Non-Agency RMBS, ABS and other real estate related securities. These investments are recorded in accordance with ASC 320, “Investments - Debt and Equity Securities” and ASC 325-40, “Beneficial Interests in Securitized Financial Assets.” The Company has chosen to elect the fair value option pursuant to ASC 825, “Financial Instruments” for its mortgage-backed securities and other securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Operations as a component of “Unrealized gain (loss), net.” As of January 1, 2020, the Company has adopted ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments ("CECL") in the first quarter of 2020. The standard significantly changes how entities measure credit losses for most financial assets and certain other instruments that are not measured at fair value through the income statement. The standard replaced the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. Since the Company elected the Fair Value Option for its mortgage-backed securities and other securities, the Company does not apply the expected loss model instead the Company records changes in fair value of these investment in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net." If the Company purchases securities with evidence of credit deterioration, it will analyze to determine if the guidance in ASU 2016-13, "Financial Instruments - Credit Losses, is applicable. |
Residential Whole-Loans, Residential Bridge Loans, Securitized Commercial Loans, Commercial Loans | Residential Whole Loans Investments in Residential Whole Loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs." The Company has chosen to elect the fair value option pursuant to ASC 825 for our entire Residential Whole-Loan portfolio. Residential Whole Loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net." All other costs incurred in connection with acquiring Residential Whole Loans or committing to purchase these loans are charged to expense as incurred. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. The Company does not record an allowance for credit losses under ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments because it has elected the fair value option. Residential Bridge Loans For the Bridge Loans acquired prior to October 25, 2017, the Company did not elect the fair value option pursuant to ASC 825. These loans are recorded at their principal amount outstanding, net of any premium or discount. Commencing with purchases on October 25, 2017, the Company decided to elect the fair value option pursuant to ASC 825 to be consistent with the accounting of its' other investments, which are all carried at fair value. These loans are recorded at fair value with periodic changes in fair market value being recorded in earnings as a component of "Unrealized gain (loss), net." All other costs incurred in connection with acquiring the Residential Bridge Loans or committing to purchase these loans are charged to expense as incurred. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. The Company evaluates each of its Residential Bridge Loans on a quarterly basis. These loans are individually specific as they relate to the borrower, collateral type, interest rate, LTV and term as well as geographic location. The Company evaluates the collectability of both principal and interest of each loan. When a loan is impaired, the impairment is then measured based on fair value of the collateral less cost to sell, since these loans are collateral dependent. For loans the Company did not elect the fair value option, upon measurement of impairment, the Company records an allowance for credit losses to reduce the carrying value of the loan with a corresponding charge to earnings. Significant judgments are required in determining impairment, including assumptions regarding the value of the loan, the value of the underlying collateral and other provisions such as guarantees. The Company does not record an allowance for credit losses for the Residential Bridge Loans under ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments that it has elected the fair value option. Securitized Commercial Loans Securitized commercial loans are comprised of commercial loans of consolidated variable interest entities which were sponsored by third parties. These loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs." The Company has chosen to elect the fair value option pursuant to ASC 825. Accordingly, these loans are recorded at fair value with periodic changes in fair value being recorded in earnings as a component of "Unrealized gain (loss), net." The securitized commercial loans are typically collateralized by commercial real estate. As a result, the Company regularly evaluates the extent and impact of any credit migration associated with the performance and/or value of the underlying collateral property as well as the financial and operating capability of the borrower on a loan by loan basis. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. The Company does not record an allowance for credit losses under ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments because it has elected the fair value option. Commercial Loans Investments in Commercial Loans, which are comprised of first lien commercial mortgage loans and commercial mezzanine loans, are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs." The Company has |
Interest Income Recognition | Interest Income Recognition Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase Interest income on mortgage-backed and other securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. The Company records interest income in accordance with ASC subtopic 835-30 "Imputation of Interest," using the effective interest method. As such premiums and discounts associated with Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, are amortized into interest income over the estimated life of such securities. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and, as a result, if the projected prepayment speed increases, the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if projected prepayment speeds decrease, the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization. Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives Interest income on Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are also recognized in accordance with ASC 835, using the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company’s observation of the then current information and events, where applicable, and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the underlying collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities. The Company adopted ASU 2016-13 beginning January 1, 2020. The ASU requires a company to measure credit loss using an expected credit loss model. The Company has elected the fair value option for its investments and as such does not apply the expected loss model instead the Company records changes in fair value of these investment in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net." For the purposes of calculating interest income, to ensure that a projected credit loss of a security does not impact the effective yield and F interest income the Company maintains a “shadow allowance” account. The Company uses the shadow allowance to create a management basis. The management basis which is the difference between the net present value of projected cash flows less shadow allowance amount. The shadow allowance and the management basis are operational accounts that are used solely for the purposes of determining and calculating accretable yield and accretable book value and are not recorded in the Company's consolidated financial statements. The management basis is limited to a fair market value of the investment. Actual realized loss on a security is recorded as a reduction in both the management basis and the amortized cost basis. Interest income is computed using the amortized basis as the reference amount and applying the yield calculated using management basis. Loan Portfolio Interest income on the Company's residential loan portfolio and commercial loan portfolio is recorded using the effective interest method based on the contractual payment terms of the loan. Any premium amortization or discount accretion will be reflected as a component of "Interest income" in the Consolidated Statements of Operations. |
Purchases and Sales of Investments | Purchases and Sales of Investments The Company accounts for a contract for the purchase or sale of securities, or other securities that do not yet exist on a trade date basis, which it intends to take possession and thus recognizes the acquisition or disposition of the securities at the inception of the contract. |
Due From Counterparties/Due To Counterparties | Due From Counterparties / Due To Counterparties "Due from counterparties" represents cash posted by the Company with its counterparties as collateral for the Company’s interest rate and/or futures contracts, repurchase agreements, and TBAs. "Due to counterparties" represents cash posted with the Company by its counterparties as collateral under the Company’s interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Included in "Due from counterparties" and/or "Due to counterparties" are daily variation margin settlement amounts with counterparties which are based on the price movement of the Company’s futures contracts. Daily variation margin on only the Company's centrally cleared derivatives was treated as a settlement and classified as either "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. In addition, as provided below, "Due to counterparties" may include non-cash collateral in which the Company has the obligation to return and which the Company has either sold or pledged. To the extent the Company receives collateral other than cash from its counterparties, such assets are not included in the Company’s Consolidated Balance Sheets. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability are reflected in the Consolidated Balance Sheets. |
Derivatives and Hedging Activities | Derivatives and Hedging Activities Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company as part of its hedging strategy, we may enter into interest rate swaps, including forward starting swaps, interest rate swaptions, U.S. Treasury options, Eurodollar, Volatility Index and U.S, Treasury futures, TBAs, total return swaps, credit default swaps and forwards to hedge the interest rate and currency risk associated with its portfolio and related borrowings. Derivatives, subject to REIT requirements, are used for hedging purposes rather than speculation. The Company determines the fair value of its derivative positions and obtains quotations from third parties, including the Chicago Mercantile Exchange or CME, to facilitate the process of determining such fair values. The Company does not necessarily seek to hedge all such risks. In addition, if the Company’s hedging activities do not achieve the desired results, reported earnings may be adversely affected. GAAP requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative. The fair value adjustment will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a for hedge for accounting purposes and if so, the nature of the hedging activity. The Company elected not to apply hedge accounting for its derivative instruments. Accordingly, the Company records the change in fair value of its derivative instruments, which includes net interest rate swap payments/receipts (including accrued amounts) and net currency payments/receipts (including accrued amounts) related to interest rate swaps and currency swaps, respectively, in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. In January 2017, the CME amended its rulebooks to legally characterize variation margin payments and receipts for over-the-counter derivatives they clear as settlements of the derivatives' exposure rather than collateral against exposure. As a result of the change in legal characterization, effective January 1, 2017, variation margin is no longer classified as collateral in the Consolidated Balance Sheets in either "Due from counterparties" or "Due to counterparties," but rather a component of the respective "Derivative asset, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. The variation margin is now considered partial settlements of the derivative contract and will result in realized gains or losses which prior to January 1, 2017 were classified as unrealized gains or losses on derivatives. Prior to the CME rulebook change variation margin was included in financing activities in the Company's Consolidated Statement of Cash Flows in either "Due from counterparties, net" or "Due to counterparties, net." Commencing in January 2017, cash postings for variation margin are included in operating activities in the Consolidated Statements of Cash Flows. In the Company’s Consolidated Statements of Cash Flows, premiums received or paid on termination of its interest rate swaps are included in cash flows from operating activities. Notwithstanding the foregoing, proceeds and payments on settlement of swaptions, futures contracts and TBAs are included in cash flows from investing activities. Proceeds and payments on settlement of forward contracts are reflected in cash flows from financing activities in the Company’s Consolidated Statements of Cash Flows. For Agency and Non-Agency Interest-Only Strips accounted for as derivatives, the purchase, sale and recovery of basis activity is included with MBS and other securities under cash flows from investing activities in the Company’s Consolidated Statements of Cash Flows. The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows have been altered from that of the underlying mortgage collateral. Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives. The carrying value of the Agency and Non-Agency Interest-Only Strips, accounted for as derivatives, is included in "Mortgage-backed securities and other securities, at fair value" in the Consolidated Balance Sheets. The carrying value of interest rate swaptions, currency forwards, futures contracts and TBAs is included in "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. Interest earned or paid along with the change in fair value of these instruments accounted for as derivatives is recorded in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. |
Repurchase Agreements and Reverse Repurchase Agreements | Repurchase Agreements and Reverse Repurchase Agreements Investments sold under repurchase agreements are treated as collateralized financing transactions, unless they meet all the criteria for sales treatment. Securities financed through a repurchase agreement remain in the Company's Consolidated Balance Sheets as assets and cash received from the lender is recorded in the Company's Consolidated Balance Sheets as a liability. Interest payable in accordance with repurchase agreements is recorded as "Accrued interest payable" in the Consolidated Balance Sheets. Interest paid (including accrued amounts) in accordance with repurchase agreements is recorded as interest expense. The Company may borrow securities under reverse repurchase agreements to deliver a security owned and sold by the Company but pledged to a different counterparty under a separate repurchase agreement when in the Manager’s view terminating the outstanding repurchase agreement is not in the Company’s best interest. Cash paid to the borrower is recorded in the Company’s Consolidated Balance Sheets as an asset. Interest receivable in accordance with reverse repurchase agreements is recorded as accrued interest receivable in the Consolidated Balance Sheets. The Company reflects all proceeds on reverse repurchase agreement and repayment of reverse repurchase agreement, on a net basis in the Consolidated Statements of Cash Flows. Upon sale of a pledged security, the Company recognizes an obligation to return the borrowed security in the Consolidated Balance Sheet in "Due to counterparties." The Company establishes haircuts to ensure the market value of the underlying asset remains sufficient to protect the Company in the event of default by the counterparty. Realized gains and losses associated with the sale of the security are recognized in "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Cash Flows. |
Convertible Senior Unsecured Notes | Convertible Senior Unsecured Notes Convertible senior unsecured notes include unsecured convertible debt that is carried at its unpaid principal balance, net of any unamortized deferred issuance costs, in the Company’s Consolidated Balance Sheets. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. ASC 470-20 "Debt-Debt with Conversion and Other Options" requires that convertible debt instruments with cash settlement features, including partial cash settlement, account for the liability component and equity component (conversion feature) of the instrument separately. The initial value of the liability component will reflect the present value of the discounted cash flows using the nonconvertible debt borrowing rate at the time of issuance. The debt discount represents the difference between the proceeds received from the issuance and the initial carrying value of the liability component, which is accreted back to the notes principal amount through interest expense over the life of the notes. |
Share-based compensation | Share-based Compensation |
Income taxes | Income Taxes The Company operates and has elected to be taxed as a REIT commencing with its taxable year ended December 31, 2012. Accordingly, the Company will generally not be subject to corporate U.S. federal or state income tax to the extent that the Company makes qualifying distributions to stockholders, and provided that the Company satisfies, on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, the Company will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the Company lost its REIT qualification. Accordingly, the failure to qualify as a REIT could have a material adverse impact in the Company’s results of operations and amounts available for distribution to stockholders. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. The dividends paid deduction for qualifying dividends paid to stockholders is computed using the Company’s taxable income as opposed to net income reported in the Consolidated Statements of Operations. Taxable income, generally, will differ from net income reported in the Consolidated Statements of Operations because the determination of taxable income is based on tax regulations and not GAAP. From time to time the Company may create and elect to treat certain subsidiaries as Taxable REIT Subsidiaries ("TRS"). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A domestic TRS is subject to U.S. federal, state and local corporate income taxes, and its value, along with all other TRS's, may not exceed 20% of the value of the Company. If the TRS generates net income it may declare dividends to the Company, which will be included in the Company’s taxable income and necessitate a distribution to its stockholders. Conversely, if the Company retains earnings at the TRS level, no distribution is required and it can increase book equity of the consolidated entity. As of December 31, 2020, the Company has a single wholly-owned subsidiary which it has elected to treat as a domestic TRS. Current and deferred taxes are recorded on earnings (losses) recognized by the Company's TRS. Deferred income tax assets and liabilities are calculated based upon temporary differences between the Company's U.S. GAAP consolidated financial statements and the federal and state basis of assets and liabilities as of the Consolidated Balance Sheet date. The Company evaluates the realizability of its deferred tax assets and recognizes a valuation allowance if, based on available evidence, it is more likely than not that some or all of its deferred tax assets will not be realized. In evaluating the realizability of the deferred tax asset, the Company will consider the expected future taxable income, existing and projected book to tax differences as well as tax planning strategies. This analysis is inherently subjective, as it is based on forecasted earning and business and economic activity. Changes in estimates of deferred tax asset realizability, if any, are included in "Income tax provision (benefit)" in the Consolidated Statements of Operations. |
Comprehensive Income (Loss) | Comprehensive Income (Loss) The Company has none of the components of comprehensive income (loss) and therefore comprehensive income (loss) is not presented. |
Recently adopted accounting pronouncements | Recently adopted accounting pronouncements Description Adoption Date Effect on Financial Statements In June 2016, the FASB issued ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This standard significantly changes how an entity will measure credit losses for most financial assets and certain other instruments that aren't measured at fair value through the income statement. The standard will replace the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. For available for sale debt securities, entities will be required to record an allowance rather than reduce the carrying amount, as is currently done under the other than temporary impairment model. It also simplifies the accounting model for purchased credit impaired debt securities and loans. In November 2018, the FASB issued ASU 2018-19, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses." This update was issued related to ASU 2016-13 to increase the stakeholders' awareness of the amendments to scope and transition and effective date requirements and to expedite the improvements. In November 2019, the FASB issued ASU 2019-11, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses." The amendments in this update clarify or address stakeholders' specific issues about certain aspects of the amendments in Update 2016-13. First quarter 2020. The adoption of this standard did not have a material impact on its consolidated financial statements. In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820), Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement." The amendments in this update modify the disclosure requirements on fair value measurements including the consideration of costs and benefits. First quarter 2020. The adoption of this standard did not have a material impact on its consolidated financial statements. In April 2019, the FASB issued ASU 2019-04, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments." The amendments in this update represent changes to clarify, correct errors in, or improve the Codification. The amendments should make the Codification easier to understand and easier to apply by eliminating inconsistencies and providing clarification. First quarter 2020. The adoption of this standard did not have a material impact on its consolidated financial statements. In May 2019, the FASB issued ASU 2019-05, "Financial Instruments-Credit Losses (Topic 326)." The amendments in this Update provide entities that have certain instruments within the scope of Subtopic 326-20 with an option to irrevocably elect the fair value option in the Subtopic 825-10, Financial Instruments-Overall, upon adoption of Topic 326. An entity that elects the fair value option should subsequently apply the guidance in Subtopic 820-10, Fair Value Measurement-Overall, and 825-10. First quarter 2020. The adoption of this standard did not have a material impact on its consolidated financial statements. Recently issued accounting pronouncements Description Effective Date Effect on Financial Statements In January 2020, the FASB issued ASU 2020-01, “Investments-Equity Securities (Topic 321), Investment-Equity Method and Joint Ventures (Topic 323, and Derivatives and Hedging (Topic 815).” The amendments in this Update clarify the interaction of the accounting for equity securities under Topic 321 and investments accounted for under the equity method of accounting in Topic 323 and the accounting for certain forward contracts and purchase options accounted for under Topic 815. First quarter 2021. The Company is evaluating the impact this standard may have on its consolidated financial statements. In March 2020, the FASB issued ASU 2020-04, “Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” The amendments in this Update provide optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this Update apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. March 12, 2020 through December 31, 2022 The Company is evaluating the impact this standard may have on its consolidated financial statements. In August 2020, the FASB issued ASU 2020-06, “Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging— Contracts in Entity’s Own Equity (Subtopic 815-40).” The amendments in this Update affect entities that issue convertible instruments and/or contracts in an entity’s own equity. For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed. First quarter 2022. The Company is evaluating the impact this standard may have on its consolidated financial statements. |
Basis of Presentation and Sum_3
Basis of Presentation and Summary of Significant Accounting Policies Basis of Presentation and Summary of Significant Accounting Policies (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Schedule of New Accounting Pronouncements and Changes in Accounting Principles | Recently adopted accounting pronouncements Description Adoption Date Effect on Financial Statements In June 2016, the FASB issued ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This standard significantly changes how an entity will measure credit losses for most financial assets and certain other instruments that aren't measured at fair value through the income statement. The standard will replace the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. For available for sale debt securities, entities will be required to record an allowance rather than reduce the carrying amount, as is currently done under the other than temporary impairment model. It also simplifies the accounting model for purchased credit impaired debt securities and loans. In November 2018, the FASB issued ASU 2018-19, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses." This update was issued related to ASU 2016-13 to increase the stakeholders' awareness of the amendments to scope and transition and effective date requirements and to expedite the improvements. In November 2019, the FASB issued ASU 2019-11, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses." The amendments in this update clarify or address stakeholders' specific issues about certain aspects of the amendments in Update 2016-13. First quarter 2020. The adoption of this standard did not have a material impact on its consolidated financial statements. In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820), Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement." The amendments in this update modify the disclosure requirements on fair value measurements including the consideration of costs and benefits. First quarter 2020. The adoption of this standard did not have a material impact on its consolidated financial statements. In April 2019, the FASB issued ASU 2019-04, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments." The amendments in this update represent changes to clarify, correct errors in, or improve the Codification. The amendments should make the Codification easier to understand and easier to apply by eliminating inconsistencies and providing clarification. First quarter 2020. The adoption of this standard did not have a material impact on its consolidated financial statements. In May 2019, the FASB issued ASU 2019-05, "Financial Instruments-Credit Losses (Topic 326)." The amendments in this Update provide entities that have certain instruments within the scope of Subtopic 326-20 with an option to irrevocably elect the fair value option in the Subtopic 825-10, Financial Instruments-Overall, upon adoption of Topic 326. An entity that elects the fair value option should subsequently apply the guidance in Subtopic 820-10, Fair Value Measurement-Overall, and 825-10. First quarter 2020. The adoption of this standard did not have a material impact on its consolidated financial statements. Recently issued accounting pronouncements Description Effective Date Effect on Financial Statements In January 2020, the FASB issued ASU 2020-01, “Investments-Equity Securities (Topic 321), Investment-Equity Method and Joint Ventures (Topic 323, and Derivatives and Hedging (Topic 815).” The amendments in this Update clarify the interaction of the accounting for equity securities under Topic 321 and investments accounted for under the equity method of accounting in Topic 323 and the accounting for certain forward contracts and purchase options accounted for under Topic 815. First quarter 2021. The Company is evaluating the impact this standard may have on its consolidated financial statements. In March 2020, the FASB issued ASU 2020-04, “Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” The amendments in this Update provide optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this Update apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. March 12, 2020 through December 31, 2022 The Company is evaluating the impact this standard may have on its consolidated financial statements. In August 2020, the FASB issued ASU 2020-06, “Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging— Contracts in Entity’s Own Equity (Subtopic 815-40).” The amendments in this Update affect entities that issue convertible instruments and/or contracts in an entity’s own equity. For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed. First quarter 2022. The Company is evaluating the impact this standard may have on its consolidated financial statements. |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Schedule of the entity's financial instruments carried at fair value based upon the balance sheet by the valuation hierarchy | The following tables present the Company's financial instruments carried at fair value as of December 31, 2020 and December 31, 2019, based upon the valuation hierarchy (dollars in thousands): December 31, 2020 Fair Value Assets Level I Level II Level III Total Agency RMBS $ — $ — $ 143 $ 143 Agency RMBS Interest-Only Strips — — 1,565 1,565 Subtotal Agency MBS — — 1,708 1,708 Non-Agency CMBS — 155,093 8,988 164,081 Non-Agency RMBS — — 21,416 21,416 Non-Agency RMBS Interest-Only Strips — — 3,965 3,965 Subtotal Non-Agency MBS — 155,093 34,369 189,462 Other securities — 40,161 8,593 48,754 Total mortgage-backed securities and other securities — 195,254 44,670 239,924 Residential Whole Loans — — 1,008,782 1,008,782 Residential Bridge Loans — — 12,813 12,813 Commercial loans — — 310,523 310,523 Securitized commercial loans — — 1,605,335 1,605,335 Derivative assets — 161 — 161 Total Assets $ — $ 195,415 $ 2,982,123 $ 3,177,538 Liabilities Derivative liabilities $ — $ 656 $ — $ 656 Securitized debt — 1,538,304 15,418 1,553,722 Total Liabilities $ — $ 1,538,960 $ 15,418 $ 1,554,378 December 31, 2019 Fair Value Assets Level I Level II Level III Total Agency CMBS $ — $ 1,435,477 $ — $ 1,435,477 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 3,092 — 3,092 Agency RMBS — 340,771 — 340,771 Agency RMBS Interest-Only Strips — — 10,343 10,343 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 5,572 5,572 Subtotal Agency MBS — 1,779,340 15,915 1,795,255 Non-Agency CMBS — 316,019 — 316,019 Non-Agency RMBS — — 38,131 38,131 Non-Agency RMBS Interest-Only Strips — — 7,683 7,683 Subtotal Non-Agency MBS — 316,019 45,814 361,833 Other securities — 62,965 17,196 80,161 Total mortgage-backed securities and other securities — 2,158,324 78,925 2,237,249 Residential Whole Loans — — 1,375,860 1,375,860 Residential Bridge Loans — 33,269 33,269 Commercial loans — — 370,213 370,213 Securitized commercial loan — — 909,040 909,040 Derivative assets — 5,111 — 5,111 Total Assets $ — $ 2,163,435 $ 2,767,307 $ 4,930,742 Liabilities Derivative liabilities $ — $ 6,370 $ — $ 6,370 Securitized debt — 680,586 1,057 681,643 Total Liabilities $ — $ 686,956 $ 1,057 $ 688,013 |
Summary of quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments | The following tables present a summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of December 31, 2020 and December 31, 2019 (dollars in thousands). Fair Value at Range December 31, 2020 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans 1,008,782 Discounted Cash Flow Market Discount Rate 2.1 % 7.5 % 4.1 % Weighted Average Life 1.5 8.4 2.9 Residential Bridge Loans 12,813 Discounted Cash Flow Market Discount Rate 8.0 % 35.2 % (1) 18.0 % Weighted Average Life 0.3 2.6 1.3 Commercial Loans 310,523 Discounted Cash Flow Market Discount Rate 6.3 % 18.4 % 10.5 % Weighted Average Life 0.5 1.9 0.7 Fair Value at Range December 31, 2019 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole-Loans (2) 1,375,860 Discounted Cash Flow Market Discount Rate 3.4 % 7.0 % 3.7 % Weighted Average Life 1.4 7.8 3.0 Residential Bridge Loans 33,269 Discounted Cash Flow Market Discount Rate 7.5 % 27.0 % (1) 9.8 % Weighted Average Life 0.3 1.8 0.8 Commercial Loans: 370,213 Discounted Cash Flow Market Discount Rate 4.7 % 10.9 % 7.5 % Weighted Average Life 0.4 2.9 1.6 (1) Yield to maturity is the total return on the loan expressed as an annual rate. Delinquent Bridge Loans that are nearing maturity and with fair value that is significantly less than the principal amount have a higher yield to maturity. (2) As of December 31, 2019, excludes $175,294 Conforming Residential Whole Loans, which are valued using TBA prices, adjusted for delivery to Fannie Mae using Fannie Mae's loan-level price adjustment matrix. As of December 31, 2019, the TBA prices used for valuing the conforming loans range from $101.39 to $107.63. |
Schedule of additional information about the entity's financial instruments, which are measured at fair value on a recurring basis for which the entity has utilized Level III inputs to determine fair value | The following tables present additional information about the Company's financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: Year ended December 31, 2020 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized Beginning balance $ 15,915 $ 45,814 $ 17,196 $ 1,375,860 $ 33,269 $ 370,213 $ 909,040 $ 1,057 Transfers into Level III from Level II — — — — — — — — Transfers from Level III into Level II — — (6,482) — — — — — Purchases — — — 92,822 — — — — Sales and settlements (11,529) (12,658) — (144,259) — — — — Transfers to REO — — — — (419) — — — VIE consolidation — — — — — — 1,245,287 17,960 VIE deconsolidation — 6,852 — — — — (150,804) — Loan modifications / capitalized interest — — — 779 — 49 — — Principal repayments — (710) (154) (278,316) (19,105) (44,819) (349,609) — Total net gains/losses included in net income Realized gains/(losses), net on assets 1,528 (60) — (10,511) (373) — — — Unrealized gains/(losses), net on assets (1) (2,609) (4,013) (1,949) (23,094) (499) (15,282) (58,421) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (887) Premium and discount amortization, net (1,597) (856) (18) (4,499) (60) 362 9,842 (2,712) Ending balance $ 1,708 $ 34,369 $ 8,593 $ 1,008,782 $ 12,813 $ 310,523 $ 1,605,335 $ 15,418 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (616) $ (3,783) $ (599) $ (14,807) $ (881) $ (15,282) $ 746 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 887 Year ended December 31, 2019 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Commercial Loans Securitized Debt Beginning balance $ 19,837 $ 50,555 $ 8,951 $ 1,041,885 $ 211,999 $ 216,123 $ 1,013,511 $ 2,286 Transfers into Level III from Level II — — 8,386 — — — — — Transfers from Level III into Level II — — — — — — — — Purchases — — — 544,426 — 274,422 1,113,231 — Sales and settlements (401) — — — — — — 3,769 Transfers to REO — — — — (2,677) — — — Principal repayments — (965) (555) (228,163) (175,422) (121,245) (1,214,688) — Total net gains / (losses) included in net income Realized gains/(losses), net on assets — — — — (351) — — — Other than temporary impairment (222) (1,332) — — — — — — Unrealized gains/(losses), net on assets (1) 762 (229) 693 20,887 397 (122) (1,070) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (2,373) Premium and discount amortization, net (4,061) (2,215) (279) (3,175) (677) 1,035 (1,944) (2,625) Ending balance $ 15,915 $ 45,814 $ 17,196 $ 1,375,860 $ 33,269 $ 370,213 $ 909,040 $ 1,057 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 780 $ (229) $ 693 $ 21,768 $ (488) $ 128 $ (1,042) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 375 (1) Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) Gains and losses on securitized debt are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. |
Schedule of Other Fair Value Disclosures | The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value, as of December 31, 2020 and December 31, 2019, in the consolidated financial statements (dollars in thousands): December 31, 2020 December 31, 2019 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 1,103 $ 1,095 $ 3,150 $ 3,148 Total $ 1,103 $ 1,095 $ 3,150 $ 3,148 Liabilities Borrowings under repurchase agreements $ 356,923 $ 359,799 $ 2,824,801 $ 2,829,093 Convertible senior unsecured notes 170,797 155,129 197,299 209,172 Securitized debt (1) 899,207 922,362 801,109 810,914 Total $ 1,426,927 $ 1,437,290 $ 3,823,209 $ 3,849,179 (1) Carrying value excludes $6.9 million and $5.3 million of deferred financing costs as of December 31, 2020 and December 31, 2019, respectively. |
Mortgage-Backed Securities an_2
Mortgage-Backed Securities and other securities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of certain information about the Company's investment portfolio | The following tables present certain information about the Company's investment portfolio at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 Principal Unamortized Amortized Unrealized Unrealized Loss Estimated Net Weighted Average Coupon (4) Agency RMBS Interest-Only Strips (1) N/A N/A $ 89 $ 54 $ — $ 143 2.1 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A 1,565 2.6 % Total Agency MBS — — 89 54 — 1,708 2.5 % Non-Agency RMBS 38,112 (14,649) 23,463 451 (2,498) 21,416 1.6 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 6,271 — (2,306) 3,965 0.4 % Subtotal Non-Agency RMBS 38,112 (14,649) 29,734 451 (4,804) 25,381 0.6 % Non-Agency CMBS 235,497 (25,258) 210,239 2,850 (49,008) 164,081 5.0 % Total Non-Agency MBS 273,609 (39,907) 239,973 3,301 (53,812) 189,462 2.4 % Other securities (3) 51,537 (8,239) 49,420 1,152 (1,818) 48,754 4.4 % Total $ 325,146 $ (48,146) $ 289,482 $ 4,507 $ (55,630) $ 239,924 2.5 % December 31, 2019 Principal Unamortized Discount Amortized Unrealized Gain Unrealized Estimated Net Weighted Average Coupon (4) Agency CMBS $ 1,347,929 $ 26,514 $ — $ 1,374,443 $ 66,832 $ (5,798) $ 1,435,477 3.4 % Agency CMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A N/A 3,092 0.4 % Subtotal Agency CMBS 1,347,929 26,514 — 1,374,443 66,832 (5,798) 1,438,569 3.1 % Agency RMBS 327,814 5,473 — 333,287 7,484 — 340,771 3.5 % Agency RMBS Interest-Only Strips (1) N/A N/A N/A 8,661 1,820 (138) 10,343 2.8 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1)(2) N/A N/A N/A N/A N/A N/A 5,572 3.0 % Subtotal Agency RMBS 327,814 5,473 — 341,948 9,304 (138) 356,686 3.3 % Total Agency MBS 1,675,743 31,987 — 1,716,391 76,136 (5,936) 1,795,255 3.1 % Non-Agency RMBS 52,767 4,492 (20,256) 37,003 1,388 (260) 38,131 4.8 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A N/A 7,705 636 (658) 7,683 0.6 % Subtotal Non-Agency RMBS 52,767 4,492 (20,256) 44,708 2,024 (918) 45,814 1.0 % Non-Agency CMBS 354,458 (17,909) (22,016) 314,533 6,359 (4,873) 316,019 5.1 % Total Non-Agency MBS 407,225 (13,417) (42,272) 359,241 8,383 (5,791) 361,833 2.7 % Other securities (3) 71,896 (2,437) (6,203) 73,975 6,392 (206) 80,161 6.7 % Total $ 2,154,864 $ 16,133 $ (48,475) $ 2,149,607 $ 90,911 $ (11,933) $ 2,237,249 3.1 % (1) IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At December 31, 2020, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, and Agency RMBS IOs and IIOs, accounted for as derivatives was $3.7 million, $306.0 million and $21.6 million, respectively. At December 31, 2019, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $121.7 million, $442.4 million, $64.8 million and $160.2 million, respectively. (2) Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. (3) Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $6.1 million and $10.7 million, as of December 31, 2020 and December 31, 2019, respectively. (4) The calculation of the weighted average coupon rate includes the weighted average coupon rates of IOs and IIOs accounted for as derivatives using their notional amounts. |
Schedule of changes in the components of purchase discount and amortizable premium on Non-Agency RMBS, Non-Agency CMBS and other securities | The following table presents the changes in the components of the Company's purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the years ended December 31, 2019 and December 31, 2018 (dollars in thousands): Year ended December 31, 2019 Year ended December 31, 2018 Discount Designated as Accretable Discount (1) Amortizable Premium (1) Discount Designated as Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (53,523) $ (29,465) $ 14,928 $ (72,915) $ (68,438) $ 20,872 Accretion of discount — 4,364 — — 7,137 — Amortization of premium — — (1,215) — — (675) Realized credit losses 7,290 — — 5,863 — — Purchases (28) (7,953) 819 (7,182) (6,473) 435 Sales 26,706 — (19,640) 32,301 40,338 (9,590) Net impairment losses recognized in earnings (6,612) — — (9,733) — — Transfers/release of credit reserve (2) (22,308) 2,889 19,419 (1,857) (2,029) 3,886 Balance at end of period $ (48,475) $ (30,165) $ 14,311 $ (53,523) $ (29,465) $ 14,928 (1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. (2) Subsequent reductions of a security's non-accretable discount results in a corresponding reduction in its amortizable premium. |
Schedule of the fair value and contractual maturities of the Company's investment securities | The following tables present the fair value and contractual maturities of the Company's investment securities at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 143 $ — $ 143 Agency RMBS Interest-Only Strips, accounted for as derivatives — 1,565 — — 1,565 Subtotal Agency — 1,565 143 — 1,708 Non-Agency CMBS 59,724 50,408 53,269 680 164,081 Non-Agency RMBS — — 7,958 13,458 21,416 Non-Agency RMBS Interest-Only Strips — — 472 3,493 3,965 Subtotal Non-Agency 59,724 50,408 61,699 17,631 189,462 Other securities 7,247 6,203 24,610 10,694 48,754 Total $ 66,971 $ 58,176 $ 86,452 $ 28,325 $ 239,924 December 31, 2019 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency CMBS $ 973,189 $ 462,288 $ — $ — $ 1,435,477 Agency CMBS Interest-Only Strips, accounted for as derivatives — — — 3,092 3,092 Agency RMBS — — 340,771 — 340,771 Agency RMBS Interest-Only Strips 2,413 1,966 5,964 — 10,343 Agency RMBS Interest-Only Strips, accounted for as derivatives 669 3,893 1,010 — 5,572 Subtotal Agency 976,271 468,147 347,745 3,092 1,795,255 Non-Agency CMBS 89,782 125,282 92,610 8,345 316,019 Non-Agency RMBS — — 8,966 29,165 38,131 Non-Agency RMBS Interest-Only Strips — — 1,716 5,967 7,683 Subtotal Non-Agency 89,782 125,282 103,292 43,477 361,833 Other securities 25,824 31,823 2,768 19,746 80,161 Total $ 1,091,877 $ 625,252 $ 453,805 $ 66,315 $ 2,237,249 |
Schedule of gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position | The following tables present the gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ 102,935 $ (33,602) 16 $ 50,887 $ (15,406) 15 $ 153,822 $ (49,008) 31 Non-Agency RMBS 18,242 (2,498) 4 — — — 18,242 (2,498) 4 Non-Agency RMBS Interest-Only Strips 3,492 (790) 3 472 (1,516) 1 3,964 (2,306) 4 Subtotal Non-Agency 124,669 (36,890) 23 51,359 (16,922) 16 176,028 (53,812) 39 Other securities 26,365 (1,818) 6 — — — 26,365 (1,818) 6 Total $ 151,034 $ (38,708) 29 $ 51,359 $ (16,922) 16 $ 202,393 $ (55,630) 45 December 31, 2019 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Agency CMBS $ 214,084 $ (5,798) 16 $ — $ — — $ 214,084 $ (5,798) 16 Agency RMBS Interest-Only Strips 1,376 (43) 4 1,828 (95) 7 3,204 (138) 11 Subtotal Agency 215,460 (5,841) 20 1,828 (95) 7 217,288 (5,936) 27 Non-Agency CMBS 171,650 (4,302) 31 18,069 (571) 4 189,719 (4,873) 35 Non-Agency RMBS 13,214 (260) 1 — — — 13,214 (260) 1 Non-Agency RMBS Interest-Only Strips 1,716 (658) 1 — — — 1,716 (658) 1 Subtotal Non-Agency 186,580 (5,220) 33 18,069 (571) 4 204,649 (5,791) 37 Other securities 10,512 (206) 2 — — — 10,512 (206) 2 Total $ 412,552 $ (11,267) 55 $ 19,897 $ (666) 11 $ 432,449 $ (11,933) 66 |
Schedule of other-than-temporary impairments the Company recorded on its securities portfolio | The following table presents the OTTI the Company recorded on its securities portfolio prior to the adoption of CECL (dollars in thousands): For the year ended December 31, 2019 For the year ended December 31, 2018 Agency RMBS (1) $ 74 $ 807 Non-Agency RMBS 1,331 996 Non-Agency CMBS 6,565 8,660 Other securities 604 717 Total $ 8,574 $ 11,180 (1) Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that the Company had the intent to sell at the end of the period, if applicable. |
Summary of the components of interest income on the Company's MBS and other securities | The following table presents components of interest income on the Company's MBS and other securities for the three years ended December 31, 2020, December 31, 2019 and December 31, 2018, respectively (dollars in thousands): For the year ended December 31, 2020 For the year ended December 31, 2019 For the year ended December 31, 2018 Coupon Net (Premium Interest Coupon Net (Premium Interest Coupon Net (Premium Interest Agency CMBS $ 11,336 $ (636) $ 10,700 $ 51,286 $ (2,327) $ 48,959 $ 60,148 $ (646) $ 59,502 Agency RMBS 2,975 (987) 1,988 12,181 (3,053) 9,128 19,507 (5,092) 14,415 Non-Agency CMBS 15,331 6,467 21,798 14,178 4,017 18,195 20,058 6,366 26,424 Non-Agency RMBS 2,732 (1,193) 1,539 4,682 (2,214) 2,468 7,120 (1,073) 6,047 Other securities 8,263 (4,781) 3,482 11,633 (6,472) 5,161 14,805 (6,371) 8,434 Total $ 40,637 $ (1,130) $ 39,507 $ 93,960 $ (10,049) $ 83,911 $ 121,638 $ (6,816) $ 114,822 |
Schedule of sales and realized gains (loss) of the Company's MBS and other securities | The following tables present the sales and realized gains (losses) of the Company's MBS and other securities for the three years ended December 31, 2020, December 31, 2019 and December 31, 2018, respectively (dollars in thousands): For the year ended December 31, 2020 Proceeds Gross Gross Net Agency CMBS $ 1,668,149 $ 116,463 $ (6,486) $ 109,977 Agency RMBS 400,948 12,552 (506) 12,046 Non-Agency CMBS 111,804 1 (23,624) (23,623) Non-Agency RMBS 12,658 — (60) (60) Other securities 35,957 113 (6,223) (6,110) Total $ 2,229,516 $ 129,129 $ (36,899) $ 92,230 For the year ended December 31, 2019 Proceeds Gross Gross Net Agency CMBS $ 891,072 $ 32,793 $ (4,190) $ 28,603 Agency RMBS 205,310 1,559 — 1,559 Non-Agency CMBS 40,235 317 (1,624) (1,307) Total $ 1,136,617 $ 34,669 $ (5,814) $ 28,855 For the year ended December 31, 2018 Proceeds Gross Gross Net Agency RMBS $ 589,854 $ 18 $ (23,997) $ (23,979) Agency CMBS 1,534,967 — (51,045) (51,045) Non-Agency RMBS 99,842 7,008 (478) 6,530 Non-Agency CMBS 140,292 3,086 (6,201) (3,115) Other securities 65,099 8,400 — 8,400 Total $ 2,430,054 $ 18,512 $ (81,721) $ (63,209) |
Residential Whole Loans and B_2
Residential Whole Loans and Bridge Loans (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Variable Interest Entities | |
Schedule of the assets and liabilities of the VIE included in the Consolidated Balance Sheets | The following table presents a summary of the assets and liabilities of the consolidated residential whole-loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 December 31, 2019 Cash and cash equivalents $ — $ 1,811 Residential Whole-Loans, at fair value ($1,008,782 and $1,375,860 pledged as collateral, at fair value, respectively) 1,008,782 1,375,860 Residential Bridge Loans ($11,858 and $31,748 at fair value and $12,960 and $34,897 pledged as collateral, respectively) 12,960 34,897 Investment related receivable 27,987 19,138 Interest receivable 4,688 7,840 Other assets 80 90 Total assets $ 1,054,497 $ 1,439,636 Securitized debt, net $ 892,290 $ 795,811 Interest payable 2,222 2,367 Accounts payable and accrued expenses 77 173 Total liabilities $ 894,589 $ 798,351 The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 December 31, 2019 Cash $ — $ 5,778 Restricted cash 76,132 52,948 Securitized commercial loans, at fair value 1,605,335 909,040 Commercial Loans, at fair value 68,466 90,788 Interest receivable 6,248 2,989 Total assets $ 1,756,181 $ 1,061,543 Securitized debt, at fair value $ 1,553,722 $ 681,643 Interest payable 5,660 1,519 Accounts payable and accrued expenses 12 12 Other liabilities 76,132 52,948 Total liabilities $ 1,635,526 $ 736,122 |
Schedule of components of the carrying value of Residential Whole-Loans and Securitized commercial loan | The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of December 31, 2020 and December 31, 2019 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 Principal balance $ 984,555 $ 1,325,443 $ 14,144 $ 34,041 $ 1,103 $ 3,155 Unamortized premium 24,248 28,588 3 79 — 6 Unamortized discount (1,799) (2,839) — (13) — (11) Amortized cost 1,007,004 1,351,192 14,147 34,107 1,103 3,150 Gross unrealized gains 9,282 26,363 5 10 N/A N/A Gross unrealized losses (7,504) (1,695) (1,339) (848) N/A N/A Fair value $ 1,008,782 $ 1,375,860 $ 12,813 $ 33,269 N/A N/A |
Schedule of certain information about the Residential Whole-Loans investment portfolio | The following tables present certain information about the Company's Residential Whole Loan investment portfolio at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected Contractual Coupon 2.01 - 3.00% 4 $ 3,239 66.7 % 733 5.9 28.0 2.7 % 3.01 - 4.00% 118 41,489 55.8 % 709 3.8 23.3 3.7 % 4.01 - 5.00% 1,172 403,398 61.8 % 751 2.7 27.7 4.9 % 5.01 - 6.00% 1,166 523,105 64.2 % 740 2.9 27.7 5.4 % 6.01 - 7.00% 35 12,813 67.5 % 720 3.2 27.0 6.3 % 7.01 - 8.00% 2 511 73.2 % 753 4.1 27.6 7.1 % Total 2,497 $ 984,555 62.9 % 744 2.9 27.5 5.1 % (1) The original FICO score is not available for 236 loans with a principal balance of approximately $75.2 million at December 31, 2020. The Company has excluded these loans from the weighted average computations. December 31, 2019 Weighted Average Current Coupon Rate Number of Principal Original Original FICO Score (1) Expected Contractual Coupon 3.01 - 4.00% 53 $ 17,284 61.7 % 736 2.4 28.0 3.9 % 4.01 - 5.00% 1,689 557,144 61.4 % 744 2.8 28.5 4.8 % 5.01 - 6.00% 1,682 713,397 62.0 % 736 3.0 28.3 5.4 % 6.01 - 7.00% 103 37,102 54.1 % 727 3.8 25.3 6.2 % 7.01 - 8.00% 2 516 73.2 % 753 4.7 28.6 7.1 % Total 3,529 $ 1,325,443 61.5 % 739 3.0 28.3 5.2 % (1) The original FICO score is not available for 286 loans with a principal balance of approximately $94.6 million at December 31, 2019. The Company has excluded these loans from the weighted average computations. (2) Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust. |
Schedule of the US states represented in Residential Whole-Loans based on principal balance | The following table presents the various states across the United States in which the collateral securing the Company's Residential Whole Loans at December 31, 2020 and December 31, 2019, based on principal balance, is located (dollars in thousands): December 31, 2020 December 31, 2019 State Concentration Principal Balance State Concentration Principal Balance California 65.8 % $ 647,877 California 66.1 % $ 875,738 New York 17.7 % 173,788 New York 16.2 % 214,141 Georgia 3.4 % 33,577 Georgia 3.4 % 45,189 Florida 2.8 % 27,274 Florida 2.8 % 36,641 New Jersey 2.5 % 24,704 New Jersey 2.3 % 30,450 Other 7.8 % 77,335 Other 9.2 % 123,284 Total 100.0 % $ 984,555 Total 100.0 % $ 1,325,443 |
Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge loans | The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (1) Coupon 7.01 – 9.00% 10 $ 8,295 69.6 % 1.4 8.7 % 9.01 – 11.00% 15 6,123 75.5 % 0.5 10.1 % 11.01 - 13.00% 3 705 69.8 % 0.0 11.4 % 17.01 – 19.00% 1 124 75.0 % 0.0 18.0 % Total 29 $ 15,247 72.0 % 0.8 9.4 % December 31, 2019 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual (1) Coupon 7.01 – 9.00% 36 $ 22,409 70.2 % 5.8 8.4 % 9.01 – 11.00% 28 9,972 74.0 % 5.6 10.1 % 11.01 – 13.00% 9 2,741 63.1 % 2.0 11.7 % 13.01 – 15.00% 1 1,125 75.0 % 0.0 13.5 % 17.01 - 19.00% 2 949 75.0 % 0.0 18.0 % Total 76 $ 37,196 71.0 % 5.6 9.5 % (1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity. The weighted average contractual maturity for these loans is zero. |
Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge-loans | The following table presents the various states across the United States in which the collateral securing the Company’s Residential Bridge Loans at December 31, 2020 and December 31, 2019, based on principal balance, is located (dollars in thousands): December 31, 2020 December 31, 2019 State Concentration Principal Balance State Concentration Principal Balance California 37.5 % $ 5,713 California 50.4 % $ 18,763 New York 17.3 % 2,632 Washington 13.1 % 4,863 Washington 16.1 % 2,461 New York 12.1 % 4,518 Florida 12.9 % 1,969 Florida 8.9 % 3,296 Connecticut 5.7 % 872 New Jersey 3.8 % 1,424 Other 10.5 % 1,600 Other 11.7 % 4,332 Total 100.0 % $ 15,247 Total 100.0 % $ 37,196 |
Aging of residential whole loans and bridge loans | The following table presents the aging of the Residential Whole Loans and Bridge Loans as of December 31, 2020 (dollars in thousands): Residential Whole Loans Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value (1) Current (2) 2446 $ 953,071 $ 977,875 5 $ 2,906 $ 2,839 1-30 days delinquent 16 7,972 8,181 2 1,430 1,287 31-60 days delinquent 3 823 810 1 849 764 61-90 days delinquent 6 7,378 7,196 — — — 90+ days delinquent 26 15,311 14,720 21 10,062 9,026 Total 2,497 $ 984,555 $ 1,008,782 29 $ 15,247 $ 13,916 (1) Includes a $124 thousand loan carried at amortize cost. (2) Includes 7 loans in forbearance with unpaid principal balance of approximately $$2.4 million and 142 loans that were previously in forbearance but are currently performing under the repayment plan with unpaid principal balance of approximately $59.0 million. The following table presents the aging of the Commercial Loans as of December 31, 2020 (dollars in thousands): Commercial Loans No of Loans Principal Fair Value Current 10 $ 295,444 $ 283,120 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 30,000 27,403 Total 11 $ 325,444 $ 310,523 |
Commercial Loans (Tables)
Commercial Loans (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Noncontrolling Interest [Abstract] | |
Schedule of commercial real estate loans held | The following table presents the commercial loans held by CRE LLC as of December 31, 2020 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral Collateral Location CRE 1 June 2018 Interest-Only First Mortgage $ 30,000 $ 27,403 65% 1-Month LIBOR plus 4.50% 6/9/2021 None Hotel CA CRE 2 June 2019 Principal & Interest First Mortgage 47,219 46,776 75% 1-Month LIBOR plus 4.75% 1/11/2022 Two One-Year Extensions Nursing Facilities SC, GA CRE 3 August 2019 Interest-Only Mezzanine loan 90,000 80,291 58% 1-Month LIBOR plus 9.25% 6/29/2021 Two-Year First Extension and One-Year Second Extension Entertainment and Retail NJ CRE 4 September 2019 Interest-Only First Mortgage 40,000 39,300 63% 1-Month LIBOR plus 3.02% 8/6/2021 Two One-Year Extensions Retail CT CRE 5 December 2019 Interest-Only First Mortgage 24,535 23,887 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One-Year Extensions Hotel NY CRE 6 December 2019 Interest-Only First Mortgage 13,207 12,858 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One-Year Extensions Hotel CA CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,067 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One-Year Extensions Hotel IL CRE8 December 2019 Interest-Only First Mortgage 4,474 4,475 79% 1-Month LIBOR plus 4.85% 12/6/2022 None Assisted Living FL $ 256,694 $ 242,057 Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral Collateral Location SBC 1 July 2018 Interest-Only First Mortgage $ 45,188 $ 44,965 74% One-Month LIBOR plus 4.25% (1) 8/1/2021 One-Year Extensions Nursing Facilities MI SBC 2 January 2019 Interest-Only First Mortgage 9,200 9,179 84% One-Month LIBOR plus 4.00% (2) 12/1/2021 One-Year Extension Apartment Complex MO SBC 3 January 2019 Interest-Only First Mortgage 14,362 14,322 49% One-Month LIBOR plus 4.10% 7/1/2021 None Nursing Facilities CT $ 68,750 $ 68,466 (1) Subject to LIBOR floor of 1.25%. (2) Subject to LIBOR floor of 2.00%. |
Schedule of the assets and liabilities of the VIE included in the Consolidated Balance Sheets | The following table presents a summary of the assets and liabilities of the consolidated residential whole-loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 December 31, 2019 Cash and cash equivalents $ — $ 1,811 Residential Whole-Loans, at fair value ($1,008,782 and $1,375,860 pledged as collateral, at fair value, respectively) 1,008,782 1,375,860 Residential Bridge Loans ($11,858 and $31,748 at fair value and $12,960 and $34,897 pledged as collateral, respectively) 12,960 34,897 Investment related receivable 27,987 19,138 Interest receivable 4,688 7,840 Other assets 80 90 Total assets $ 1,054,497 $ 1,439,636 Securitized debt, net $ 892,290 $ 795,811 Interest payable 2,222 2,367 Accounts payable and accrued expenses 77 173 Total liabilities $ 894,589 $ 798,351 The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 December 31, 2019 Cash $ — $ 5,778 Restricted cash 76,132 52,948 Securitized commercial loans, at fair value 1,605,335 909,040 Commercial Loans, at fair value 68,466 90,788 Interest receivable 6,248 2,989 Total assets $ 1,756,181 $ 1,061,543 Securitized debt, at fair value $ 1,553,722 $ 681,643 Interest payable 5,660 1,519 Accounts payable and accrued expenses 12 12 Other liabilities 76,132 52,948 Total liabilities $ 1,635,526 $ 736,122 |
Schedule of Carrying Value of the Commercial Real Estate Loans | The following table presents the components of the carrying value of the securitized commercial loans and commercial loans as of December 31, 2020 and December 31, 2019 (dollars in thousands): CMSC Trust Securitized Commercial Loan, RETL Trust Securitized Commercial Loan, at Fair Value CSMC USA Trust Securitized Commercial Loan, at Fair Value RSBC Trust Commercial Loans, at Fair Value Commercial Loans, at Fair Value December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 December 31, 2020 December 31, 2019 Principal balance $ — $ 24,048 $ 354,202 $ 674,331 $ 1,385,591 $ — $ 68,750 $ 90,788 $ 256,694 $ 279,425 Unamortized premium — — 180 1,836 — — — — — — Unamortized discount — — — — (135,653) — (94) (215) (53) (294) Amortized cost — 24,048 354,382 676,167 1,249,938 — 68,656 90,573 256,641 279,131 Gross unrealized gains — 9 — 269 16,013 — — 215 1 294 Gross unrealized losses — — (14,998) — — — (190) — (14,585) — Fair value $ — $ 24,057 $ 339,384 $ 676,436 $ 1,265,951 $ — $ 68,466 $ 90,788 $ 242,057 $ 279,425 |
Aging of residential whole loans and bridge loans | The following table presents the aging of the Residential Whole Loans and Bridge Loans as of December 31, 2020 (dollars in thousands): Residential Whole Loans Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value (1) Current (2) 2446 $ 953,071 $ 977,875 5 $ 2,906 $ 2,839 1-30 days delinquent 16 7,972 8,181 2 1,430 1,287 31-60 days delinquent 3 823 810 1 849 764 61-90 days delinquent 6 7,378 7,196 — — — 90+ days delinquent 26 15,311 14,720 21 10,062 9,026 Total 2,497 $ 984,555 $ 1,008,782 29 $ 15,247 $ 13,916 (1) Includes a $124 thousand loan carried at amortize cost. (2) Includes 7 loans in forbearance with unpaid principal balance of approximately $$2.4 million and 142 loans that were previously in forbearance but are currently performing under the repayment plan with unpaid principal balance of approximately $59.0 million. The following table presents the aging of the Commercial Loans as of December 31, 2020 (dollars in thousands): Commercial Loans No of Loans Principal Fair Value Current 10 $ 295,444 $ 283,120 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 30,000 27,403 Total 11 $ 325,444 $ 310,523 |
Financings (Tables)
Financings (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |
Summary of certain characteristics of the Company's repurchase agreements | The following table summarizes certain characteristics of the Company's repurchase agreements at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 December 31, 2019 Securities Pledged Repurchase Weighted Average Weighted Average Repurchase Weighted Average Weighted Average Short Term Borrowings: Agency CMBS $ — — % 0 $ 1,352,248 2.05 % 26 Agency RMBS 1,418 1.34 % 59 348,274 1.99 % 52 Non-Agency CMBS 10,313 2.25 % 14 190,390 3.05 % 35 Non-Agency RMBS — — % 0 30,481 3.56 % 9 Residential Whole Loans (1) 29,800 3.71 % 15 266,294 3.14 % 202 Residential Bridge Loans (1) 11,254 2.73 % 36 29,869 3.93 % 28 Commercial Loans (1) 34,375 3.32 % 75 62,746 4.04 % 28 Securitized commercial loans (1)(4) — — % 0 116,087 3.93 % 49 Membership Interest 18,844 2.90 % 29 — — % 0 Other securities 2,594 4.51 % 19 56,762 3.23 % 34 Subtotal 108,598 3.19 % 39 2,453,151 2.44 % 51 Long Term Borrowings: Non-Agency CMBS (3) 66,767 5.23 % 126 N/A N/A N/A Non-Agency RMBS 14,643 5.23 % 126 N/A N/A N/A Residential Whole Loans (1) (2) 30,224 3.00 % 278 209,878 3.55 % 1358 Commercial Loans (2) 124,937 2.17 % 287 161,848 3.88 % 590 Other Securities 13,677 5.24 % 126 N/A N/A N/A Subtotal 250,248 3.74 % 225 371,726 3.70 % 1024 Repurchase agreements borrowings $ 358,846 3.57 % 169 $ 2,824,877 2.61 % 179 Less unamortized debt issuance costs 1,923 N/A N/A 76 N/A N/A Repurchase agreements borrowings, net $ 356,923 3.57 % 169 $ 2,824,801 2.61 % 179 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation. (2) Certain Residential Whole Loans and Commercial Loans were financed under two longer term repurchase agreements. The Residential Whole facility is 18 months and the Commercial Loan facility automatically rolls until such time as they are terminated or until certain conditions of default. The weighted average remaining maturity days was calculated using expected weighted life of the underlying collateral. (3) Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation. |
Schedule of repurchase agreements collateralized by investments | At December 31, 2020 and December 31, 2019, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) December 31, 2020 December 31, 2019 1 to 29 days $ 59,856 $ 1,480,286 30 to 59 days 13,421 552,786 60 to 89 days 35,321 255,814 Greater than or equal to 90 days 250,248 535,991 Total $ 358,846 $ 2,824,877 |
Schedule of amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | At December 31, 2020, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands): December 31, 2020 Counterparty Amount of Collateral Weighted Average Percentage of Credit Suisse AG, Cayman Islands Branch $ 171,503 224 67.2 % Citigroup Global Markets Inc. 111,562 126 43.7 % Nomura Securities International, Inc. 36,654 64 14.4 % |
Summary of collateral positions, with respect to borrowings under repurchase agreements, securitized debt, derivatives and clearing margin account | The following table summarizes the Company's collateral positions, with respect to its borrowings under repurchase agreements at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 December 31, 2019 Assets Accrued Assets Pledged Assets Accrued Assets Pledged Assets pledged for borrowings under repurchase agreements: Agency CMBS, at fair value $ — $ — $ — $ 1,400,230 $ 3,916 $ 1,404,146 Agency RMBS, at fair value 1,708 49 1,757 356,687 1,336 358,023 Non-Agency CMBS, at fair value (1) 152,275 649 152,924 246,797 951 247,748 Non-Agency RMBS, at fair value 25,382 160 25,542 45,816 414 46,230 Residential Whole Loans, at fair value (2) 97,566 543 98,109 529,495 3,704 533,199 Residential Bridge Loans (2) 12,960 180 13,140 34,897 471 35,368 Commercial Loans, at fair value (2) 310,523 1,850 312,373 350,213 1,855 352,068 Securitized commercial loans, at fair value (2) — — — 171,640 674 172,314 Membership interest (3) 33,690 — 33,690 — — — Other securities, at fair value 48,754 44 48,798 80,031 128 80,159 Cash (4) 1,817 — 1,817 43,499 — 43,499 Total $ 684,675 $ 3,475 $ 688,150 $ 3,259,305 $ 13,449 $ 3,272,754 (1) Includes securities eliminated upon VIE consolidation. (2) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (3) The pledged amount relates to the Company's non-controlling membership interest in its wholly owned subsidiary WMC RETL LLC, which was financed under a repurchase agreement. The membership interest is eliminated in consolidation. (4) Cash posted as collateral is included in "Due from counterparties" in the Company's Consolidated Balance Sheets. |
Schedule of commercial mortgage pass-through certificates | The following table summarizes RETL 2019 Trust's commercial mortgage pass-through certificates at December 31, 2020 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class B $ 502 1.7% $ 492 3/15/2021 Class C 308,400 2.3% 296,933 3/15/2021 Class X-EXT (1) N/A 1.1% 31 3/15/2021 $ 308,902 $ 297,456 (1) Class X-EXT is an interest-only class with a notional balance of $308.4 million as of December 31, 2020. Classes Principal Balance Coupon Fair Value Contractual Maturity Class A-1 $ 120,391 3.3 % $ 120,443 9/11/2025 Class A-2 531,700 4.0 % 538,469 9/11/2025 Class B 136,400 4.2 % 137,970 9/11/2025 Class C 94,500 4.3 % 85,140 9/11/2025 Class D 153,950 4.4 % 127,092 9/11/2025 Class E 180,150 4.4 % 131,906 9/11/2025 Class F 153,600 4.4 % 99,859 9/11/2025 Class X-1 (1) n/a 0.5 % 12,794 9/11/2025 Class X-2 (1) n/a 0.4 % 2,593 9/11/2025 $ 1,370,691 $ 1,256,266 (1) Class X-1 and Class X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of December 31, 2020, respectively. Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 511,623 3.3% $ 511,620 4/25/2049 Class A-2 27,414 3.5% 27,414 4/25/2049 Class A-3 43,433 3.8% 43,430 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 607,525 $ 607,519 Less: Unamortized Deferred Financing Costs N/A 4,398 Total $ 607,525 $ 603,121 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Derivative instruments | |
Schedule of interest rate swaps, interest rate swaptions, currency swaps and forwards, futures contracts and TBA derivative instruments, options and linked transactions | The following table summarizes the Company's derivative instruments at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 December 31, 2019 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Fair Notional Fair Interest rate swaps, asset Non-Hedge Derivative assets, at fair value $ — $ — $ 2,701,000 $ 3,017 Credit default swaps, asset Non-Hedge Derivative assets, at fair value 2,030 161 60,100 948 TBA securities, asset Non-Hedge Derivative assets, at fair value — — 1,000,000 1,146 Total derivative instruments, assets 161 5,111 Interest rate swaps, liability Non-Hedge Derivative liability, at fair value — — 1,255,000 (501) Credit default swaps, liability Non-Hedge Derivative liability, at fair value 4,140 (656) 90,900 (3,795) TBA securities, liability Non-Hedge Derivative liability, at fair value — — 1,000,000 (2,074) Total derivative instruments, liabilities (656) (6,370) Total derivative instruments, net $ (495) $ (1,259) |
Summary of the effect of interest rate swaps, swaptions, foreign currency swaps, foreign currency forwards, options, futures contracts, Agency and Non-Agency Interest-Only Strips as derivatives and TBAs reported in Gain (loss) on derivative instruments, net on the Statements of Operations | The following tables summarize the effects of the Company's derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the years ended December 31, 2020, December 31, 2019 and December 31, 2018 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return Mark-to-Market Contractual interest Total Year ended December 31, 2020 Interest rate swaps $ (262) $ (179,759) $ 262 $ (2,515) $ (1,395) $ (183,669) Interest rate swaptions 80 — — — — 80 Interest-Only Strips—accounted for as derivatives (940) — (1,096) (532) 1,324 (1,244) Credit default swaps (9,534) — — (1,834) — (11,368) TBAs (2,430) — — 928 — (1,502) Total $ (13,086) $ (179,759) $ (834) $ (3,953) $ (71) $ (197,703) Year ended December 31, 2019 Interest rate swaps $ (4,978) $ (108,169) $ 5,769 $ 5,140 $ 3,732 $ (98,506) Interest rate swaptions (332) — — — — (332) Interest-Only Strips—accounted for as derivatives — — (2,688) (508) 3,277 81 Options 1,378 — — — — 1,378 Futures contracts (12,862) — — 4,657 — (8,205) Credit default swaps (178) — — 1,029 — 851 TBAs 1,934 — — (928) — 1,006 Total $ (15,038) $ (108,169) $ 3,081 $ 9,390 $ 7,009 $ (103,727) Year ended December 31, 2018 Interest rate swaps $ 163 $ 76,979 $ 2,465 $ (5,147) $ 3,693 $ 78,153 Interest-Only Strips—accounted for as derivatives — — (3,661) (655) 4,511 195 Options (871) — — 300 — (571) Futures contracts 6,112 — — (5,285) — 827 Credit default swaps (241) — — 396 — 155 TBAs (800) — — 10 — (790) Total $ 4,363 $ 76,979 $ (1,196) $ (10,381) $ 8,204 $ 77,969 |
Summary of long and short TBA positions reported in Derivative assets, at fair value on the Balance Sheets | The following is a summary of the Company's TBA positions as of December 31, 2019, reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands): December 31, 2019 Notional Fair Purchase contracts, asset $ 1,000,000 $ 1,146 Purchase contracts, liability (1,000,000) (2,074) TBA securities, net $ — $ (928) |
Schedule of additional information about the contracts to purchase and sell TBAs | The following table presents additional information about the Company's contracts to purchase and sell TBAs for the year ended December 31, 2020 (dollars in thousands): Notional Amount Settlement, Termination, Notional Amount December 31, 2019 Additions Expiration or Exercise December 31, 2020 Purchase of TBAs $ 1,000,000 $ 5,257,000 $ (6,257,000) $ — Sale of TBAs $ 1,000,000 $ 5,257,000 $ (6,257,000) $ — |
Fixed Pay Rate | Interest Rate Swaps | |
Derivative instruments | |
Summary of interest rate swaps or interest rate swaptions | The following tables provide additional information on the Company's fixed pay interest rate swaps and the variable pay interest rate swaps as of December 31, 2019 (dollars in thousands): December 31, 2019 Fixed Pay Interest Rate Swap Remaining Term Notional Average Fixed Pay Average Floating Receive Average 1 year or less $ 200,000 1.8 % 1.9 % 0.4 Greater than 3 years and less than 5 years 622,400 2.6 % 1.9 % 4.1 Greater than 5 years 1,728,600 2.1 % 2.0 % 8.9 Total $ 2,551,000 2.2 % 2.0 % 7.1 December 31, 2019 Variable Pay Interest Rate Swap Remaining Term Notional Amount Average Average Fixed Receive Rate Average Maturity (Years) Greater than 1 years and less than 3years $ 810,000 2.0 % 2.0 % 1.6 Greater than 3 years and less than 5 years 550,000 1.9 % 1.6 % 5.0 Greater than 5 years 45,000 1.9 % 2.3 % 19.5 Total $ 1,405,000 2.0 % 1.9 % 3.5 |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Offsetting [Abstract] | |
Schedule of gross and net information about the Company's assets and liabilities subject to master netting arrangements | The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company's Consolidated Balance Sheets at December 31, 2020 and December 31, 2019 (dollars in thousands): December 31, 2020 Gross Gross Net Amounts Gross Amounts Not Offset Financial Instruments (1) Cash Collateral (1) Net Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,565 $ — $ 1,565 $ (1,565) $ — $ — Derivative asset, at fair value (2) 161 — 161 (161) — — Total derivative assets $ 1,726 $ — $ 1,726 $ (1,726) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 656 $ — $ 656 $ (161) $ (495) $ — Repurchase Agreements (4) 356,923 — 356,923 (356,923) — — Total derivative liability $ 357,579 $ — $ 357,579 $ (357,084) $ (495) $ — (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, credit default swaps and futures contracts. (3) Cash collateral pledged against the Company's derivative counterparties was approximately $510 thousand as of December 31, 2020. (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $682.9 million as of December 31, 2020 . December 31, 2019 Gross Gross Net Amounts Gross Amounts Not Offset Financial Instruments (1) Cash Collateral (1) Net Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 8,665 $ — $ 8,665 $ (8,665) $ — $ — Derivative asset, at fair value (2) 5,111 — 5,111 (2,576) — 2,535 Total derivative assets $ 13,776 $ — $ 13,776 $ (11,241) $ — $ 2,535 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 6,370 $ — $ 6,370 $ (2,576) $ (2,819) $ 975 Repurchase Agreements (4) 2,824,801 — 2,824,801 (2,824,801) — — Total derivative liability $ 2,831,171 $ — $ 2,831,171 $ (2,827,377) $ (2,819) $ 975 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, credit default swaps and futures contracts. (3) Cash collateral pledged against the Company's derivative counterparties was approximately $55.4 million as of December 31, 2019. (4) The carrying value of investments pledged against the Company's repurchase agreements was approximately $3.2 billion as of December 31, 2019. |
Share-Based Payments (Tables)
Share-Based Payments (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Share-based Payment Arrangement, Noncash Expense [Abstract] | |
Summary of restricted common stock vesting dates | The following is a summary of restricted common stock vesting dates as of December 31, 2020 and December 31, 2019, including shares whose issuance has been deferred under the Director Deferred Fee Plan: December 31, 2020 December 31, 2019 Vesting Date Shares Vesting Shares Vesting March 2020 — 36,000 June 2020 — 30,592 March 2021 36,000 36,000 June 2021 130,365 — March 2022 36,000 36,000 202,365 138,592 |
Schedule of restricted stock activity | The following table presents information with respect to the Company's restricted stock for the years ended December 31, 2020 and December 31, 2019, including shares whose issuance has been deferred under the Director Deferred Fee Plan: December 31, 2020 December 31, 2019 Shares of Weighted Average Grant Date Fair Value (1) Shares of Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 894,289 $ 15.76 753,973 $ 16.77 Granted (2) 131,253 2.79 140,316 10.34 Outstanding at end of period 1,025,542 $ 14.10 894,289 $ 15.76 Unvested at end of period 202,365 $ 5.50 138,592 $ 10.34 (1) The grant date fair value of restricted stock awards is based on the closing market price of the Company's common stock at the grant date. (2) Includes 3,978 shares and 3,536 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan for the years ended December 31, 2020 and December 31, 2019, respectively. |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Stockholders' Equity Note [Abstract] | |
Schedule of cash dividends declared and paid on common stock | The following table presents cash dividends declared and paid by the Company on its common stock: Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2020 December 17, 2020 December 28, 2020 January 26, 2021 $ 0.06 Not yet determined (1) September 22, 2020 October 2, 2020 October 26, 2020 $ 0.05 Return of capital 2019 December 19, 2019 December 30, 2019 January 24, 2020 $ 0.31 50% Ordinary income and 50% Return of Capital (2) September 19, 2019 September 30, 2019 October 25, 2019 $ 0.31 Ordinary income June 20, 2019 July 1, 2019 July 26, 2019 $ 0.31 Ordinary income March 21, 2019 April 1, 2019 April 26, 2019 $ 0.31 Ordinary income (1) The cash distributions made on January 26, 2021, with a record date of December 28, 2020, are treated as received by stockholders on January 26, 2021 and taxable in calendar year 2021. The tax characterization of these distributions will be determined in January 2022. (2) Only 50% of the cash distributions made on January 24, 2020, with a record date of December 30, 2019, were treated as received by stockholders on December 30, 2019 and taxable in calendar year 2019 as ordinary income with the remaining 50% taxable in calendar year 2020 and treated as return of capital. |
Net Income per Common Share (Ta
Net Income per Common Share (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Earnings Per Share [Abstract] | |
Schedule of basic and diluted net income (loss) per share of common stock | The table below presents basic and diluted net income per share of common stock using the two-class method for the years ended December 31, 2020, December 31, 2019 and December 31, 2018 (dollars, other than shares and per share amounts, in thousands): For the year ended December 31, 2020 For the year ended December 31, 2019 For the year ended December 31, 2018 Numerator : Net income attributable to common stockholders and participating securities for basic and diluted earnings per share $ (328,354) $ 70,699 $ 26,409 Less: Dividends and undistributed earnings allocated to participating securities 36 303 138 Net income allocable to common stockholders—basic and diluted $ (328,390) $ 70,396 $ 26,271 Denominator : Weighted average common shares outstanding for basic earnings per share 57,411,384 51,278,932 43,388,810 Weighted average common shares outstanding for diluted earnings per share 57,411,384 51,278,932 43,388,810 Basic earnings per common share $ (5.72) $ 1.37 $ 0.61 Diluted earnings per common share $ (5.72) $ 1.37 $ 0.61 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
Schedule of Components of Income Tax Expense (Benefit) | The following table summarizes the Company's income tax provision for the years ended December 31, 2020, December 31, 2019 and December 31, 2018 (dollars in thousands): For the year ended December 31, 2020 For the year ended December 31, 2019 For the year ended December 31, 2018 Current Tax Provision (Benefit) Federal $ 527 $ 860 $ 709 State (452) 197 — Total Current Provision for Income Taxes, net 75 1,057 709 Deferred Provision (Benefit) for Income Taxes Federal (85) — — State 406 — — Total Deferred Benefit for Income Taxes, net 321 — — Total Income Tax Provision, net $ 396 $ 1,057 $ 709 |
Schedule of Deferred Tax Assets and Liabilities | The following tables disclose the components of the Company's deferred tax asset and deferred tax liability at December 31, 2020 and 2019 (dollars in thousands): Deferred Tax Asset December 31, 2020 December 31, 2019 Net operating loss available for carry-back and carry-forward (1) $ 21,402 $ 7,295 Net capital loss carry-forward (1) 11,966 6,775 Investments 9,061 1,719 Deferred tax asset 42,429 15,789 Allowance (42,429) (15,382) Net deferred tax asset $ — $ 407 |
Summary of Operating Loss Carryforwards | Deferred Tax Liability December 31, 2020 December 31, 2019 Net operating loss available for carry-back and carry-forward $ — $ 85 Net deferred tax liability $ — $ 85 |
Schedule of Effective Income Tax Rate Reconciliation | The Company's effective tax rate differs from its combined federal and state income tax rate primarily due to the deduction of dividends distributions to be paid under Code Section 857(a). The reconciliation of these rates are as follows: For the year ended December 31, 2020 For the year ended December 31, 2019 Federal statutory rate 21.0 % 21.0 % State statutory rate, net of federal benefit 1.5 % (1.0) % Other — % 0.1 % Change in valuation allowance (4.4) % 3.6 % REIT earnings not subject to corporate taxes (18.2) % (22.2) % Effective Tax Rate (0.1) % 1.5 % |
Summarized Quarterly Results _2
Summarized Quarterly Results (unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Quarterly Financial Information Disclosure [Abstract] | |
Schedule of presentation of selected unaudited results of operations | The following is a presentation of selected unaudited results of operations (in thousands - except per share data): Quarter Ended March 31, 2020 June 30, 2020 (1) (Revised) September 30, 2020 December 31, 2020 Net Interest Income: Interest income $ 54,846 $ 31,494 $ 43,970 $ 47,718 Interest expense 36,105 24,418 33,853 38,215 Net Interest Income 18,741 7,076 10,117 9,503 Other Income (Loss): Realized gain (loss), net 89,186 (6,960) 718 1,327 Unrealized gain (loss), net (296,111) 16,040 54,690 3,994 Gain (loss) on derivative instruments, net (189,691) (8,143) (88) 219 Other, net 461 (45) (31) (46) Other Income (Loss) (396,155) 892 55,289 5,494 Expenses: Management fee to affiliate 1,039 464 1,513 1,528 Financing fee — 20,540 — — Other operating expenses 1,000 796 1,198 (139) General and administrative expenses: Compensation expense 662 692 716 717 Professional fees 1,480 1,541 827 1,030 Other general and administrative expenses 353 772 1,138 1,040 Total general and administrative expenses 2,495 3,005 2,681 2,787 Total Expenses 4,534 24,805 5,392 4,176 Income (loss) before income taxes (381,948) (16,837) 60,014 10,821 Income tax provision (benefit) (93) 255 205 29 Net income (loss) (381,855) (17,092) 59,809 10,792 Net income attributable to non-controlling interest 2 2 2 2 Net income (loss) attributable to common stockholders and participating securities $ (381,857) $ (17,094) $ 59,807 $ 10,790 Net income (loss) per Common Share — Basic $ (7.15) $ (0.31) $ 0.98 $ 0.18 Net income (loss) per Common Share — Diluted $ (7.15) $ (0.31) $ 0.98 $ 0.18 Quarter Ended March 31, 2019 June 30, 2019 September 30, 2019 December 31, 2019 Net Interest Income: Interest income $ 52,033 $ 53,818 $ 55,652 $ 55,761 Interest expense 36,400 37,958 39,082 36,834 Net Interest Income 15,633 15,860 16,570 18,927 Other Income (Loss): Realized gain (loss), net (5,105) (8) 21,399 11,992 Other than temporary impairment (1,232) (3,295) (1,819) (2,228) Unrealized gain (loss), net 50,781 74,614 35,030 (52,896) Gain (loss) on derivative instruments, net (27,148) (71,530) (47,056) 42,007 Other, net 236 532 918 518 Other Income (Loss) 17,532 313 8,472 (607) Expenses: Management fee to affiliate 1,735 1,832 1,800 1,987 Other operating expenses 1,598 1,253 1,589 1,079 General and administrative expenses: Compensation expense 544 705 671 671 Professional fees 1,215 761 973 1,031 Other general and administrative expenses 185 530 344 441 Total general and administrative expenses 1,944 1,996 1,988 2,143 Total Expenses 5,277 5,081 5,377 5,209 Income before income taxes 27,888 11,092 19,665 13,111 Income tax provision (benefit) 12 478 (55) 622 Net income $ 27,876 $ 10,614 $ 19,720 $ 12,489 Net income per Common Share—Basic $ 0.58 $ 0.21 $ 0.37 $ 0.23 Net income per Common Share—Diluted $ 0.58 $ 0.21 $ 0.37 $ 0.23 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Fair Value (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Assets | ||
Derivative assets | $ 1,726 | $ 13,776 |
Liabilities | ||
Derivative liabilities | 656 | 6,370 |
Securitized debt | 15,418 | |
Commercial Loans | ||
Assets | ||
Fair Value | 310,523 | |
Subtotal Agency MBS | ||
Assets | ||
Estimated Fair Value | 1,708 | 1,795,255 |
Agency CMBS | ||
Assets | ||
Estimated Fair Value | 1,435,477 | |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Assets | ||
Estimated Fair Value | 3,092 | |
Agency RMBS | ||
Assets | ||
Estimated Fair Value | 340,771 | |
Agency RMBS Interest-Only Strips | ||
Assets | ||
Estimated Fair Value | 143 | 10,343 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Assets | ||
Estimated Fair Value | 1,565 | 5,572 |
Subtotal Non-Agency MBS | ||
Assets | ||
Estimated Fair Value | 189,462 | 361,833 |
Non-Agency CMBS | ||
Assets | ||
Estimated Fair Value | 164,081 | 316,019 |
Non-Agency RMBS | ||
Assets | ||
Estimated Fair Value | 21,416 | 38,131 |
Non-Agency RMBS Interest-Only Strips | ||
Assets | ||
Estimated Fair Value | 3,965 | 7,683 |
Other securities | ||
Assets | ||
Estimated Fair Value | 48,754 | 80,161 |
Total mortgage-backed securities and other securities | ||
Assets | ||
Estimated Fair Value | 239,924 | 2,237,249 |
Non-Agency MBS | ||
Assets | ||
Estimated Fair Value | 189,462 | 361,833 |
Level I | ||
Assets | ||
Derivative assets | 0 | 0 |
Total | 0 | 0 |
Liabilities | ||
Derivative liabilities | 0 | 0 |
Securitized debt | 0 | 0 |
Total Liabilities | 0 | 0 |
Level I | Residential Whole Loans | ||
Assets | ||
Fair Value | 0 | 0 |
Level I | Residential Bridge Loans | ||
Assets | ||
Fair Value | 0 | |
Level I | Commercial Loans | ||
Assets | ||
Fair Value | 0 | 0 |
Level I | Securitized Commercial Loans | ||
Assets | ||
Fair Value | 0 | 0 |
Level I | Subtotal Agency MBS | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Agency CMBS | ||
Assets | ||
Estimated Fair Value | 0 | |
Level I | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Assets | ||
Estimated Fair Value | 0 | |
Level I | Agency RMBS | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Agency RMBS Interest-Only Strips | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Assets | ||
Estimated Fair Value | 0 | |
Level I | Subtotal Non-Agency MBS | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Non-Agency CMBS | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Non-Agency RMBS | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Non-Agency RMBS Interest-Only Strips | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Other securities | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Total mortgage-backed securities and other securities | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level II | ||
Assets | ||
Derivative assets | 161 | 5,111 |
Total | 195,415 | 2,163,435 |
Liabilities | ||
Derivative liabilities | 656 | 6,370 |
Securitized debt | 1,538,304 | 680,586 |
Total Liabilities | 1,538,960 | 686,956 |
Level II | Residential Whole Loans | ||
Assets | ||
Fair Value | 0 | 0 |
Level II | Residential Bridge Loans | ||
Assets | ||
Fair Value | 0 | 0 |
Level II | Commercial Loans | ||
Assets | ||
Fair Value | 0 | 0 |
Level II | Securitized Commercial Loans | ||
Assets | ||
Fair Value | 0 | 0 |
Level II | Subtotal Agency MBS | ||
Assets | ||
Estimated Fair Value | 0 | 1,779,340 |
Level II | Agency CMBS | ||
Assets | ||
Estimated Fair Value | 1,435,477 | |
Level II | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Assets | ||
Estimated Fair Value | 3,092 | |
Level II | Agency RMBS | ||
Assets | ||
Estimated Fair Value | 0 | 340,771 |
Level II | Agency RMBS Interest-Only Strips | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Assets | ||
Estimated Fair Value | 0 | |
Level II | Subtotal Non-Agency MBS | ||
Assets | ||
Estimated Fair Value | 155,093 | 316,019 |
Level II | Non-Agency CMBS | ||
Assets | ||
Estimated Fair Value | 155,093 | 316,019 |
Level II | Non-Agency RMBS | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level II | Non-Agency RMBS Interest-Only Strips | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level II | Other securities | ||
Assets | ||
Estimated Fair Value | 40,161 | 62,965 |
Level II | Total mortgage-backed securities and other securities | ||
Assets | ||
Estimated Fair Value | 195,254 | 2,158,324 |
Level III | ||
Assets | ||
Derivative assets | 0 | 0 |
Total | 2,982,123 | 2,767,307 |
Liabilities | ||
Derivative liabilities | 0 | 0 |
Securitized debt | 1,057 | |
Total Liabilities | 15,418 | 1,057 |
Level III | Residential Whole Loans | ||
Assets | ||
Fair Value | 1,008,782 | 1,375,860 |
Level III | Residential Bridge Loans | ||
Assets | ||
Fair Value | 12,813 | 33,269 |
Level III | Commercial Loans | ||
Assets | ||
Fair Value | 310,523 | 370,213 |
Level III | Securitized Commercial Loans | ||
Assets | ||
Fair Value | 1,605,335 | 909,040 |
Level III | Subtotal Agency MBS | ||
Assets | ||
Estimated Fair Value | 1,708 | 15,915 |
Level III | Agency CMBS | ||
Assets | ||
Estimated Fair Value | 0 | |
Level III | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Assets | ||
Estimated Fair Value | 0 | |
Level III | Agency RMBS | ||
Assets | ||
Estimated Fair Value | 143 | 0 |
Level III | Agency RMBS Interest-Only Strips | ||
Assets | ||
Estimated Fair Value | 1,565 | 10,343 |
Level III | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Assets | ||
Estimated Fair Value | 5,572 | |
Level III | Subtotal Non-Agency MBS | ||
Assets | ||
Estimated Fair Value | 34,369 | 45,814 |
Level III | Non-Agency CMBS | ||
Assets | ||
Estimated Fair Value | 8,988 | 0 |
Level III | Non-Agency RMBS | ||
Assets | ||
Estimated Fair Value | 21,416 | 38,131 |
Level III | Non-Agency RMBS Interest-Only Strips | ||
Assets | ||
Estimated Fair Value | 3,965 | 7,683 |
Level III | Other securities | ||
Assets | ||
Estimated Fair Value | 8,593 | 17,196 |
Level III | Total mortgage-backed securities and other securities | ||
Assets | ||
Estimated Fair Value | 44,670 | 78,925 |
Estimated Fair Value | ||
Assets | ||
Derivative assets | 161 | 5,111 |
Total | 3,177,538 | 4,930,742 |
Liabilities | ||
Derivative liabilities | 656 | 6,370 |
Securitized debt | 1,553,722 | 681,643 |
Total Liabilities | 1,554,378 | 688,013 |
Estimated Fair Value | Residential Whole Loans | ||
Assets | ||
Fair Value | 1,008,782 | 1,375,860 |
Estimated Fair Value | Residential Bridge Loans | ||
Assets | ||
Fair Value | 12,813 | 33,269 |
Estimated Fair Value | Commercial Loans | ||
Assets | ||
Fair Value | 310,523 | 370,213 |
Estimated Fair Value | Securitized Commercial Loans | ||
Assets | ||
Fair Value | 1,605,335 | 909,040 |
Estimated Fair Value | Subtotal Agency MBS | ||
Assets | ||
Estimated Fair Value | 1,708 | 1,795,255 |
Estimated Fair Value | Agency CMBS | ||
Assets | ||
Estimated Fair Value | 1,435,477 | |
Estimated Fair Value | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Assets | ||
Estimated Fair Value | 3,092 | |
Estimated Fair Value | Agency RMBS | ||
Assets | ||
Estimated Fair Value | 143 | 340,771 |
Estimated Fair Value | Agency RMBS Interest-Only Strips | ||
Assets | ||
Estimated Fair Value | 1,565 | 10,343 |
Estimated Fair Value | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Assets | ||
Estimated Fair Value | 5,572 | |
Estimated Fair Value | Subtotal Non-Agency MBS | ||
Assets | ||
Estimated Fair Value | 189,462 | 361,833 |
Estimated Fair Value | Non-Agency CMBS | ||
Assets | ||
Estimated Fair Value | 164,081 | 316,019 |
Estimated Fair Value | Non-Agency RMBS | ||
Assets | ||
Estimated Fair Value | 21,416 | 38,131 |
Estimated Fair Value | Non-Agency RMBS Interest-Only Strips | ||
Assets | ||
Estimated Fair Value | 3,965 | 7,683 |
Estimated Fair Value | Other securities | ||
Assets | ||
Estimated Fair Value | 48,754 | 80,161 |
Estimated Fair Value | Total mortgage-backed securities and other securities | ||
Assets | ||
Estimated Fair Value | $ 239,924 | $ 2,237,249 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Narrative (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Fair Value Disclosures [Abstract] | ||
Derivative credit risk valuation adjustment, derivative assets | $ 0 | $ 0 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Summary of quantitative information (Details) | Dec. 31, 2020USD ($) | Dec. 31, 2019USD ($) |
Residential Whole Loans | To-Be-Announced Pricing Model (TBA) | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 175,294 | |
Residential Whole Loans | To-Be-Announced Pricing Model (TBA) | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans Held-for-sale, Measurement Input, Pricing | 101.39 | |
Residential Whole Loans | To-Be-Announced Pricing Model (TBA) | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans Held-for-sale, Measurement Input, Pricing | 107.63 | |
Residential Whole Loans | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 1,008,782,000 | $ 1,375,860,000 |
Residential Whole Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.021 | 0.034 |
Residential Whole Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.075 | 0.070 |
Residential Whole Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.041 | 0.037 |
Residential Whole Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 year 6 months | 1 year 4 months 24 days |
Residential Whole Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 8 years 4 months 24 days | 7 years 9 months 18 days |
Residential Whole Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 2 years 10 months 24 days | 3 years |
Residential Bridge Loans | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 12,813,000 | $ 33,269,000 |
Residential Bridge Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.080 | 0.075 |
Residential Bridge Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.352 | 0.270 |
Residential Bridge Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.180 | 0.098 |
Residential Bridge Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 3 months 18 days | 3 months 18 days |
Residential Bridge Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 2 years 7 months 6 days | 1 year 9 months 18 days |
Residential Bridge Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 year 3 months 18 days | 9 months 18 days |
Commercial Loans | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 310,523,000 | |
Commercial Loans | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 310,523,000 | $ 370,213,000 |
Commercial Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.063 | 0.047 |
Commercial Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.184 | 0.109 |
Commercial Loans | Level III | Discounted Cash Flow | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.105 | 0.075 |
Commercial Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 6 months | 4 months 24 days |
Commercial Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 year 10 months 24 days | 2 years 10 months 24 days |
Commercial Loans | Level III | Discounted Cash Flow | Measurement Input, Expected Term | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 8 months 12 days | 1 year 7 months 6 days |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Financial Instruments Measured at Level III (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Other than temporary impairment | $ 0 | $ (8,574) | $ (11,180) |
Premium and discount amortization, net | (5,141) | (7,398) | (5,374) |
Other securities | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Other than temporary impairment | (604) | (717) | |
Premium and discount amortization, net | (4,781) | (6,472) | (6,371) |
Recurring basis | Residential Bridge Loans | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Realized gains/(losses), net on assets | (373) | ||
Recurring basis | Commercial Loans | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 370,213 | ||
Loan modifications / capitalized interest | 49 | ||
Principal repayments | (44,819) | ||
Ending balance | 370,213 | ||
Recurring basis | Subtotal Agency MBS | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Sales and settlements | (11,529) | ||
Level III | Recurring basis | Securitized Debt | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 1,057 | 2,286 | |
Sales and settlements | 3,769 | ||
VIE consolidation | 17,960 | ||
Unrealized gains (losses), net | (887) | (2,373) | |
Premium and discount amortization, net | (2,712) | (2,625) | |
Ending balance | 15,418 | 1,057 | 2,286 |
Unrealized gain (loss) | 887 | 375 | |
Level III | Recurring basis | Residential Whole Loans | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 1,375,860 | 1,041,885 | |
Purchases | 92,822 | 544,426 | |
Sales and settlements | (144,259) | ||
Loan modifications / capitalized interest | 779 | ||
Principal repayments | (278,316) | (228,163) | |
Realized gains/(losses), net on assets | (10,511) | ||
Unrealized gains/(losses), net | (23,094) | 20,887 | |
Premium and discount amortization, net | (4,499) | (3,175) | |
Ending balance | 1,008,782 | 1,375,860 | 1,041,885 |
Level III | Recurring basis | Residential Whole Loans | Assets | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Unrealized gain (loss) | (14,807) | 21,768 | |
Level III | Recurring basis | Residential Bridge Loans | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 33,269 | 211,999 | |
Transfers to REO | (419) | (2,677) | |
Principal repayments | (19,105) | (175,422) | |
Realized gains/(losses), net on assets | (351) | ||
Unrealized gains/(losses), net | (499) | 397 | |
Premium and discount amortization, net | (60) | (677) | |
Ending balance | 12,813 | 33,269 | 211,999 |
Level III | Recurring basis | Residential Bridge Loans | Assets | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Unrealized gain (loss) | (881) | (488) | |
Level III | Recurring basis | Commercial Loans | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 370,213 | 216,123 | |
Purchases | 274,422 | ||
Principal repayments | (121,245) | ||
Unrealized gains/(losses), net | (15,282) | (122) | |
Premium and discount amortization, net | 362 | 1,035 | |
Ending balance | 310,523 | 370,213 | 216,123 |
Level III | Recurring basis | Commercial Loans | Assets | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Unrealized gain (loss) | (15,282) | 128 | |
Level III | Recurring basis | Securitized Commercial Loans | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 909,040 | 1,013,511 | |
Purchases | 1,113,231 | ||
VIE consolidation | 1,245,287 | ||
VIE deconsolidation | (150,804) | ||
Principal repayments | (349,609) | (1,214,688) | |
Unrealized gains/(losses), net | (58,421) | (1,070) | |
Premium and discount amortization, net | 9,842 | (1,944) | |
Ending balance | 1,605,335 | 909,040 | 1,013,511 |
Level III | Recurring basis | Securitized Commercial Loans | Assets | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Unrealized gain (loss) | 746 | (1,042) | |
Level III | Recurring basis | Subtotal Agency MBS | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 15,915 | 19,837 | |
Sales and settlements | (401) | ||
Realized gains/(losses), net on assets | 1,528 | ||
Other than temporary impairment | (222) | ||
Unrealized gains/(losses), net | (2,609) | 762 | |
Premium and discount amortization, net | (1,597) | (4,061) | |
Ending balance | 1,708 | 15,915 | 19,837 |
Level III | Recurring basis | Subtotal Agency MBS | Assets | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Unrealized gain (loss) | (616) | 780 | |
Level III | Recurring basis | Non-Agency MBS | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 45,814 | 50,555 | |
Sales and settlements | (12,658) | ||
VIE deconsolidation | 6,852 | ||
Principal repayments | (710) | (965) | |
Realized gains/(losses), net on assets | (60) | ||
Other than temporary impairment | (1,332) | ||
Unrealized gains/(losses), net | (4,013) | (229) | |
Premium and discount amortization, net | (856) | (2,215) | |
Ending balance | 34,369 | 45,814 | 50,555 |
Level III | Recurring basis | Non-Agency MBS | Assets | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Unrealized gain (loss) | (3,783) | (229) | |
Level III | Recurring basis | Other securities | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Beginning balance | 17,196 | 8,951 | |
Transfers from Level III into Level II | (6,482) | ||
Transfers into Level III from Level II | 8,386 | ||
Principal repayments | (154) | (555) | |
Unrealized gains/(losses), net | (1,949) | 693 | |
Premium and discount amortization, net | (18) | (279) | |
Ending balance | 8,593 | 17,196 | $ 8,951 |
Level III | Recurring basis | Other securities | Assets | |||
Investments measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||
Unrealized gain (loss) | $ (599) | $ 693 |
Fair Value of Financial Instr_7
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt | $ 15,418 | |
Estimated Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt | 1,553,722 | $ 681,643 |
Total | 1,554,378 | 688,013 |
Recurring basis | Carrying Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans on real estate, carrying amount of mortgages | 1,103 | 3,150 |
Borrowings under repurchase agreements | 356,923 | 2,824,801 |
Convertible senior unsecured notes | 170,797 | 197,299 |
Securitized debt | 899,207 | 801,109 |
Total | 1,426,927 | 3,823,209 |
Debt issuance costs, net | 6,900 | 5,300 |
Recurring basis | Estimated Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans on real estate, carrying amount of mortgages | 1,095 | 3,148 |
Borrowings under repurchase agreements | 359,799 | 2,829,093 |
Convertible senior unsecured notes | 155,129 | 209,172 |
Securitized debt | 922,362 | 810,914 |
Total | 1,437,290 | 3,849,179 |
Recurring basis | Residential Bridge Loans | Carrying Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans on real estate, carrying amount of mortgages | 1,103 | 3,150 |
Recurring basis | Residential Bridge Loans | Estimated Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans on real estate, carrying amount of mortgages | $ 1,095 | $ 3,148 |
Mortgage-Backed Securities an_3
Mortgage-Backed Securities and other securities - Company's investment portfolio (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Total mortgage-backed securities and other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 325,146,000 | $ 2,154,864,000 |
Unamortized Premium (Discount), net | (48,146,000) | 16,133,000 |
Discount Designated as Credit Reserve and OTTI | (48,475,000) | |
Amortized Cost | 289,482,000 | 2,149,607,000 |
Unrealized Gain | 4,507,000 | 90,911,000 |
Unrealized Loss | (55,630,000) | (11,933,000) |
Estimated Fair Value | $ 239,924,000 | $ 2,237,249,000 |
Net Weighted Average Coupon (as a percent) | 2.50% | 3.10% |
Weighted average expected remaining term to the expected maturity of investment portfolio | 5 years 6 months | 7 years 10 months 24 days |
Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 1,347,929,000 | |
Unamortized Premium (Discount), net | 26,514,000 | |
Amortized Cost | 1,374,443,000 | |
Unrealized Gain | 66,832,000 | |
Unrealized Loss | (5,798,000) | |
Estimated Fair Value | $ 1,435,477,000 | |
Net Weighted Average Coupon (as a percent) | 3.40% | |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 3,092,000 | |
Net Weighted Average Coupon (as a percent) | 0.40% | |
Notional balance | $ 160,200,000 | |
Subtotal Commercial Mortgage Backed Securities Issued By US Government Sponsored Enterprises | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | 1,347,929,000 | |
Unamortized Premium (Discount), net | 26,514,000 | |
Amortized Cost | 1,374,443,000 | |
Unrealized Gain | 66,832,000 | |
Unrealized Loss | (5,798,000) | |
Estimated Fair Value | $ 1,438,569,000 | |
Net Weighted Average Coupon (as a percent) | 3.10% | |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 327,814,000 | |
Unamortized Premium (Discount), net | 5,473,000 | |
Amortized Cost | 333,287,000 | |
Unrealized Gain | 7,484,000 | |
Estimated Fair Value | $ 340,771,000 | |
Net Weighted Average Coupon (as a percent) | 3.50% | |
Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 89,000 | $ 8,661,000 |
Unrealized Gain | 54,000 | 1,820,000 |
Unrealized Loss | 0 | (138,000) |
Estimated Fair Value | $ 143,000 | $ 10,343,000 |
Net Weighted Average Coupon (as a percent) | 2.10% | 2.80% |
Notional balance | $ 3,700,000 | $ 121,700,000 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 1,565,000 | $ 5,572,000 |
Net Weighted Average Coupon (as a percent) | 2.60% | 3.00% |
Subtotal Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 327,814,000 | |
Unamortized Premium (Discount), net | 5,473,000 | |
Amortized Cost | 341,948,000 | |
Unrealized Gain | 9,304,000 | |
Unrealized Loss | (138,000) | |
Estimated Fair Value | $ 356,686,000 | |
Net Weighted Average Coupon (as a percent) | 3.30% | |
Subtotal Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 0 | $ 1,675,743,000 |
Unamortized Premium (Discount), net | 0 | 31,987,000 |
Amortized Cost | 89,000 | 1,716,391,000 |
Unrealized Gain | 54,000 | 76,136,000 |
Unrealized Loss | 0 | (5,936,000) |
Estimated Fair Value | $ 1,708,000 | $ 1,795,255,000 |
Net Weighted Average Coupon (as a percent) | 2.50% | 3.10% |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 38,112,000 | $ 52,767,000 |
Unamortized Premium (Discount), net | (14,649,000) | 4,492,000 |
Discount Designated as Credit Reserve and OTTI | (20,256,000) | |
Amortized Cost | 23,463,000 | 37,003,000 |
Unrealized Gain | 451,000 | 1,388,000 |
Unrealized Loss | (2,498,000) | (260,000) |
Estimated Fair Value | $ 21,416,000 | $ 38,131,000 |
Net Weighted Average Coupon (as a percent) | 1.60% | 4.80% |
Non-Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 6,271,000 | $ 7,705,000 |
Unrealized Gain | 0 | 636,000 |
Unrealized Loss | (2,306,000) | (658,000) |
Estimated Fair Value | $ 3,965,000 | $ 7,683,000 |
Net Weighted Average Coupon (as a percent) | 0.40% | 0.60% |
Notional balance | $ 306,000,000 | $ 442,400,000 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,565,000 | 5,572,000 |
Notional balance | 21,600,000 | 64,800,000 |
Subtotal Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | 38,112,000 | 52,767,000 |
Unamortized Premium (Discount), net | (14,649,000) | 4,492,000 |
Discount Designated as Credit Reserve and OTTI | (20,256,000) | |
Amortized Cost | 29,734,000 | 44,708,000 |
Unrealized Gain | 451,000 | 2,024,000 |
Unrealized Loss | (4,804,000) | (918,000) |
Estimated Fair Value | $ 25,381,000 | $ 45,814,000 |
Net Weighted Average Coupon (as a percent) | 0.60% | 1.00% |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 235,497,000 | $ 354,458,000 |
Unamortized Premium (Discount), net | (25,258,000) | (17,909,000) |
Discount Designated as Credit Reserve and OTTI | (22,016,000) | |
Amortized Cost | 210,239,000 | 314,533,000 |
Unrealized Gain | 2,850,000 | 6,359,000 |
Unrealized Loss | (49,008,000) | (4,873,000) |
Estimated Fair Value | $ 164,081,000 | $ 316,019,000 |
Net Weighted Average Coupon (as a percent) | 5.00% | 5.10% |
Total Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 273,609,000 | $ 407,225,000 |
Unamortized Premium (Discount), net | (39,907,000) | (13,417,000) |
Discount Designated as Credit Reserve and OTTI | (42,272,000) | |
Amortized Cost | 239,973,000 | 359,241,000 |
Unrealized Gain | 3,301,000 | 8,383,000 |
Unrealized Loss | (53,812,000) | (5,791,000) |
Estimated Fair Value | $ 189,462,000 | $ 361,833,000 |
Net Weighted Average Coupon (as a percent) | 2.40% | 2.70% |
Other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 51,537,000 | $ 71,896,000 |
Unamortized Premium (Discount), net | (8,239,000) | (2,437,000) |
Discount Designated as Credit Reserve and OTTI | (6,203,000) | |
Amortized Cost | 49,420,000 | 73,975,000 |
Unrealized Gain | 1,152,000 | 6,392,000 |
Unrealized Loss | (1,818,000) | (206,000) |
Estimated Fair Value | $ 48,754,000 | $ 80,161,000 |
Net Weighted Average Coupon (as a percent) | 4.40% | 6.70% |
Residual interests in asset-backed securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal Balance | $ 0 | $ 0 |
Amortized Cost | $ 6,100,000 | $ 10,700,000 |
Mortgage-Backed Securities an_4
Mortgage-Backed Securities and other securities - Changes in the components of purchase discount and amortizable premium (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||
Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | |
Discount Designated as Credit Reserve and OTTI | ||||||
Other than temporary impairment | $ (2,228) | $ (1,819) | $ (3,295) | $ (1,232) | ||
Non-Agency RMBS and Non-Agency CMBS and Other Securities | ||||||
Discount Designated as Credit Reserve and OTTI | ||||||
Balance at beginning of period | (53,523) | $ (53,523) | $ (72,915) | |||
Realized credit losses | 7,290 | 5,863 | ||||
Purchases | (28) | (7,182) | ||||
Sales | 26,706 | 32,301 | ||||
Other than temporary impairment | (6,612) | (9,733) | ||||
Transfers/release of credit reserve | (22,308) | (1,857) | ||||
Balance at end of period | (48,475) | (48,475) | (53,523) | |||
Accretable Discount | ||||||
Balance at beginning of period | (29,465) | (29,465) | (68,438) | |||
Accretion of discount | 4,364 | 7,137 | ||||
Purchases | (7,953) | (6,473) | ||||
Sales | 40,338 | |||||
Transfers/release of credit reserve | 2,889 | (2,029) | ||||
Balance at end of period | (30,165) | (30,165) | (29,465) | |||
Amortizable Premium | ||||||
Balance at beginning of period | $ 14,928 | 14,928 | 20,872 | |||
Amortization of premium | (1,215) | (675) | ||||
Purchases | 819 | 435 | ||||
Sales | (19,640) | (9,590) | ||||
Transfers/release of credit reserve | 19,419 | 3,886 | ||||
Balance at end of period | $ 14,311 | $ 14,311 | $ 14,928 |
- Fair value and contractual ma
- Fair value and contractual maturities of the Company's investment securities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Total mortgage-backed securities and other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 239,924 | $ 2,237,249 |
Total mortgage-backed securities and other securities | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 66,971 | 1,091,877 |
Total mortgage-backed securities and other securities | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 58,176 | 625,252 |
Total mortgage-backed securities and other securities | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 86,452 | 453,805 |
Total mortgage-backed securities and other securities | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 28,325 | 66,315 |
Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,435,477 | |
Agency CMBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 973,189 | |
Agency CMBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 462,288 | |
Agency CMBS | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | |
Agency CMBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 3,092 | |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 3,092 | |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 340,771 | |
Agency RMBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | |
Agency RMBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | |
Agency RMBS | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 340,771 | |
Agency RMBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | |
Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 143 | 10,343 |
Agency RMBS Interest-Only Strips | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 2,413 |
Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 1,966 |
Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 143 | 5,964 |
Agency RMBS Interest-Only Strips | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,565 | 5,572 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 669 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,565 | 3,893 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 1,010 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Subtotal Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,708 | 1,795,255 |
Subtotal Agency MBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 976,271 |
Subtotal Agency MBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,565 | 468,147 |
Subtotal Agency MBS | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 143 | 347,745 |
Subtotal Agency MBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 3,092 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 164,081 | 316,019 |
Non-Agency CMBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 59,724 | 89,782 |
Non-Agency CMBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 50,408 | 125,282 |
Non-Agency CMBS | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 53,269 | 92,610 |
Non-Agency CMBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 680 | 8,345 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 21,416 | 38,131 |
Non-Agency RMBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Non-Agency RMBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Non-Agency RMBS | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 7,958 | 8,966 |
Non-Agency RMBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 13,458 | 29,165 |
Non-Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 3,965 | 7,683 |
Non-Agency RMBS Interest-Only Strips | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Non-Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Non-Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 472 | 1,716 |
Non-Agency RMBS Interest-Only Strips | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 3,493 | 5,967 |
Subtotal Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 189,462 | 361,833 |
Subtotal Non-Agency MBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 59,724 | 89,782 |
Subtotal Non-Agency MBS | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 50,408 | 125,282 |
Subtotal Non-Agency MBS | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 61,699 | 103,292 |
Subtotal Non-Agency MBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 17,631 | 43,477 |
Other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 48,754 | 80,161 |
Other securities | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 7,247 | 25,824 |
Other securities | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 6,203 | 31,823 |
Other securities | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 24,610 | 2,768 |
Other securities | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 10,694 | $ 19,746 |
Mortgage-Backed Securities an_5
Mortgage-Backed Securities and other securities - Gross unrealized losses and estimated fair value (Details) $ in Thousands | Dec. 31, 2020USD ($)item | Dec. 31, 2019USD ($)item |
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 Months | $ 151,034 | $ 412,552 |
Fair value, 12 months or longer | 51,359 | 19,897 |
Fair Value | 202,393 | 432,449 |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | (38,708) | (11,267) |
12 Months or Longer, Accumulated Loss | (16,922) | (666) |
Unrealized Losses | $ (55,630) | $ (11,933) |
Number of Securities | ||
Number of positions, less than 12 Months | item | 29 | 55 |
Number of positions, 12 months or longer | item | 16 | 11 |
Number of Securities | item | 45 | 66 |
Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 Months | $ 214,084 | |
Fair value, 12 months or longer | 0 | |
Fair Value | 214,084 | |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | (5,798) | |
12 Months or Longer, Accumulated Loss | 0 | |
Unrealized Losses | $ (5,798) | |
Number of Securities | ||
Number of positions, less than 12 Months | item | 16 | |
Number of positions, 12 months or longer | item | 0 | |
Number of Securities | item | 16 | |
Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 Months | $ 1,376 | |
Fair value, 12 months or longer | 1,828 | |
Fair Value | 3,204 | |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | (43) | |
12 Months or Longer, Accumulated Loss | (95) | |
Unrealized Losses | $ (138) | |
Number of Securities | ||
Number of positions, less than 12 Months | item | 4 | |
Number of positions, 12 months or longer | item | 7 | |
Number of Securities | item | 11 | |
Subtotal Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 Months | $ 215,460 | |
Fair value, 12 months or longer | 1,828 | |
Fair Value | 217,288 | |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | (5,841) | |
12 Months or Longer, Accumulated Loss | (95) | |
Unrealized Losses | $ (5,936) | |
Number of Securities | ||
Number of positions, less than 12 Months | item | 20 | |
Number of positions, 12 months or longer | item | 7 | |
Number of Securities | item | 27 | |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 Months | $ 102,935 | $ 171,650 |
Fair value, 12 months or longer | 50,887 | 18,069 |
Fair Value | 153,822 | 189,719 |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | (33,602) | (4,302) |
12 Months or Longer, Accumulated Loss | (15,406) | (571) |
Unrealized Losses | $ (49,008) | $ (4,873) |
Number of Securities | ||
Number of positions, less than 12 Months | item | 16 | 31 |
Number of positions, 12 months or longer | item | 15 | 4 |
Number of Securities | item | 31 | 35 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 Months | $ 18,242 | $ 13,214 |
Fair value, 12 months or longer | 0 | 0 |
Fair Value | 18,242 | 13,214 |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | (2,498) | (260) |
12 Months or Longer, Accumulated Loss | 0 | 0 |
Unrealized Losses | $ (2,498) | $ (260) |
Number of Securities | ||
Number of positions, less than 12 Months | item | 4 | 1 |
Number of positions, 12 months or longer | item | 0 | 0 |
Number of Securities | item | 4 | 1 |
Non-Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 Months | $ 3,492 | $ 1,716 |
Fair value, 12 months or longer | 472 | 0 |
Fair Value | 3,964 | 1,716 |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | (790) | (658) |
12 Months or Longer, Accumulated Loss | (1,516) | 0 |
Unrealized Losses | $ (2,306) | $ (658) |
Number of Securities | ||
Number of positions, less than 12 Months | item | 3 | 1 |
Number of positions, 12 months or longer | item | 1 | 0 |
Number of Securities | item | 4 | 1 |
Subtotal Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 Months | $ 124,669 | $ 186,580 |
Fair value, 12 months or longer | 51,359 | 18,069 |
Fair Value | 176,028 | 204,649 |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | (36,890) | (5,220) |
12 Months or Longer, Accumulated Loss | (16,922) | (571) |
Unrealized Losses | $ (53,812) | $ (5,791) |
Number of Securities | ||
Number of positions, less than 12 Months | item | 23 | 33 |
Number of positions, 12 months or longer | item | 16 | 4 |
Number of Securities | item | 39 | 37 |
Other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 Months | $ 26,365 | $ 10,512 |
Fair value, 12 months or longer | 0 | 0 |
Fair Value | 26,365 | 10,512 |
Unrealized Losses | ||
Unrealized loss position, less than 12 Months, accumulated loss | (1,818) | (206) |
12 Months or Longer, Accumulated Loss | 0 | 0 |
Unrealized Losses | $ (1,818) | $ (206) |
Number of Securities | ||
Number of positions, less than 12 Months | item | 6 | 2 |
Number of positions, 12 months or longer | item | 0 | 0 |
Number of Securities | item | 6 | 2 |
Mortgage-Backed Securities an_6
Mortgage-Backed Securities and other securities - OTTI and Interest Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale [Line Items] | |||||||||||
Other than temporary impairment | $ 0 | $ 8,574 | $ 11,180 | ||||||||
Depreciation, Amortization and Accretion, Net [Abstract] | |||||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | (5,141) | (7,398) | (5,374) | ||||||||
Interest income | $ 47,718 | $ 43,970 | $ 31,494 | $ 54,846 | $ 55,761 | $ 55,652 | $ 53,818 | $ 52,033 | 178,028 | 217,264 | 209,362 |
Total mortgage-backed securities and other securities | |||||||||||
Depreciation, Amortization and Accretion, Net [Abstract] | |||||||||||
Coupon Interest | 40,637 | 93,960 | 121,638 | ||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | (1,130) | (10,049) | (6,816) | ||||||||
Interest income | 39,507 | 83,911 | 114,822 | ||||||||
Subtotal Agency RMBS | |||||||||||
Debt Securities, Available-for-sale [Line Items] | |||||||||||
Other than temporary impairment | 74 | 807 | |||||||||
Depreciation, Amortization and Accretion, Net [Abstract] | |||||||||||
Coupon Interest | 2,975 | 12,181 | 19,507 | ||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | (987) | (3,053) | (5,092) | ||||||||
Interest income | 1,988 | 9,128 | 14,415 | ||||||||
Non-Agency RMBS | |||||||||||
Debt Securities, Available-for-sale [Line Items] | |||||||||||
Other than temporary impairment | 1,331 | 996 | |||||||||
Depreciation, Amortization and Accretion, Net [Abstract] | |||||||||||
Coupon Interest | 2,732 | 4,682 | 7,120 | ||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | (1,193) | (2,214) | (1,073) | ||||||||
Interest income | 1,539 | 2,468 | 6,047 | ||||||||
Agency CMBS | |||||||||||
Depreciation, Amortization and Accretion, Net [Abstract] | |||||||||||
Coupon Interest | 11,336 | 51,286 | 60,148 | ||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | (636) | (2,327) | (646) | ||||||||
Interest income | 10,700 | 48,959 | 59,502 | ||||||||
Non-Agency CMBS | |||||||||||
Debt Securities, Available-for-sale [Line Items] | |||||||||||
Other than temporary impairment | 6,565 | 8,660 | |||||||||
Depreciation, Amortization and Accretion, Net [Abstract] | |||||||||||
Coupon Interest | 15,331 | 14,178 | 20,058 | ||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | 6,467 | 4,017 | 6,366 | ||||||||
Interest income | 21,798 | 18,195 | 26,424 | ||||||||
Other securities | |||||||||||
Debt Securities, Available-for-sale [Line Items] | |||||||||||
Other than temporary impairment | 604 | 717 | |||||||||
Depreciation, Amortization and Accretion, Net [Abstract] | |||||||||||
Coupon Interest | 8,263 | 11,633 | 14,805 | ||||||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | (4,781) | (6,472) | (6,371) | ||||||||
Interest income | $ 3,482 | $ 5,161 | $ 8,434 |
Mortgage-Backed Securities an_7
Mortgage-Backed Securities and other securities - Sales and realized gains (losses) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||||||||||
Net Gain (Loss) | $ 1,327 | $ 718 | $ (6,960) | $ 89,186 | $ 11,992 | $ 21,399 | $ (8) | $ (5,105) | $ 84,271 | $ 28,278 | $ (63,257) |
Total mortgage-backed securities and other securities | |||||||||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||||||||||
Proceeds | 2,229,516 | 1,136,617 | 2,430,054 | ||||||||
Gross Gains | 129,129 | 34,669 | 18,512 | ||||||||
Gross Losses | (36,899) | (5,814) | (81,721) | ||||||||
Net Gain (Loss) | 92,230 | 28,855 | (63,209) | ||||||||
Agency CMBS | |||||||||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||||||||||
Proceeds | 1,668,149 | 891,072 | 1,534,967 | ||||||||
Gross Gains | 116,463 | 32,793 | 0 | ||||||||
Gross Losses | (6,486) | (4,190) | (51,045) | ||||||||
Net Gain (Loss) | 109,977 | 28,603 | (51,045) | ||||||||
Subtotal Agency RMBS | |||||||||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||||||||||
Proceeds | 400,948 | 205,310 | 589,854 | ||||||||
Gross Gains | 12,552 | 1,559 | 18 | ||||||||
Gross Losses | (506) | 0 | (23,997) | ||||||||
Net Gain (Loss) | 12,046 | 1,559 | (23,979) | ||||||||
Non-Agency CMBS | |||||||||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||||||||||
Proceeds | 111,804 | 40,235 | 140,292 | ||||||||
Gross Gains | 1 | 317 | 3,086 | ||||||||
Gross Losses | (23,624) | (1,624) | (6,201) | ||||||||
Net Gain (Loss) | (23,623) | $ (1,307) | (3,115) | ||||||||
Non-Agency RMBS | |||||||||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||||||||||
Proceeds | 12,658 | 99,842 | |||||||||
Gross Gains | 0 | 7,008 | |||||||||
Gross Losses | (60) | (478) | |||||||||
Net Gain (Loss) | (60) | 6,530 | |||||||||
Other securities | |||||||||||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | |||||||||||
Proceeds | 35,957 | 65,099 | |||||||||
Gross Gains | 113 | 8,400 | |||||||||
Gross Losses | (6,223) | 0 | |||||||||
Net Gain (Loss) | $ (6,110) | $ 8,400 |
Mortgage-Backed Securities an_8
Mortgage-Backed Securities and other securities - Unconsolidated CMBS VIEs (Details) $ in Millions | 12 Months Ended | |
Dec. 31, 2020USD ($)loanentity | Dec. 31, 2019USD ($)loan | |
Schedule of Investments [Line Items] | ||
VIE, consolidated, number of commercial loan trusts | entity | 3 | |
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $ | $ 48.9 | $ 117.7 |
Variable Interest Entity, Not Primary Beneficiary | ||
Schedule of Investments [Line Items] | ||
VIE, consolidated, number of commercial loan trusts | loan | 7 | 10 |
Residential Whole Loans and B_3
Residential Whole Loans and Bridge Loans (Details) | 1 Months Ended | 3 Months Ended | 12 Months Ended | |||
May 31, 2019USD ($) | Mar. 31, 2020loan | Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | Jun. 30, 2020USD ($) | Jun. 29, 2020USD ($) | |
Variable Interest Entity [Line Items] | ||||||
Repurchase agreements | $ 356,923,000 | $ 2,824,801,000 | ||||
Principal amount of delinquent loans | $ 55,374,000 | |||||
Number of loans in forbearance | loan | 7 | |||||
Principal balance | $ 3,065,039,000 | |||||
Residential Whole Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of Loans | loan | 2,497 | 3,529 | ||||
Principal balance | $ 984,555,000 | $ 1,325,443,000 | ||||
Residential Whole Loans | Non-Qualifying Adjustable Rate Mortgage | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of Loans | loan | 2,489 | |||||
Residential Whole Loans | Investor Fixed Rate Mortgage | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of Loans | loan | 8 | |||||
Residential Whole Loans | VIE | ||||||
Variable Interest Entity [Line Items] | ||||||
Repurchase agreements | $ 30,200,000 | 209,900,000 | ||||
Number of Loans | loan | 2,489 | |||||
Mortgage loans on real estate, number of loans | 12 | 26 | ||||
Principal amount of delinquent loans | $ 15,300,000 | 7,100,000 | ||||
Original LTV, collateral dependent | 62.10% | 60.40% | ||||
Mortgage loans on real estate, number of loans, nonperforming, percentage | 0.50% | 1.60% | ||||
Residential Whole Loans | RCR Trust | ||||||
Variable Interest Entity [Line Items] | ||||||
Repurchase agreements | 164,300,000 | |||||
Residential Whole Loans | RNR Trust | ||||||
Variable Interest Entity [Line Items] | ||||||
Repurchase agreements | 8,100,000 | |||||
Residential Whole Loans | Arroyo Mortgage Trust 2019-2 | ||||||
Variable Interest Entity [Line Items] | ||||||
Repurchase agreements | $ 919,000,000 | |||||
Residential Whole Loans | RBR Trust | ||||||
Variable Interest Entity [Line Items] | ||||||
Repurchase agreements | 91,700,000 | |||||
Residential Whole Loans | Arroyo Mortgage Trust 2020 | ||||||
Variable Interest Entity [Line Items] | ||||||
Repurchase agreements | $ 341,700,000 | |||||
Residential Whole Loans | Variable Interest Entity, Not Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of Loans | loan | 8 | |||||
Residential Bridge Loans | VIE | ||||||
Variable Interest Entity [Line Items] | ||||||
Repurchase agreements | $ 13,400,000 | $ 32,100,000 | ||||
Number of Loans | loan | 29 | 76 | ||||
Principal amount of delinquent loans | $ 123,800 | |||||
Original LTV, collateral dependent | 73.00% | 72.10% | ||||
Mortgage loans on real estate, number of loans, nonperforming, percentage | 66.00% | 32.60% | ||||
Principal amount at fair value of delinquent loans | $ 9,900,000 | |||||
Principal balance | 15,247,000 | $ 37,196,000 | ||||
Foreclosed loans, carrying value | $ 1,100,000 | |||||
Residential Bridge Loans | Variable Interest Entity, Not Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of Loans | loan | 25 | |||||
Non-QM Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Number of loans in forbearance | loan | 7 | |||||
Number of loans previously in forbearance | loan | 142 | |||||
Non-QM Loans | VIE | ||||||
Variable Interest Entity [Line Items] | ||||||
Original LTV, collateral dependent | 65.30% | |||||
Mortgage loans on real estate, number of loans, nonperforming, percentage | 0.20% | |||||
Estimated Fair Value | Residential Whole Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair Value | $ 1,008,782,000 | 1,375,860,000 | ||||
Estimated Fair Value | Residential Whole Loans | VIE | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair Value | 14,700,000 | 6,700,000 | ||||
Estimated Fair Value | Residential Bridge Loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Fair Value | $ 12,813,000 | $ 33,269,000 | ||||
Estimated Fair Value | Residential Bridge Loans | VIE | ||||||
Variable Interest Entity [Line Items] | ||||||
Mortgage loans on real estate, number of loans | 20 | 27 | ||||
Principal amount of delinquent loans | $ 12,100,000 | |||||
Fair Value | $ 8,900,000 | 11,400,000 | ||||
Estimated Fair Value | Non-QM Loans | VIE | ||||||
Variable Interest Entity [Line Items] | ||||||
Principal amount of delinquent loans | $ 2,400,000 | |||||
Fair Value | $ 2,400,000 | |||||
Arroyo Trust | Residential Whole Loans | Arroyo Mortgage Trust 2019-2 | ||||||
Variable Interest Entity [Line Items] | ||||||
Transfer of residential mortgage-backed securitization | $ 945,500,000 | |||||
Arroyo Trust | Residential Whole Loans | Arroyo Mortgage Trust 2020 | ||||||
Variable Interest Entity [Line Items] | ||||||
Line of credit facility, maximum borrowing capacity | $ 355,800,000 |
Residential Whole Loans and B_4
Residential Whole Loans and Bridge Loans Summary of the Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Variable Interest Entity [Line Items] | |||
Cash and cash equivalents | $ 31,613 | $ 31,331 | $ 21,987 |
Residential Whole-Loans, at fair value ($1,008,782 and $1,375,860 pledged as collateral, at fair value, respectively) | 1,008,782 | 1,375,860 | |
Investment related receivable | 30,576 | 19,931 | |
Interest receivable | 13,568 | 19,413 | |
Other assets | 3,152 | 4,509 | |
Total assets | 3,336,009 | 5,160,971 | |
Securitized debt, net ($1,553,722 and $681,643 at fair value and $215,753 and $142,905 held by affiliates, respectively) | 2,446,012 | 1,477,454 | |
Interest payable | 12,006 | 15,001 | |
Accounts payable and accrued expenses | 2,686 | 3,188 | |
Total liabilities | 3,080,895 | 4,596,510 | |
VIE | |||
Variable Interest Entity [Line Items] | |||
Cash and cash equivalents | 0 | 7,589 | |
Residential Whole-Loans, at fair value ($1,008,782 and $1,375,860 pledged as collateral, at fair value, respectively) | 1,008,782 | 1,375,860 | |
Residential Bridge Loans ($11,858 and $31,748 at fair value and $12,960 and $34,897 pledged as collateral, respectively) | 12,960 | 34,897 | |
Investment related receivable | 27,987 | 19,138 | |
Interest receivable | 10,936 | 10,829 | |
Other assets | 80 | 90 | |
Total assets | 2,810,678 | 2,501,179 | |
Securitized debt, net ($1,553,722 and $681,643 at fair value and $215,753 and $142,905 held by affiliates, respectively) | 2,446,012 | 1,477,454 | |
Interest payable | 7,882 | 3,886 | |
Accounts payable and accrued expenses | 89 | 185 | |
Total liabilities | 2,530,115 | 1,534,473 | |
Borrowings under repurchase agreements | 11,858 | 31,748 | |
Residential Whole-Loan And Residential Bridge Loan | VIE | |||
Variable Interest Entity [Line Items] | |||
Cash and cash equivalents | 0 | 1,811 | |
Residential Whole-Loans, at fair value ($1,008,782 and $1,375,860 pledged as collateral, at fair value, respectively) | 1,008,782 | 1,375,860 | |
Residential Bridge Loans ($11,858 and $31,748 at fair value and $12,960 and $34,897 pledged as collateral, respectively) | 12,960 | 34,897 | |
Investment related receivable | 27,987 | 19,138 | |
Interest receivable | 4,688 | 7,840 | |
Other assets | 80 | 90 | |
Total assets | 1,054,497 | 1,439,636 | |
Securitized debt, net ($1,553,722 and $681,643 at fair value and $215,753 and $142,905 held by affiliates, respectively) | 892,290 | 795,811 | |
Interest payable | 2,222 | 2,367 | |
Accounts payable and accrued expenses | 77 | 173 | |
Total liabilities | $ 894,589 | $ 798,351 |
Residential Whole Loans and B_5
Residential Whole Loans and Bridge Loans Carrying Value Components (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Variable Interest Entity [Line Items] | ||
Principal balance | $ 3,065,039 | |
Residential Whole Loans, at Fair Value | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 984,555 | $ 1,325,443 |
Unamortized premium | 24,248 | 28,588 |
Unamortized discount | (1,799) | (2,839) |
Amortized cost | 1,007,004 | 1,351,192 |
Gross unrealized gains | 9,282 | 26,363 |
Gross unrealized losses | (7,504) | (1,695) |
Fair value | 1,008,782 | 1,375,860 |
Residential Bridge Loans, at Fair Value | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 14,144 | 34,041 |
Unamortized premium | 3 | 79 |
Unamortized discount | 0 | (13) |
Amortized cost | 14,147 | 34,107 |
Gross unrealized gains | 5 | 10 |
Gross unrealized losses | (1,339) | (848) |
Fair value | 12,813 | 33,269 |
Residential Bridge Loans, at Amortized Cost | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 1,103 | 3,155 |
Unamortized premium | 0 | 6 |
Unamortized discount | 0 | (11) |
Amortized cost | $ 1,103 | $ 3,150 |
Residential Whole Loans and B_6
Residential Whole Loans and Bridge Loans Investment Portfolio (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020USD ($)loanitemscore | Dec. 31, 2019USD ($)scoreloanitem | |
Variable Interest Entity [Line Items] | ||
Principal balance | $ | $ 3,065,039 | |
2.01 - 3.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 4 | |
Principal balance | $ | $ 3,239 | |
Original LTV | 66.70% | |
Original FICO Score | item | 733 | |
Expected Life (in years) | 5 years 10 months 24 days | |
Contractual Maturity (years) | 28 years | |
Coupon Rate | 2.70% | |
3.01 - 4.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 118 | 53 |
Principal balance | $ | $ 41,489 | $ 17,284 |
Original LTV | 55.80% | 61.70% |
Original FICO Score | item | 709 | 736 |
Expected Life (in years) | 3 years 9 months 18 days | 2 years 4 months 24 days |
Contractual Maturity (years) | 23 years 3 months 18 days | 28 years |
Coupon Rate | 3.70% | 3.90% |
4.01 - 5.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 1,172 | 1,689 |
Principal balance | $ | $ 403,398 | $ 557,144 |
Original LTV | 61.80% | 61.40% |
Original FICO Score | item | 751 | 744 |
Expected Life (in years) | 2 years 8 months 12 days | 2 years 9 months 18 days |
Contractual Maturity (years) | 27 years 8 months 12 days | 28 years 6 months |
Coupon Rate | 4.90% | 4.80% |
5.01 - 6.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 1,166 | 1,682 |
Principal balance | $ | $ 523,105 | $ 713,397 |
Original LTV | 64.20% | 62.00% |
Original FICO Score | item | 740 | 736 |
Expected Life (in years) | 2 years 10 months 24 days | 3 years |
Contractual Maturity (years) | 27 years 8 months 12 days | 28 years 3 months 18 days |
Coupon Rate | 5.40% | 5.40% |
6.01 - 7.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 35 | 103 |
Principal balance | $ | $ 12,813 | $ 37,102 |
Original LTV | 67.50% | 54.10% |
Original FICO Score | item | 720 | 727 |
Expected Life (in years) | 3 years 2 months 12 days | 3 years 9 months 18 days |
Contractual Maturity (years) | 27 years | 25 years 3 months 18 days |
Coupon Rate | 6.30% | 6.20% |
7.01 - 8.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 2 | 2 |
Principal balance | $ | $ 511 | $ 516 |
Original LTV | 73.20% | 73.20% |
Original FICO Score | score | 753 | 753 |
Expected Life (in years) | 4 years 1 month 6 days | 4 years 8 months 12 days |
Contractual Maturity (years) | 27 years 7 months 6 days | 28 years 7 months 6 days |
Coupon Rate | 7.10% | 7.10% |
Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 2,497 | 3,529 |
Principal balance | $ | $ 984,555 | $ 1,325,443 |
Original LTV | 62.90% | 61.50% |
Original FICO Score | item | 744 | 739 |
Expected Life (in years) | 2 years 10 months 24 days | 3 years |
Contractual Maturity (years) | 27 years 6 months | 28 years 3 months 18 days |
Coupon Rate | 5.10% | 5.20% |
Residential Whole Loans | VIE | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 2,489 | |
Residential portfolio segment with no FICO score | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 236 | 286 |
Principal balance | $ | $ 75,200 | $ 94,600 |
7.01 – 9.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 10 | 36 |
Principal balance | $ | $ 8,295 | $ 22,409 |
Original LTV | 69.60% | 70.20% |
Contractual Maturity (years) | 1 year 4 months 24 days | 5 years 9 months 18 days |
Coupon Rate | 8.70% | 8.40% |
9.01 – 11.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 15 | 28 |
Principal balance | $ | $ 6,123 | $ 9,972 |
Original LTV | 75.50% | 74.00% |
Contractual Maturity (years) | 6 months | 5 years 7 months 6 days |
Coupon Rate | 10.10% | 10.10% |
11.01 – 13.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 3 | 9 |
Principal balance | $ | $ 705 | $ 2,741 |
Original LTV | 69.80% | 63.10% |
Contractual Maturity (years) | 0 years | 2 years |
Coupon Rate | 11.40% | 11.70% |
13.01 – 15.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 1 | |
Principal balance | $ | $ 1,125 | |
Original LTV | 75.00% | |
Contractual Maturity (years) | 0 years | |
Coupon Rate | 13.50% | |
17.01 - 19.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 1 | 2 |
Principal balance | $ | $ 124 | $ 949 |
Original LTV | 75.00% | 75.00% |
Contractual Maturity (years) | 0 years | 0 years |
Coupon Rate | 18.00% | 18.00% |
Residential Bridge Loans | VIE | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 29 | 76 |
Principal balance | $ | $ 15,247 | $ 37,196 |
Original LTV | 72.00% | 71.00% |
Contractual Maturity (years) | 9 months 18 days | 5 years 7 months 6 days |
Coupon Rate | 9.40% | 9.50% |
Minimum | 2.01 - 3.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 2.01% | |
Minimum | 3.01 - 4.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 3.01% | 3.01% |
Minimum | 4.01 - 5.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 4.01% | 4.01% |
Minimum | 5.01 - 6.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 5.01% | 5.01% |
Minimum | 6.01 - 7.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 6.01% | 6.01% |
Minimum | 7.01 - 8.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 7.01% | 7.01% |
Minimum | 7.01 – 9.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 7.01% | 7.01% |
Minimum | 9.01 – 11.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 9.01% | 9.01% |
Minimum | 11.01 – 13.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 11.01% | 11.01% |
Minimum | 13.01 – 15.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 13.01% | |
Minimum | 17.01 - 19.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 17.01% | 17.01% |
Maximum | 2.01 - 3.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 3.00% | |
Maximum | 3.01 - 4.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 4.00% | 4.00% |
Maximum | 4.01 - 5.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 5.00% | 5.00% |
Maximum | 5.01 - 6.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 6.00% | 6.00% |
Maximum | 6.01 - 7.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 7.00% | 7.00% |
Maximum | 7.01 - 8.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 8.00% | 8.00% |
Maximum | 7.01 – 9.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 9.00% | 9.00% |
Maximum | 9.01 – 11.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 11.00% | 11.00% |
Maximum | 11.01 – 13.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 13.00% | 13.00% |
Maximum | 13.01 – 15.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 15.00% | |
Maximum | 17.01 - 19.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 19.00% | 19.00% |
Non-Qualifying Adjustable Rate Mortgage | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 2,489 | |
Investor Fixed Rate Mortgage | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 8 |
Residential Whole Loans and B_7
Residential Whole Loans and Bridge Loans Geographic Concentration (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Variable Interest Entity [Line Items] | ||
Principal balance | $ 3,065,039 | |
Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Principal balance | $ 984,555 | $ 1,325,443 |
Geographic Concentration Risk | Residential Whole Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 100.00% | 100.00% |
Principal balance | $ 984,555 | $ 1,325,443 |
Geographic Concentration Risk | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 100.00% | 100.00% |
Principal balance | $ 15,247 | $ 37,196 |
Geographic Concentration Risk | California | Residential Whole Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 65.80% | 66.10% |
Principal balance | $ 647,877 | $ 875,738 |
Geographic Concentration Risk | California | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 37.50% | 50.40% |
Principal balance | $ 5,713 | $ 18,763 |
Geographic Concentration Risk | New York | Residential Whole Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 17.70% | 16.20% |
Principal balance | $ 173,788 | $ 214,141 |
Geographic Concentration Risk | New York | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 17.30% | 12.10% |
Principal balance | $ 2,632 | $ 4,518 |
Geographic Concentration Risk | Washington | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 16.10% | 13.10% |
Principal balance | $ 2,461 | $ 4,863 |
Geographic Concentration Risk | Georgia | Residential Whole Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 3.40% | 3.40% |
Principal balance | $ 33,577 | $ 45,189 |
Geographic Concentration Risk | Florida | Residential Whole Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 2.80% | 2.80% |
Principal balance | $ 27,274 | $ 36,641 |
Geographic Concentration Risk | Florida | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 12.90% | 8.90% |
Principal balance | $ 1,969 | $ 3,296 |
Geographic Concentration Risk | Connecticut | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 5.70% | |
Principal balance | $ 872 | |
Geographic Concentration Risk | New Jersey | Residential Whole Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 2.50% | 2.30% |
Principal balance | $ 24,704 | $ 30,450 |
Geographic Concentration Risk | New Jersey | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 3.80% | |
Principal balance | $ 1,424 | |
Geographic Concentration Risk | Other | Residential Whole Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 7.80% | 9.20% |
Principal balance | $ 77,335 | $ 123,284 |
Geographic Concentration Risk | Other | Residential Bridge Loans | Financing Receivables Total | ||
Variable Interest Entity [Line Items] | ||
Concentration | 10.50% | 11.70% |
Principal balance | $ 1,600 | $ 4,332 |
Residential Whole Loans and B_8
Residential Whole Loans and Bridge Loans Aging of Delinquent Loans (Details) | 12 Months Ended | |
Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($) | |
Variable Interest Entity [Line Items] | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | $ 55,374,000 | |
Number of loans in forbearance | loan | 7 | |
Principal amount of loans previously in forbearance | $ 59,000,000 | |
Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 2,497 | |
Principal | $ 984,555,000 | |
Fair Value | 1,008,782,000 | $ 1,375,860,000 |
Payments of loan costs | $ 1,007,004,000 | 1,351,192,000 |
Bridge Loan | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 29 | |
Principal | $ 15,247,000 | |
Fair Value | 13,916,000 | |
Payments of loan costs | $ 124,000 | |
Non-QM Loans | ||
Variable Interest Entity [Line Items] | ||
Number of loans in forbearance | loan | 7 | |
Number of loans previously in forbearance | loan | 142 | |
Non-QM Loans | VIE | Estimated Fair Value | ||
Variable Interest Entity [Line Items] | ||
Fair Value | $ 2,400,000 | |
Principal Amount of Loans Subject to Delinquent Principal or Interest | $ 2,400,000 | |
Current | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 2,446 | |
Principal | $ 953,071,000 | |
Fair Value | $ 977,875,000 | |
Current | Bridge Loan | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 5 | |
Principal | $ 2,906,000 | |
Fair Value | $ 2,839,000 | |
1-30 days delinquent | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 16 | |
Principal | $ 7,972,000 | |
Fair Value | $ 8,181,000 | |
1-30 days delinquent | Bridge Loan | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 2 | |
Principal | $ 1,430,000 | |
Fair Value | $ 1,287,000 | |
31-60 days delinquent | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 3 | |
Principal | $ 823,000 | |
Fair Value | $ 810,000 | |
31-60 days delinquent | Bridge Loan | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 1 | |
Principal | $ 849,000 | |
Fair Value | $ 764,000 | |
61-90 days delinquent | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 6 | |
Principal | $ 7,378,000 | |
Fair Value | $ 7,196,000 | |
61-90 days delinquent | Bridge Loan | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 0 | |
Principal | $ 0 | |
Fair Value | $ 0 | |
90+ days delinquent | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 26 | |
Principal | $ 15,311,000 | |
Fair Value | $ 14,720,000 | |
90+ days delinquent | Bridge Loan | ||
Variable Interest Entity [Line Items] | ||
No of Loans | loan | 21 | |
Principal | $ 10,062,000 | |
Fair Value | $ 9,026,000 |
Commercial Loans - Narrative (D
Commercial Loans - Narrative (Details) $ in Thousands | Dec. 31, 2020USD ($)borrower | Dec. 30, 2019USD ($) | Mar. 31, 2019USD ($) | Nov. 30, 2015USD ($) | Dec. 31, 2020USD ($)entityborrower | Mar. 31, 2020USD ($) | Dec. 31, 2019USD ($) |
Variable Interest Entity [Line Items] | |||||||
Variable interest entity, amount acquired, interest rate | 8.80% | 8.80% | |||||
Debt instrument, repurchase amount | $ 34,400 | $ 34,400 | |||||
VIE, consolidated, number of commercial loan trusts | entity | 3 | ||||||
Number of delinquent borrowers | borrower | 1 | 1 | |||||
CMSC Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Principal balance | $ 0 | $ 0 | $ 24,048 | ||||
Gross unrealized losses | 0 | 0 | 0 | ||||
RETL Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Principal balance | 354,202 | 354,202 | 674,331 | ||||
Gross unrealized losses | (14,998) | $ (14,998) | $ 0 | ||||
Securitized Commercial Loans | |||||||
Variable Interest Entity [Line Items] | |||||||
Coupon rate | 65.10% | ||||||
COVID Response, Borrowers Requesting Forbearance, principal balance | 30,000 | $ 30,000 | |||||
Securitized Commercial Loans | CMSC Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Variable interest entity, amount acquired | $ 14,000 | ||||||
Securitized Commercial Loans | RETL Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Variable interest entity, amount acquired | $ 65,300 | ||||||
Variable interest entity, amount acquired, eligible risk retention | $ 45,300 | ||||||
Securitized Commercial Loans | MRCD Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Variable interest entity, amount acquired | $ 161,400 | ||||||
Securitized Commercial Loans | CSMC Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Variable interest entity, amount acquired | 14,900 | ||||||
Principal balance | 1,400,000 | $ 1,400,000 | |||||
Commercial Loans | |||||||
Variable Interest Entity [Line Items] | |||||||
VIE, consolidated, number of commercial loan trusts | entity | 5 | ||||||
Commercial Loans | CRE 3 | Retail | |||||||
Variable Interest Entity [Line Items] | |||||||
Principal balance | 90,000 | $ 90,000 | |||||
CSMC Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Debt instrument, basis spread on variable rate | 4.38% | ||||||
Class HRR | Securitized Commercial Loans | MRCD Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Variable interest entity, amount acquired | $ 10,500 | ||||||
Gross unrealized losses | $ (43,700) | ||||||
London Interbank Offered Rate (LIBOR) | RETL Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Debt instrument, basis spread on variable rate | 3.94% | ||||||
Mortgage Receivable | Commercial Loans | RETL Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Principal balance | $ 354,200 | $ 354,200 |
Commercial Loans - Commercial l
Commercial Loans - Commercial loans held (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance | $ 3,065,039 | |||
Fair Value | $ 2,938,556 | $ 2,691,532 | $ 2,493,238 | $ 368,972 |
Securitized Commercial Loans | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Coupon rate | 65.10% | |||
Securitized Commercial Loans | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance | $ 256,694 | |||
Fair Value | 242,057 | |||
Securitized Commercial Loans | RSBC Trust | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance | 68,750 | |||
Fair Value | 68,466 | |||
CRE 1 | Interest-Only First Mortgage | Securitized Commercial Loans | Hotel | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance | 30,000 | |||
Fair Value | $ 27,403 | |||
Coupon rate | 65.00% | |||
CRE 2 | Principal & Interest First Mortgage | Securitized Commercial Loans | Nursing Facilities | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance | $ 47,219 | |||
Fair Value | $ 46,776 | |||
Coupon rate | 75.00% | |||
CRE 3 | Interest-Only Mezzanine loan | Securitized Commercial Loans | Entertainment and Retail | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance | $ 90,000 | |||
Fair Value | $ 80,291 | |||
Coupon rate | 58.00% | |||
CRE 4 | Interest-Only First Mortgage | Securitized Commercial Loans | Retail | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance | $ 40,000 | |||
Fair Value | $ 39,300 | |||
Coupon rate | 63.00% | |||
CRE 5 | Interest-Only First Mortgage | Securitized Commercial Loans | Hotel | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance | $ 24,535 | |||
Fair Value | $ 23,887 | |||
Coupon rate | 62.00% | |||
CRE 6 | Interest-Only First Mortgage | Securitized Commercial Loans | Hotel | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance | $ 13,207 | |||
Fair Value | $ 12,858 | |||
Coupon rate | 62.00% | |||
CRE 7 | Interest-Only First Mortgage | Securitized Commercial Loans | Hotel | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance | $ 7,259 | |||
Fair Value | $ 7,067 | |||
Coupon rate | 62.00% | |||
CRE8 | Interest-Only First Mortgage | Securitized Commercial Loans | Assisted Living | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance | $ 4,474 | |||
Fair Value | $ 4,475 | |||
Coupon rate | 79.00% | |||
SBC 1 | Interest-Only First Mortgage | Securitized Commercial Loans | Nursing Facilities | RSBC Trust | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance | $ 45,188 | |||
Fair Value | $ 44,965 | |||
Coupon rate | 74.00% | |||
SBC 2 | Interest-Only First Mortgage | Securitized Commercial Loans | Apartment Complex | RSBC Trust | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance | $ 9,200 | |||
Fair Value | $ 9,179 | |||
Coupon rate | 84.00% | |||
SBC 3 | Interest-Only First Mortgage | Securitized Commercial Loans | Nursing Facilities | RSBC Trust | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Principal balance | $ 14,362 | |||
Fair Value | $ 14,322 | |||
Coupon rate | 49.00% | |||
London Interbank Offered Rate (LIBOR) | CRE 1 | Interest-Only First Mortgage | Securitized Commercial Loans | Hotel | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Coupon rate | 4.50% | |||
London Interbank Offered Rate (LIBOR) | CRE 2 | Principal & Interest First Mortgage | Securitized Commercial Loans | Nursing Facilities | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Coupon rate | 4.75% | |||
London Interbank Offered Rate (LIBOR) | CRE 3 | Interest-Only Mezzanine loan | Securitized Commercial Loans | Entertainment and Retail | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Coupon rate | 9.25% | |||
London Interbank Offered Rate (LIBOR) | CRE 4 | Interest-Only First Mortgage | Securitized Commercial Loans | Retail | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Coupon rate | 3.02% | |||
London Interbank Offered Rate (LIBOR) | CRE 5 | Interest-Only First Mortgage | Securitized Commercial Loans | Hotel | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Coupon rate | 3.75% | |||
London Interbank Offered Rate (LIBOR) | CRE 6 | Interest-Only First Mortgage | Securitized Commercial Loans | Hotel | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Coupon rate | 3.75% | |||
London Interbank Offered Rate (LIBOR) | CRE 7 | Interest-Only First Mortgage | Securitized Commercial Loans | Hotel | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Coupon rate | 3.75% | |||
London Interbank Offered Rate (LIBOR) | CRE8 | Interest-Only First Mortgage | Securitized Commercial Loans | Assisted Living | CRE LLC And CRE Mezz | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Coupon rate | 3.75% | |||
London Interbank Offered Rate (LIBOR) | SBC 1 | Interest-Only First Mortgage | Securitized Commercial Loans | Nursing Facilities | RSBC Trust | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Coupon rate | 4.25% | |||
London Interbank Offered Rate (LIBOR) | SBC 1 | Interest-Only First Mortgage | Securitized Commercial Loans | Nursing Facilities | RSBC Trust | Minimum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Coupon rate | 1.25% | |||
London Interbank Offered Rate (LIBOR) | SBC 2 | Interest-Only First Mortgage | Securitized Commercial Loans | Apartment Complex | RSBC Trust | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Coupon rate | 4.00% | |||
London Interbank Offered Rate (LIBOR) | SBC 2 | Interest-Only First Mortgage | Securitized Commercial Loans | Apartment Complex | RSBC Trust | Minimum | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Coupon rate | 2.00% | |||
London Interbank Offered Rate (LIBOR) | SBC 3 | Interest-Only First Mortgage | Securitized Commercial Loans | Nursing Facilities | RSBC Trust | ||||
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||||
Coupon rate | 4.10% |
Commercial Loans - Consolidated
Commercial Loans - Consolidated trusts included in the Consolidated Balance Sheets (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Noncontrolling Interest [Line Items] | |||
Cash | $ 31,613 | $ 31,331 | $ 21,987 |
Restricted cash | 76,132 | 52,948 | $ 55,808 |
Securitized commercial loans, at fair value | 1,605,335 | 909,040 | |
Commercial Loans, at fair value | 310,523 | 350,213 | |
Interest receivable | 13,568 | 19,413 | |
Total assets | 3,336,009 | 5,160,971 | |
Securitized debt | 15,418 | ||
Interest payable | 12,006 | 15,001 | |
Accounts payable and accrued expenses | 2,686 | 3,188 | |
Other liabilities | 84,674 | 52,948 | |
Total liabilities | 3,080,895 | 4,596,510 | |
VIE | |||
Noncontrolling Interest [Line Items] | |||
Cash | 0 | 7,589 | |
Restricted cash | 76,132 | 52,948 | |
Securitized commercial loans, at fair value | 1,605,335 | 909,040 | |
Commercial Loans, at fair value | 68,466 | 90,788 | |
Interest receivable | 10,936 | 10,829 | |
Total assets | 2,810,678 | 2,501,179 | |
Interest payable | 7,882 | 3,886 | |
Accounts payable and accrued expenses | 89 | 185 | |
Other liabilities | 76,132 | 52,948 | |
Total liabilities | 2,530,115 | 1,534,473 | |
Securitized Commercial Loans | VIE | |||
Noncontrolling Interest [Line Items] | |||
Cash | 0 | 5,778 | |
Restricted cash | 76,132 | 52,948 | |
Commercial Loans, at fair value | 68,466 | 90,788 | |
Interest receivable | 6,248 | 2,989 | |
Total assets | 1,756,181 | 1,061,543 | |
Securitized debt | 1,553,722 | 681,643 | |
Interest payable | 5,660 | 1,519 | |
Accounts payable and accrued expenses | 12 | 12 | |
Other liabilities | 76,132 | 52,948 | |
Total liabilities | $ 1,635,526 | $ 736,122 |
Commercial Loans - Components o
Commercial Loans - Components of the carrying value of the commercial real estate loans (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
CMSC Trust | ||
Variable Interest Entity [Line Items] | ||
Principal balance | $ 0 | $ 24,048 |
Unamortized premium | 0 | 0 |
Financing Receivables Unamortized Discount | 0 | 0 |
Amortized cost | 0 | 24,048 |
Gross unrealized gains | 0 | 9 |
Gross unrealized losses | 0 | 0 |
Fair Value | 0 | 24,057 |
RETL Trust | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 354,202 | 674,331 |
Unamortized premium | 180 | 1,836 |
Financing Receivables Unamortized Discount | 0 | 0 |
Amortized cost | 354,382 | 676,167 |
Gross unrealized gains | 0 | 269 |
Gross unrealized losses | (14,998) | 0 |
Fair Value | 339,384 | 676,436 |
CSMC USA Trust | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 1,385,591 | 0 |
Unamortized premium | 0 | 0 |
Financing Receivables Unamortized Discount | (135,653) | 0 |
Amortized cost | 1,249,938 | 0 |
Gross unrealized gains | 16,013 | 0 |
Gross unrealized losses | 0 | 0 |
Fair Value | 1,265,951 | 0 |
RSBC Trust | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 68,750 | 90,788 |
Unamortized premium | 0 | 0 |
Financing Receivables Unamortized Discount | (94) | (215) |
Amortized cost | 68,656 | 90,573 |
Gross unrealized gains | 0 | 215 |
Gross unrealized losses | (190) | 0 |
Fair Value | 68,466 | 90,788 |
Commercial Mezzanine Loan | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 256,694 | 279,425 |
Unamortized premium | 0 | 0 |
Financing Receivables Unamortized Discount | (53) | (294) |
Amortized cost | 256,641 | 279,131 |
Gross unrealized gains | 1 | 294 |
Gross unrealized losses | (14,585) | 0 |
Fair Value | $ 242,057 | $ 279,425 |
Commercial Loans - Schedule of
Commercial Loans - Schedule of Non-Performing Aging Commercial Loans (Details) - Commercial Loans $ in Thousands | Dec. 31, 2020USD ($) |
Noncontrolling Interest [Line Items] | |
No of Loans | 11 |
Principal | $ 325,444 |
Fair Value | $ 310,523 |
Current | |
Noncontrolling Interest [Line Items] | |
No of Loans | 10 |
Principal | $ 295,444 |
Fair Value | $ 283,120 |
1-30 days delinquent | |
Noncontrolling Interest [Line Items] | |
No of Loans | 0 |
Principal | $ 0 |
Fair Value | $ 0 |
31-60 days delinquent | |
Noncontrolling Interest [Line Items] | |
No of Loans | 0 |
Principal | $ 0 |
Fair Value | $ 0 |
61-90 days delinquent | |
Noncontrolling Interest [Line Items] | |
No of Loans | 0 |
Principal | $ 0 |
Fair Value | $ 0 |
90+ days delinquent | |
Noncontrolling Interest [Line Items] | |
No of Loans | 1 |
Principal | $ 30,000 |
Fair Value | $ 27,403 |
Financings - Narrative (Details
Financings - Narrative (Details) | Oct. 06, 2020 | Jul. 01, 2020USD ($)$ / sharesshares | Jun. 29, 2020USD ($) | May 04, 2020 | Apr. 21, 2020counterparty | May 31, 2019USD ($) | Oct. 31, 2017$ / shares | Dec. 31, 2020USD ($)item$ / shares | Dec. 31, 2019USD ($)$ / shares | Dec. 31, 2018USD ($) | Jun. 30, 2020USD ($) |
Short-term Debt [Line Items] | |||||||||||
Number of counterparties from whom the Company had borrowings | item | 5 | ||||||||||
Financing fee | $ (12,000,000) | $ 0 | $ 0 | ||||||||
Financing fee payable | 8,540,000 | 0 | $ 0 | ||||||||
Repurchase Agreement Borrowings | 358,846,000 | 2,824,877,000 | |||||||||
Due from counterparties | 1,800,000 | 43,500,000 | |||||||||
Due to counterparties | $ 320,000 | $ 709,000 | |||||||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | |||||||||
Debt instrument, repurchase amount | $ 34,400,000 | ||||||||||
Fair Value | 15,418,000 | ||||||||||
Repurchase agreements, net | 356,923,000 | $ 2,824,801,000 | |||||||||
RETL Trust | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Trust certificates issued | 308,900,000 | ||||||||||
Financing receivable, gross | 354,202,000 | 674,331,000 | |||||||||
CSMC Trust | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Trust certificates issued | 1,400,000,000 | ||||||||||
Residential Loan Warehouse Facility | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Target advance rate | 85.00% | ||||||||||
Residential Loan Warehouse Facility | London Interbank Offered Rate (LIBOR) | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Debt instrument, basis spread on variable rate | 2.75% | ||||||||||
Residential Loan Warehouse Facility | London Interbank Offered Rate (LIBOR) | Minimum | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Debt instrument, basis spread on variable rate | 0.25% | ||||||||||
Non-Agency CMBS and Non-Agency RMBS Facility | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Line of credit, remaining borrowing capacity | 95,100,000 | ||||||||||
Non-Agency CMBS and Non-Agency RMBS Facility | London Interbank Offered Rate (LIBOR) | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Debt instrument, basis spread on variable rate | 5.00% | ||||||||||
2022 Notes | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Debt instrument, repurchase amount | $ 25,000,000 | ||||||||||
Debt instrument, interest rate, effective percentage | 13.00% | ||||||||||
Convertible Debt | 2022 Notes | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Debt instrument, face amount | $ 5,000,000 | $ 175,000,000 | 205,000,000 | ||||||||
Interest rate, stated percentage | 6.75% | ||||||||||
Redemption price, percentage | 100.00% | ||||||||||
Convertible senior unsecured notes, conversion ratio | 0.0831947000 | ||||||||||
Convertible senior unsecured notes, conversion price (in dollars per share) | $ / shares | $ 12.02 | ||||||||||
Exchange of convertible senior notes (in shares) | shares | 1,354,084 | ||||||||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | ||||||||||
Secured Debt | Arroyo Mortgage Trust 2020 | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Debt instrument, face amount | 291,694,000 | ||||||||||
Outstanding principle balance | 289,169,000 | ||||||||||
Secured Debt | RETL Trust | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Debt instrument, face amount | 308,902,000 | ||||||||||
Fair Value | 297,456,000 | ||||||||||
Secured Debt | CSMC Trust | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Debt instrument, face amount | 1,370,691,000 | ||||||||||
Fair Value | 1,256,266,000 | ||||||||||
Secured Debt | Class F | CSMC Trust | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Debt instrument, face amount | 153,600,000 | ||||||||||
Fair Value | 99,859,000 | ||||||||||
Debt default, amount | 14,900,000 | ||||||||||
Repurchase Agreements | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Repurchase Agreement Borrowings | 250,248,000 | 371,726,000 | |||||||||
Repurchase Agreements | Residential Whole Loans | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Repurchase Agreement Borrowings | 30,224,000 | 209,878,000 | |||||||||
Affiliated Entity | RETL Trust | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Trust certificates issued | 45,600,000 | ||||||||||
Affiliated Entity | CSMC Trust | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Trust certificates issued | 208,200,000 | ||||||||||
Third Party | RETL Trust | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Trust certificates issued | 263,300,000 | ||||||||||
Third Party | CSMC Trust | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Trust certificates issued | 1,200,000,000 | ||||||||||
Non-QM Loans | Arroyo Trust | Arroyo Mortgage Trust 2020 | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Number of counterparties from whom the Company had borrowings | counterparty | 3 | ||||||||||
Target advance rate | 84.00% | ||||||||||
Commitment fee percentage | 30.00% | ||||||||||
Exit fee percentage | 0.50% | ||||||||||
Line of credit, remaining borrowing capacity | 67,100,000 | ||||||||||
Residential Whole Loans, at Fair Value | Arroyo Mortgage Trust 2020 | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Repurchase agreements, net | $ 341,700,000 | ||||||||||
Residential Whole Loans, at Fair Value | Arroyo Mortgage Trust 2019-2 | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Repurchase agreements, net | 919,000,000 | ||||||||||
Residential Whole Loans, at Fair Value | Arroyo Trust | Arroyo Mortgage Trust 2020 | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Commitment fee percentage | 30.00% | ||||||||||
Line of credit facility, maximum borrowing capacity | $ 355,800,000 | ||||||||||
Repayments of Lines of Credit | $ 339,400,000 | ||||||||||
Debt Instrument, Fee | 20.5 million | ||||||||||
Residential Whole Loans, at Fair Value | Arroyo Trust | Arroyo Mortgage Trust 2019-2 | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Transfer of residential mortgage-backed securitization | $ 945,500,000 | ||||||||||
Residential Whole Loans, at Fair Value | Secured Debt | Arroyo Trust | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Outstanding principle balance | $ 615,300,000 | ||||||||||
Debt instrument, collateral balance percentage | 20.00% | ||||||||||
Residential Whole Loans, at Fair Value | Secured Debt | Arroyo Mortgage Trust 2020 | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Outstanding principle balance | $ 300,000,000 | ||||||||||
Debt instrument, collateral balance percentage | 30.00% | ||||||||||
Securitized Commercial Loans | CSMC Trust | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Financing receivable, gross | $ 1,400,000,000 | ||||||||||
Estimate of Fair Value Measurement | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Fair Value | 1,553,722,000 | $ 681,643,000 | |||||||||
Estimate of Fair Value Measurement | Secured Debt | Class HRR | RETL Trust | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Long-term debt, fair value | 45,300,000 | ||||||||||
Fair Value | 297,500,000 | ||||||||||
Estimate of Fair Value Measurement | Secured Debt | Class F | CSMC Trust | |||||||||||
Short-term Debt [Line Items] | |||||||||||
Fair Value | $ 1,300,000,000 |
Financings - Borrowings under R
Financings - Borrowings under Repurchase Agreements (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020USD ($)agreement | Dec. 31, 2019USD ($) | |
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 358,846 | $ 2,824,877 |
Less unamortized debt issuance costs | 1,923 | 76 |
Repurchase agreements, net | $ 356,923 | $ 2,824,801 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.57% | 2.61% |
Weighted Average Remaining Maturity (days) | 169 days | 179 days |
Number of long-term repurchase agreements | agreement | 2 | |
Repurchase Agreements | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 250,248 | $ 371,726 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period, Total | 3.74% | 3.70% |
Weighted Average Remaining Maturity (days) | 225 days | 1024 days |
Repurchase Agreements | Non-Agency CMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 66,767 | |
Weighted Average Interest Rate on Borrowings Outstanding at end of period, Total | 5.23% | |
Weighted Average Remaining Maturity (days) | 126 days | |
Repurchase Agreements | Non-Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 14,643 | |
Weighted Average Interest Rate on Borrowings Outstanding at end of period, Total | 5.23% | |
Weighted Average Remaining Maturity (days) | 126 days | |
Repurchase Agreements | Residential Whole Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 30,224 | $ 209,878 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period, Total | 3.00% | 3.55% |
Weighted Average Remaining Maturity (days) | 278 days | 1358 days |
Repurchase Agreements | Commercial Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 124,937 | $ 161,848 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period, Total | 2.17% | 3.88% |
Weighted Average Remaining Maturity (days) | 287 days | 590 days |
Repurchase Agreements | Other securities | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 13,677 | |
Weighted Average Interest Rate on Borrowings Outstanding at end of period, Total | 5.24% | |
Weighted Average Remaining Maturity (days) | 126 days | |
Repurchase Agreements | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 108,598 | $ 2,453,151 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.19% | 2.44% |
Weighted Average Remaining Maturity (days) | 39 days | 51 days |
Repurchase Agreements | Agency CMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 0 | $ 1,352,248 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 0.00% | 2.05% |
Weighted Average Remaining Maturity (days) | 0 days | 26 days |
Repurchase Agreements | Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 1,418 | $ 348,274 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 1.34% | 1.99% |
Weighted Average Remaining Maturity (days) | 59 days | 52 days |
Repurchase Agreements | Non-Agency CMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 10,313 | $ 190,390 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 2.25% | 3.05% |
Weighted Average Remaining Maturity (days) | 14 days | 35 days |
Repurchase Agreements | Non-Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 0 | $ 30,481 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 0.00% | 3.56% |
Weighted Average Remaining Maturity (days) | 0 days | 9 days |
Repurchase Agreements | Residential Whole Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 29,800 | $ 266,294 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.71% | 3.14% |
Weighted Average Remaining Maturity (days) | 15 days | 202 days |
Repurchase Agreements | Residential Bridge Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 11,254 | $ 29,869 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 2.73% | 3.93% |
Weighted Average Remaining Maturity (days) | 36 days | 28 days |
Repurchase Agreements | Commercial Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 34,375 | $ 62,746 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.32% | 4.04% |
Weighted Average Remaining Maturity (days) | 75 days | 28 days |
Repurchase Agreements | Securitized Commercial Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 0 | $ 116,087 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 0.00% | 3.93% |
Weighted Average Remaining Maturity (days) | 0 days | 49 days |
Repurchase Agreements | Membership Interest | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 18,844 | $ 0 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 2.90% | 0.00% |
Weighted Average Remaining Maturity (days) | 29 days | 0 days |
Repurchase Agreements | Other securities | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 2,594 | $ 56,762 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 4.51% | 3.23% |
Weighted Average Remaining Maturity (days) | 19 days | 34 days |
Financings - Repurchase Agreeme
Financings - Repurchase Agreements Remaining Maturities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Short-term Debt [Line Items] | ||
Securitized debt | $ 15,418 | |
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements | 356,923 | $ 2,824,801 |
Repurchase agreement, net amounts of assets presented in consolidated balance sheets | 358,846 | 2,824,877 |
1 to 29 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements | 59,856 | 1,480,286 |
30 to 59 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements | 13,421 | 552,786 |
60 to 89 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements | 35,321 | 255,814 |
Greater than or equal to 90 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase agreements | $ 250,248 | $ 535,991 |
Financings - Collateral at Risk
Financings - Collateral at Risk Under its Repurchase Agreements Greater than 10% (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2020USD ($) | |
Credit Suisse AG, Cayman Islands Branch | |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | |
Amount of Collateral at Risk, at fair value | $ 171,503 |
Weighted Average Remaining Maturity (days) | 224 days |
Percentage of Stockholders' Equity | 67.20% |
Citigroup Global Markets Inc. | |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | |
Amount of Collateral at Risk, at fair value | $ 111,562 |
Weighted Average Remaining Maturity (days) | 126 days |
Percentage of Stockholders' Equity | 43.70% |
Nomura Securities International, Inc. | |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | |
Amount of Collateral at Risk, at fair value | $ 36,654 |
Weighted Average Remaining Maturity (days) | 64 days |
Percentage of Stockholders' Equity | 14.40% |
Financings - Collateral Positio
Financings - Collateral Positions (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Collateral Positions | ||
Assets pledged- fair value | $ 684,675 | $ 3,259,305 |
Accrued interest | 3,475 | 13,449 |
Assets pledged and accrued interest | 688,150 | 3,272,754 |
VIE | ||
Collateral Positions | ||
Assets pledged | 12,960 | 34,897 |
Agency CMBS | VIE | ||
Collateral Positions | ||
Assets pledged | 0 | 1,400,230 |
Accrued interest | 0 | 3,916 |
Assets pledged and accrued interest | 0 | 1,404,146 |
Repurchase Agreements | ||
Collateral Positions | ||
Assets pledged | 682,900 | 3,200,000 |
Repurchase Agreements | Agency RMBS | ||
Collateral Positions | ||
Assets pledged | 1,708 | 356,687 |
Accrued interest | 49 | 1,336 |
Assets pledged and accrued interest | 1,757 | 358,023 |
Repurchase Agreements | Non-Agency CMBS | ||
Collateral Positions | ||
Assets pledged | 152,275 | 246,797 |
Accrued interest | 649 | 951 |
Assets pledged and accrued interest | 152,924 | 247,748 |
Repurchase Agreements | Non-Agency RMBS | ||
Collateral Positions | ||
Assets pledged | 25,382 | 45,816 |
Accrued interest | 160 | 414 |
Assets pledged and accrued interest | 25,542 | 46,230 |
Repurchase Agreements | Residential Whole Loans | ||
Collateral Positions | ||
Assets pledged | 97,566 | 529,495 |
Accrued interest | 543 | 3,704 |
Assets pledged and accrued interest | 98,109 | 533,199 |
Repurchase Agreements | Residential Bridge Loans | ||
Collateral Positions | ||
Assets pledged | 12,960 | 34,897 |
Accrued interest | 180 | 471 |
Assets pledged and accrued interest | 13,140 | 35,368 |
Repurchase Agreements | Commercial Loans | ||
Collateral Positions | ||
Assets pledged | 310,523 | 350,213 |
Accrued interest | 1,850 | 1,855 |
Assets pledged and accrued interest | 312,373 | 352,068 |
Repurchase Agreements | Securitized Commercial Loans | ||
Collateral Positions | ||
Assets pledged | 0 | 171,640 |
Accrued interest | 0 | 674 |
Assets pledged and accrued interest | 0 | 172,314 |
Repurchase Agreements | Membership Interest | ||
Collateral Positions | ||
Assets pledged | 33,690 | 0 |
Accrued interest | 0 | 0 |
Assets pledged and accrued interest | 33,690 | 0 |
Repurchase Agreements | Other securities | ||
Collateral Positions | ||
Assets pledged | 48,754 | 80,031 |
Accrued interest | 44 | 128 |
Assets pledged and accrued interest | 48,798 | 80,159 |
Repurchase Agreements | Cash | ||
Collateral Positions | ||
Assets pledged- fair value | 1,817 | 43,499 |
Assets pledged and accrued interest | $ 1,817 | $ 43,499 |
Financings - Commercial Mortgag
Financings - Commercial Mortgage Pass-Through Certificates (Details) - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2020 | |
Debt Instrument [Line Items] | ||
Fair Value | $ 15,418,000 | |
Secured Debt | RETL Trust | ||
Debt Instrument [Line Items] | ||
Principal Balance | 308,902,000 | |
Fair Value | 297,456,000 | |
Secured Debt | CSMC Trust | ||
Debt Instrument [Line Items] | ||
Principal Balance | 1,370,691,000 | |
Fair Value | 1,256,266,000 | |
Secured Debt | Arroyo Trust 2019 | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 607,525,000 | |
Carrying Value | 607,519,000 | |
Less: Unamortized Deferred Financing Costs | 4,398,000 | |
Total | 603,121,000 | |
Secured Debt | Arroyo Mortgage Trust 2020 | ||
Debt Instrument [Line Items] | ||
Principal Balance | 291,694,000 | |
Carrying Value | 291,688,000 | |
Less: Unamortized Deferred Financing Costs | 2,519,000 | |
Total | 289,169,000 | |
Secured Debt | Class B | RETL Trust | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 502,000 | |
Coupon | 1.70% | |
Fair Value | $ 492,000 | |
Secured Debt | Class B | CSMC Trust | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 136,400,000 | |
Coupon | 4.20% | |
Fair Value | $ 137,970,000 | |
Secured Debt | Class C | RETL Trust | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 308,400,000 | |
Coupon | 2.30% | |
Fair Value | $ 296,933,000 | |
Secured Debt | Class C | CSMC Trust | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 94,500,000 | |
Coupon | 4.30% | |
Fair Value | $ 85,140,000 | |
Secured Debt | Class X-EXT | RETL Trust | ||
Debt Instrument [Line Items] | ||
Notional amount of nonderivative instruments | $ 308,400,000 | |
Coupon | 1.10% | |
Fair Value | $ 31,000 | |
Secured Debt | Class A-1 | CSMC Trust | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 120,391,000 | |
Coupon | 3.30% | |
Fair Value | $ 120,443,000 | |
Secured Debt | Class A-1 | Arroyo Trust 2019 | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 511,623,000 | |
Coupon | 3.30% | |
Carrying Value | $ 511,620,000 | |
Secured Debt | Class A-2 | CSMC Trust | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 531,700,000 | |
Coupon | 4.00% | |
Fair Value | $ 538,469,000 | |
Secured Debt | Class A-2 | Arroyo Trust 2019 | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 27,414,000 | |
Coupon | 3.50% | |
Carrying Value | $ 27,414,000 | |
Secured Debt | Class A-2 | Arroyo Mortgage Trust 2020 | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 13,518,000 | |
Coupon | 2.90% | |
Carrying Value | $ 13,517,000 | |
Secured Debt | Class A-3 | Arroyo Trust 2019 | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 43,433,000 | |
Coupon | 3.80% | |
Carrying Value | $ 43,430,000 | |
Secured Debt | Class A-3 | Arroyo Mortgage Trust 2020 | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 17,963,000 | |
Coupon | 3.30% | |
Carrying Value | $ 17,963,000 | |
Secured Debt | Class M-1 | Arroyo Trust 2019 | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 25,055,000 | |
Coupon | 4.80% | |
Carrying Value | $ 25,055,000 | |
Secured Debt | Class M-1 | Arroyo Mortgage Trust 2020 | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 11,739,000 | |
Coupon | 4.30% | |
Carrying Value | $ 11,739,000 | |
Secured Debt | Class D | CSMC Trust | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 153,950,000 | |
Coupon | 4.40% | |
Fair Value | $ 127,092,000 | |
Secured Debt | Class E | CSMC Trust | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 180,150,000 | |
Coupon | 4.40% | |
Fair Value | $ 131,906,000 | |
Secured Debt | Class F | CSMC Trust | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 153,600,000 | |
Coupon | 4.40% | |
Fair Value | $ 99,859,000 | |
Secured Debt | Class X-1 | CSMC Trust | ||
Debt Instrument [Line Items] | ||
Notional amount of nonderivative instruments | $ 652,100,000 | |
Coupon | 0.50% | |
Fair Value | $ 12,794,000 | |
Secured Debt | Class X-2 | CSMC Trust | ||
Debt Instrument [Line Items] | ||
Notional amount of nonderivative instruments | $ 733,500,000 | |
Coupon | 0.40% | |
Fair Value | $ 2,593,000 | |
Secured Debt | Class A-1A | Arroyo Mortgage Trust 2020 | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 222,117,000 | |
Coupon | 1.70% | |
Carrying Value | $ 222,112,000 | |
Secured Debt | Class A-1B | Arroyo Mortgage Trust 2020 | ||
Debt Instrument [Line Items] | ||
Principal Balance | $ 26,357,000 | |
Coupon | 2.10% | |
Carrying Value | $ 26,357,000 |
Derivative Instruments- Summary
Derivative Instruments- Summary (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Estimated Fair Value | ||
Derivative assets | $ 1,726 | $ 13,776 |
Derivative liabilities | (656) | (6,370) |
Derivative Instruments Not Accounted as Hedges Under GAAP | ||
Estimated Fair Value | ||
Derivative assets | 161 | 5,111 |
Derivative liabilities | (656) | (6,370) |
Total derivative instruments | (495) | (1,259) |
Interest Rate Swaps | Derivative Instruments Not Accounted as Hedges Under GAAP | ||
Notional Amount | ||
Notional amount, assets | 0 | 2,701,000 |
Notional amount, liabilities | 0 | 1,255,000 |
Estimated Fair Value | ||
Derivative assets | 0 | 3,017 |
Derivative liabilities | 0 | (501) |
Credit Default Swap | Derivative Instruments Not Accounted as Hedges Under GAAP | ||
Notional Amount | ||
Notional amount, assets | 2,030 | 60,100 |
Notional amount, liabilities | 4,140 | 90,900 |
Estimated Fair Value | ||
Derivative assets | 161 | 948 |
Derivative liabilities | (656) | (3,795) |
TBAs | Derivative Instruments Not Accounted as Hedges Under GAAP | ||
Notional Amount | ||
Notional amount, assets | 0 | 1,000,000 |
Notional amount, liabilities | 0 | 1,000,000 |
Estimated Fair Value | ||
Derivative assets | 0 | 1,146 |
Derivative liabilities | $ 0 | (2,074) |
Total derivative instruments | $ (928) |
Derivative Instruments - Gains
Derivative Instruments - Gains and Losses (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Amounts recognized on the statements of operations related to the Company's derivatives | |||||||||||
Other Settlements / Expirations | $ (13,134) | $ (9,631) | $ 10,316 | ||||||||
Mark-to-Market | (3,953) | 9,390 | (10,381) | ||||||||
Total | $ 219 | $ (88) | $ (8,143) | $ (189,691) | $ 42,007 | $ (47,056) | $ (71,530) | $ (27,148) | (197,703) | (103,727) | 77,969 |
Collateral already posted, aggregate fair value | $ 510 | $ 55,400 | 510 | 55,400 | |||||||
Derivative Instruments Not Accounted as Hedges Under GAAP | |||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||||||||
Other Settlements / Expirations | (13,086) | (15,038) | 4,363 | ||||||||
Variation Margin Settlement | (179,759) | (108,169) | 76,979 | ||||||||
Return (Recovery) of Basis | (834) | 3,081 | (1,196) | ||||||||
Mark-to-Market | (3,953) | 9,390 | (10,381) | ||||||||
Contractual interest income (expense), net | (71) | 7,009 | 8,204 | ||||||||
Total | (197,703) | (103,727) | 77,969 | ||||||||
Interest Rate Swaps | Derivative Instruments Not Accounted as Hedges Under GAAP | |||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||||||||
Other Settlements / Expirations | (262) | (4,978) | 163 | ||||||||
Variation Margin Settlement | (179,759) | (108,169) | 76,979 | ||||||||
Return (Recovery) of Basis | 262 | 5,769 | 2,465 | ||||||||
Mark-to-Market | (2,515) | 5,140 | (5,147) | ||||||||
Contractual interest income (expense), net | (1,395) | 3,732 | 3,693 | ||||||||
Total | (183,669) | (98,506) | 78,153 | ||||||||
Interest Sate Swaption | Derivative Instruments Not Accounted as Hedges Under GAAP | |||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||||||||
Other Settlements / Expirations | 80 | (332) | |||||||||
Mark-to-Market | 0 | 0 | |||||||||
Total | 80 | (332) | |||||||||
Interest-Only Strips—accounted for as derivatives | Derivative Instruments Not Accounted as Hedges Under GAAP | |||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||||||||
Other Settlements / Expirations | (940) | 0 | 0 | ||||||||
Return (Recovery) of Basis | (1,096) | (2,688) | (3,661) | ||||||||
Mark-to-Market | (532) | (508) | (655) | ||||||||
Contractual interest income (expense), net | 1,324 | 3,277 | 4,511 | ||||||||
Total | (1,244) | 81 | 195 | ||||||||
Option | Derivative Instruments Not Accounted as Hedges Under GAAP | |||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||||||||
Other Settlements / Expirations | 1,378 | (871) | |||||||||
Mark-to-Market | 0 | 300 | |||||||||
Total | 1,378 | (571) | |||||||||
Futures Contracts | Derivative Instruments Not Accounted as Hedges Under GAAP | |||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||||||||
Other Settlements / Expirations | (12,862) | 6,112 | |||||||||
Mark-to-Market | 4,657 | (5,285) | |||||||||
Total | (8,205) | 827 | |||||||||
Credit Default Swap | Derivative Instruments Not Accounted as Hedges Under GAAP | |||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||||||||
Other Settlements / Expirations | (9,534) | (178) | (241) | ||||||||
Mark-to-Market | (1,834) | 1,029 | 396 | ||||||||
Total | (11,368) | 851 | 155 | ||||||||
TBAs | Derivative Instruments Not Accounted as Hedges Under GAAP | |||||||||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||||||||
Other Settlements / Expirations | (2,430) | 1,934 | (800) | ||||||||
Mark-to-Market | 928 | (928) | 10 | ||||||||
Total | $ (1,502) | $ 1,006 | $ (790) |
Derivative Instruments - Intere
Derivative Instruments - Interest Rate Swaps (Details) - Interest Rate Swaps - Derivative Instruments Not Accounted as Hedges Under GAAP $ in Thousands | 12 Months Ended |
Dec. 31, 2019USD ($) | |
Fixed Income Interest Rate | |
Currency swaps and forwards | |
Notional Amount | $ 2,551,000 |
Average Fixed Pay Rate | 2.20% |
Average Floating Receive Rate | 2.00% |
Average Maturity (Years) | 7 years 1 month 6 days |
Variable Pay Rate | |
Currency swaps and forwards | |
Notional Amount | $ 1,405,000 |
Average Fixed Pay Rate | 2.00% |
Average Floating Receive Rate | 1.90% |
Average Maturity (Years) | 3 years 6 months |
1 year or less | Fixed Income Interest Rate | |
Currency swaps and forwards | |
Notional Amount | $ 200,000 |
Average Fixed Pay Rate | 1.80% |
Average Floating Receive Rate | 1.90% |
Average Maturity (Years) | 4 months 24 days |
Greater than 1 years and less than 3 years | Variable Pay Rate | |
Currency swaps and forwards | |
Notional Amount | $ 810,000 |
Average Fixed Pay Rate | 2.00% |
Average Floating Receive Rate | 2.00% |
Average Maturity (Years) | 1 year 7 months 6 days |
Greater than 3 years and less than 5 years | Fixed Income Interest Rate | |
Currency swaps and forwards | |
Notional Amount | $ 622,400 |
Average Fixed Pay Rate | 2.60% |
Average Floating Receive Rate | 1.90% |
Average Maturity (Years) | 4 years 1 month 6 days |
Greater than 3 years and less than 5 years | Variable Pay Rate | |
Currency swaps and forwards | |
Notional Amount | $ 550,000 |
Average Fixed Pay Rate | 1.90% |
Average Floating Receive Rate | 1.60% |
Average Maturity (Years) | 5 years |
Greater than 5 years | Fixed Income Interest Rate | |
Currency swaps and forwards | |
Notional Amount | $ 1,728,600 |
Average Fixed Pay Rate | 2.10% |
Average Floating Receive Rate | 2.00% |
Average Maturity (Years) | 8 years 10 months 24 days |
Greater than 5 years | Variable Pay Rate | |
Currency swaps and forwards | |
Notional Amount | $ 45,000 |
Average Fixed Pay Rate | 1.90% |
Average Floating Receive Rate | 2.30% |
Average Maturity (Years) | 19 years 6 months |
Derivative Instruments - TBAs (
Derivative Instruments - TBAs (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2020 | Dec. 31, 2019 | |
Currency swaps and forwards | |||
Fair value, assets | $ 1,726 | $ 13,776 | |
Fair value, liabilities | (656) | (6,370) | |
Derivative Instruments Not Accounted as Hedges Under GAAP | |||
Currency swaps and forwards | |||
Fair value, assets | 161 | 5,111 | |
Fair value, liabilities | (656) | (6,370) | |
Derivative, fair value, net | (495) | (1,259) | |
TBAs | Derivative Instruments Not Accounted as Hedges Under GAAP | |||
Currency swaps and forwards | |||
Notional amount, assets | 0 | 1,000,000 | |
Fair value, assets | 0 | 1,146 | |
Notional amount, liabilities | 0 | (1,000,000) | |
Fair value, liabilities | 0 | (2,074) | |
Derivative, notional amount, net | $ 0 | 0 | |
Derivative, fair value, net | (928) | ||
Changes in notional amount | |||
Derivative, notional amount | 0 | ||
TBAs | Derivative Instruments Not Accounted as Hedges Under GAAP | Long | |||
Currency swaps and forwards | |||
Notional amount, assets | 1,000,000 | ||
Fair value, assets | 1,146 | ||
Notional amount, liabilities | (1,000,000) | ||
Fair value, liabilities | (2,074) | ||
Derivative, notional amount, net | 0 | 0 | 1,000,000 |
Changes in notional amount | |||
Derivative, notional amount | 1,000,000 | ||
Additions | 5,257,000 | ||
Settlement, Termination, Expiration or Exercise | (6,257,000) | ||
Derivative, notional amount | 0 | ||
TBAs | Derivative Instruments Not Accounted as Hedges Under GAAP | Short | |||
Currency swaps and forwards | |||
Derivative, notional amount, net | 0 | $ 0 | $ 1,000,000 |
Changes in notional amount | |||
Derivative, notional amount | 1,000,000 | ||
Additions | 5,257,000 | ||
Settlement, Termination, Expiration or Exercise | (6,257,000) | ||
Derivative, notional amount | $ 0 |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Offsetting of Derivative Assets | ||
Gross Amounts | $ 1,726 | $ 13,776 |
Derivative Asset | 1,726 | 13,776 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 161 | 5,111 |
Financial Instruments | (1,726) | (11,241) |
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 0 | 2,535 |
Gross amounts of derivative liability, fair value, gross liability | 656 | 6,370 |
Derivative liabilities, net amounts of assets presented in consolidated balance sheets | 656 | 6,370 |
Financial instruments, derivative liability, at fair value | (161) | (2,576) |
Cash collateral, derivative liability, at fair value | (495) | (2,819) |
Net Amount | 0 | 975 |
Gross amounts of repurchase agreements | 356,923 | 2,824,801 |
Repurchase agreement, net amounts of assets presented in consolidated balance sheets | 356,923 | 2,824,801 |
Financial instruments, repurchase agreements | (356,923) | (2,824,801) |
Gross amounts of derivative liability | 357,579 | 2,831,171 |
Derivative liability, net amounts of assets presented in consolidated balance sheets | 357,579 | 2,831,171 |
Derivative liability, financial instruments | (357,084) | (2,827,377) |
Derivative liability, net amount | 0 | 975 |
Derivative liability, cash collateral pledged | 510 | 55,400 |
Fair value of investments pledged against repurchase agreements | 682,900 | 3,200,000 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Offsetting of Derivative Assets | ||
Gross Amounts | 1,565 | 8,665 |
Derivative Asset | 1,565 | 8,665 |
Financial Instruments | (1,565) | (8,665) |
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 0 | 0 |
Derivative asset | ||
Offsetting of Derivative Assets | ||
Gross Amounts | 161 | 5,111 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 161 | 5,111 |
Financial Instruments | (161) | (2,576) |
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | $ 0 | $ 2,535 |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Related Party Transactions | |||||||||||
Management fees | $ 1,528 | $ 1,513 | $ 464 | $ 1,039 | $ 1,987 | $ 1,800 | $ 1,832 | $ 1,735 | $ 4,544 | $ 7,354 | $ 8,673 |
Western Asset Management Company | |||||||||||
Related Party Transactions | |||||||||||
Management fees (as a percent) | 1.50% | ||||||||||
Renewal term of management agreement | 1 year | ||||||||||
Notice period to terminate the Management Agreement following initial term | 180 days | ||||||||||
Prior period over which management fees were incurred used to calculate the termination fee under the Management Agreement | 24 months | ||||||||||
Notice period to terminate the Management Agreement for cause | 30 days | ||||||||||
Management fees | $ 4,500 | 7,400 | 8,700 | ||||||||
Reimbursable employee costs | 1,700 | 1,600 | $ 1,500 | ||||||||
Management fees incurred but not yet paid | 3,000 | 2,000 | 3,000 | 2,000 | |||||||
Accounts payable, related parties | $ 148 | $ 181 | $ 148 | $ 181 | |||||||
Western Asset Management Company | Minimum | |||||||||||
Related Party Transactions | |||||||||||
Proportion of affirmative votes by the entity's independent directors to terminate the Management Agreement (as a percent) | 67.00% | ||||||||||
Proportion of votes required by the entity's independent directors for acceptance of reduction in management fees (as a percent) | 67.00% |
Share-Based Payments (Details)
Share-Based Payments (Details) $ / shares in Units, $ in Thousands | Jun. 19, 2020directorshares | Jun. 06, 2019directorshares | Mar. 28, 2019shares | Dec. 31, 2020USD ($)$ / sharesshares | Dec. 31, 2019USD ($)$ / sharesshares | Dec. 31, 2018USD ($)$ / sharesshares |
Share-Based Payments | ||||||
Shares authorized (as a percent) | 3.00% | |||||
Number of shares remained available for issuance (in shares) | 778,716 | |||||
Stock-based compensation expense recognized | $ | $ 699 | $ 564 | $ 265 | |||
Common Stock Outstanding | ||||||
Share-Based Payments | ||||||
Number of shares remained available for issuance (in shares) | 1,804,258 | |||||
Equity awards | ||||||
Share-Based Payments | ||||||
Unamortized compensation expense | $ | $ 619 | $ 968 | ||||
Shares of Restricted Stock | ||||||
Granted (in shares) | 1,025,542 | |||||
Restricted common stock | ||||||
Share-Based Payments | ||||||
Vested (in shares) | 67,480 | 29,200 | 84,203 | |||
Shares of Restricted Stock | ||||||
Restricted Stock Shares Outstanding, beginning of period (in shares) | 894,289 | 753,973 | ||||
Granted (in shares) | 108,000 | 131,253 | 140,316 | |||
Restricted Stock Shares Outstanding, end of period (in shares) | 1,025,542 | 894,289 | 753,973 | |||
Unvested at end of year (in shares) | 202,365 | 138,592 | ||||
Weighted Average Grant Date Fair Value | ||||||
Outstanding at beginning of period (in dollars per share) | $ / shares | $ 15.76 | $ 16.77 | ||||
Granted (in dollars per share) | $ / shares | 2.79 | 10.34 | ||||
Outstanding at end of year (in dollars per share) | $ / shares | 14.10 | 15.76 | $ 16.77 | |||
Unvested at end of year (in dollars per share) | $ / shares | $ 5.50 | $ 10.34 | ||||
Restricted common stock | Director Deferred Fee Plan | ||||||
Shares of Restricted Stock | ||||||
Granted (in shares) | 3,978 | 3,536 | ||||
Restricted common stock | March 2020 | ||||||
Shares of Restricted Stock | ||||||
Unvested at end of year (in shares) | 0 | 36,000 | ||||
Restricted common stock | June 2020 | ||||||
Shares of Restricted Stock | ||||||
Unvested at end of year (in shares) | 0 | 30,592 | ||||
Restricted common stock | March 2021 | ||||||
Shares of Restricted Stock | ||||||
Unvested at end of year (in shares) | 36,000 | 36,000 | ||||
Restricted common stock | June 2021 | ||||||
Shares of Restricted Stock | ||||||
Unvested at end of year (in shares) | 130,365 | 0 | ||||
Restricted common stock | March 2022 | ||||||
Shares of Restricted Stock | ||||||
Unvested at end of year (in shares) | 36,000 | 36,000 | ||||
Restricted common stock | Director | ||||||
Share-Based Payments | ||||||
Awards granted to each of the entity's independent directors (in shares) | 25,455 | 7,195 | ||||
Number of directors to whom awards were granted | director | 5 | 4 | ||||
Shares of Restricted Stock | ||||||
Granted (in shares) | 127,275 | 28,780 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) | Dec. 17, 2020 | Sep. 22, 2020 | Sep. 19, 2020 | Jul. 01, 2020 | Dec. 19, 2019 | Jun. 20, 2019 | Mar. 21, 2019 | Mar. 31, 2020 | May 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 21, 2017 | Mar. 31, 2017 |
Shareholders equity | ||||||||||||||
Net proceeds from issuance of common stock | $ 22,357,000 | $ 52,714,000 | $ 64,880,000 | |||||||||||
Payments of stock issuance costs | $ 374,000 | 580,000 | $ 195,000 | |||||||||||
Shares authorized to be repurchased (in shares) | 2,700,000 | 2,100,000 | ||||||||||||
Treasury stock (in shares) | 100,000 | |||||||||||||
Treasury stock, weighted average price (in dollars per share) | $ 5.78 | |||||||||||||
Dividends declared per Share of Common Stock (in dollars per share) | $ 0.06 | $ 0.05 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | ||||||||
Dividends paid per Share of Common Stock (in dollars per share) | $ 0.06 | $ 0.05 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | ||||||||
2022 Notes | Convertible Debt | ||||||||||||||
Shareholders equity | ||||||||||||||
Exchange of convertible senior notes (in shares) | 1,354,084 | |||||||||||||
Principal Balance | $ 5,000,000 | $ 175,000,000 | $ 205,000,000 | |||||||||||
Common Stock | ||||||||||||||
Shareholders equity | ||||||||||||||
Treasury stock (in shares) | 100,000 | 125,722 | ||||||||||||
At The Market Offering | ||||||||||||||
Shareholders equity | ||||||||||||||
Equity distribution agreement, maximum value | $ 100,000,000 | |||||||||||||
Sale of stock, number of shares issued in transaction (in shares) | 6,034,741 | 299,497 | ||||||||||||
Net proceeds from issuance of common stock | $ 22,000,000 | $ 3,000,000 | ||||||||||||
At The Market Offering | Common Stock | ||||||||||||||
Shareholders equity | ||||||||||||||
Sale of stock, price per share (in dollars per share) | $ 3.70 | $ 10.21 | ||||||||||||
Secondary Offering | ||||||||||||||
Shareholders equity | ||||||||||||||
Sale of stock, number of shares issued in transaction (in shares) | 5,000,000 | |||||||||||||
Net proceeds from issuance of common stock | $ 49,300,000 | |||||||||||||
Payments of stock issuance costs | $ 1,400,000 | |||||||||||||
Secondary Offering | Common Stock | ||||||||||||||
Shareholders equity | ||||||||||||||
Sale of stock, price per share (in dollars per share) | $ 10.14 |
Net Income per Common Share (De
Net Income per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Numerator: | |||||||||||
Net income attributable to common stockholders and participating securities for basic and diluted earnings per share | $ 10,790 | $ 59,807 | $ (17,094) | $ (381,857) | $ 12,489 | $ 19,720 | $ 10,614 | $ 27,876 | $ (328,354) | $ 70,699 | $ 26,409 |
Dividends and undistributed earnings allocated to participating securities | 36 | 303 | 138 | ||||||||
Net income allocable to common stockholders—basic and diluted | $ (328,390) | $ 70,396 | $ 26,271 | ||||||||
Denominator: | |||||||||||
Weighted average common shares outstanding for basic earnings per share (in shares) | 57,411,384 | 51,278,932 | 43,388,810 | ||||||||
Weighted average common shares outstanding for diluted earnings per share (in shares) | 57,411,384 | 51,278,932 | 43,388,810 | ||||||||
Basic earnings per common share (in dollars per share) | $ 0.18 | $ 0.98 | $ (0.31) | $ (7.15) | $ 0.23 | $ 0.37 | $ 0.21 | $ 0.58 | $ (5.72) | $ 1.37 | $ 0.61 |
Diluted earnings per common share (in dollars per share) | $ 0.18 | $ 0.98 | $ (0.31) | $ (7.15) | $ 0.23 | $ 0.37 | $ 0.21 | $ 0.58 | $ (5.72) | $ 1.37 | $ 0.61 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Income Tax Contingency [Line Items] | |||||||||||
Income tax provision (benefit) | $ 29 | $ 205 | $ 255 | $ (93) | $ 622 | $ (55) | $ 478 | $ 12 | $ 396 | $ 1,057 | $ 709 |
Deferred tax asset, capital loss carry-forward | 11,966 | 6,775 | 11,966 | 6,775 | |||||||
Deferred tax assets, net operating losses | 21,402 | 7,295 | 21,402 | 7,295 | |||||||
Allowance | (42,429) | (15,382) | (42,429) | (15,382) | |||||||
Net deferred tax liability | 0 | 85 | 0 | 85 | |||||||
Operating Loss Carryforwards | |||||||||||
Income Tax Contingency [Line Items] | |||||||||||
Allowance | (21,400) | (6,900) | (21,400) | (6,900) | |||||||
State and Local Jurisdiction | |||||||||||
Income Tax Contingency [Line Items] | |||||||||||
Deferred tax assets, net operating losses | 19,300 | 6,000 | 19,300 | 6,000 | |||||||
Taxable REIT Subsidiary | |||||||||||
Income Tax Contingency [Line Items] | |||||||||||
Deferred tax asset, capital loss carry-forward | 21,000 | 8,500 | 21,000 | 8,500 | |||||||
Taxable REIT Subsidiary | State and Local Jurisdiction | |||||||||||
Income Tax Contingency [Line Items] | |||||||||||
Deferred tax assets, net operating losses | $ 2,100 | $ 1,300 | $ 2,100 | $ 1,300 |
Income Taxes Components of Inco
Income Taxes Components of Income Tax Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Current Tax Provision (Benefit) | |||||||||||
Federal | $ 527 | $ 860 | $ 709 | ||||||||
State | (452) | 197 | 0 | ||||||||
Total Current Provision for Income Taxes, net | 75 | 1,057 | 709 | ||||||||
Deferred Provision (Benefit) for Income Taxes | |||||||||||
Federal | (85) | 0 | 0 | ||||||||
State | 406 | 0 | 0 | ||||||||
Total Deferred Benefit for Income Taxes, net | 321 | 0 | 0 | ||||||||
Income Tax Expense (Benefit) | $ 29 | $ 205 | $ 255 | $ (93) | $ 622 | $ (55) | $ 478 | $ 12 | $ 396 | $ 1,057 | $ 709 |
Income Taxes Deferred Tax Asset
Income Taxes Deferred Tax Asset/Liability (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Deferred Tax Asset | ||
Net operating loss available for carry-back and carry-forward (1) | $ 21,402 | $ 7,295 |
Net capital loss carry-forward (1) | 11,966 | 6,775 |
Investments | 9,061 | 1,719 |
Deferred tax asset | 42,429 | 15,789 |
Allowance | (42,429) | (15,382) |
Net deferred tax asset | 0 | 407 |
Deferred Tax Liability | ||
Net operating loss available for carry-back and carry-forward | 0 | 85 |
Net deferred tax liability | $ 0 | $ 85 |
Income Taxes Effective Income T
Income Taxes Effective Income Tax Rate Reconciliation (Details) | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Effective Income Tax Rate Reconciliation, Percent [Abstract] | ||
Federal statutory rate | 21.00% | 21.00% |
State statutory rate, net of federal benefit | 1.50% | (1.00%) |
Other | 0.00% | 0.10% |
Change in valuation allowance | (4.40%) | 3.60% |
REIT earnings not subject to corporate taxes | (18.20%) | (22.20%) |
Effective Tax Rate | (0.10%) | 1.50% |
Summarized Quarterly Results _3
Summarized Quarterly Results (unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Net Interest Income | |||||||||||
Interest income | $ 47,718 | $ 43,970 | $ 31,494 | $ 54,846 | $ 55,761 | $ 55,652 | $ 53,818 | $ 52,033 | $ 178,028 | $ 217,264 | $ 209,362 |
Interest Expense | 38,215 | 33,853 | 24,418 | 36,105 | 36,834 | 39,082 | 37,958 | 36,400 | 132,591 | 150,274 | 138,240 |
Net Interest Income | 9,503 | 10,117 | 7,076 | 18,741 | 18,927 | 16,570 | 15,860 | 15,633 | 45,437 | 66,990 | 71,122 |
Other Income (Loss) | |||||||||||
Realized gain (loss), net | 1,327 | 718 | (6,960) | 89,186 | 11,992 | 21,399 | (8) | (5,105) | 84,271 | 28,278 | (63,257) |
Other than temporary impairment | (2,228) | (1,819) | (3,295) | (1,232) | |||||||
Unrealized gain (loss), net | (52,896) | 35,030 | 74,614 | 50,781 | (221,387) | 107,529 | (24,671) | ||||
Unrealized gain (loss), net | 3,994 | 54,690 | 16,040 | (296,111) | |||||||
Gain (loss) on derivative instruments, net | 219 | (88) | (8,143) | (189,691) | 42,007 | (47,056) | (71,530) | (27,148) | (197,703) | (103,727) | 77,969 |
Other, net | (46) | (31) | (45) | 461 | 518 | 918 | 532 | 236 | 339 | 2,204 | (189) |
Other Income (Loss) | 5,494 | 55,289 | 892 | (396,155) | (607) | 8,472 | 313 | 17,532 | (334,480) | 25,710 | (21,328) |
Expenses | |||||||||||
Management fee to affiliate | 1,528 | 1,513 | 464 | 1,039 | 1,987 | 1,800 | 1,832 | 1,735 | 4,544 | 7,354 | 8,673 |
Financing fee | 0 | 0 | 20,540 | 0 | 20,540 | 0 | 0 | ||||
Other operating expenses | (139) | 1,198 | 796 | 1,000 | 1,079 | 1,589 | 1,253 | 1,598 | 2,855 | 5,519 | 6,076 |
Compensation expense | 717 | 716 | 692 | 662 | 671 | 671 | 705 | 544 | 2,787 | 2,591 | 2,186 |
Professional fees | 1,030 | 827 | 1,541 | 1,480 | 1,031 | 973 | 761 | 1,215 | 4,878 | 3,980 | 4,299 |
Other general and administrative expenses | 1,040 | 1,138 | 772 | 353 | 441 | 344 | 530 | 185 | 3,303 | 1,500 | 1,442 |
Total general and administrative expenses | 2,787 | 2,681 | 3,005 | 2,495 | 2,143 | 1,988 | 1,996 | 1,944 | 10,968 | 8,071 | 7,927 |
Total Expenses | 4,176 | 5,392 | 24,805 | 4,534 | 5,209 | 5,377 | 5,081 | 5,277 | 38,907 | 20,944 | 22,676 |
Income (loss) before income taxes | 10,821 | 60,014 | (16,837) | (381,948) | 13,111 | 19,665 | 11,092 | 27,888 | (327,950) | 71,756 | 27,118 |
Income tax provision (benefit) | 29 | 205 | 255 | (93) | 622 | (55) | 478 | 12 | 396 | 1,057 | 709 |
Net income (loss) | 10,792 | 59,809 | (17,092) | (381,855) | (328,346) | 70,699 | 26,409 | ||||
Net income attributable to non-controlling interest | 2 | 2 | 2 | 2 | 8 | 0 | 0 | ||||
Net income (loss) attributable to common stockholders and participating securities | $ 10,790 | $ 59,807 | $ (17,094) | $ (381,857) | $ 12,489 | $ 19,720 | $ 10,614 | $ 27,876 | $ (328,354) | $ 70,699 | $ 26,409 |
Net income per Common Share — Basic (in dollars per share) | $ 0.18 | $ 0.98 | $ (0.31) | $ (7.15) | $ 0.23 | $ 0.37 | $ 0.21 | $ 0.58 | $ (5.72) | $ 1.37 | $ 0.61 |
Net income per Common Share — Diluted (in dollars per share) | $ 0.18 | $ 0.98 | $ (0.31) | $ (7.15) | $ 0.23 | $ 0.37 | $ 0.21 | $ 0.58 | $ (5.72) | $ 1.37 | $ 0.61 |
Revision of Prior Period, Adjustment | |||||||||||
Net Interest Income | |||||||||||
Interest Expense | $ 1,500 |
Schedule IV - Mortgage Loans _2
Schedule IV - Mortgage Loans on Real Estate (Details) | 12 Months Ended | |||
Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | Dec. 31, 2020USD ($) | |
Mortgage Loans on Real Estate | ||||
Principal balance | $ 3,065,039,000 | |||
Fair Value | $ 2,691,532,000 | $ 2,493,238,000 | $ 2,493,238,000 | 2,938,556,000 |
Principal Amount of Loans Subject to Delinquent Principal or Interest | 55,374,000 | |||
Period for interest only payments | 2 years | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Beginning balance | $ 2,691,532,000 | 2,493,238,000 | 368,972,000 | |
New mortgage loans | 113,340,000 | 2,042,587,000 | 2,901,479,000 | |
Unrealized gains | 0 | 21,291,000 | 631,000 | |
Capitalized interest | 829,000 | 0 | 0 | |
Mortgage loan of consolidated VIE | 1,245,287,000 | 0 | 0 | |
Collections of principal | 713,854,000 | 1,853,630,000 | 769,605,000 | |
Transfer to REO | 419,000 | 5,029,000 | 143,000 | |
Amortization of premium and (discounts), net | (4,805,000) | 5,247,000 | 5,692,000 | |
Unrealized losses | 97,089,000 | 1,191,000 | 2,356,000 | |
Sales of mortgage loans | 144,259,000 | 0 | 0 | |
Realized losses | 10,812,000 | 487,000 | 48,000 | |
Mortgage loan of deconsolidated VIE | 150,804,000 | 0 | 0 | |
Balance at end of period | $ 2,938,556,000 | $ 2,691,532,000 | $ 2,493,238,000 | |
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $0 - $249,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 3.50% | |||
Principal balance | 0 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $250,000 - $499,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 2.70% | |||
Principal balance | 250,000 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $500,000- $749,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 2.70% | |||
Principal balance | 500,000 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $750,000 - $999,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 3.50% | |||
Principal balance | 750,000 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,000,000 - $1,249,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 3.50% | |||
Principal balance | 1,000,000 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,250,000 - $1,499,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 3.50% | |||
Principal balance | 1,250,000 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,500,000 and above | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 2.70% | |||
Principal balance | 1,500,000 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $0 - $249,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 6.40% | |||
Principal balance | 249,999 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $250,000 - $499,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 6.50% | |||
Principal balance | 499,999 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $500,000- $749,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 6.30% | |||
Principal balance | 749,999 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $750,000 - $999,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 6.40% | |||
Principal balance | 999,999 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,000,000 - $1,249,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 5.60% | |||
Principal balance | 1,249,999 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,250,000 - $1,499,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 5.60% | |||
Principal balance | 1,499,999 | |||
Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,500,000 and above | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 6.10% | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $0 - $249,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 4.20% | |||
Principal balance | 0 | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $250,000 - $499,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 4.00% | |||
Principal balance | 250,000 | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $500,000- $749,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 5.20% | |||
Principal balance | 500,000 | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,250,000 - $1,499,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 4.20% | |||
Principal balance | 1,250,000 | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $0 - $249,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 5.20% | |||
Principal balance | 249,999 | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $250,000 - $499,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 5.20% | |||
Principal balance | 499,999 | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $500,000- $749,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 5.20% | |||
Principal balance | 749,999 | |||
Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,250,000 - $1,499,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 5.20% | |||
Principal balance | 1,499,999 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 1,500,000 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $0 - $249,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 4.60% | |||
Principal balance | 0 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $250,000 - $499,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 4.20% | |||
Principal balance | 250,000 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $500,000- $749,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 4.60% | |||
Principal balance | 500,000 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,000,000 - $1,249,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 4.90% | |||
Principal balance | 1,000,000 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,250,000 - $1,499,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 4.70% | |||
Principal balance | 1,250,000 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,500,000 and above | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 4.60% | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $0 - $249,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 7.10% | |||
Principal balance | 249,999 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $250,000 - $499,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 7.20% | |||
Principal balance | 499,999 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $500,000- $749,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 6.50% | |||
Principal balance | 749,999 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,000,000 - $1,249,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 5.90% | |||
Principal balance | 1,249,999 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,250,000 - $1,499,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 6.30% | |||
Principal balance | 1,499,999 | |||
Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,500,000 and above | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 5.70% | |||
Commercial Mezzanine Loan Held in Securitization Trust | ||||
Mortgage Loans on Real Estate | ||||
Amortization schedule | 2 years | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Balance 45,185,500 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 45,187,500 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 13,600,000 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 13,600,000 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 32,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 32,000,000 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 30,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 30,000,000 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 50,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 50,000,000 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 90,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 90,000,000 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Balance Amount 40,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 40,000,000 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 13,206,521 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 13,206,521 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 24,534,783 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 24,534,783 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 7,258,696 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 7,258,696 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 4,425,400 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 4,425,400 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 900,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 900,000,000 | |||
Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 1,400,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 1,400,000,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | 616 | |||
Principal balance | 97,397,000 | |||
Fair Value | $ 99,803,000 | 99,803,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 437,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 99,803,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | 871 | |||
Principal balance | 286,860,000 | |||
Fair Value | $ 294,282,000 | 294,282,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 3,352,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 294,282,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | 283 | |||
Principal balance | 159,657,000 | |||
Fair Value | $ 163,515,000 | 163,515,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 2,348,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 163,515,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | 125 | |||
Principal balance | 101,109,000 | |||
Fair Value | $ 103,489,000 | 103,489,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 790,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 103,489,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | 30 | |||
Principal balance | 31,365,000 | |||
Fair Value | $ 31,956,000 | 31,956,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 989,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 31,956,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | 16 | |||
Principal balance | 21,025,000 | |||
Fair Value | $ 21,514,000 | 21,514,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 21,514,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | 25 | |||
Principal balance | 61,014,000 | |||
Fair Value | $ 62,306,000 | 62,306,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 2,658,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 62,306,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | 4 | |||
Principal balance | 546,000 | |||
Fair Value | $ 571,000 | 571,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 571,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | 4 | |||
Principal balance | 1,288,000 | |||
Fair Value | $ 1,343,000 | 1,343,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 1,343,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | 1 | |||
Principal balance | 440,000 | |||
Fair Value | $ 449,000 | 449,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 449,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Variable Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | 2 | |||
Principal balance | 1,314,000 | |||
Fair Value | $ 1,389,000 | 1,389,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 1,389,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | 163 | |||
Principal balance | 24,752,000 | |||
Fair Value | $ 25,457,000 | 25,457,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 340,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 25,457,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 194 | |||
Principal balance | 66,638,000 | |||
Fair Value | $ 68,391,000 | 68,391,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 691,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 68,391,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 93 | |||
Principal balance | 53,733,000 | |||
Fair Value | $ 54,964,000 | 54,964,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 630,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 54,964,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 35 | |||
Principal balance | 29,259,000 | |||
Fair Value | $ 29,974,000 | 29,974,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 805,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 29,974,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 15 | |||
Principal balance | 16,129,000 | |||
Fair Value | $ 16,547,000 | 16,547,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 16,547,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 10 | |||
Principal balance | 12,443,000 | |||
Fair Value | $ 12,822,000 | 12,822,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 12,822,000 | |||
Residential Whole-Loan And Residential Bridge Loan | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 10 | |||
Principal balance | 19,586,000 | |||
Fair Value | $ 20,010,000 | 20,010,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 2,271,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | 20,010,000 | |||
Residential Bridge Loans | Adjustable Rate Residential Mortgage Loan Held in Securitization Trusts | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 999,802,000 | |||
Fair Value | 1,022,698,000 | 1,022,698,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 1,022,698,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | ||||
Mortgage Loans on Real Estate | ||||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 25,374,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $0 - $249,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 12 | |||
Principal balance | 1,373,000 | |||
Fair Value | $ 1,101,000 | 1,101,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 1,268,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 1,101,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $250,000 - $499,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 3 | |||
Principal balance | 1,144,000 | |||
Fair Value | $ 1,067,000 | 1,067,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 771,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 1,067,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $500,000- $749,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 4 | |||
Principal balance | 2,455,000 | |||
Fair Value | $ 2,357,000 | 2,357,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 1,353,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 2,357,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $750,000 - $999,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 7 | |||
Principal balance | 6,183,000 | |||
Fair Value | $ 5,708,000 | 5,708,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 2,579,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 5,708,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,000,000 - $1,249,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 1,125,000 | |||
Fair Value | $ 1,013,000 | 1,013,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 1,125,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 1,013,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,250,000 - $1,499,999 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 1,295,000 | |||
Fair Value | $ 1,165,000 | 1,165,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 1,295,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 1,165,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Original Loan Balance $1,500,000 and above | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 1,672,000 | |||
Fair Value | $ 1,505,000 | 1,505,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 1,672,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 1,505,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $0 - $249,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 9.00% | |||
Principal balance | 0 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $250,000 - $499,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 8.00% | |||
Principal balance | 250,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $500,000- $749,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 8.80% | |||
Principal balance | 500,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $750,000 - $999,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 8.50% | |||
Principal balance | 750,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,000,000 - $1,249,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 9.00% | |||
Principal balance | 1,000,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,250,000 - $1,499,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 10.80% | |||
Principal balance | 1,250,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Minimum | Original Loan Balance $1,500,000 and above | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 8.50% | |||
Principal balance | 1,500,000 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $0 - $249,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 18.00% | |||
Principal balance | 249,999 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $250,000 - $499,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 11.30% | |||
Principal balance | 499,999 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $500,000- $749,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 10.00% | |||
Principal balance | 749,999 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $750,000 - $999,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 10.50% | |||
Principal balance | 999,999 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,000,000 - $1,249,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 9.00% | |||
Principal balance | 1,249,999 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,250,000 - $1,499,999 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 10.80% | |||
Principal balance | 1,499,999 | |||
Residential Bridge Loans | Fixed Rate Residential Mortgage Loan Held in Securitization Trusts | Maximum | Original Loan Balance $1,500,000 and above | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 8.50% | |||
Securitized Commercial Loans | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 65.10% | |||
Securitized Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 1,739,793,000 | |||
Fair Value | $ 1,605,335,000 | 1,605,335,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 0 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 1,605,335,000 | |||
Securitized Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Balance 45,185,500 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 45,188,000 | |||
Fair Value | $ 44,965,000 | 44,965,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 44,965,000 | |||
Securitized Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 13,600,000 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 9,200,000 | |||
Fair Value | $ 9,179,000 | 9,179,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 9,179,000 | |||
Securitized Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 32,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 14,362,000 | |||
Fair Value | $ 14,322,000 | 14,322,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 14,322,000 | |||
Securitized Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 900,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 354,202,000 | |||
Fair Value | $ 339,384,000 | 339,384,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 339,384,000 | |||
Securitized Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 1,400,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 1,385,591,000 | |||
Fair Value | $ 1,265,951,000 | 1,265,951,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | 1,265,951,000 | |||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | ||||
Mortgage Loans on Real Estate | ||||
Principal balance | 325,444,000 | |||
Fair Value | 310,523,000 | 310,523,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 30,000,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 310,523,000 | |||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 30,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 30,000,000 | |||
Fair Value | $ 27,403,000 | 27,403,000 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 30,000,000 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 27,403,000 | |||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 50,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 47,219,000 | |||
Fair Value | $ 46,776,000 | 46,776,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 46,776,000 | |||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 90,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 90,000,000 | |||
Fair Value | $ 80,291,000 | 80,291,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 80,291,000 | |||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Balance Amount 40,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 40,000,000 | |||
Fair Value | $ 39,300,000 | 39,300,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 39,300,000 | |||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 13,206,521 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 13,207,000 | |||
Fair Value | $ 12,858,000 | 12,858,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 12,858,000 | |||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 24,534,783 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 24,535,000 | |||
Fair Value | $ 23,887,000 | 23,887,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 23,887,000 | |||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 7,258,696 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 7,259,000 | |||
Fair Value | $ 7,067,000 | 7,067,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 7,067,000 | |||
Commercial Loans | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 4,425,400 | ||||
Mortgage Loans on Real Estate | ||||
Number of Loans | loan | 1 | |||
Principal balance | 4,474,000 | |||
Fair Value | $ 4,475,000 | $ 4,475,000 | ||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Balance at end of period | $ 4,475,000 | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Balance 45,185,500 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 4.25% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 13,600,000 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 4.00% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 32,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 4.10% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 30,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 4.50% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 50,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 4.75% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 90,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 9.25% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Balance Amount 40,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 3.02% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 13,206,521 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 3.75% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 24,534,783 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 3.75% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 7,258,696 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 3.75% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 4,425,400 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 4.85% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 900,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 8.50% | |||
London Interbank Offered Rate (LIBOR) | Commercial Mezzanine Loan Held in Securitization Trust | Original Loan Amount 1,400,000,000 | ||||
Mortgage Loans on Real Estate | ||||
Coupon Rate | 4.37% |