Cover
Cover - shares | 3 Months Ended | |
Mar. 31, 2021 | May 04, 2021 | |
Cover [Abstract] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Mar. 31, 2021 | |
Document Transition Report | false | |
Entity File Number | 001-35543 | |
Entity Registrant Name | Western Asset Mortgage Capital Corporation | |
Entity Incorporation, State or Country Code | DE | |
Entity Tax Identification Number | 27-0298092 | |
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 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Small Business | true | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Title of 12(b) Security | Common Stock, $0.01 par value | |
Trading Symbol | WMC | |
Security Exchange Name | NYSE | |
Entity Common Stock, Shares Outstanding (in shares) | 60,812,701 | |
Entity Central Index Key | 0001465885 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q1 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |
Assets: | |||
Cash and cash equivalents | $ 25,159 | $ 31,613 | |
Restricted cash | 24,331 | 76,132 | |
Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively) | 929,215 | 1,008,782 | |
Residential Bridge Loans ($11,212 and $12,813 at fair value and $12,044 and $12,960 pledged as collateral, respectively) | 12,315 | 13,916 | |
Securitized commercial loans, at fair value | 1,636,127 | 1,605,335 | |
Commercial Loans, at fair value ($312,061 and $310,523 pledged as collateral, at fair value, respectively) | 312,061 | 310,523 | |
Investment related receivable | 33,608 | 30,576 | |
Interest receivable | 13,112 | 13,568 | |
Due from counterparties | 1,065 | 2,327 | |
Derivative assets, at fair value | 136 | 161 | |
Other assets | 3,249 | 3,152 | |
Total assets | [1] | 3,213,363 | 3,336,009 |
Liabilities: | |||
Repurchase agreements, net | 347,132 | 356,923 | |
Convertible senior unsecured notes, net | 164,835 | 170,797 | |
Securitized debt, net ($1,582,440 and $1,553,722 at fair value and $217,972 and $215,753 held by affiliates, respectively) | 2,390,122 | 2,446,012 | |
Interest payable | 8,878 | 12,006 | |
Due to counterparties | 61 | 321 | |
Derivative liability, at fair value | 648 | 656 | |
Accounts payable and accrued expenses | 2,403 | 2,686 | |
Payable to affiliate | 3,161 | 3,171 | |
Dividend payable | 3,649 | 3,649 | |
Other liabilities | 32,873 | 84,674 | |
Total liabilities | [2] | 2,953,762 | 3,080,895 |
Commitments and contingencies | |||
Stockholders’ Equity: | |||
Common stock: $0.01 par value, 500,000,000 shares authorized, 60,812,701 and 60,812,701 outstanding, respectively | 609 | 609 | |
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding | 0 | 0 | |
Treasury stock, at cost, 100,000 and 100,000 shares held, respectively | (578) | (578) | |
Additional paid-in capital | 915,659 | 915,458 | |
Retained earnings (accumulated deficit) | (656,091) | (660,377) | |
Total Stockholders’ Equity | 259,599 | 255,112 | |
Non-controlling interest | 2 | 2 | |
Total Equity | 259,601 | 255,114 | |
Total Liabilities and Equity | 3,213,363 | 3,336,009 | |
VIE | |||
Assets: | |||
Restricted cash | 24,331 | 76,132 | |
Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively) | 929,215 | 1,008,782 | |
Securitized commercial loans, at fair value | 1,636,127 | 1,605,335 | |
Investment related receivable | 31,239 | 27,987 | |
Interest receivable | 10,594 | 10,936 | |
Other assets | 80 | 80 | |
Total assets | 2,712,199 | 2,810,678 | |
Liabilities: | |||
Securitized debt, net ($1,582,440 and $1,553,722 at fair value and $217,972 and $215,753 held by affiliates, respectively) | 2,390,122 | 2,446,012 | |
Interest payable | 7,594 | 7,882 | |
Accounts payable and accrued expenses | 48 | 89 | |
Other liabilities | 24,331 | 76,132 | |
Total liabilities | 2,422,095 | 2,530,115 | |
Subtotal Agency MBS | |||
Assets: | |||
Securities, at fair value | 1,629 | 1,708 | |
Non-Agency MBS | |||
Assets: | |||
Securities, at fair value | 172,690 | 189,462 | |
Other securities | |||
Assets: | |||
Securities, at fair value | $ 48,666 | $ 48,754 | |
[1] | March 31, December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ 24,331 $ 76,132 Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively) 929,215 1,008,782 Residential Bridge Loans ($10,941 and $11,858 at fair value and $12,044 and $12,960 pledged as collateral, respectively) 12,044 12,960 Securitized commercial loans, at fair value 1,636,127 1,605,335 Commercial Loans, at fair value ($68,569 and $68,466 pledged as collateral, at fair value, respectively) 68,569 68,466 Investment related receivable 31,239 27,987 Interest receivable 10,594 10,936 Other assets 80 80 Total assets of consolidated VIEs $ 2,712,199 $ 2,810,678 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,582,440 and $1,553,722 at fair value and $217,972 and $215,753 held by affiliates, respectively) $ 2,390,122 $ 2,446,012 Interest payable (includes $765 and $784 on securitized debt held by affiliates, respectively) 7,594 7,882 Accounts payable and accrued expenses 48 89 Other liabilities 24,331 76,132 Total liabilities of consolidated VIEs $ 2,422,095 $ 2,530,115 | ||
[2] | March 31, December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ 24,331 $ 76,132 Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively) 929,215 1,008,782 Residential Bridge Loans ($10,941 and $11,858 at fair value and $12,044 and $12,960 pledged as collateral, respectively) 12,044 12,960 Securitized commercial loans, at fair value 1,636,127 1,605,335 Commercial Loans, at fair value ($68,569 and $68,466 pledged as collateral, at fair value, respectively) 68,569 68,466 Investment related receivable 31,239 27,987 Interest receivable 10,594 10,936 Other assets 80 80 Total assets of consolidated VIEs $ 2,712,199 $ 2,810,678 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,582,440 and $1,553,722 at fair value and $217,972 and $215,753 held by affiliates, respectively) $ 2,390,122 $ 2,446,012 Interest payable (includes $765 and $784 on securitized debt held by affiliates, respectively) 7,594 7,882 Accounts payable and accrued expenses 48 89 Other liabilities 24,331 76,132 Total liabilities of consolidated VIEs $ 2,422,095 $ 2,530,115 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |
Fair value of residential whole-loans pledged as collateral | $ 929,215 | $ 1,008,782 | |
Residential bridge loan, at fair value | 11,212 | 12,813 | |
Assets Pledged | 12,044 | 12,960 | |
Commercial Loans, at fair value | 312,061 | 310,523 | |
Secured debt, held by affiliates | 2,390,122 | 2,446,012 | |
Interest payable | $ 8,878 | $ 12,006 | |
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 outstanding (in shares) | 60,812,701 | 60,812,701 | |
Preferred stock, shares outstanding (in shares) | 0 | 0 | |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |
Preferred stock, shares authorized (in shares) | 100,000,000 | 100,000,000 | |
Treasury stock, shares held (in shares) | 100,000 | 100,000,000 | |
Restricted cash | $ 24,331 | $ 76,132 | |
Securitized commercial loans, at fair value | 1,636,127 | 1,605,335 | |
Investment related receivable | 33,608 | 30,576 | |
Interest receivable | 13,112 | 13,568 | |
Other assets | 3,249 | 3,152 | |
Total assets | [1] | 3,213,363 | 3,336,009 |
Accounts payable and accrued expenses | 2,403 | 2,686 | |
Other liabilities | 32,873 | 84,674 | |
Total liabilities | [2] | 2,953,762 | 3,080,895 |
Affiliated Entity | |||
Securitized debt, at fair value | 1,582,440 | 1,553,722 | |
Secured debt, held by affiliates | 217,972 | 215,753 | |
Interest payable | 765 | 784 | |
VIE | |||
Fair value of residential whole-loans pledged as collateral | 929,215 | 1,008,782 | |
Residential bridge loan, at fair value | 10,941 | 11,858 | |
Assets Pledged | 12,044 | 12,960 | |
Commercial Loans, at fair value | 68,569 | 68,466 | |
Secured debt, held by affiliates | 2,390,122 | 2,446,012 | |
Interest payable | 7,594 | 7,882 | |
Restricted cash | 24,331 | 76,132 | |
Securitized commercial loans, at fair value | 1,636,127 | 1,605,335 | |
Investment related receivable | 31,239 | 27,987 | |
Interest receivable | 10,594 | 10,936 | |
Other assets | 80 | 80 | |
Total assets | 2,712,199 | 2,810,678 | |
Accounts payable and accrued expenses | 48 | 89 | |
Other liabilities | 24,331 | 76,132 | |
Total liabilities | 2,422,095 | 2,530,115 | |
Subtotal Agency MBS | |||
Fair value of mortgage-backed securities and other securities pledged as collateral | 1,629 | 1,708 | |
Non-Agency MBS | |||
Fair value of mortgage-backed securities and other securities pledged as collateral | 160,184 | 167,970 | |
Other securities | |||
Fair value of mortgage-backed securities and other securities pledged as collateral | $ 48,666 | $ 48,754 | |
[1] | March 31, December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ 24,331 $ 76,132 Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively) 929,215 1,008,782 Residential Bridge Loans ($10,941 and $11,858 at fair value and $12,044 and $12,960 pledged as collateral, respectively) 12,044 12,960 Securitized commercial loans, at fair value 1,636,127 1,605,335 Commercial Loans, at fair value ($68,569 and $68,466 pledged as collateral, at fair value, respectively) 68,569 68,466 Investment related receivable 31,239 27,987 Interest receivable 10,594 10,936 Other assets 80 80 Total assets of consolidated VIEs $ 2,712,199 $ 2,810,678 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,582,440 and $1,553,722 at fair value and $217,972 and $215,753 held by affiliates, respectively) $ 2,390,122 $ 2,446,012 Interest payable (includes $765 and $784 on securitized debt held by affiliates, respectively) 7,594 7,882 Accounts payable and accrued expenses 48 89 Other liabilities 24,331 76,132 Total liabilities of consolidated VIEs $ 2,422,095 $ 2,530,115 | ||
[2] | March 31, December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ 24,331 $ 76,132 Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively) 929,215 1,008,782 Residential Bridge Loans ($10,941 and $11,858 at fair value and $12,044 and $12,960 pledged as collateral, respectively) 12,044 12,960 Securitized commercial loans, at fair value 1,636,127 1,605,335 Commercial Loans, at fair value ($68,569 and $68,466 pledged as collateral, at fair value, respectively) 68,569 68,466 Investment related receivable 31,239 27,987 Interest receivable 10,594 10,936 Other assets 80 80 Total assets of consolidated VIEs $ 2,712,199 $ 2,810,678 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,582,440 and $1,553,722 at fair value and $217,972 and $215,753 held by affiliates, respectively) $ 2,390,122 $ 2,446,012 Interest payable (includes $765 and $784 on securitized debt held by affiliates, respectively) 7,594 7,882 Accounts payable and accrued expenses 48 89 Other liabilities 24,331 76,132 Total liabilities of consolidated VIEs $ 2,422,095 $ 2,530,115 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Net Interest Income | ||
Interest income | $ 46,017 | $ 54,846 |
Interest expense (includes $3,693 and $2,164 on securitized debt held by affiliates, respectively) | 36,769 | 36,105 |
Net Interest Income | 9,248 | 18,741 |
Other Income (Loss) | ||
Realized gain (loss), net | (5,725) | 89,186 |
Unrealized gain (loss), net | 9,050 | (296,111) |
Gain (loss) on derivative instruments, net | 26 | (189,691) |
Other, net | (28) | 461 |
Other Income (Loss) | 3,323 | (396,155) |
Expenses | ||
Management fee to affiliate | 1,477 | 1,039 |
Other operating expenses | 392 | 1,000 |
General and administrative expenses: | ||
Compensation expense | 708 | 662 |
Professional fees | 879 | 1,480 |
Other general and administrative expenses | 1,062 | 353 |
Total general and administrative expenses | 2,649 | 2,495 |
Total Expenses | 4,518 | 4,534 |
Income (loss) before income taxes | 8,053 | (381,948) |
Income tax provision (benefit) | 98 | (93) |
Net income (loss) | 7,955 | (381,855) |
Net income attributable to non-controlling interest | 2 | 2 |
Net income (loss) attributable to common stockholders and participating securities | $ 7,953 | $ (381,857) |
Net income (loss) per Common Share — Basic (in dollars per share) | $ 0.13 | $ (7.15) |
Net income (loss) per Common Share — Diluted (in dollars per share) | $ 0.13 | $ (7.15) |
Consolidated Statements of Op_2
Consolidated Statements of Operations (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Interest expense (includes $3,693 and $2,164 on securitized debt held by affiliates, respectively) | $ 36,769 | $ 36,105 |
Affiliated Entity | ||
Interest expense (includes $3,693 and $2,164 on securitized debt held by affiliates, respectively) | $ 3,693 | $ 2,164 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Equity - USD ($) $ in Thousands | Total | Common Stock Outstanding | Additional Paid-In Capital | Retained Earnings (Accumulated Deficit) | Treasury Stock | Total Stockholders' Equity | Non-Controlling Interest |
Beginning balance (in shares) at Dec. 31, 2019 | 53,523,876 | ||||||
Beginning balance at Dec. 31, 2019 | $ 564,461 | $ 535 | $ 889,227 | $ (325,301) | $ 0 | $ 564,461 | $ 0 |
Increase (Decrease) in Stockholders' Equity | |||||||
Proceeds from non-controlling interest, net of offering costs | 42 | 42 | |||||
Vesting of restricted stock | 165 | 165 | 165 | ||||
Treasury stock (in shares) | (100,000) | ||||||
Treasury stock | (578) | (578) | (578) | ||||
Net income (loss) | (381,855) | (381,857) | (381,857) | 2 | |||
Dividends declared on non-controlling interest | (2) | (2) | |||||
Ending balance (in shares) at Mar. 31, 2020 | 53,423,876 | ||||||
Ending balance at Mar. 31, 2020 | 182,233 | $ 535 | 889,392 | (707,158) | (578) | 182,191 | 42 |
Beginning balance (in shares) at Dec. 31, 2020 | 60,812,701 | ||||||
Beginning balance at Dec. 31, 2020 | 255,114 | $ 609 | 915,458 | (660,377) | (578) | 255,112 | 2 |
Increase (Decrease) in Stockholders' Equity | |||||||
Vesting of restricted stock | 183 | 183 | 183 | ||||
Net income (loss) | 7,955 | 7,953 | 7,953 | 2 | |||
Dividends declared on non-controlling interest | (2) | (2) | |||||
Dividends declared on common stock | (3,649) | 18 | (3,667) | (3,649) | |||
Ending balance (in shares) at Mar. 31, 2021 | 60,812,701 | ||||||
Ending balance at Mar. 31, 2021 | $ 259,601 | $ 609 | $ 915,659 | $ (656,091) | $ (578) | $ 259,599 | $ 2 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Cash flows from operating activities: | ||
Net income (loss) | $ 7,955 | $ (381,855) |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||
Premium amortization and (discount accretion), net | (170) | 1,837 |
Interest income earned added to principal of investments | (174) | 0 |
Amortization of deferred financing costs | 1,367 | 646 |
Amortization of discount on convertible senior unsecured notes | 245 | 273 |
Restricted stock amortization | 182 | 165 |
Interest payments and basis recovered on MAC interest rate swaps | 0 | 202 |
Premium on purchase of Residential Whole Loans | 0 | (3,858) |
Unrealized (gain) loss, net | (9,050) | 296,111 |
Realized gain on extinguishment of convertible senior notes | (240) | 0 |
Realized loss on sale of real estate owned ("REO") | 0 | 267 |
Unrealized (gain) loss on derivative instruments, net | 17 | 8,807 |
Realized (gain) loss on investments, net | 5,965 | (89,453) |
Loss on derivatives, net | 0 | 135 |
Changes in operating assets and liabilities: | ||
Interest receivable | 456 | 4,608 |
Investment related receivable | 177 | 0 |
Other assets | 587 | (1,583) |
Interest payable | (3,128) | (8,572) |
Accounts payable and accrued expenses | (259) | 3,119 |
Payable to affiliate | (10) | 1,089 |
Other liabilities | (1) | 0 |
Net cash provided by (used in ) in operating activities | 3,919 | (168,062) |
Cash flows from investing activities: | ||
Purchase of securities | 0 | (320,997) |
Proceeds from sale of securities | 0 | 1,685,381 |
Proceeds from sale of REO | 0 | 1,347 |
Principal repayments and basis recovered on securities | 1,041 | 25,454 |
Purchase of Residential Whole Loans | 0 | (109,481) |
Principal repayments on Residential Whole Loans | 90,663 | 77,217 |
Principal repayments on commercial loans | 148 | 37,638 |
Principal repayments on securitized commercial loans | 51,167 | 154,702 |
Principal repayments on Residential Bridge Loans | 2,183 | 6,372 |
Premium for credit default swaps, net | 0 | (566) |
Net settlements of TBAs | 0 | 883 |
Interest payments and basis recovered on MAC interest rate swaps | 0 | (202) |
Due from counterparties | 0 | (4,120) |
Payments made on reverse repurchase agreements, net | 0 | (24,826) |
Net cash provided by investing activities | 145,202 | 1,528,802 |
Cash flows from financing activities: | ||
Payment of offering costs | (24) | (3) |
Repurchase of common stock | 0 | (578) |
Payments on extinguishment of convertible senior notes | (6,315) | 0 |
Proceeds from offering to non-controlling interest, net of offering costs | 0 | 42 |
Proceeds from repurchase agreement borrowings | 726,551 | 5,786,714 |
Repayments of repurchase agreement borrowings | (737,018) | (7,057,810) |
Proceeds from other liabilities | 0 | 12,549 |
Proceeds from securitized debt | 0 | 92,828 |
Repayments of securitized debt | (136,119) | (208,379) |
Payments made for deferred financing costs | (2) | 0 |
Due from counterparties, net | 1,262 | (14,603) |
Due to counterparties, net | (260) | 24,102 |
Decrease in other liabilities | (51,802) | (19,720) |
Dividends paid on common stock | (3,649) | (16,590) |
Net cash used in financing activities | (207,376) | (1,401,448) |
Net decrease in cash, cash equivalents and restricted cash | (58,255) | (40,708) |
Cash, cash equivalents and restricted cash, beginning of period | 107,745 | 84,279 |
Cash, cash equivalents and restricted cash, end of period | 49,490 | 43,571 |
Supplemental disclosure of operating cash flow information: | ||
Interest paid | 32,294 | 43,800 |
Supplemental disclosure of non-cash financing/investing activities: | ||
Securities sold, not settled | 0 | 47,475 |
Assets of deconsolidated VIE | 0 | (150,804) |
Liabilities of deconsolidated VIE | 0 | 143,952 |
Mortgage-backed securities recorded upon deconsolidation | 0 | 6,852 |
Net unsettled TBAs | 0 | 612 |
Dividends to non-controlling interest, not paid | 2 | 2 |
Principal payments of Residential Whole Loans, not settled | 31,239 | 22,181 |
Principal payments of Residential Bridge Loans, not settled | 0 | 2,557 |
Other assets - Transfer of Bridge Loans to REO | 684 | 489 |
Reconciliation of cash, cash equivalents and restricted cash reported in the Consolidated Balance Sheets: | ||
Total cash, cash equivalents and restricted cash shown in the Consolidated Statements of Cash Flows | $ 49,490 | $ 43,571 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2021 | |
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”) 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 | 3 Months Ended |
Mar. 31, 2021 | |
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 unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended March 31, 2021, are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2020, filed with the SEC on March 5, 2021. 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 quarter ended March 31, 2020, the COVID-19 pandemic, created extensive disruptions to the global economy and the lives of individuals throughout the world. Governments and businesses 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 in early 2020 specifically in mortgage markets had an adverse impact on our book value, liquidity, results of operations, and financial position. While the development and roll out of vaccines offer a prospective timeline for recovery, our Manager's view is that it will take some time, if ever, for economic and social conditions to fully rebound. 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) global economy is slowly recovering, (ii) fiscal and monetary is expected to remain supportive, (iii) the second half of 2021 should see a meaningful pick up in growth as the economy reopens (iv) central bank policy rates are expected to be very low for very long , and (v) inflation pick-up will prove transitory and not persistent. The Company continues to operate in a manner that preserves liquidity, reduces exposure to short-term repurchase agreement financings, and reduces expenses. Significant Accounting Policies There have been no significant changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2020. Recently adopted accounting pronouncements Description Adoption 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 adoption of this standard did not have a material impact on the 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. In January 2021, the FASB issued ASU 2021-01, "Reference Rate Reform (Topic 848)." The amendments in this Update clarify that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the discounting transition. March 12, 2020 through December 31, 2022 The adoption of this standard did not have a material impact on the consolidated financial statements. Recently issued accounting pronouncements Description Effective Date Effect on 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 Instrum
Fair Value of Financial Instruments | 3 Months Ended |
Mar. 31, 2021 | |
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 March 31, 2021 and December 31, 2020, based upon the valuation hierarchy (dollars in thousands): March 31, 2021 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-Only Strips $ — $ — $ 158 $ 158 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 1,471 1,471 Subtotal Agency MBS — — 1,629 1,629 Non-Agency CMBS — 137,072 8,959 146,031 Non-Agency RMBS — — 22,903 22,903 Non-Agency RMBS Interest-Only Strips — — 3,756 3,756 Subtotal Non-Agency MBS — 137,072 35,618 172,690 Other securities — 39,610 9,056 48,666 Total mortgage-backed securities and other securities — 176,682 46,303 222,985 Residential Whole Loans — — 929,215 929,215 Residential Bridge Loans — — 11,212 11,212 Securitized commercial loans — — 1,636,127 1,636,127 Commercial Loans — — 312,061 312,061 Derivative assets — 136 — 136 Total Assets $ — $ 176,818 $ 2,934,918 $ 3,111,736 Liabilities Derivative liabilities $ — $ 648 $ — $ 648 Securitized debt — 1,567,494 14,946 1,582,440 Total Liabilities $ — $ 1,568,142 $ 14,946 $ 1,583,088 December 31, 2020 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-Only Strips $ — $ — $ 143 $ 143 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 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 Securitized commercial loan — — 1,605,335 1,605,335 Commercial Loans — — 310,523 310,523 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 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 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 assumptions 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. During the quarter ended March 31, 2021, there were limited, residential whole loans sale transactions. The independent third party pricing service used a combination of recent loan trades and recent residential whole loans securitization transactions adjusted for deal cost and liquidity premium, to form their opinion on the appropriate discount rate. 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 mortga ges. During the quarter ended June 30, 2020, the Company sold its Conforming Residential Whole Loan portfolio and as of March 31, 2021 and 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 the 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 periods ended March 31, 2021 and December 31, 2020. 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 March 31, 2021 and December 31, 2020 (dollars in thousands): Fair Value at Range March 31, 2021 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole Loans 929,215 Discounted Cash Flow Market Discount Rate 2.2 % 7.5 % 3.9 % Weighted Average Life 1.7 9.4 3.4 Residential Bridge Loans 11,212 Discounted Cash Flow Market Discount Rate 9.0 % 31.4 % (1) 16.4 % Weighted Average Life 0.3 2.8 1.5 Commercial Loans 312,061 Discounted Cash Flow Market Discount Rate 6.3 % 18.5 % 10.4 % Weighted Average Life 0.3 1.7 0.8 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 (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 discount rate or yield to maturity. 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: Three months ended March 31, 2021 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 1,708 $ 34,369 $ 8,593 $ 1,008,782 $ 12,813 $ 310,523 $ 1,605,335 $ 15,418 Transfers into Level III from Level II — — — — — — — — Transfers from Level III into Level II — — — — — — — — Transfers to REO — — — — (684) — — — Loan modifications / capitalized interest — — — 174 — — — — Principal repayments — (119) — (95,015) (1,082) (148) (51,168) — Total net gains / losses included in net income Realized gains/(losses), net on assets — — — — (36) — — — Unrealized gains/(losses), net on assets (1) 25 1,302 426 16,805 203 1,622 75,810 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 776 Premium and discount amortization, net (104) 66 37 (1,531) (2) 64 6,150 (1,248) Ending balance $ 1,629 $ 35,618 $ 9,056 $ 929,215 $ 11,212 $ 312,061 $ 1,636,127 $ 14,946 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 25 $ 1,302 $ 426 $ 17,525 $ 58 $ 1,622 $ 75,810 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (776) Three months ended March 31, 2020 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 15,915 $ 45,814 $ 17,196 $ 1,375,860 $ 33,269 $ 370,213 $ 909,040 $ 1,057 Transfers from Level III into Level II — — (6,482) — — — — — Purchases — — — 111,486 — — — — Sales and settlements — (12,702) — — — — — — Transfers to REO — — — — (489) — — — VIE deconsolidation — 6,852 — — — — (150,804) — Principal repayments — (320) (153) (80,361) (6,408) (37,638) (154,701) — Total net gains / losses included in net income 0 Realized gains/(losses), net on assets — (16) — — (85) — — — Unrealized gains/(losses), net on assets (1) (534) (5,835) (3,120) (96,160) (218) (12,462) (127,171) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (377) Premium and discount amortization, net (939) (631) (70) (1,030) (19) 195 767 (519) Ending balance $ 14,442 $ 33,162 $ 7,371 $ 1,309,795 $ 26,050 $ 320,308 $ 477,131 $ 161 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (534) $ (5,605) $ (1,770) $ (94,347) $ (417) $ (12,460) $ (68,013) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 377 (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 three months ended March 31, 2021 and March 31, 2020 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, 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 three months ended March 31, 2021 and March 31, 2020. 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 March 31, 2021 and December 31, 2020 in the consolidated financial statements (dollars in thousands): March 31, 2021 December 31, 2020 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 1,103 $ 992 $ 1,103 $ 1,095 Total $ 1,103 $ 992 $ 1,103 $ 1,095 Liabilities Borrowings under repurchase agreements $ 347,132 $ 349,504 $ 356,923 $ 359,799 Convertible senior unsecured notes 164,835 157,803 170,797 155,129 Securitized debt (1) 814,258 830,014 899,207 922,362 Total $ 1,326,225 $ 1,337,321 $ 1,426,927 $ 1,437,290 (1) Carrying value excludes $6.6 million and $6.9 million of deferred financing costs as of March 31, 2021 and December 31, 2020, 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 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 Lev el III. At March 31, 2021, 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 | 3 Months Ended |
Mar. 31, 2021 | |
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 $ — $ — $ 158 $ — $ 158 Agency RMBS Interest-Only Strips accounted for as derivatives — 1,471 — — 1,471 Subtotal Agency — 1,471 158 — 1,629 Non-Agency CMBS 62,652 43,591 39,398 390 146,031 Non-Agency RMBS — — 9,626 13,277 22,903 Non-Agency RMBS Interest- Only Strips — — 405 3,351 3,756 Subtotal Non-Agency 62,652 43,591 49,429 17,018 172,690 Other securities 9,239 4,047 24,221 11,159 48,666 Total $ 71,891 $ 49,109 $ 73,808 $ 28,177 $ 222,985 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 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 March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ 14,060 $ (525) 1 $ 115,961 $ (62,244) 27 $ 130,021 $ (62,769) 28 Non-Agency RMBS 11,147 (2,308) 1 244 (44) 1 11,391 (2,352) 2 Non-Agency RMBS Interest-Only Strips 3 (427) 1 3,753 (1,895) 3 3,756 (2,322) 4 Subtotal Non-Agency 25,210 (3,260) 3 119,958 (64,183) 31 145,168 (67,443) 34 Other securities — — — 26,161 (2,074) 6 26,161 (2,074) 6 Total $ 25,210 $ (3,260) 3 $ 146,119 $ (66,257) 37 $ 171,329 $ (69,517) 40 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 The following tables present components of interest income on the Company’s MBS and other securities for the three months ended March 31, 2021 and March 31, 2020, respectively (dollars in thousands): Three months ended March 31, 2021 Three months ended March 31, 2020 Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Agency CMBS $ — $ — $ — $ 10,923 $ (588) $ 10,335 Agency RMBS 15 (11) 4 2,756 (842) 1,914 Non-Agency CMBS 2,337 2,430 4,767 4,797 968 5,765 Non-Agency RMBS 413 (58) 355 1,151 (641) 510 Other securities 1,591 (769) 822 2,805 (1,464) 1,341 Total $ 4,356 $ 1,592 $ 5,948 $ 22,432 $ (2,567) $ 19,865 The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities, excluding Interest-Only Strips accounted for as derivatives, for the three months ended March 31, 2021 and March 31, 2020, respectively (dollars in thousands): Three months ended March 31, 2021 Three months ended March 31, 2020 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency CMBS $ — $ — $ — $ — $ 1,259,032 $ 94,307 $ (6,454) $ 87,853 Agency RMBS — — — — 391,436 10,420 (38) 10,382 Non-Agency CMBS (1) — — (5,929) (5,929) 51,940 1 (8,802) (8,801) Non-Agency RMBS — — — — 12,702 — (16) (16) Other securities — — — — 17,746 113 — 113 Total $ — $ — $ (5,929) $ (5,929) $ 1,732,856 $ 104,841 $ (15,310) $ 89,531 (1) Realized loss for the three months ended March 31, 2021 was attributable to a legacy Non-agency CMBS bond that factored down to zero from a cash shortfall in the securitization. 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 both March 31, 2021 and December 31, 2020, the Company held seven 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 March 31, 2021 and December 31, 2020, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $30.2 million and $48.9 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 March 31, 2021 and December 31, 2020, 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 March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Agency RMBS Interest-Only Strips (1)(2) N/A N/A $ 78 $ 80 $ — $ 158 1.6 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A 1,471 2.3 % Total Agency MBS — — 78 80 — 1,629 2.2 % Non-Agency RMBS 37,820 (14,466) 23,354 1,901 (2,352) 22,903 1.6 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 6,078 — (2,322) 3,756 0.4 % Subtotal Non-Agency RMBS 37,820 (14,466) 29,432 1,901 (4,674) 26,659 0.5 % Non-Agency CMBS 226,998 (20,762) 206,236 2,564 (62,769) 146,031 5.0 % Total Non-Agency MBS 264,818 (35,228) 235,668 4,465 (67,443) 172,690 2.5 % Other securities (3) 51,455 (8,114) 48,608 2,132 (2,074) 48,666 4.3 % Total $ 316,273 $ (43,342) $ 284,354 $ 6,677 $ (69,517) $ 222,985 2.6 % December 31, 2020 Principal Unamortized Amortized Unrealized Unrealized Estimated Net 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 % (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 March 31, 2021, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIO and Agency RMBS IOs and IIOs, accounted for as derivatives was $3.4 million, $266.0 million and $20.2 million, respectively. 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. (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 $5.3 million and $6.1 million, as of March 31, 2021 and December 31, 2020, 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 March 31, 2021 and December 31, 2020 the weighted average expected remaining term of the MBS and other securities investment portfolio was 6.2 years and 5.5 years, respectively. The following tables present the fair value and contractual maturities of the Company’s investment securities at March 31, 2021 and December 31, 2020 (dollars in thousands) : March 31, 2021 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 158 $ — $ 158 Agency RMBS Interest-Only Strips accounted for as derivatives — 1,471 — — 1,471 Subtotal Agency — 1,471 158 — 1,629 Non-Agency CMBS 62,652 43,591 39,398 390 146,031 Non-Agency RMBS — — 9,626 13,277 22,903 Non-Agency RMBS Interest- Only Strips — — 405 3,351 3,756 Subtotal Non-Agency 62,652 43,591 49,429 17,018 172,690 Other securities 9,239 4,047 24,221 11,159 48,666 Total $ 71,891 $ 49,109 $ 73,808 $ 28,177 $ 222,985 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 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 March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ 14,060 $ (525) 1 $ 115,961 $ (62,244) 27 $ 130,021 $ (62,769) 28 Non-Agency RMBS 11,147 (2,308) 1 244 (44) 1 11,391 (2,352) 2 Non-Agency RMBS Interest-Only Strips 3 (427) 1 3,753 (1,895) 3 3,756 (2,322) 4 Subtotal Non-Agency 25,210 (3,260) 3 119,958 (64,183) 31 145,168 (67,443) 34 Other securities — — — 26,161 (2,074) 6 26,161 (2,074) 6 Total $ 25,210 $ (3,260) 3 $ 146,119 $ (66,257) 37 $ 171,329 $ (69,517) 40 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 The following tables present components of interest income on the Company’s MBS and other securities for the three months ended March 31, 2021 and March 31, 2020, respectively (dollars in thousands): Three months ended March 31, 2021 Three months ended March 31, 2020 Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Agency CMBS $ — $ — $ — $ 10,923 $ (588) $ 10,335 Agency RMBS 15 (11) 4 2,756 (842) 1,914 Non-Agency CMBS 2,337 2,430 4,767 4,797 968 5,765 Non-Agency RMBS 413 (58) 355 1,151 (641) 510 Other securities 1,591 (769) 822 2,805 (1,464) 1,341 Total $ 4,356 $ 1,592 $ 5,948 $ 22,432 $ (2,567) $ 19,865 The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities, excluding Interest-Only Strips accounted for as derivatives, for the three months ended March 31, 2021 and March 31, 2020, respectively (dollars in thousands): Three months ended March 31, 2021 Three months ended March 31, 2020 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency CMBS $ — $ — $ — $ — $ 1,259,032 $ 94,307 $ (6,454) $ 87,853 Agency RMBS — — — — 391,436 10,420 (38) 10,382 Non-Agency CMBS (1) — — (5,929) (5,929) 51,940 1 (8,802) (8,801) Non-Agency RMBS — — — — 12,702 — (16) (16) Other securities — — — — 17,746 113 — 113 Total $ — $ — $ (5,929) $ (5,929) $ 1,732,856 $ 104,841 $ (15,310) $ 89,531 (1) Realized loss for the three months ended March 31, 2021 was attributable to a legacy Non-agency CMBS bond that factored down to zero from a cash shortfall in the securitization. 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 both March 31, 2021 and December 31, 2020, the Company held seven 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 March 31, 2021 and December 31, 2020, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $30.2 million and $48.9 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 March 31, 2021 and December 31, 2020, 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 | 3 Months Ended |
Mar. 31, 2021 | |
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 March 31, 2021 and December 31, 2020, the Company financed the trust certificate with $27.9 million and $30.2 million, respectively, on long-term financing facility. 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. 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. 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 (the "Arroyo Trust 2019"). 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 the Arroyo Trust 2019 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 2019 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. 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 March 31, 2021 and December 31, 2020, the Company financed the trust certificate with $11.7 million and $13.4 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 2,289 Residential Whole Loans and the consolidated Bridge Loan Trust holds 23 Residential Bridge Loans and seven Residential Whole Loans as of March 31, 2021. 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 March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 December 31, 2020 Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively) $ 929,215 $ 1,008,782 Residential Bridge Loans ($10,941 and $11,858 at fair value and $12,044 and $12,960 pledged as collateral, respectively) 12,044 12,960 Investment related receivable 31,239 27,987 Interest receivable 4,433 4,688 Other assets 80 80 Total assets $ 977,011 $ 1,054,497 Securitized debt, net $ 807,682 $ 892,290 Interest payable 2,019 2,222 Accounts payable and accrued expenses 37 77 Total liabilities $ 809,738 $ 894,589 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 three months ended March 31, 2021 and March 31, 2020. The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of March 31, 2021 and December 31, 2020 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 Principal balance $ 889,713 $ 984,555 $ 12,342 $ 14,144 $ 1,103 $ 1,103 Unamortized premium 22,132 24,248 1 3 — — Unamortized discount (1,730) (1,799) — — — — Amortized cost 910,115 1,007,004 12,343 14,147 1,103 1,103 Gross unrealized gains 21,746 9,282 21 5 N/A N/A Gross unrealized losses (2,646) (7,504) (1,152) (1,339) N/A N/A Fair value $ 929,215 $ 1,008,782 $ 11,212 $ 12,813 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 2,289 Non-QM adjustable rate mortgages and seven investor fixed rate mortgages. The following tables present certain information about the Company’s Residential Whole Loan investment portfolio at March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Original FICO Score (1) Expected Contractual Coupon 2.01% – 3.00% 7 $ 4,583 67.4 % 732 6.9 28.3 2.7 % 3.01% – 4.00% 161 57,061 54.6 % 718 4.1 23.0 3.6 % 4.01% – 5.00% 1,058 357,860 62.0 % 751 3.3 27.6 4.9 % 5.01% – 6.00% 1,037 459,058 64.4 % 740 3.5 27.5 5.4 % 6.01% – 7.00% 31 10,642 68.6 % 718 3.5 26.5 6.3 % 7.01% - 8.00% 2 509 73.2 % 753 4.9 27.4 7.1 % Total 2,296 $ 889,713 62.8 % 743 3.4 27.2 5.1 % (1) The original FICO score is not available for 223 loans with a principal balance of approximately $69.7 million at March 31, 2021. The Company has excluded these loans from the weighted average computations. December 31, 2020 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Original FICO Score (1) Expected Life (years) (2) 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. The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole Loans at March 31, 2021 and December 31, 2020, based on principal balance, is located (dollars in thousands): March 31, 2021 December 31, 2020 State State Concentration Principal Balance State State Concentration Principal Balance California 65.4 % $ 582,271 California 65.8 % $ 647,877 New York 17.5 % 156,005 New York 17.7 % 173,788 Georgia 3.4 % 30,466 Georgia 3.4 % 33,577 Florida 3.0 % 26,578 Florida 2.8 % 27,274 New Jersey 2.6 % 23,252 New Jersey 2.5 % 24,704 Other 8.1 % 71,141 Other 7.8 % 77,335 Total 100.0 % $ 889,713 Total 100.0 % $ 984,555 Residential Bridge Loans The Residential Bridge Loans are comprised of short-term fixed rate loans secured by non-owner occupied 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 March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 c Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 7.01% – 9.00% 9 $ 7,423 70.7 % 0.0 8.7 % 9.01% – 11.00% 14 5,403 76.2 % 0.3 10.1 % 11.01% – 13.00% 2 495 69.7 % 0.0 11.4 % 17.01% – 19.00% 1 124 75.0 % 0.0 18.0 % Total 26 $ 13,445 72.9 % 0.3 9.5 % December 31, 2020 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (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 % (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 U.S. states in which the collateral securing the Company’s Residential Bridge Loans at March 31, 2021 and December 31, 2020, based on principal balance, is located (dollars in thousands): March 31, 2021 December 31, 2020 State Concentration Principal Balance State Concentration Principal Balance California 36.0 % $ 4,841 California 37.5 % $ 5,713 New York 19.6 % 2,632 New York 17.3 % 2,632 Washington 18.3 % 2,461 Washington 16.1 % 2,461 Florida 9.3 % 1,249 Florida 12.9 % 1,969 Connecticut 6.5 % 872 Connecticut 5.7 % 872 Other 10.3 % 1,390 Other 10.5 % 1,600 Total 100.0 % $ 13,445 Total 100.0 % $ 15,247 Non-performing Loans The following table presents the aging of the Residential Whole Loans and Bridge Loans as of March 31, 2021 (dollars in thousands): Residential Whole Loans Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value (1) Current (2) 2,246 $ 858,929 $ 898,785 1 $ 105 $ 77 1-30 days 14 7,897 8,218 3 2,027 2,045 31-60 days 5 2,326 2,432 1 373 366 61-90 days 5 2,297 2,218 — — — 90+ days 26 18,264 17,562 21 10,940 9,827 Total 2,296 $ 889,713 $ 929,215 26 $ 13,445 $ 12,315 (1) Includes $1.1 million loans carried at amortized cost. (2) Includes 12 loans in forbearance with unpaid principal balance of approximately $5.2 million. COVID-19 has materially disrupted business operations, resulting in significantly higher levels of unemployment or underemployment in certain sectors. 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 March 31, 2021, the Company had 12 Non-QM loans in forbearance and 74 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 to 5 months. At the end of the forbearance period, the borrower can either 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 in forbearance are carried at fair value and had an unpaid principal balance of approximately $5.2 million, a fair value of $5.2 million, a weighted average original LTV of 57.4%, and represent approximately 0.6% of the total outstanding principal balance of the Company's Residential Whole Loans. As of March 31, 2021, there were 26 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $18.3 million and a fair value of $17.6 million. These nonperforming loans represent approximately 2.1% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 60.5%. 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%. 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 March 31, 2021, there was one Residential Bridge Loan carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $124 thousand and 20 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $10.8 million and a fair value of $9.7 million. These nonperforming loans represent approximately 81.4% of the total outstanding Bridge Loans principal balance of $13.4 million. These loans are collateral dependent with a weighted average original LTV of 71.8%. As of December 31, 2020, there was one 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%. The Company concluded that an allowance for credit losses was not necessary for loans carried at amortized costs as of March 31, 2021 and December 31, 2020 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 losses was recorded as of March 31, 2021 and December 31, 2020 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 March 31, 2021 and December 31, 2020, the Company had three and two real estate owned ("REO") properties with an aggregate carrying value of $1.7 million and $1.1 million, respectively, 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 Sheets. |
Commercial Loans
Commercial Loans | 3 Months Ended |
Mar. 31, 2021 | |
Noncontrolling Interest [Abstract] | |
Commercial Loans | Commercial Loans Securitized Commercial Loans Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At March 31, 2021, 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. CSMC 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 RETL 2018 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 was 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 $303.0 million as of March 31, 2021. The loan's stated maturity date is March 2022 (subject to the borrower's option to extend the stated maturity date for three successive one-year terms) and bears an interest rate of one month LIBOR plus 4.06% . As of March 31, 2021 , 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 March 31, 2021, 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 March 31, 2021. 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 the special servicer and the borrower that required both increased reporting requirements and monthly net cash remittance. 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 March 31, 2021 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral CRE 1 June 2018 Interest-Only First Mortgage $ 30,000 $ 27,345 65% 1-Month LIBOR plus 4.50% 6/9/2021 None Hotel CRE 2 June 2019 Principal & Interest First Mortgage 47,079 46,732 75% 1-Month LIBOR plus 4.75% 1/11/2022 Two One Nursing Facilities CRE 3 August 2019 Interest-Only Mezzanine loan 90,000 81,369 58% 1-Month LIBOR plus 9.25% 6/29/2021 Two One Entertainment and Retail CRE 4 September 2019 Interest-Only First Mortgage 40,000 39,593 63% 1-Month LIBOR plus 3.02% 8/6/2021 Two One Retail CRE 5 December 2019 Interest-Only First Mortgage 24,535 23,985 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One Hotel CRE 6 December 2019 Interest-Only First Mortgage 13,207 12,911 62% 1-Month LIBOR plus3.75% 11/6/2021 Three One Hotel CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,096 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One Hotel CRE 8 December 2019 Interest-Only First Mortgage 4,466 4,461 79% 1-Month LIBOR plus 4.85% 12/6/2022 None Assisted Living $ 256,546 $ 243,492 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 March 31, 2021, 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 March 31, 2021 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value LTV Interest Rate Maturity Date Extension Option Collateral SBC 1 July 2018 Interest-Only First Mortgage $ 45,188 $ 45,050 74% 1-Month LIBOR plus 4.25% (1) 8/1/2021 One Nursing Facilities SBC 2 January 2019 Interest-Only First Mortgage 9,200 9,182 84% 1-Month LIBOR plus 4.00% (2) 12/1/2021 One Apartment Complex SBC 3 January 2019 Interest-Only First Mortgage 14,362 14,337 49% 1-Month LIBOR plus 4.10% 7/1/2021 None Nursing Facilities $ 68,750 $ 68,569 (1) Subject to LIBOR floor of 1.25%. (2) Subject to LIBOR floor of 2%. 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 assess ment. The three consolidated trusts, RETL 2019 Trust, CSMC USA and RSBC Trust, collectively hold five commercial loans as of March 31, 2021. The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 December 31, 2020 Restricted cash $ 24,331 $ 76,132 Securitized commercial loans, at fair value 1,636,127 1,605,335 Commercial Loans, at fair value 68,569 68,466 Interest receivable 6,161 6,248 Total assets $ 1,735,188 $ 1,756,181 Securitized debt, at fair value $ 1,582,440 $ 1,553,722 Interest payable 5,575 5,660 Accounts payable and accrued expenses 11 12 Other liabilities 24,331 76,132 Total liabilities $ 1,612,357 $ 1,635,526 The Company’s risk with respect to its investment in each commercial loan trust is limited to its direct ownership in the trust. The commercial loans 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 assets of a consolidated trust can only be used to satisfy the obligations of that trust. The Company is not contractually required and has not provided any additional financial support to the trusts for the three months ended March 31, 2021 and March 31, 2020. The following table presents the components of the carrying value of the securitized commercial loans and commercial loans as of March 31, 2021 and December 31, 2020 (dollars in thousands): 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 March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 Principal balance $ 303,034 $ 354,202 $ 1,385,591 $ 1,385,591 $ 68,750 $ 68,750 $ 256,546 $ 256,694 Unamortized premium 58 180 — — — — — — Unamortized discount — — (129,381) (135,653) (53) (94) (31) (53) Amortized cost 303,092 354,382 1,256,210 1,249,938 68,697 68,656 256,515 256,641 Gross unrealized gains — — 80,589 16,013 — — — 1 Gross unrealized losses (3,764) (14,998) — — (128) (190) (13,023) (14,585) Fair value $ 299,328 $ 339,384 $ 1,336,799 $ 1,265,951 $ 68,569 $ 68,466 $ 243,492 $ 242,057 Non-Performing Commercial Loans The following table presents the aging of the Commercial Loans as of March 31, 2021 (dollars in thousands): Commercial Loans No of Loans Principal Fair Value Current 10 $ 295,296 $ 284,716 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 30,000 27,345 Total 11 $ 325,296 $ 312,061 The impact of COVID-19 pandemic has adversely impacted a broad range of industries in which the commercial loan borrowers operate and could impair their ability to fulfill their financial obligations to the Company, most significantly hospitality and retail assets. The Company believes its CRE loan sponsors are well capitalized and generally committed to supporting the assets collateralizing its loans. The low average original LTV of the Company's commercial loan portfolio of 65.1% reflects significant equity value that the sponsors are motivated to protect. As of March 31, 2021, the Company had one delinquent borrower with a total loan principal balance of $30.0 million secured by a hotel. The Company commenced foreclosure proceedings. However, on February 24, 2021, the borrower filed for bankruptcy protection. The Company expects to move forward with the foreclosure subject to the bankruptcy process and believes there is a reasonable likelihood that the outstanding principal balance of $30.0 million will be recovered, although there is no assurance of full recovery. |
Financings
Financings | 3 Months Ended |
Mar. 31, 2021 | |
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 timeframe 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 quarter ended June 30, 2020, 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 was 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 were 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 such 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 was 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 served 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 October 5, 2021, when the amended facility matures. T he premium recapture fee was eliminated for new and remaining investments financed under the amended facility. As of March 31, 2021 approximately $62.0 million in non QM loans remained in the facility with a borrowing amount of $27.9 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 was 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 was 12 months, subject to a 12 month extensions at the counterparty’s option. All interest income generated by the assets during the term of the facility is 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 was 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 March 31, 2021 , the outstanding balance under this facility was $93.9 million . The facility was amended in May 2021. See Note 16 Subsequent Events for details. Certain of the financing agreements 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 March 31, 2021. As of March 31, 2021, the Company had borrowings under five of its master repurchase agreements. The following table summarizes certain characteristics of the Company’s repurchase agreements at March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 December 31, 2020 Securities Pledged Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Short-Term Borrowings: Agency RMBS $ 1,242 1.13 % 59 $ 1,418 1.34 % 59 Non-Agency CMBS 10,312 2.01 % 42 10,313 2.25 % 14 Residential Whole Loans (1) 29,373 3.17 % 15 29,800 3.71 % 15 Residential Bridge Loans (1) 10,097 2.70 % 35 11,254 2.73 % 36 Commercial Loans (1) 34,375 3.29 % 77 34,375 3.32 % 75 Membership Interest 19,551 2.86 % 1 18,844 2.90 % 29 Other Securities 2,467 4.50 % 19 2,594 4.51 % 19 Subtotal 107,417 3.00 % 37 108,598 3.19 % 39 Long-Term Borrowings: Non-Agency CMBS (2) 65,914 5.19 % 36 66,767 5.23 % 126 Non-Agency RMBS 14,456 5.20 % 36 14,643 5.23 % 126 Residential Whole Loans (1) (3) 27,923 3.00 % 188 30,224 3.00 % 278 Commercial Loans (3) 119,167 2.09 % 202 124,937 2.17 % 287 Other Securities 13,502 5.19 % 36 13,677 5.24 % 126 Subtotal 240,962 3.41 % 136 250,248 3.74 % 225 Repurchase Agreements Borrowings $ 348,379 3.28 % 105 $ 358,846 3.57 % 169 Less Unamortized Debt Issuance Costs 1,247 N/A N/A 1,923 N/A N/A Repurchase Agreements Borrowings, net $ 347,132 3.28 % 105 $ 356,923 3.57 % 169 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated upon consolidation. (2) Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation. (3) 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. The Commercial Loan facility was amended in May 2021. See Note 16 Subsequent Events for details. At March 31, 2021 and December 31, 2020, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) March 31, 2021 December 31, 2020 1 to 29 days $ 50,255 $ 59,856 30 to 59 days 115,858 13,421 60 to 89 days 51,752 35,321 Greater than or equal to 90 days 130,514 250,248 Total $ 348,379 $ 358,846 At March 31, 2021, 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): March 31, 2021 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Credit Suisse AG, Cayman Islands Branch $ 175,943 153 67.8 % Citigroup Global Markets Inc. 105,829 36 40.8 % Nomura Securities International, Inc. 36,919 66 14.2 % Collateral for Borrowings under Repurchase Agreements The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 December 31, 2020 Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 1,629 $ 40 $ 1,669 $ 1,708 $ 49 $ 1,757 Non-Agency CMBS, at fair value (1) 144,346 609 144,955 152,275 649 152,924 Non-Agency RMBS, at fair value 26,659 136 26,795 25,382 160 25,542 Residential Whole Loans, at fair value (2) 92,497 558 93,055 97,566 543 98,109 Residential Bridge Loans (2) 12,044 167 12,211 12,960 180 13,140 Commercial Loans, at fair value (2) 312,061 1,849 313,910 310,523 1,850 312,373 Membership interest (4) 34,439 n/a 34,439 33,690 — 33,690 Other securities, at fair value 48,666 58 48,724 48,754 44 48,798 Cash (3) 555 — 555 1,817 — 1,817 Total $ 672,896 $ 3,417 $ 676,313 $ 684,675 $ 3,475 $ 688,150 (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) Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets. (4) 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. A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call. At March 31, 2021 and December 31, 2020, investments held by counterparties as security for repurchase agreements totaled approximately $672.3 million and $682.9 million, respectively. Cash collateral held by counterparties at March 31, 2021 and December 31, 2020 was approximately $555 thousand and $1.8 million, respectively. Cash posted by repurchase agreement counterparties at March 31, 2021 and December 31, 2020, was approximately $60 thousand and $320 thousand, respectively. Convertible Senior Unsecured Notes At March 31, 2021 and December 31, 2020, the Company had $168.3 million and $175.0 million aggregate principal amount, respectively, of 6.75% convertible senior unsecured notes (the "2022 Notes") outstanding through three issuances. Interest on the 2022 Notes is paid semiannually. The 2022 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 2022 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 shares of common stock per $1,000 principal amount of notes and represented a conversion price of $12.02 per share of common stock. The 2022 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 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. During the quarter ended December 31, 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. During the quarter ended March 31, 2021, the Company repurchased $6.7 million aggregate principal amount of the 2022 Notes at an approximate 6.25% 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 March 31, 2021 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class C $ 257,734 2.2% $ 256,436 3/15/2022 Class X-EXT (1) N/A 1.2% 26 3/15/2022 $ 257,734 $ 256,462 (1) Class X-EXT is an interest-only class with a notional balance of $257.7 million as of March 31, 2021. At March 31, 2021, the Company owned the entire class of HRR certificates with an outstanding principal balance of $45.3 million, which is eliminated in consolidation and the remaining RETL debt with a fair value of $256.5 million is recorded in "Securitized debt, net" in the Consolidated Balance Sheets. Of the outstanding principal balance of the Securitized debt of $257.7 million, excluding the interest-only debt securities, $37.4 million is owned by related parties and $220.3 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 $303.0 million at March 31, 2021, 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 change 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 March 31, 2021 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A-1 $ 120,391 3.3 % $ 122,992 9/11/2025 Class A-2 531,700 4.0 % 557,729 9/11/2025 Class B 136,400 4.2 % 135,402 9/11/2025 Class C 94,500 4.3 % 92,155 9/11/2025 Class D 153,950 4.4 % 142,388 9/11/2025 Class E 180,150 4.4 % 148,840 9/11/2025 Class F 153,600 4.4 % 111,553 9/11/2025 Class X-1 (1) N/A 0.7 % 12,347 9/11/2025 Class X-2 (1) N/A 0.2 % 2,572 9/11/2025 $ 1,370,691 $ 1,325,978 (1) Class X-1 and X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of March 31, 2021, respectively. At March 31, 2021, 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 for which the Company elected the fair value option had a fair value of $1.3 billion at March 31, 2021, and is recorded in "Securitized debt, net" in the Consolidated Balance Sheets. Of the remaining outstanding principal balance of $1.4 billion, $205.6 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 March 31, 2021, 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 change 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 cost and classified in "Securitized debt, net" in the Consolidated Balance Sheets. The following table summarizes the issued Arroyo Trust 2019's residential mortgage pass-through certificates at March 31, 2021 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 460,106 3.3% $ 460,104 4/25/2049 Class A-2 24,658 3.5% 24,657 4/25/2049 Class A-3 39,065 3.8% 39,064 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 548,884 $ 548,880 Less: Unamortized Deferred Financing Costs N/A 4,177 Total $ 548,884 $ 544,703 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 2019 can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At March 31, 2021, Residential Whole Loans, with an outstanding principal balance of approximately $555.5 million, serve as collateral for the Arroyo Trust 2019'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 March 31, 2021 (dollars in thousands): Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1A $ 198,598 1.7% $ 198,593 3/25/2055 Class A-1B 23,566 2.1% 23,566 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 $ 265,384 $ 265,378 Less: Unamortized Deferred Financing Costs N/A 2,399 Total $ 265,384 $ 262,979 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 March 31, 2021 |
Derivative Instruments
Derivative Instruments | 3 Months Ended |
Mar. 31, 2021 | |
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. In March 2020, the Company terminated fixed-pay interest rate swaps with a notional value of approximately $3.1 billion and variable-pay interest rate with a notional value of approximately $1.9 billion to reduce hedging costs and associated margin volatility. The following table summarizes the Company’s derivative instruments at March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 December 31, 2020 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Amount Fair Value Notional Amount Fair Value Credit default swaps, asset Non-Hedge Derivative assets, at fair value $ 2,030 $ 136 $ 2,030 $ 161 Total derivative instruments, assets 136 161 Credit default swaps, liability Non-Hedge Derivative liability, at fair value 4,140 (648) 4,140 (656) Total derivative instruments, liabilities (648) (656) Total derivative instruments, net $ (512) $ (495) The following table summarizes 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 three months ended March 31, 2021 and March 31, 2020 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Three months ended March 31, 2021 Interest-Only Strips— accounted for as derivatives $ — $ — $ (94) $ — $ 121 $ 27 Credit default swaps 16 — — (17) — (1) Total $ 16 $ — $ (94) $ (17) $ 121 $ 26 Three months ended March 31, 2020 Interest rate swaps $ (262) $ (179,759) $ 262 $ (2,515) $ (1,395) $ (183,669) Interest rate swaptions — — — 181 — 181 Interest-Only Strips— accounted for as derivatives — — (545) (839) 636 (748) Credit default swap (1,315) — — (2,638) — (3,953) TBAs 1,494 — — (2,996) — (1,502) Total $ (83) $ (179,759) $ (283) $ (8,807) $ (759) $ (189,691) At March 31, 2021 and December 31, 2020, the Company had cash pledged as collateral for derivatives of approximately $510 thousand and $510 thousand, respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets. Interest rate swaps and interest rate swaptions The Company uses 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 From time to time, the Company may enter into interest rate swaps. As of March 31, 2021 and December 31, 2020, the Company did not have any interest rate swaps in its derivative holdings. Interest Rate Swaptions From time to time, the Company may enter into interest rate swaptions. As of March 31, 2021 and December 31, 2020, the Company did not have any interest rate swaptions in its derivative holdings. Futures Contracts From time to time, the Company may enter into Eurodollar, Volatility Index, and U.S. Treasury futures. As of March 31, 2021 and December 31, 2020, the Company had no open futures contracts. To-Be-Announced Securities From time to time, the Company may purchase or sell TBAs. There were no open TBA positions as of March 31, 2021 and December 31, 2020. 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 | 3 Months Ended |
Mar. 31, 2021 | |
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 March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,471 $ — $ 1,471 $ (1,471) $ — $ — Derivative asset, at fair value 136 — 136 (136) — — Total assets $ 1,607 $ — $ 1,607 $ (1,607) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2) $ 648 $ — $ 648 $ (136) $ (510) $ 2 Repurchase Agreements (3) 347,132 — 347,132 (347,132) — — Total liabilities $ 347,780 $ — $ 347,780 $ (347,268) $ (510) $ 2 (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. In addition, the Financial Instruments column includes reverse repurchase agreement receivables that are available to be offset against repurchase agreement liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Cash collateral pledged against the Company’s derivative counterparties was approximately $510 thousand as of March 31, 2021. (3) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $672.3 million as of March 31, 2021. December 31, 2020 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Financial Instruments (1) Cash Collateral (1) 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 Pledged column of the tables above represents amounts pledged 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. |
Related Party Transactions
Related Party Transactions | 3 Months Ended |
Mar. 31, 2021 | |
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 other than temporary impairment) 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. 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 three months ended March 31, 2021 and March 31, 2020, the Company incurred approximately $1.5 million and approximately $1.0 million in management fees, respectively. The Manager 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. |
Share-Based Payments
Share-Based Payments | 3 Months Ended |
Mar. 31, 2021 | |
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 offerings, the number of shares of common stock available under the Equity Incentive Plans increased to 1,804,258. Approximately 1,027,992 shares have been issued under the Equity Plans with 776,266 shares available for issuance, as of March 31, 2021. Under the Equity Plan, the Company made the following grants during the three months ended March 31, 2021 and the year ended December 31, 2020: 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 three months ended March 31, 2021 and March 31, 2020, 36,000 and 36,000 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 $182 thousand and approximately $165 thousand for the three months ended March 31, 2021 and March 31, 2020, respectively. In addition, the Company had unamortized compensation expense of $437 thousand and $619 thousand for equity awards at March 31, 2021 and December 31, 2020, 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 March 31, 2021 and December 31, 2020, including shares whose issuance has been deferred under the Director Deferred Fee Plan: March 31, 2021 December 31, 2020 Vesting Date Shares Vesting Shares Vesting March 2021 — 36,000 June 2021 132,815 130,365 March 2022 36,000 36,000 168,815 202,365 The following table presents information with respect to the Company’s restricted stock for the three months ended March 31, 2021 and March 31, 2020, respectively, including shares whose issuance has been deferred under the Director Deferred Fee Plan: March 31, 2021 March 31, 2020 Shares of Weighted Average Grant Date Fair Value (1) Shares of Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 1,025,542 $ 14.10 894,289 $ 15.76 Granted (2) 2,450 3.19 888 10.67 Cancelled/forfeited — — — — Outstanding at end of period 1,027,992 14.07 895,177 15.75 Unvested at end of period 168,815 $ 4.40 103,480 $ 10.29 (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 2,450 and 888 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan for the three months ended March 31, 2021 and March 31, 2020, respectively. |
Stockholders' Equity
Stockholders' Equity | 3 Months Ended |
Mar. 31, 2021 | |
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 amended agreement with an average price of $3.70 per share for a total net proceeds of $22.0 million. During the three months ended March 31, 2021, the Company did not sell any shares under the amended agreement. 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 is 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 common stock dividends in 2020 given extraordinary market volatility driven by uncertainty surrounding the COVID-19 pandemic. Starting in the quarter ended September 30, 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 2021 March 23, 2021 April 2, 2021 April 26, 2021 $ 0.06 Not yet determined 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 (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. |
Net Income (loss) per Common Sh
Net Income (loss) per Common Share | 3 Months Ended |
Mar. 31, 2021 | |
Earnings Per Share [Abstract] | |
Net Income (loss) per Common Share | Net Income (loss) per Common Share The table below presents basic and diluted net income (loss) per share of common stock using the two-class method for the three months ended March 31, 2021 and March 31, 2020 (dollars, other than shares and per share amounts, in thousands): For the three months ended March 31, 2021 For the three months ended March 31, 2020 Numerator : Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share $ 7,953 $ (381,857) Less: Dividends and undistributed earnings allocated to participating securities 48 — Net income (loss) allocable to common stockholders — basic and diluted $ 7,905 $ (381,857) Denominator : Weighted average common shares outstanding for basic earnings per share 60,742,301 53,402,623 Weighted average common shares outstanding for diluted earnings per share 60,742,301 53,402,623 Basic earnings (loss) per common share $ 0.13 $ (7.15) Diluted earnings (loss) per common share $ 0.13 $ (7.15) |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2021 | |
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 March 31, 2021. The Company files U.S. federal and state income tax returns. As of March 31, 2021, U.S. federal tax retur ns 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 r elevant 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 taxable REIT subsidiaries ("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. During the three months ended March 31, 2021 and March 31, 2020, the Company recorded a federal and state tax provision of $98 thousand and tax benefit of $93 thousand, respectively, which is recorded in "Income tax provision (benefit)" in the Consolidated Statements of Operations. Deferred Tax Asset As of March 31, 2021 and December 31, 2020, the Company recorded a deferred tax asset of approximately $21.0 million and $21.0 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 of $21.0 million and $21.0 million as of March 31, 2021 and December 31, 2020, respectively. In addition, the REIT generated net operating losses ("NOLs") for the years ended December 31, 2020 and December 31, 2017 , related to its interest rate swap terminations, and for its California return a portion of the NOLs is apportioned to the TRS. The Company recorded a deferred tax asset relating to the NOLs of $19.3 million and $19.3 million in the REIT and $2.1 million and $2.1 million in the TRS as of March 31, 2021 and December 31, 2020, 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 March 31, 2021 and December 31, 2020, 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 $21.4 million, respectively. Effective Tax Rate The Company's effective tax rate differs from its combined federal and state income tax rate primarily due to its valuation allowance and the deduction of dividends distributions to be paid under Code Section 857(a). |
Contingencies
Contingencies | 3 Months Ended |
Mar. 31, 2021 | |
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 March 31, 2021. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Commercial Whole Loan Facility On May 5, 2021, the Company amended its Commercial Whole Loan Facility, to among other things, convert the term to a 12-month facility with up to a 12-month extension option, subject to the lender's consent. Non-Agency CMBS and Non-Agency RMBS Facility On May 5, 2021, the Company amended its Non-Agency CMBS and Non-Agency RMBS financing facility, to among other things, extend the facility for an additional 12 months and reduce the interest rate. The amended facility has improved advance rates and bears interest at a rate of three-month LIBOR plus 2.00%. |
Basis of Presentation and Sum_2
Basis of Presentation and Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2021 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | Basis of Presentation and Consolidation The accompanying unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended March 31, 2021, are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2020, filed with the SEC on March 5, 2021. 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 | 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. |
Recently Adopted and Issued Accounting Pronouncements | Recently adopted accounting pronouncements Description Adoption 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 adoption of this standard did not have a material impact on the 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. In January 2021, the FASB issued ASU 2021-01, "Reference Rate Reform (Topic 848)." The amendments in this Update clarify that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the discounting transition. March 12, 2020 through December 31, 2022 The adoption of this standard did not have a material impact on the consolidated financial statements. Recently issued accounting pronouncements Description Effective Date Effect on 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 (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
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 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 adoption of this standard did not have a material impact on the 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. In January 2021, the FASB issued ASU 2021-01, "Reference Rate Reform (Topic 848)." The amendments in this Update clarify that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the discounting transition. March 12, 2020 through December 31, 2022 The adoption of this standard did not have a material impact on the consolidated financial statements. Recently issued accounting pronouncements Description Effective Date Effect on 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) | 3 Months Ended |
Mar. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Schedule of the entity's financial instruments carried at fair value based upon the valuation hierarchy | The following tables present the Company’s financial instruments carried at fair value as of March 31, 2021 and December 31, 2020, based upon the valuation hierarchy (dollars in thousands): March 31, 2021 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-Only Strips $ — $ — $ 158 $ 158 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 1,471 1,471 Subtotal Agency MBS — — 1,629 1,629 Non-Agency CMBS — 137,072 8,959 146,031 Non-Agency RMBS — — 22,903 22,903 Non-Agency RMBS Interest-Only Strips — — 3,756 3,756 Subtotal Non-Agency MBS — 137,072 35,618 172,690 Other securities — 39,610 9,056 48,666 Total mortgage-backed securities and other securities — 176,682 46,303 222,985 Residential Whole Loans — — 929,215 929,215 Residential Bridge Loans — — 11,212 11,212 Securitized commercial loans — — 1,636,127 1,636,127 Commercial Loans — — 312,061 312,061 Derivative assets — 136 — 136 Total Assets $ — $ 176,818 $ 2,934,918 $ 3,111,736 Liabilities Derivative liabilities $ — $ 648 $ — $ 648 Securitized debt — 1,567,494 14,946 1,582,440 Total Liabilities $ — $ 1,568,142 $ 14,946 $ 1,583,088 December 31, 2020 Fair Value Level I Level II Level III Total Assets Agency RMBS Interest-Only Strips $ — $ — $ 143 $ 143 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 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 Securitized commercial loan — — 1,605,335 1,605,335 Commercial Loans — — 310,523 310,523 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 |
Summary of the available 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 March 31, 2021 and December 31, 2020 (dollars in thousands): Fair Value at Range March 31, 2021 Valuation Technique Unobservable Input Minimum Maximum Weighted Average Residential Whole Loans 929,215 Discounted Cash Flow Market Discount Rate 2.2 % 7.5 % 3.9 % Weighted Average Life 1.7 9.4 3.4 Residential Bridge Loans 11,212 Discounted Cash Flow Market Discount Rate 9.0 % 31.4 % (1) 16.4 % Weighted Average Life 0.3 2.8 1.5 Commercial Loans 312,061 Discounted Cash Flow Market Discount Rate 6.3 % 18.5 % 10.4 % Weighted Average Life 0.3 1.7 0.8 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 (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 discount rate or yield to maturity. |
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: Three months ended March 31, 2021 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 1,708 $ 34,369 $ 8,593 $ 1,008,782 $ 12,813 $ 310,523 $ 1,605,335 $ 15,418 Transfers into Level III from Level II — — — — — — — — Transfers from Level III into Level II — — — — — — — — Transfers to REO — — — — (684) — — — Loan modifications / capitalized interest — — — 174 — — — — Principal repayments — (119) — (95,015) (1,082) (148) (51,168) — Total net gains / losses included in net income Realized gains/(losses), net on assets — — — — (36) — — — Unrealized gains/(losses), net on assets (1) 25 1,302 426 16,805 203 1,622 75,810 — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — 776 Premium and discount amortization, net (104) 66 37 (1,531) (2) 64 6,150 (1,248) Ending balance $ 1,629 $ 35,618 $ 9,056 $ 929,215 $ 11,212 $ 312,061 $ 1,636,127 $ 14,946 Unrealized gains/(losses), net on assets held at the end of the period (1) $ 25 $ 1,302 $ 426 $ 17,525 $ 58 $ 1,622 $ 75,810 $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ (776) Three months ended March 31, 2020 $ in thousands Agency MBS Non-Agency MBS Other Securities Residential Residential Commercial Loans Securitized Securitized debt Beginning balance $ 15,915 $ 45,814 $ 17,196 $ 1,375,860 $ 33,269 $ 370,213 $ 909,040 $ 1,057 Transfers from Level III into Level II — — (6,482) — — — — — Purchases — — — 111,486 — — — — Sales and settlements — (12,702) — — — — — — Transfers to REO — — — — (489) — — — VIE deconsolidation — 6,852 — — — — (150,804) — Principal repayments — (320) (153) (80,361) (6,408) (37,638) (154,701) — Total net gains / losses included in net income 0 Realized gains/(losses), net on assets — (16) — — (85) — — — Unrealized gains/(losses), net on assets (1) (534) (5,835) (3,120) (96,160) (218) (12,462) (127,171) — Unrealized (gains)/losses, net on liabilities (2) — — — — — — — (377) Premium and discount amortization, net (939) (631) (70) (1,030) (19) 195 767 (519) Ending balance $ 14,442 $ 33,162 $ 7,371 $ 1,309,795 $ 26,050 $ 320,308 $ 477,131 $ 161 Unrealized gains/(losses), net on assets held at the end of the period (1) $ (534) $ (5,605) $ (1,770) $ (94,347) $ (417) $ (12,460) $ (68,013) $ — Unrealized gains/(losses), net on liabilities held at the end of the period (2) $ — $ — $ — $ — $ — $ — $ — $ 377 (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 fair value, by balance sheet grouping | 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 March 31, 2021 and December 31, 2020 in the consolidated financial statements (dollars in thousands): March 31, 2021 December 31, 2020 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 1,103 $ 992 $ 1,103 $ 1,095 Total $ 1,103 $ 992 $ 1,103 $ 1,095 Liabilities Borrowings under repurchase agreements $ 347,132 $ 349,504 $ 356,923 $ 359,799 Convertible senior unsecured notes 164,835 157,803 170,797 155,129 Securitized debt (1) 814,258 830,014 899,207 922,362 Total $ 1,326,225 $ 1,337,321 $ 1,426,927 $ 1,437,290 (1) Carrying value excludes $6.6 million and $6.9 million of deferred financing costs as of March 31, 2021 and December 31, 2020, respectively. |
Mortgage-Backed Securities an_2
Mortgage-Backed Securities and other securities (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
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 March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 Principal Unamortized Amortized Unrealized Unrealized Estimated Net Agency RMBS Interest-Only Strips (1)(2) N/A N/A $ 78 $ 80 $ — $ 158 1.6 % Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2) N/A N/A N/A N/A N/A 1,471 2.3 % Total Agency MBS — — 78 80 — 1,629 2.2 % Non-Agency RMBS 37,820 (14,466) 23,354 1,901 (2,352) 22,903 1.6 % Non-Agency RMBS Interest- Only Strips (1) N/A N/A 6,078 — (2,322) 3,756 0.4 % Subtotal Non-Agency RMBS 37,820 (14,466) 29,432 1,901 (4,674) 26,659 0.5 % Non-Agency CMBS 226,998 (20,762) 206,236 2,564 (62,769) 146,031 5.0 % Total Non-Agency MBS 264,818 (35,228) 235,668 4,465 (67,443) 172,690 2.5 % Other securities (3) 51,455 (8,114) 48,608 2,132 (2,074) 48,666 4.3 % Total $ 316,273 $ (43,342) $ 284,354 $ 6,677 $ (69,517) $ 222,985 2.6 % December 31, 2020 Principal Unamortized Amortized Unrealized Unrealized Estimated Net 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 % (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 March 31, 2021, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIO and Agency RMBS IOs and IIOs, accounted for as derivatives was $3.4 million, $266.0 million and $20.2 million, respectively. 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. (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 $5.3 million and $6.1 million, as of March 31, 2021 and December 31, 2020, 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 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 March 31, 2021 and December 31, 2020 (dollars in thousands) : March 31, 2021 < or equal to 10 > 10 years and < or > 20 years and < or > 30 years Total Agency RMBS Interest-Only Strips $ — $ — $ 158 $ — $ 158 Agency RMBS Interest-Only Strips accounted for as derivatives — 1,471 — — 1,471 Subtotal Agency — 1,471 158 — 1,629 Non-Agency CMBS 62,652 43,591 39,398 390 146,031 Non-Agency RMBS — — 9,626 13,277 22,903 Non-Agency RMBS Interest- Only Strips — — 405 3,351 3,756 Subtotal Non-Agency 62,652 43,591 49,429 17,018 172,690 Other securities 9,239 4,047 24,221 11,159 48,666 Total $ 71,891 $ 49,109 $ 73,808 $ 28,177 $ 222,985 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 |
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 March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 Less than 12 Months 12 Months or More Total Fair Value Unrealized Number Fair Value Unrealized Number Fair Value Unrealized Number Non-Agency CMBS $ 14,060 $ (525) 1 $ 115,961 $ (62,244) 27 $ 130,021 $ (62,769) 28 Non-Agency RMBS 11,147 (2,308) 1 244 (44) 1 11,391 (2,352) 2 Non-Agency RMBS Interest-Only Strips 3 (427) 1 3,753 (1,895) 3 3,756 (2,322) 4 Subtotal Non-Agency 25,210 (3,260) 3 119,958 (64,183) 31 145,168 (67,443) 34 Other securities — — — 26,161 (2,074) 6 26,161 (2,074) 6 Total $ 25,210 $ (3,260) 3 $ 146,119 $ (66,257) 37 $ 171,329 $ (69,517) 40 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 |
Summary of the components of interest income on the Company's MBS and other securities | The following tables present components of interest income on the Company’s MBS and other securities for the three months ended March 31, 2021 and March 31, 2020, respectively (dollars in thousands): Three months ended March 31, 2021 Three months ended March 31, 2020 Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Coupon Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Agency CMBS $ — $ — $ — $ 10,923 $ (588) $ 10,335 Agency RMBS 15 (11) 4 2,756 (842) 1,914 Non-Agency CMBS 2,337 2,430 4,767 4,797 968 5,765 Non-Agency RMBS 413 (58) 355 1,151 (641) 510 Other securities 1,591 (769) 822 2,805 (1,464) 1,341 Total $ 4,356 $ 1,592 $ 5,948 $ 22,432 $ (2,567) $ 19,865 |
Schedule of sales and realized gain (loss) of the Company's MBS and other securities | The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities, excluding Interest-Only Strips accounted for as derivatives, for the three months ended March 31, 2021 and March 31, 2020, respectively (dollars in thousands): Three months ended March 31, 2021 Three months ended March 31, 2020 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency CMBS $ — $ — $ — $ — $ 1,259,032 $ 94,307 $ (6,454) $ 87,853 Agency RMBS — — — — 391,436 10,420 (38) 10,382 Non-Agency CMBS (1) — — (5,929) (5,929) 51,940 1 (8,802) (8,801) Non-Agency RMBS — — — — 12,702 — (16) (16) Other securities — — — — 17,746 113 — 113 Total $ — $ — $ (5,929) $ (5,929) $ 1,732,856 $ 104,841 $ (15,310) $ 89,531 (1) Realized loss for the three months ended March 31, 2021 was attributable to a legacy Non-agency CMBS bond that factored down to zero from a cash shortfall in the securitization. |
Residential Whole Loans and B_2
Residential Whole Loans and Bridge Loans - (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
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 March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 December 31, 2020 Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively) $ 929,215 $ 1,008,782 Residential Bridge Loans ($10,941 and $11,858 at fair value and $12,044 and $12,960 pledged as collateral, respectively) 12,044 12,960 Investment related receivable 31,239 27,987 Interest receivable 4,433 4,688 Other assets 80 80 Total assets $ 977,011 $ 1,054,497 Securitized debt, net $ 807,682 $ 892,290 Interest payable 2,019 2,222 Accounts payable and accrued expenses 37 77 Total liabilities $ 809,738 $ 894,589 The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 December 31, 2020 Restricted cash $ 24,331 $ 76,132 Securitized commercial loans, at fair value 1,636,127 1,605,335 Commercial Loans, at fair value 68,569 68,466 Interest receivable 6,161 6,248 Total assets $ 1,735,188 $ 1,756,181 Securitized debt, at fair value $ 1,582,440 $ 1,553,722 Interest payable 5,575 5,660 Accounts payable and accrued expenses 11 12 Other liabilities 24,331 76,132 Total liabilities $ 1,612,357 $ 1,635,526 |
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 March 31, 2021 and December 31, 2020 (dollars in thousands): Residential Whole Loans, at Fair Value Residential Bridge Loans, at Fair Value (1) Residential Bridge Loans, at Amortized Cost (1) March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 Principal balance $ 889,713 $ 984,555 $ 12,342 $ 14,144 $ 1,103 $ 1,103 Unamortized premium 22,132 24,248 1 3 — — Unamortized discount (1,730) (1,799) — — — — Amortized cost 910,115 1,007,004 12,343 14,147 1,103 1,103 Gross unrealized gains 21,746 9,282 21 5 N/A N/A Gross unrealized losses (2,646) (7,504) (1,152) (1,339) N/A N/A Fair value $ 929,215 $ 1,008,782 $ 11,212 $ 12,813 N/A N/A (1) These loans are classified in "Residential Bridge Loans" in the Consolidated Balance Sheets. |
Schedule of certain information about the residential whole loans investment portfolio | The Residential Whole Loans have low LTV's and are comprised of 2,289 Non-QM adjustable rate mortgages and seven investor fixed rate mortgages. The following tables present certain information about the Company’s Residential Whole Loan investment portfolio at March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Original FICO Score (1) Expected Contractual Coupon 2.01% – 3.00% 7 $ 4,583 67.4 % 732 6.9 28.3 2.7 % 3.01% – 4.00% 161 57,061 54.6 % 718 4.1 23.0 3.6 % 4.01% – 5.00% 1,058 357,860 62.0 % 751 3.3 27.6 4.9 % 5.01% – 6.00% 1,037 459,058 64.4 % 740 3.5 27.5 5.4 % 6.01% – 7.00% 31 10,642 68.6 % 718 3.5 26.5 6.3 % 7.01% - 8.00% 2 509 73.2 % 753 4.9 27.4 7.1 % Total 2,296 $ 889,713 62.8 % 743 3.4 27.2 5.1 % (1) The original FICO score is not available for 223 loans with a principal balance of approximately $69.7 million at March 31, 2021. The Company has excluded these loans from the weighted average computations. December 31, 2020 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Original FICO Score (1) Expected Life (years) (2) 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. |
Schedule of the U.S. states concentration and principal balance of collateral securing residential whole loans | The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole Loans at March 31, 2021 and December 31, 2020, based on principal balance, is located (dollars in thousands): March 31, 2021 December 31, 2020 State State Concentration Principal Balance State State Concentration Principal Balance California 65.4 % $ 582,271 California 65.8 % $ 647,877 New York 17.5 % 156,005 New York 17.7 % 173,788 Georgia 3.4 % 30,466 Georgia 3.4 % 33,577 Florida 3.0 % 26,578 Florida 2.8 % 27,274 New Jersey 2.6 % 23,252 New Jersey 2.5 % 24,704 Other 8.1 % 71,141 Other 7.8 % 77,335 Total 100.0 % $ 889,713 Total 100.0 % $ 984,555 |
Schedule of residential bridge loans | The Residential Bridge Loans are comprised of short-term fixed rate loans secured by non-owner occupied 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 March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 c Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (1) Coupon 7.01% – 9.00% 9 $ 7,423 70.7 % 0.0 8.7 % 9.01% – 11.00% 14 5,403 76.2 % 0.3 10.1 % 11.01% – 13.00% 2 495 69.7 % 0.0 11.4 % 17.01% – 19.00% 1 124 75.0 % 0.0 18.0 % Total 26 $ 13,445 72.9 % 0.3 9.5 % December 31, 2020 Weighted Average Current Coupon Rate Number of Loans Principal Original LTV Contractual Maturity (months) (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 % (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 U.S. states in which the collateral securing the Company’s Residential Bridge Loans at March 31, 2021 and December 31, 2020, based on principal balance, is located (dollars in thousands): March 31, 2021 December 31, 2020 State Concentration Principal Balance State Concentration Principal Balance California 36.0 % $ 4,841 California 37.5 % $ 5,713 New York 19.6 % 2,632 New York 17.3 % 2,632 Washington 18.3 % 2,461 Washington 16.1 % 2,461 Florida 9.3 % 1,249 Florida 12.9 % 1,969 Connecticut 6.5 % 872 Connecticut 5.7 % 872 Other 10.3 % 1,390 Other 10.5 % 1,600 Total 100.0 % $ 13,445 Total 100.0 % $ 15,247 |
Financing receivable, past due | The following table presents the aging of the Residential Whole Loans and Bridge Loans as of March 31, 2021 (dollars in thousands): Residential Whole Loans Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value (1) Current (2) 2,246 $ 858,929 $ 898,785 1 $ 105 $ 77 1-30 days 14 7,897 8,218 3 2,027 2,045 31-60 days 5 2,326 2,432 1 373 366 61-90 days 5 2,297 2,218 — — — 90+ days 26 18,264 17,562 21 10,940 9,827 Total 2,296 $ 889,713 $ 929,215 26 $ 13,445 $ 12,315 (1) Includes $1.1 million loans carried at amortized cost. (2) Includes 12 loans in forbearance with unpaid principal balance of approximately $5.2 million. Commercial Loans No of Loans Principal Fair Value Current 10 $ 295,296 $ 284,716 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 30,000 27,345 Total 11 $ 325,296 $ 312,061 |
Commercial Loans (Tables)
Commercial Loans (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Noncontrolling Interest [Abstract] | |
Schedule of commercial real estate loans held | The following table presents the commercial loans held by CRE LLC as of March 31, 2021 (dollars in thousands): Loan Acquisition Date Loan Type Principal Balance Fair Value Original LTV Interest Rate Maturity Date Extension Option Collateral CRE 1 June 2018 Interest-Only First Mortgage $ 30,000 $ 27,345 65% 1-Month LIBOR plus 4.50% 6/9/2021 None Hotel CRE 2 June 2019 Principal & Interest First Mortgage 47,079 46,732 75% 1-Month LIBOR plus 4.75% 1/11/2022 Two One Nursing Facilities CRE 3 August 2019 Interest-Only Mezzanine loan 90,000 81,369 58% 1-Month LIBOR plus 9.25% 6/29/2021 Two One Entertainment and Retail CRE 4 September 2019 Interest-Only First Mortgage 40,000 39,593 63% 1-Month LIBOR plus 3.02% 8/6/2021 Two One Retail CRE 5 December 2019 Interest-Only First Mortgage 24,535 23,985 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One Hotel CRE 6 December 2019 Interest-Only First Mortgage 13,207 12,911 62% 1-Month LIBOR plus3.75% 11/6/2021 Three One Hotel CRE 7 December 2019 Interest-Only First Mortgage 7,259 7,096 62% 1-Month LIBOR plus 3.75% 11/6/2021 Three One Hotel CRE 8 December 2019 Interest-Only First Mortgage 4,466 4,461 79% 1-Month LIBOR plus 4.85% 12/6/2022 None Assisted Living $ 256,546 $ 243,492 Loan Acquisition Date Loan Type Principal Balance Fair Value LTV Interest Rate Maturity Date Extension Option Collateral SBC 1 July 2018 Interest-Only First Mortgage $ 45,188 $ 45,050 74% 1-Month LIBOR plus 4.25% (1) 8/1/2021 One Nursing Facilities SBC 2 January 2019 Interest-Only First Mortgage 9,200 9,182 84% 1-Month LIBOR plus 4.00% (2) 12/1/2021 One Apartment Complex SBC 3 January 2019 Interest-Only First Mortgage 14,362 14,337 49% 1-Month LIBOR plus 4.10% 7/1/2021 None Nursing Facilities $ 68,750 $ 68,569 (1) Subject to LIBOR floor of 1.25%. (2) Subject to LIBOR floor of 2%. |
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 March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 December 31, 2020 Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively) $ 929,215 $ 1,008,782 Residential Bridge Loans ($10,941 and $11,858 at fair value and $12,044 and $12,960 pledged as collateral, respectively) 12,044 12,960 Investment related receivable 31,239 27,987 Interest receivable 4,433 4,688 Other assets 80 80 Total assets $ 977,011 $ 1,054,497 Securitized debt, net $ 807,682 $ 892,290 Interest payable 2,019 2,222 Accounts payable and accrued expenses 37 77 Total liabilities $ 809,738 $ 894,589 The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 December 31, 2020 Restricted cash $ 24,331 $ 76,132 Securitized commercial loans, at fair value 1,636,127 1,605,335 Commercial Loans, at fair value 68,569 68,466 Interest receivable 6,161 6,248 Total assets $ 1,735,188 $ 1,756,181 Securitized debt, at fair value $ 1,582,440 $ 1,553,722 Interest payable 5,575 5,660 Accounts payable and accrued expenses 11 12 Other liabilities 24,331 76,132 Total liabilities $ 1,612,357 $ 1,635,526 |
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 March 31, 2021 and December 31, 2020 (dollars in thousands): 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 March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 March 31, 2021 December 31, 2020 Principal balance $ 303,034 $ 354,202 $ 1,385,591 $ 1,385,591 $ 68,750 $ 68,750 $ 256,546 $ 256,694 Unamortized premium 58 180 — — — — — — Unamortized discount — — (129,381) (135,653) (53) (94) (31) (53) Amortized cost 303,092 354,382 1,256,210 1,249,938 68,697 68,656 256,515 256,641 Gross unrealized gains — — 80,589 16,013 — — — 1 Gross unrealized losses (3,764) (14,998) — — (128) (190) (13,023) (14,585) Fair value $ 299,328 $ 339,384 $ 1,336,799 $ 1,265,951 $ 68,569 $ 68,466 $ 243,492 $ 242,057 |
Financing receivable, past due | The following table presents the aging of the Residential Whole Loans and Bridge Loans as of March 31, 2021 (dollars in thousands): Residential Whole Loans Bridge Loans No of Loans Principal Fair Value No of Loans Principal Fair Value (1) Current (2) 2,246 $ 858,929 $ 898,785 1 $ 105 $ 77 1-30 days 14 7,897 8,218 3 2,027 2,045 31-60 days 5 2,326 2,432 1 373 366 61-90 days 5 2,297 2,218 — — — 90+ days 26 18,264 17,562 21 10,940 9,827 Total 2,296 $ 889,713 $ 929,215 26 $ 13,445 $ 12,315 (1) Includes $1.1 million loans carried at amortized cost. (2) Includes 12 loans in forbearance with unpaid principal balance of approximately $5.2 million. Commercial Loans No of Loans Principal Fair Value Current 10 $ 295,296 $ 284,716 1-30 days — — — 31-60 days — — — 61-90 days — — — 90+ days 1 30,000 27,345 Total 11 $ 325,296 $ 312,061 |
Financings (Tables)
Financings (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
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 March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 December 31, 2020 Securities Pledged Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Short-Term Borrowings: Agency RMBS $ 1,242 1.13 % 59 $ 1,418 1.34 % 59 Non-Agency CMBS 10,312 2.01 % 42 10,313 2.25 % 14 Residential Whole Loans (1) 29,373 3.17 % 15 29,800 3.71 % 15 Residential Bridge Loans (1) 10,097 2.70 % 35 11,254 2.73 % 36 Commercial Loans (1) 34,375 3.29 % 77 34,375 3.32 % 75 Membership Interest 19,551 2.86 % 1 18,844 2.90 % 29 Other Securities 2,467 4.50 % 19 2,594 4.51 % 19 Subtotal 107,417 3.00 % 37 108,598 3.19 % 39 Long-Term Borrowings: Non-Agency CMBS (2) 65,914 5.19 % 36 66,767 5.23 % 126 Non-Agency RMBS 14,456 5.20 % 36 14,643 5.23 % 126 Residential Whole Loans (1) (3) 27,923 3.00 % 188 30,224 3.00 % 278 Commercial Loans (3) 119,167 2.09 % 202 124,937 2.17 % 287 Other Securities 13,502 5.19 % 36 13,677 5.24 % 126 Subtotal 240,962 3.41 % 136 250,248 3.74 % 225 Repurchase Agreements Borrowings $ 348,379 3.28 % 105 $ 358,846 3.57 % 169 Less Unamortized Debt Issuance Costs 1,247 N/A N/A 1,923 N/A N/A Repurchase Agreements Borrowings, net $ 347,132 3.28 % 105 $ 356,923 3.57 % 169 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated upon consolidation. (2) Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation. |
Schedule of repurchase agreements collateralized by investments | At March 31, 2021 and December 31, 2020, repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) March 31, 2021 December 31, 2020 1 to 29 days $ 50,255 $ 59,856 30 to 59 days 115,858 13,421 60 to 89 days 51,752 35,321 Greater than or equal to 90 days 130,514 250,248 Total $ 348,379 $ 358,846 |
Schedule of amounts of collateral at risk under its repurchase agreements greater than 10% of the company's equity with any counterparty | At March 31, 2021, 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): March 31, 2021 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Credit Suisse AG, Cayman Islands Branch $ 175,943 153 67.8 % Citigroup Global Markets Inc. 105,829 36 40.8 % Nomura Securities International, Inc. 36,919 66 14.2 % |
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 March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 December 31, 2020 Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 1,629 $ 40 $ 1,669 $ 1,708 $ 49 $ 1,757 Non-Agency CMBS, at fair value (1) 144,346 609 144,955 152,275 649 152,924 Non-Agency RMBS, at fair value 26,659 136 26,795 25,382 160 25,542 Residential Whole Loans, at fair value (2) 92,497 558 93,055 97,566 543 98,109 Residential Bridge Loans (2) 12,044 167 12,211 12,960 180 13,140 Commercial Loans, at fair value (2) 312,061 1,849 313,910 310,523 1,850 312,373 Membership interest (4) 34,439 n/a 34,439 33,690 — 33,690 Other securities, at fair value 48,666 58 48,724 48,754 44 48,798 Cash (3) 555 — 555 1,817 — 1,817 Total $ 672,896 $ 3,417 $ 676,313 $ 684,675 $ 3,475 $ 688,150 (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) Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets. (4) 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. |
Schedule of commercial mortgage pass-through certificates | The following table summarizes RETL 2019 Trust's commercial mortgage pass-through certificates at March 31, 2021 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class C $ 257,734 2.2% $ 256,436 3/15/2022 Class X-EXT (1) N/A 1.2% 26 3/15/2022 $ 257,734 $ 256,462 (1) Class X-EXT is an interest-only class with a notional balance of $257.7 million as of March 31, 2021. The following table summarizes CSMC 2014 USA's commercial mortgage pass-through certificates at March 31, 2021 (dollars in thousands): Classes Principal Balance Coupon Fair Value Contractual Maturity Class A-1 $ 120,391 3.3 % $ 122,992 9/11/2025 Class A-2 531,700 4.0 % 557,729 9/11/2025 Class B 136,400 4.2 % 135,402 9/11/2025 Class C 94,500 4.3 % 92,155 9/11/2025 Class D 153,950 4.4 % 142,388 9/11/2025 Class E 180,150 4.4 % 148,840 9/11/2025 Class F 153,600 4.4 % 111,553 9/11/2025 Class X-1 (1) N/A 0.7 % 12,347 9/11/2025 Class X-2 (1) N/A 0.2 % 2,572 9/11/2025 $ 1,370,691 $ 1,325,978 (1) Class X-1 and X-2 are interest-only classes with notional balances of $652.1 million and $733.5 million as of March 31, 2021, respectively. Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1 $ 460,106 3.3% $ 460,104 4/25/2049 Class A-2 24,658 3.5% 24,657 4/25/2049 Class A-3 39,065 3.8% 39,064 4/25/2049 Class M-1 25,055 4.8% 25,055 4/25/2049 Subtotal $ 548,884 $ 548,880 Less: Unamortized Deferred Financing Costs N/A 4,177 Total $ 548,884 $ 544,703 Classes Principal Balance Coupon Carrying Value Contractual Maturity Offered Notes: Class A-1A $ 198,598 1.7% $ 198,593 3/25/2055 Class A-1B 23,566 2.1% 23,566 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 $ 265,384 $ 265,378 Less: Unamortized Deferred Financing Costs N/A 2,399 Total $ 265,384 $ 262,979 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Summary of the entity's derivative instruments | The following table summarizes the Company’s derivative instruments at March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 December 31, 2020 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Amount Fair Value Notional Amount Fair Value Credit default swaps, asset Non-Hedge Derivative assets, at fair value $ 2,030 $ 136 $ 2,030 $ 161 Total derivative instruments, assets 136 161 Credit default swaps, liability Non-Hedge Derivative liability, at fair value 4,140 (648) 4,140 (656) Total derivative instruments, liabilities (648) (656) Total derivative instruments, net $ (512) $ (495) |
Summary of the effect of entity's derivative instruments reported in gain (loss) on derivative instruments, net on the statements of operations | The following table summarizes 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 three months ended March 31, 2021 and March 31, 2020 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Return (Recovery) of Basis Mark-to-Market Contractual interest income (expense), net (1) Total Three months ended March 31, 2021 Interest-Only Strips— accounted for as derivatives $ — $ — $ (94) $ — $ 121 $ 27 Credit default swaps 16 — — (17) — (1) Total $ 16 $ — $ (94) $ (17) $ 121 $ 26 Three months ended March 31, 2020 Interest rate swaps $ (262) $ (179,759) $ 262 $ (2,515) $ (1,395) $ (183,669) Interest rate swaptions — — — 181 — 181 Interest-Only Strips— accounted for as derivatives — — (545) (839) 636 (748) Credit default swap (1,315) — — (2,638) — (3,953) TBAs 1,494 — — (2,996) — (1,502) Total $ (83) $ (179,759) $ (283) $ (8,807) $ (759) $ (189,691) |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
Offsetting [Abstract] | |
Schedule of gross and net information about the company's assets 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 March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,471 $ — $ 1,471 $ (1,471) $ — $ — Derivative asset, at fair value 136 — 136 (136) — — Total assets $ 1,607 $ — $ 1,607 $ (1,607) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2) $ 648 $ — $ 648 $ (136) $ (510) $ 2 Repurchase Agreements (3) 347,132 — 347,132 (347,132) — — Total liabilities $ 347,780 $ — $ 347,780 $ (347,268) $ (510) $ 2 (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. In addition, the Financial Instruments column includes reverse repurchase agreement receivables that are available to be offset against repurchase agreement liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Cash collateral pledged against the Company’s derivative counterparties was approximately $510 thousand as of March 31, 2021. (3) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $672.3 million as of March 31, 2021. December 31, 2020 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Financial Instruments (1) Cash Collateral (1) 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 Pledged column of the tables above represents amounts pledged 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. |
Schedule of gross and net information about the company's 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 March 31, 2021 and December 31, 2020 (dollars in thousands): March 31, 2021 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 1,471 $ — $ 1,471 $ (1,471) $ — $ — Derivative asset, at fair value 136 — 136 (136) — — Total assets $ 1,607 $ — $ 1,607 $ (1,607) $ — $ — Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2) $ 648 $ — $ 648 $ (136) $ (510) $ 2 Repurchase Agreements (3) 347,132 — 347,132 (347,132) — — Total liabilities $ 347,780 $ — $ 347,780 $ (347,268) $ (510) $ 2 (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. In addition, the Financial Instruments column includes reverse repurchase agreement receivables that are available to be offset against repurchase agreement liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Cash collateral pledged against the Company’s derivative counterparties was approximately $510 thousand as of March 31, 2021. (3) The carrying value of investments pledged against the Company’s repurchase agreements was approximately $672.3 million as of March 31, 2021. December 31, 2020 Gross Gross Net Amounts Gross Amounts Not Offset in Net Amount Financial Instruments (1) Cash Collateral (1) 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 Pledged column of the tables above represents amounts pledged 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. |
Share-Based Payments (Tables)
Share-Based Payments (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
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 March 31, 2021 and December 31, 2020, including shares whose issuance has been deferred under the Director Deferred Fee Plan: March 31, 2021 December 31, 2020 Vesting Date Shares Vesting Shares Vesting March 2021 — 36,000 June 2021 132,815 130,365 March 2022 36,000 36,000 168,815 202,365 |
Schedule of restricted stock activity | The following table presents information with respect to the Company’s restricted stock for the three months ended March 31, 2021 and March 31, 2020, respectively, including shares whose issuance has been deferred under the Director Deferred Fee Plan: March 31, 2021 March 31, 2020 Shares of Weighted Average Grant Date Fair Value (1) Shares of Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 1,025,542 $ 14.10 894,289 $ 15.76 Granted (2) 2,450 3.19 888 10.67 Cancelled/forfeited — — — — Outstanding at end of period 1,027,992 14.07 895,177 15.75 Unvested at end of period 168,815 $ 4.40 103,480 $ 10.29 (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 2,450 and 888 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan for the three months ended March 31, 2021 and March 31, 2020, respectively. |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
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 2021 March 23, 2021 April 2, 2021 April 26, 2021 $ 0.06 Not yet determined 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 (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. |
Net Income (loss) per Common _2
Net Income (loss) per Common Share (Tables) | 3 Months Ended |
Mar. 31, 2021 | |
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 (loss) per share of common stock using the two-class method for the three months ended March 31, 2021 and March 31, 2020 (dollars, other than shares and per share amounts, in thousands): For the three months ended March 31, 2021 For the three months ended March 31, 2020 Numerator : Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share $ 7,953 $ (381,857) Less: Dividends and undistributed earnings allocated to participating securities 48 — Net income (loss) allocable to common stockholders — basic and diluted $ 7,905 $ (381,857) Denominator : Weighted average common shares outstanding for basic earnings per share 60,742,301 53,402,623 Weighted average common shares outstanding for diluted earnings per share 60,742,301 53,402,623 Basic earnings (loss) per common share $ 0.13 $ (7.15) Diluted earnings (loss) per common share $ 0.13 $ (7.15) |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Fair Value (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Assets | ||
Derivative assets | $ 1,607 | $ 1,726 |
Liabilities | ||
Derivative liabilities | 648 | 656 |
Fair Value, Measurements, Recurring | ||
Assets | ||
Derivative assets | 136 | 161 |
Total Assets | 3,111,736 | 3,177,538 |
Liabilities | ||
Derivative liabilities | 648 | 656 |
Securitized debt | 1,582,440 | 1,553,722 |
Total Liabilities | 1,583,088 | 1,554,378 |
Residential Whole Loans | ||
Assets | ||
Fair value | 929,215 | 1,008,782 |
Residential Whole Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 929,215 | 1,008,782 |
Residential Bridge Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 11,212 | 12,813 |
Securitized commercial loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 1,636,127 | 1,605,335 |
Commercial Loans | ||
Assets | ||
Fair value | 312,061 | |
Commercial Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 312,061 | 310,523 |
Agency RMBS Interest-Only Strips | ||
Assets | ||
Estimated Fair Value | 158 | 143 |
Agency RMBS Interest-Only Strips | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 158 | 143 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Assets | ||
Estimated Fair Value | 1,471 | 1,565 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 1,471 | 1,565 |
Subtotal Agency MBS | ||
Assets | ||
Estimated Fair Value | 1,629 | 1,708 |
Subtotal Agency MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 1,629 | 1,708 |
Non-Agency CMBS | ||
Assets | ||
Estimated Fair Value | 146,031 | 164,081 |
Non-Agency CMBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 146,031 | 164,081 |
Non-Agency RMBS | ||
Assets | ||
Estimated Fair Value | 22,903 | 21,416 |
Non-Agency RMBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 22,903 | 21,416 |
Non-Agency RMBS Interest-Only Strips | ||
Assets | ||
Estimated Fair Value | 3,756 | 3,965 |
Non-Agency RMBS Interest-Only Strips | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 3,756 | 3,965 |
Subtotal Non-Agency MBS | ||
Assets | ||
Estimated Fair Value | 172,690 | 189,462 |
Subtotal Non-Agency MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 172,690 | 189,462 |
Other securities | ||
Assets | ||
Estimated Fair Value | 48,666 | 48,754 |
Other securities | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 48,666 | 48,754 |
Total mortgage-backed securities and other securities | ||
Assets | ||
Estimated Fair Value | 222,985 | 239,924 |
Total mortgage-backed securities and other securities | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 222,985 | 239,924 |
Level I | Fair Value, Measurements, Recurring | ||
Assets | ||
Derivative assets | 0 | 0 |
Total Assets | 0 | 0 |
Liabilities | ||
Derivative liabilities | 0 | 0 |
Securitized debt | 0 | 0 |
Total Liabilities | 0 | 0 |
Level I | Residential Whole Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 0 | 0 |
Level I | Residential Bridge Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 0 | 0 |
Level I | Securitized commercial loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 0 | 0 |
Level I | Commercial Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 0 | 0 |
Level I | Agency RMBS Interest-Only Strips | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Subtotal Agency MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Non-Agency CMBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Non-Agency RMBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Non-Agency RMBS Interest-Only Strips | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Subtotal Non-Agency MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Other securities | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level I | Total mortgage-backed securities and other securities | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level II | Fair Value, Measurements, Recurring | ||
Assets | ||
Derivative assets | 136 | 161 |
Total Assets | 176,818 | 195,415 |
Liabilities | ||
Derivative liabilities | 648 | 656 |
Securitized debt | 1,567,494 | 1,538,304 |
Total Liabilities | 1,568,142 | 1,538,960 |
Level II | Residential Whole Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 0 | 0 |
Level II | Residential Bridge Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 0 | 0 |
Level II | Securitized commercial loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 0 | 0 |
Level II | Commercial Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 0 | 0 |
Level II | Agency RMBS Interest-Only Strips | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level II | Subtotal Agency MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level II | Non-Agency CMBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 137,072 | 155,093 |
Level II | Non-Agency RMBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level II | Non-Agency RMBS Interest-Only Strips | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 0 | 0 |
Level II | Subtotal Non-Agency MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 137,072 | 155,093 |
Level II | Other securities | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 39,610 | 40,161 |
Level II | Total mortgage-backed securities and other securities | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 176,682 | 195,254 |
Level III | Fair Value, Measurements, Recurring | ||
Assets | ||
Derivative assets | 0 | 0 |
Total Assets | 2,934,918 | 2,982,123 |
Liabilities | ||
Derivative liabilities | 0 | 0 |
Securitized debt | 14,946 | 15,418 |
Total Liabilities | 14,946 | 15,418 |
Level III | Residential Whole Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 929,215 | 1,008,782 |
Level III | Residential Bridge Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 11,212 | 12,813 |
Level III | Securitized commercial loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 1,636,127 | 1,605,335 |
Level III | Commercial Loans | Fair Value, Measurements, Recurring | ||
Assets | ||
Fair value | 312,061 | 310,523 |
Level III | Agency RMBS Interest-Only Strips | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 158 | 143 |
Level III | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 1,471 | 1,565 |
Level III | Subtotal Agency MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 1,629 | 1,708 |
Level III | Non-Agency CMBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 8,959 | 8,988 |
Level III | Non-Agency RMBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 22,903 | 21,416 |
Level III | Non-Agency RMBS Interest-Only Strips | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 3,756 | 3,965 |
Level III | Subtotal Non-Agency MBS | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 35,618 | 34,369 |
Level III | Other securities | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | 9,056 | 8,593 |
Level III | Total mortgage-backed securities and other securities | Fair Value, Measurements, Recurring | ||
Assets | ||
Estimated Fair Value | $ 46,303 | $ 44,670 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Narrative (Details) - USD ($) | Mar. 31, 2021 | Dec. 31, 2020 |
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) $ in Thousands | Mar. 31, 2021USD ($) | Dec. 31, 2020USD ($) |
Residential Whole Loans | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 929,215 | $ 1,008,782 |
Residential Whole Loans | Discounted Cash Flow | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 929,215 | $ 1,008,782 |
Residential Whole Loans | Minimum | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.022 | 0.021 |
Residential Whole Loans | Minimum | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 year 8 months 12 days | 1 year 6 months |
Residential Whole Loans | Maximum | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.075 | 0.075 |
Residential Whole Loans | Maximum | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 9 years 4 months 24 days | 8 years 4 months 24 days |
Residential Whole Loans | Weighted Average | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.039 | 0.041 |
Residential Whole Loans | Weighted Average | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 3 years 4 months 24 days | 2 years 10 months 24 days |
Residential Bridge Loans | Discounted Cash Flow | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 11,212 | $ 12,813 |
Residential Bridge Loans | Minimum | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.090 | 0.080 |
Residential Bridge Loans | Minimum | Discounted Cash Flow | Level III | Weighted Average Life | ||
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 | Maximum | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.314 | 0.352 |
Residential Bridge Loans | Maximum | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 2 years 9 months 18 days | 2 years 7 months 6 days |
Residential Bridge Loans | Weighted Average | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.164 | 0.180 |
Residential Bridge Loans | Weighted Average | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 year 6 months | 1 year 3 months 18 days |
Commercial Loans | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 312,061 | |
Commercial Loans | Discounted Cash Flow | Level III | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 312,061 | $ 310,523 |
Commercial Loans | Minimum | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.063 | 0.063 |
Commercial Loans | Minimum | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 3 months 18 days | 6 months |
Commercial Loans | Maximum | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.185 | 0.184 |
Commercial Loans | Maximum | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 1 year 8 months 12 days | 1 year 10 months 24 days |
Commercial Loans | Weighted Average | Discounted Cash Flow | Level III | Market Discount Rate | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.104 | 0.105 |
Commercial Loans | Weighted Average | Discounted Cash Flow | Level III | Weighted Average Life | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, term | 9 months 18 days | 8 months 12 days |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Financial Instruments Measured at Level III (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Premium and discount amortization, net | $ 170 | $ (1,837) |
Other securities | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Premium and discount amortization, net | (769) | (1,464) |
Level III | Fair Value, Measurements, Recurring | Securitized debt | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Beginning balance | 15,418 | 1,057 |
Transfers into Level III from Level II | 0 | |
Transfers from Level III into Level II | 0 | 0 |
Purchases | 0 | |
Sales and settlements | 0 | |
Transfers to REO | 0 | 0 |
VIE deconsolidation | 0 | |
Loan modifications / capitalized interest | 0 | |
Principal repayments | 0 | 0 |
Realized gains/(losses), net on assets | 0 | 0 |
Unrealized gains/(losses), net on assets | 0 | 0 |
Unrealized (gains)/losses, net on liabilities | 776 | (377) |
Premium and discount amortization, net | (1,248) | (519) |
Ending balance | 14,946 | 161 |
Unrealized gain (loss) | (776) | 377 |
Level III | Fair Value, Measurements, Recurring | Securitized debt | Assets | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Unrealized gain (loss) | 0 | 0 |
Level III | Fair Value, Measurements, Recurring | Residential Whole Loans | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Beginning balance | 1,008,782 | 1,375,860 |
Transfers into Level III from Level II | 0 | |
Transfers from Level III into Level II | 0 | 0 |
Purchases | 111,486 | |
Sales and settlements | 0 | |
Transfers to REO | 0 | 0 |
VIE deconsolidation | 0 | |
Loan modifications / capitalized interest | 174 | |
Principal repayments | (95,015) | (80,361) |
Realized gains/(losses), net on assets | 0 | 0 |
Unrealized gains/(losses), net on assets | 16,805 | (96,160) |
Unrealized (gains)/losses, net on liabilities | 0 | 0 |
Premium and discount amortization, net | (1,531) | (1,030) |
Ending balance | 929,215 | 1,309,795 |
Unrealized gain (loss) | 0 | 0 |
Level III | Fair Value, Measurements, Recurring | Residential Whole Loans | Assets | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Unrealized gain (loss) | 17,525 | (94,347) |
Level III | Fair Value, Measurements, Recurring | Residential Bridge Loans | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Beginning balance | 12,813 | 33,269 |
Transfers into Level III from Level II | 0 | |
Transfers from Level III into Level II | 0 | 0 |
Purchases | 0 | |
Sales and settlements | 0 | |
Transfers to REO | (684) | (489) |
VIE deconsolidation | 0 | |
Loan modifications / capitalized interest | 0 | |
Principal repayments | (1,082) | (6,408) |
Realized gains/(losses), net on assets | (36) | (85) |
Unrealized gains/(losses), net on assets | 203 | (218) |
Unrealized (gains)/losses, net on liabilities | 0 | 0 |
Premium and discount amortization, net | (2) | (19) |
Ending balance | 11,212 | 26,050 |
Unrealized gain (loss) | 0 | 0 |
Level III | Fair Value, Measurements, Recurring | Residential Bridge Loans | Assets | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Unrealized gain (loss) | 58 | (417) |
Level III | Fair Value, Measurements, Recurring | Commercial Loans | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Beginning balance | 310,523 | 370,213 |
Transfers into Level III from Level II | 0 | |
Transfers from Level III into Level II | 0 | 0 |
Purchases | 0 | |
Sales and settlements | 0 | |
Transfers to REO | 0 | 0 |
VIE deconsolidation | 0 | |
Loan modifications / capitalized interest | 0 | |
Principal repayments | (148) | (37,638) |
Realized gains/(losses), net on assets | 0 | 0 |
Unrealized gains/(losses), net on assets | 1,622 | (12,462) |
Unrealized (gains)/losses, net on liabilities | 0 | 0 |
Premium and discount amortization, net | 64 | 195 |
Ending balance | 312,061 | 320,308 |
Unrealized gain (loss) | 0 | 0 |
Level III | Fair Value, Measurements, Recurring | Commercial Loans | Assets | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Unrealized gain (loss) | 1,622 | (12,460) |
Level III | Fair Value, Measurements, Recurring | Securitized commercial loans | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Beginning balance | 1,605,335 | 909,040 |
Transfers into Level III from Level II | 0 | |
Transfers from Level III into Level II | 0 | 0 |
Purchases | 0 | |
Sales and settlements | 0 | |
Transfers to REO | 0 | 0 |
VIE deconsolidation | (150,804) | |
Loan modifications / capitalized interest | 0 | |
Principal repayments | (51,168) | (154,701) |
Realized gains/(losses), net on assets | 0 | 0 |
Unrealized gains/(losses), net on assets | 75,810 | (127,171) |
Unrealized (gains)/losses, net on liabilities | 0 | 0 |
Premium and discount amortization, net | 6,150 | 767 |
Ending balance | 1,636,127 | 477,131 |
Unrealized gain (loss) | 0 | 0 |
Level III | Fair Value, Measurements, Recurring | Securitized commercial loans | Assets | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Unrealized gain (loss) | 75,810 | (68,013) |
Level III | Fair Value, Measurements, Recurring | Agency MBS | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Beginning balance | 1,708 | 15,915 |
Transfers into Level III from Level II | 0 | |
Transfers from Level III into Level II | 0 | 0 |
Purchases | 0 | |
Sales and settlements | 0 | |
Transfers to REO | 0 | 0 |
VIE deconsolidation | 0 | |
Loan modifications / capitalized interest | 0 | |
Principal repayments | 0 | 0 |
Realized gains/(losses), net on assets | 0 | 0 |
Unrealized gains/(losses), net on assets | 25 | (534) |
Unrealized (gains)/losses, net on liabilities | 0 | 0 |
Premium and discount amortization, net | (104) | (939) |
Ending balance | 1,629 | 14,442 |
Unrealized gain (loss) | 0 | 0 |
Level III | Fair Value, Measurements, Recurring | Agency MBS | Assets | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Unrealized gain (loss) | 25 | (534) |
Level III | Fair Value, Measurements, Recurring | Non-Agency MBS | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Beginning balance | 34,369 | 45,814 |
Transfers into Level III from Level II | 0 | |
Transfers from Level III into Level II | 0 | 0 |
Purchases | 0 | |
Sales and settlements | (12,702) | |
Transfers to REO | 0 | 0 |
VIE deconsolidation | 6,852 | |
Loan modifications / capitalized interest | 0 | |
Principal repayments | (119) | (320) |
Realized gains/(losses), net on assets | 0 | (16) |
Unrealized gains/(losses), net on assets | 1,302 | (5,835) |
Unrealized (gains)/losses, net on liabilities | 0 | 0 |
Premium and discount amortization, net | 66 | (631) |
Ending balance | 35,618 | 33,162 |
Unrealized gain (loss) | 0 | 0 |
Level III | Fair Value, Measurements, Recurring | Non-Agency MBS | Assets | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Unrealized gain (loss) | 1,302 | (5,605) |
Level III | Fair Value, Measurements, Recurring | Other securities | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Beginning balance | 8,593 | 17,196 |
Transfers into Level III from Level II | 0 | |
Transfers from Level III into Level II | 0 | (6,482) |
Purchases | 0 | |
Sales and settlements | 0 | |
Transfers to REO | 0 | 0 |
VIE deconsolidation | 0 | |
Loan modifications / capitalized interest | 0 | |
Principal repayments | 0 | (153) |
Realized gains/(losses), net on assets | 0 | 0 |
Unrealized gains/(losses), net on assets | 426 | (3,120) |
Unrealized (gains)/losses, net on liabilities | 0 | 0 |
Premium and discount amortization, net | 37 | (70) |
Ending balance | 9,056 | 7,371 |
Unrealized gain (loss) | 0 | 0 |
Level III | Fair Value, Measurements, Recurring | Other securities | Assets | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | ||
Unrealized gain (loss) | $ 426 | $ (1,770) |
Fair Value of Financial Instr_7
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - Fair Value, Measurements, Recurring - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt | $ 1,582,440 | $ 1,553,722 |
Total Liabilities | 1,583,088 | 1,554,378 |
Carrying Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans on real estate, carrying amount of mortgages | 1,103 | 1,103 |
Borrowings under repurchase agreements | 347,132 | 356,923 |
Convertible senior unsecured notes | 164,835 | 170,797 |
Securitized debt | 814,258 | 899,207 |
Total Liabilities | 1,326,225 | 1,426,927 |
Debt issuance costs | 6,600 | 6,900 |
Estimated Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage loans on real estate, carrying amount of mortgages | 992 | 1,095 |
Borrowings under repurchase agreements | 349,504 | 359,799 |
Convertible senior unsecured notes | 157,803 | 155,129 |
Securitized debt | 830,014 | 922,362 |
Total Liabilities | 1,337,321 | 1,437,290 |
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 | 1,103 |
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 | $ 992 | $ 1,095 |
Mortgage-Backed Securities an_3
Mortgage-Backed Securities and other securities - Company's Investment Portfolio (Details) - USD ($) | 3 Months Ended | 6 Months Ended | |
Mar. 31, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
Agency RMBS Interest-Only Strips | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | $ 78,000 | $ 89,000 | |
Unrealized Gain | 80,000 | 54,000 | |
Unrealized Loss | 0 | 0 | |
Estimated Fair Value | $ 158,000 | $ 143,000 | |
Net Weighted Average Coupon | 1.60% | 2.10% | |
Notional balance | $ 3,400,000 | $ 3,700,000 | |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Estimated Fair Value | $ 1,471,000 | $ 1,565,000 | |
Net Weighted Average Coupon | 2.30% | 2.60% | |
Notional balance | $ 20,200,000 | $ 21,600,000 | |
Total Agency MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal Balance | 0 | 0 | |
Unamortized Premium (Discount), net | 0 | 0 | |
Amortized Cost | 78,000 | 89,000 | |
Unrealized Gain | 80,000 | 54,000 | |
Unrealized Loss | 0 | 0 | |
Estimated Fair Value | $ 1,629,000 | $ 1,708,000 | |
Net Weighted Average Coupon | 2.20% | 2.50% | |
Non-Agency RMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal Balance | $ 37,820,000 | $ 38,112,000 | |
Unamortized Premium (Discount), net | (14,466,000) | (14,649,000) | |
Amortized Cost | 23,354,000 | 23,463,000 | |
Unrealized Gain | 1,901,000 | 451,000 | |
Unrealized Loss | (2,352,000) | (2,498,000) | |
Estimated Fair Value | $ 22,903,000 | $ 21,416,000 | |
Net Weighted Average Coupon | 1.60% | 1.60% | |
Non-Agency RMBS Interest-Only Strips | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | $ 6,078,000 | $ 6,271,000 | |
Unrealized Gain | 0 | 0 | |
Unrealized Loss | (2,322,000) | (2,306,000) | |
Estimated Fair Value | $ 3,756,000 | $ 3,965,000 | |
Net Weighted Average Coupon | 0.40% | 0.40% | |
Notional balance | $ 266,000,000 | $ 306,000,000 | |
Subtotal Non-Agency RMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal Balance | 37,820,000 | 38,112,000 | |
Unamortized Premium (Discount), net | (14,466,000) | (14,649,000) | |
Amortized Cost | 29,432,000 | 29,734,000 | |
Unrealized Gain | 1,901,000 | 451,000 | |
Unrealized Loss | (4,674,000) | (4,804,000) | |
Estimated Fair Value | $ 26,659,000 | $ 25,381,000 | |
Net Weighted Average Coupon | 0.50% | 0.60% | |
Non-Agency CMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal Balance | $ 226,998,000 | $ 235,497,000 | |
Unamortized Premium (Discount), net | (20,762,000) | (25,258,000) | |
Amortized Cost | 206,236,000 | 210,239,000 | |
Unrealized Gain | 2,564,000 | 2,850,000 | |
Unrealized Loss | (62,769,000) | (49,008,000) | |
Estimated Fair Value | $ 146,031,000 | $ 164,081,000 | |
Net Weighted Average Coupon | 5.00% | 5.00% | |
Total Non-Agency MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal Balance | $ 264,818,000 | $ 273,609,000 | |
Unamortized Premium (Discount), net | (35,228,000) | (39,907,000) | |
Amortized Cost | 235,668,000 | 239,973,000 | |
Unrealized Gain | 4,465,000 | 3,301,000 | |
Unrealized Loss | (67,443,000) | (53,812,000) | |
Estimated Fair Value | $ 172,690,000 | $ 189,462,000 | |
Net Weighted Average Coupon | 2.50% | 2.40% | |
Other securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal Balance | $ 51,455,000 | $ 51,537,000 | |
Unamortized Premium (Discount), net | (8,114,000) | (8,239,000) | |
Amortized Cost | 48,608,000 | 49,420,000 | |
Unrealized Gain | 2,132,000 | 1,152,000 | |
Unrealized Loss | (2,074,000) | (1,818,000) | |
Estimated Fair Value | $ 48,666,000 | $ 48,754,000 | |
Net Weighted Average Coupon | 4.30% | 4.40% | |
Total | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal Balance | $ 316,273,000 | $ 325,146,000 | |
Unamortized Premium (Discount), net | (43,342,000) | (48,146,000) | |
Amortized Cost | 284,354,000 | 289,482,000 | |
Unrealized Gain | 6,677,000 | 4,507,000 | |
Unrealized Loss | (69,517,000) | (55,630,000) | |
Estimated Fair Value | $ 222,985,000 | $ 239,924,000 | |
Net Weighted Average Coupon | 2.60% | 2.50% | |
Weighted average expected remaining term to the expected maturity of investment portfolio | 6 years 2 months 12 days | 5 years 6 months | |
Residual interests in asset-backed securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal Balance | $ 0 | ||
Amortized Cost | $ 5,300,000 | $ 6,100,000 |
Mortgage-Backed Securities an_4
Mortgage-Backed Securities and other securities - Type of Security (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 158 | $ 143 |
Agency RMBS Interest-Only Strips | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
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 |
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 | 158 | 143 |
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 | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,471 | 1,565 |
Agency RMBS Interest-Only Strips accounted for as derivatives | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Agency RMBS Interest-Only Strips accounted for as derivatives | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 1,471 | 1,565 |
Agency RMBS Interest-Only Strips accounted for as derivatives | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Agency RMBS Interest-Only Strips accounted for as derivatives | 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 | 1,629 | 1,708 |
Subtotal Agency MBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
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 | 1,471 | 1,565 |
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 | 158 | 143 |
Subtotal Agency MBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 0 | 0 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 146,031 | 164,081 |
Non-Agency CMBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 62,652 | 59,724 |
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 | 43,591 | 50,408 |
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 | 39,398 | 53,269 |
Non-Agency CMBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 390 | 680 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 22,903 | 21,416 |
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 | 9,626 | 7,958 |
Non-Agency RMBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 13,277 | 13,458 |
Non-Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 3,756 | 3,965 |
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 | 405 | 472 |
Non-Agency RMBS Interest-Only Strips | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 3,351 | 3,493 |
Subtotal Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 172,690 | 189,462 |
Subtotal Non-Agency MBS | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 62,652 | 59,724 |
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 | 43,591 | 50,408 |
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 | 49,429 | 61,699 |
Subtotal Non-Agency MBS | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 17,018 | 17,631 |
Other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 48,666 | 48,754 |
Other securities | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 9,239 | 7,247 |
Other securities | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 4,047 | 6,203 |
Other securities | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 24,221 | 24,610 |
Other securities | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 11,159 | 10,694 |
Total | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 222,985 | 239,924 |
Total | Less than or equal to 10 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 71,891 | 66,971 |
Total | More than 10 years and less than or equal to 20 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 49,109 | 58,176 |
Total | More than 20 years and less than or equal to 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | 73,808 | 86,452 |
Total | More than 30 years | ||
Debt Securities, Available-for-sale [Line Items] | ||
Estimated Fair Value | $ 28,177 | $ 28,325 |
Mortgage-Backed Securities an_5
Mortgage-Backed Securities and other securities - FV and Unrealized Loss (Details) $ in Thousands | Mar. 31, 2021USD ($)security | Dec. 31, 2020USD ($)security |
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | $ 25,210 | $ 151,034 |
Fair value, 12 months or more | 146,119 | 51,359 |
Fair Value | 171,329 | 202,393 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (3,260) | (38,708) |
Unrealized losses, 12 months or more | (66,257) | (16,922) |
Unrealized Losses | $ (69,517) | $ (55,630) |
Number of Securities | ||
Number of securities, less than 12 months | security | 3 | 29 |
Number of securities, 12 months or more | security | 37 | 16 |
Number of Securities | security | 40 | 45 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | $ 14,060 | $ 102,935 |
Fair value, 12 months or more | 115,961 | 50,887 |
Fair Value | 130,021 | 153,822 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (525) | (33,602) |
Unrealized losses, 12 months or more | (62,244) | (15,406) |
Unrealized Losses | $ (62,769) | $ (49,008) |
Number of Securities | ||
Number of securities, less than 12 months | security | 1 | 16 |
Number of securities, 12 months or more | security | 27 | 15 |
Number of Securities | security | 28 | 31 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | $ 11,147 | $ 18,242 |
Fair value, 12 months or more | 244 | 0 |
Fair Value | 11,391 | 18,242 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (2,308) | (2,498) |
Unrealized losses, 12 months or more | (44) | 0 |
Unrealized Losses | $ (2,352) | $ (2,498) |
Number of Securities | ||
Number of securities, less than 12 months | security | 1 | 4 |
Number of securities, 12 months or more | security | 1 | 0 |
Number of Securities | security | 2 | 4 |
Non-Agency RMBS Interest-Only Strips | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | $ 3 | $ 3,492 |
Fair value, 12 months or more | 3,753 | 472 |
Fair Value | 3,756 | 3,964 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (427) | (790) |
Unrealized losses, 12 months or more | (1,895) | (1,516) |
Unrealized Losses | $ (2,322) | $ (2,306) |
Number of Securities | ||
Number of securities, less than 12 months | security | 1 | 3 |
Number of securities, 12 months or more | security | 3 | 1 |
Number of Securities | security | 4 | 4 |
Subtotal Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | $ 25,210 | $ 124,669 |
Fair value, 12 months or more | 119,958 | 51,359 |
Fair Value | 145,168 | 176,028 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | (3,260) | (36,890) |
Unrealized losses, 12 months or more | (64,183) | (16,922) |
Unrealized Losses | $ (67,443) | $ (53,812) |
Number of Securities | ||
Number of securities, less than 12 months | security | 3 | 23 |
Number of securities, 12 months or more | security | 31 | 16 |
Number of Securities | security | 34 | 39 |
Other securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | $ 0 | $ 26,365 |
Fair value, 12 months or more | 26,161 | 0 |
Fair Value | 26,161 | 26,365 |
Unrealized Losses | ||
Unrealized losses, less than 12 Months | 0 | (1,818) |
Unrealized losses, 12 months or more | (2,074) | 0 |
Unrealized Losses | $ (2,074) | $ (1,818) |
Number of Securities | ||
Number of securities, less than 12 months | security | 0 | 6 |
Number of securities, 12 months or more | security | 6 | 0 |
Number of Securities | security | 6 | 6 |
Mortgage-Backed Securities an_6
Mortgage-Backed Securities and other securities - Financing Receivables (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Components of interest income | ||
Net (Premium Amortization/Amortization Basis) Discount Amortization | $ 170 | $ (1,837) |
Interest Income | 46,017 | 54,846 |
Agency CMBS | ||
Components of interest income | ||
Coupon Interest | 0 | 10,923 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | 0 | (588) |
Interest Income | 0 | 10,335 |
Subtotal Agency | ||
Components of interest income | ||
Coupon Interest | 15 | 2,756 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (11) | (842) |
Interest Income | 4 | 1,914 |
Non-Agency CMBS | ||
Components of interest income | ||
Coupon Interest | 2,337 | 4,797 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | 2,430 | 968 |
Interest Income | 4,767 | 5,765 |
Non-Agency RMBS | ||
Components of interest income | ||
Coupon Interest | 413 | 1,151 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (58) | (641) |
Interest Income | 355 | 510 |
Other securities | ||
Components of interest income | ||
Coupon Interest | 1,591 | 2,805 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (769) | (1,464) |
Interest Income | 822 | 1,341 |
Total | ||
Components of interest income | ||
Coupon Interest | 4,356 | 22,432 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | 1,592 | (2,567) |
Interest Income | $ 5,948 | $ 19,865 |
Mortgage-Backed Securities an_7
Mortgage-Backed Securities and other securities - Gross Gains and Losses (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||
Net Gain (Loss) | $ (5,725) | $ 89,186 |
Agency CMBS | ||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||
Proceeds | 0 | 1,259,032 |
Gross Gains | 0 | 94,307 |
Gross Losses | 0 | (6,454) |
Net Gain (Loss) | 0 | 87,853 |
Agency RMBS | ||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||
Proceeds | 0 | 391,436 |
Gross Gains | 0 | 10,420 |
Gross Losses | 0 | (38) |
Net Gain (Loss) | 0 | 10,382 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||
Proceeds | 0 | 51,940 |
Gross Gains | 0 | 1 |
Gross Losses | (5,929) | (8,802) |
Net Gain (Loss) | (5,929) | (8,801) |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||
Proceeds | 0 | 12,702 |
Gross Gains | 0 | 0 |
Gross Losses | 0 | (16) |
Net Gain (Loss) | 0 | (16) |
Other securities | ||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||
Proceeds | 0 | 17,746 |
Gross Gains | 0 | 113 |
Gross Losses | 0 | 0 |
Net Gain (Loss) | 0 | 113 |
Total | ||
Debt Securities, Available-for-sale, Gain (Loss) [Abstract] | ||
Proceeds | 0 | 1,732,856 |
Gross Gains | 0 | 104,841 |
Gross Losses | (5,929) | (15,310) |
Net Gain (Loss) | $ (5,929) | $ 89,531 |
Mortgage-Backed Securities an_8
Mortgage-Backed Securities and other securities - Unconsolidated CMBS VIEs (Details) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2021USD ($)loan | Dec. 31, 2020USD ($)loan | |
Variable Interest Entity [Line Items] | ||
Number of commercial loans trusts | 3 | 3 |
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $ | $ 30.2 | $ 48.9 |
VIE, Non Primary | ||
Variable Interest Entity [Line Items] | ||
Number of commercial loans trusts | 7 | 7 |
Residential Whole Loans and B_3
Residential Whole Loans and Bridge Loans - Narrative (Details) | 1 Months Ended | 3 Months Ended | 12 Months Ended | ||
May 31, 2019USD ($) | Mar. 31, 2021USD ($)loantrustproperty | Dec. 31, 2020USD ($)loanproperty | Jun. 30, 2020USD ($) | Jun. 29, 2020USD ($) | |
Variable Interest Entity [Line Items] | |||||
Repurchase agreements, net | $ 347,132,000 | $ 356,923,000 | |||
Residential Whole Loans | |||||
Variable Interest Entity [Line Items] | |||||
Number of loans | loan | 2,296 | 2,497 | |||
Fair value | $ 929,215,000 | $ 1,008,782,000 | |||
Principal Balance | $ 889,713,000 | $ 984,555,000 | |||
Residential Whole Loans | Non-Qualifying Adjustable Rate Mortgage Loan | |||||
Variable Interest Entity [Line Items] | |||||
Number of loans | loan | 2,289 | ||||
Residential Whole Loans | Investor Fixed Rate Mortgage Loan | |||||
Variable Interest Entity [Line Items] | |||||
Number of loans | loan | 7 | ||||
Residential Bridge Loans | |||||
Variable Interest Entity [Line Items] | |||||
Number of real estate properties owned | property | 3 | 2 | |||
Non-QM Loans | |||||
Variable Interest Entity [Line Items] | |||||
Number of loans in forbearance | loan | 12 | ||||
Number of loans previously in forbearance | loan | 74 | ||||
VIE | Residential Whole Loans | |||||
Variable Interest Entity [Line Items] | |||||
Repurchase agreements, net | $ 27,900,000 | $ 30,200,000 | |||
Number of trusts | trust | 3 | ||||
Number of loans | loan | 2,289 | ||||
Mortgage loans on real estate, principal amount of delinquent loans | $ 18,300,000 | $ 15,300,000 | |||
Original LTV, collateral dependent | 60.50% | 60.40% | |||
Mortgage loans on real estate, number of loans, nonperforming, percentage | 2.10% | 1.60% | |||
Mortgage loans on real estate, number of loans | loan | 26 | 26 | |||
VIE | Residential Whole Loans | Estimated Fair Value | |||||
Variable Interest Entity [Line Items] | |||||
Fair value | $ 17,600,000 | $ 14,700,000 | |||
VIE | Residential Bridge Loans | |||||
Variable Interest Entity [Line Items] | |||||
Repurchase agreements, net | $ 11,700,000 | $ 13,400,000 | |||
Number of loans | loan | 26 | 29 | |||
Mortgage loans on real estate, principal amount of delinquent loans | $ 124,000 | $ 123,800 | |||
Original LTV, collateral dependent | 71.80% | 73.00% | |||
Mortgage loans on real estate, number of loans, nonperforming, percentage | 81.40% | 66.00% | |||
Mortgage loans on real estate, number of loans | loan | 1 | 1 | |||
Principal Balance | $ 13,445,000 | $ 15,247,000 | |||
Investment in mortgage loans on real estate, principal amount at fair value of delinquent loan | 9,900,000 | ||||
Foreclosed other real estate owned | 1,700,000 | 1,100,000 | |||
VIE | Residential Bridge Loans | Estimated Fair Value | |||||
Variable Interest Entity [Line Items] | |||||
Mortgage loans on real estate, principal amount of delinquent loans | 10,800,000 | ||||
Fair value | $ 9,700,000 | $ 8,900,000 | |||
Mortgage loans on real estate, number of loans | loan | 20 | 20 | |||
VIE | Non-QM Loans | |||||
Variable Interest Entity [Line Items] | |||||
Original LTV, collateral dependent | 57.40% | ||||
Mortgage loans on real estate, number of loans, nonperforming, percentage | 0.60% | ||||
VIE | Non-QM Loans | Estimated Fair Value | |||||
Variable Interest Entity [Line Items] | |||||
Mortgage loans on real estate, principal amount of delinquent loans | $ 5,200,000 | ||||
Fair value | $ 5,200,000 | ||||
VIE | Non-QM Loans | Minimum | |||||
Variable Interest Entity [Line Items] | |||||
Interest payment term | 3 months | ||||
VIE | Non-QM Loans | Maximum | |||||
Variable Interest Entity [Line Items] | |||||
Interest payment term | 5 months | ||||
Arroyo Trust 2019 | Residential Whole Loans | |||||
Variable Interest Entity [Line Items] | |||||
Repurchase agreements, net | $ 919,000,000 | $ 919,000,000 | |||
Arroyo Trust 2019 | Residential Whole Loans | Arroyo Trust | |||||
Variable Interest Entity [Line Items] | |||||
Transferred of non-qm residential whole loans | $ 945,500,000 | ||||
Arroyo Mortgage Trust 2020 | Residential Whole Loans | |||||
Variable Interest Entity [Line Items] | |||||
Repurchase agreements, net | $ 341,700,000 | ||||
Arroyo Mortgage Trust 2020 | Residential Whole Loans | Arroyo Trust | |||||
Variable Interest Entity [Line Items] | |||||
Line of credit facility, maximum borrowing capacity | $ 355,800,000 | ||||
VIE, Non Primary | Residential Whole Loans | |||||
Variable Interest Entity [Line Items] | |||||
Number of loans | loan | 7 | ||||
VIE, Non Primary | Residential Bridge Loans | |||||
Variable Interest Entity [Line Items] | |||||
Number of loans | loan | 23 |
Residential Whole Loans and B_4
Residential Whole Loans and Bridge Loans - Summary of the Assets and Liabilities of the Residential and Commercial Loan Trusts (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | |
Variable Interest Entity [Line Items] | |||
Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively) | $ 929,215 | $ 1,008,782 | |
Residential bridge loan, at fair value | 11,212 | 12,813 | |
Assets Pledged | 12,044 | 12,960 | |
Investment related receivable | 33,608 | 30,576 | |
Interest receivable | 13,112 | 13,568 | |
Other assets | 3,249 | 3,152 | |
Total assets | [1] | 3,213,363 | 3,336,009 |
Securitized debt, at fair value | 2,390,122 | 2,446,012 | |
Interest payable | 8,878 | 12,006 | |
Accounts payable and accrued expenses | 2,403 | 2,686 | |
Total liabilities | [2] | 2,953,762 | 3,080,895 |
VIE | |||
Variable Interest Entity [Line Items] | |||
Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively) | 929,215 | 1,008,782 | |
Residential bridge loan, at fair value | 10,941 | 11,858 | |
Assets Pledged | 12,044 | 12,960 | |
Investment related receivable | 31,239 | 27,987 | |
Interest receivable | 10,594 | 10,936 | |
Other assets | 80 | 80 | |
Total assets | 2,712,199 | 2,810,678 | |
Securitized debt, at fair value | 2,390,122 | 2,446,012 | |
Interest payable | 7,594 | 7,882 | |
Accounts payable and accrued expenses | 48 | 89 | |
Total liabilities | 2,422,095 | 2,530,115 | |
Residential Whole-Loan And Residential Bridge Loan | VIE | |||
Variable Interest Entity [Line Items] | |||
Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively) | 929,215 | 1,008,782 | |
Assets Pledged | 12,044 | 12,960 | |
Investment related receivable | 31,239 | 27,987 | |
Interest receivable | 4,433 | 4,688 | |
Other assets | 80 | 80 | |
Total assets | 977,011 | 1,054,497 | |
Securitized debt, at fair value | 807,682 | 892,290 | |
Interest payable | 2,019 | 2,222 | |
Accounts payable and accrued expenses | 37 | 77 | |
Total liabilities | $ 809,738 | $ 894,589 | |
[1] | March 31, December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ 24,331 $ 76,132 Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively) 929,215 1,008,782 Residential Bridge Loans ($10,941 and $11,858 at fair value and $12,044 and $12,960 pledged as collateral, respectively) 12,044 12,960 Securitized commercial loans, at fair value 1,636,127 1,605,335 Commercial Loans, at fair value ($68,569 and $68,466 pledged as collateral, at fair value, respectively) 68,569 68,466 Investment related receivable 31,239 27,987 Interest receivable 10,594 10,936 Other assets 80 80 Total assets of consolidated VIEs $ 2,712,199 $ 2,810,678 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,582,440 and $1,553,722 at fair value and $217,972 and $215,753 held by affiliates, respectively) $ 2,390,122 $ 2,446,012 Interest payable (includes $765 and $784 on securitized debt held by affiliates, respectively) 7,594 7,882 Accounts payable and accrued expenses 48 89 Other liabilities 24,331 76,132 Total liabilities of consolidated VIEs $ 2,422,095 $ 2,530,115 | ||
[2] | March 31, December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ 24,331 $ 76,132 Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively) 929,215 1,008,782 Residential Bridge Loans ($10,941 and $11,858 at fair value and $12,044 and $12,960 pledged as collateral, respectively) 12,044 12,960 Securitized commercial loans, at fair value 1,636,127 1,605,335 Commercial Loans, at fair value ($68,569 and $68,466 pledged as collateral, at fair value, respectively) 68,569 68,466 Investment related receivable 31,239 27,987 Interest receivable 10,594 10,936 Other assets 80 80 Total assets of consolidated VIEs $ 2,712,199 $ 2,810,678 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,582,440 and $1,553,722 at fair value and $217,972 and $215,753 held by affiliates, respectively) $ 2,390,122 $ 2,446,012 Interest payable (includes $765 and $784 on securitized debt held by affiliates, respectively) 7,594 7,882 Accounts payable and accrued expenses 48 89 Other liabilities 24,331 76,132 Total liabilities of consolidated VIEs $ 2,422,095 $ 2,530,115 |
Residential Whole Loans and B_5
Residential Whole Loans and Bridge Loans - Components of the Fair Value of Residential Whole Loans (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Residential Whole Loans, at Fair Value | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | $ 889,713 | $ 984,555 |
Unamortized premium | 22,132 | 24,248 |
Unamortized discount | (1,730) | (1,799) |
Amortized cost | 910,115 | 1,007,004 |
Gross unrealized gains | 21,746 | 9,282 |
Gross unrealized losses | (2,646) | (7,504) |
Fair value | 929,215 | 1,008,782 |
Residential Bridge Loans, At Fair Value | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | 12,342 | 14,144 |
Unamortized premium | 1 | 3 |
Unamortized discount | 0 | 0 |
Amortized cost | 12,343 | 14,147 |
Gross unrealized gains | 21 | 5 |
Gross unrealized losses | (1,152) | (1,339) |
Fair value | 11,212 | 12,813 |
Residential Bridge Loans, At Amortized Cost | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | 1,103 | 1,103 |
Unamortized premium | 0 | 0 |
Unamortized discount | 0 | 0 |
Amortized cost | $ 1,103 | $ 1,103 |
Residential Whole Loans and B_6
Residential Whole Loans and Bridge Loans - Investment Portfolio (Details) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2021USD ($)loan | Dec. 31, 2020USD ($)loan | |
2.01% – 3.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 2.70% | 2.70% |
Number of Loans | 7 | 4 |
Principal Balance | $ | $ 4,583 | $ 3,239 |
Original LTV | 67.40% | 66.70% |
Original FICO score | 732 | 733 |
Expected Life (years) | 6 years 10 months 24 days | 5 years 10 months 24 days |
Contractual Maturity (years) | 28 years 3 months 18 days | 28 years |
2.01% – 3.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 201.00% | 201.00% |
2.01% – 3.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 300.00% | 300.00% |
3.01% – 4.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 3.60% | 3.70% |
Number of Loans | 161 | 118 |
Principal Balance | $ | $ 57,061 | $ 41,489 |
Original LTV | 54.60% | 55.80% |
Original FICO score | 718 | 709 |
Expected Life (years) | 4 years 1 month 6 days | 3 years 9 months 18 days |
Contractual Maturity (years) | 23 years | 23 years 3 months 18 days |
3.01% – 4.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 301.00% | 301.00% |
3.01% – 4.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 400.00% | 400.00% |
4.01% – 5.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 4.90% | 4.90% |
Number of Loans | 1,058 | 1,172 |
Principal Balance | $ | $ 357,860 | $ 403,398 |
Original LTV | 62.00% | 61.80% |
Original FICO score | 751 | 751 |
Expected Life (years) | 3 years 3 months 18 days | 2 years 8 months 12 days |
Contractual Maturity (years) | 27 years 7 months 6 days | 27 years 8 months 12 days |
4.01% – 5.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 401.00% | 401.00% |
4.01% – 5.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 500.00% | 500.00% |
5.01% – 6.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 5.40% | 5.40% |
Number of Loans | 1,037 | 1,166 |
Principal Balance | $ | $ 459,058 | $ 523,105 |
Original LTV | 64.40% | 64.20% |
Original FICO score | 740 | 740 |
Expected Life (years) | 3 years 6 months | 2 years 10 months 24 days |
Contractual Maturity (years) | 27 years 6 months | 27 years 8 months 12 days |
5.01% – 6.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 501.00% | 501.00% |
5.01% – 6.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 600.00% | 600.00% |
6.01% – 7.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 6.30% | 6.30% |
Number of Loans | 31 | 35 |
Principal Balance | $ | $ 10,642 | $ 12,813 |
Original LTV | 68.60% | 67.50% |
Original FICO score | 718 | 720 |
Expected Life (years) | 3 years 6 months | 3 years 2 months 12 days |
Contractual Maturity (years) | 26 years 6 months | 27 years |
6.01% – 7.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 601.00% | 601.00% |
6.01% – 7.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 700.00% | 700.00% |
7.01% - 8.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 7.10% | 7.10% |
Number of Loans | 2 | 2 |
Principal Balance | $ | $ 509 | $ 511 |
Original LTV | 73.20% | 73.20% |
Original FICO score | 753 | 753 |
Expected Life (years) | 4 years 10 months 24 days | 4 years 1 month 6 days |
Contractual Maturity (years) | 27 years 4 months 24 days | 27 years 7 months 6 days |
7.01% - 8.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 701.00% | 701.00% |
7.01% - 8.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 800.00% | 800.00% |
Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 5.10% | 5.10% |
Number of Loans | 2,296 | 2,497 |
Principal Balance | $ | $ 889,713 | $ 984,555 |
Original LTV | 62.80% | 62.90% |
Original FICO score | 743 | 744 |
Expected Life (years) | 3 years 4 months 24 days | 2 years 10 months 24 days |
Contractual Maturity (years) | 27 years 2 months 12 days | 27 years 6 months |
Residential Whole Loans | VIE | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 2,289 | |
Residential portfolio segment with no FICO score | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | 223 | 236 |
Principal Balance | $ | $ 69,700 | $ 75,200 |
7.01% – 9.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 8.70% | 8.70% |
Number of Loans | 9 | 10 |
Principal Balance | $ | $ 7,423 | $ 8,295 |
Original LTV | 70.70% | 69.60% |
Contractual Maturity (years) | 0 years | 1 year 4 months 24 days |
7.01% – 9.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 7.01% | 7.01% |
7.01% – 9.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 9.00% | 9.00% |
9.01% – 11.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 10.10% | 10.10% |
Number of Loans | 14 | 15 |
Principal Balance | $ | $ 5,403 | $ 6,123 |
Original LTV | 76.20% | 75.50% |
Contractual Maturity (years) | 3 months 18 days | 6 months |
9.01% – 11.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 9.01% | 9.01% |
9.01% – 11.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 11.00% | 11.00% |
11.01% – 13.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 11.40% | 11.40% |
Number of Loans | 2 | 3 |
Principal Balance | $ | $ 495 | $ 705 |
Original LTV | 69.70% | 69.80% |
Contractual Maturity (years) | 0 years | 0 years |
11.01% – 13.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 11.01% | 11.01% |
11.01% – 13.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 13.00% | 13.00% |
17.01% – 19.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 18.00% | 18.00% |
Number of Loans | 1 | 1 |
Principal Balance | $ | $ 124 | $ 124 |
Original LTV | 75.00% | 75.00% |
Contractual Maturity (years) | 0 years | 0 years |
17.01% – 19.00% | Minimum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 17.01% | 17.01% |
17.01% – 19.00% | Maximum | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 19.00% | 19.00% |
Residential Bridge Loans | VIE | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 9.50% | 9.40% |
Number of Loans | 26 | 29 |
Principal Balance | $ | $ 13,445 | $ 15,247 |
Original LTV | 72.90% | 72.00% |
Contractual Maturity (years) | 3 months 18 days | 9 months 18 days |
Residential Whole Loans and B_7
Residential Whole Loans and Bridge Loans - Collateral Securing (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2021 | Dec. 31, 2020 | |
Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | $ 889,713 | $ 984,555 |
Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 100.00% | 100.00% |
Principal Balance | $ 889,713 | $ 984,555 |
Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 100.00% | 100.00% |
Principal Balance | $ 13,445 | $ 15,247 |
California | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 65.40% | 65.80% |
Principal Balance | $ 582,271 | $ 647,877 |
California | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 36.00% | 37.50% |
Principal Balance | $ 4,841 | $ 5,713 |
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 17.50% | 17.70% |
Principal Balance | $ 156,005 | $ 173,788 |
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 19.60% | 17.30% |
Principal Balance | $ 2,632 | $ 2,632 |
Washington | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 18.30% | 16.10% |
Principal Balance | $ 2,461 | $ 2,461 |
Georgia | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 3.40% | 3.40% |
Principal Balance | $ 30,466 | $ 33,577 |
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 3.00% | 2.80% |
Principal Balance | $ 26,578 | $ 27,274 |
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 9.30% | 12.90% |
Principal Balance | $ 1,249 | $ 1,969 |
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 2.60% | 2.50% |
Principal Balance | $ 23,252 | $ 24,704 |
Connecticut | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 6.50% | 5.70% |
Principal Balance | $ 872 | $ 872 |
Other | Geographic Concentration Risk | Financing Receivables Total | Residential Whole Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 8.10% | 7.80% |
Principal Balance | $ 71,141 | $ 77,335 |
Other | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
State Concentration | 10.30% | 10.50% |
Principal Balance | $ 1,390 | $ 1,600 |
Residential Whole Loans and B_8
Residential Whole Loans and Bridge Loans - Aging of Delinquent Loans (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2021USD ($)loan | |
Residential Whole Loans | |
Variable Interest Entity [Line Items] | |
No of Loans | loan | 2,296 |
Principal | $ 889,713 |
Fair value | $ 929,215 |
Bridge Loans | |
Variable Interest Entity [Line Items] | |
No of Loans | loan | 26 |
Principal | $ 13,445 |
Fair value | 12,315 |
Financing receivable amortized cost | $ 1,100 |
Non-QM Loans | |
Variable Interest Entity [Line Items] | |
Number of loans in forbearance | loan | 12 |
Non-QM Loans | VIE | Estimated Fair Value | |
Variable Interest Entity [Line Items] | |
Fair value | $ 5,200 |
Mortgage loans on real estate, principal amount of delinquent loans | $ 5,200 |
Current | Residential Whole Loans | |
Variable Interest Entity [Line Items] | |
No of Loans | loan | 2,246 |
Principal | $ 858,929 |
Fair value | $ 898,785 |
Current | Bridge Loans | |
Variable Interest Entity [Line Items] | |
No of Loans | loan | 1 |
Principal | $ 105 |
Fair value | $ 77 |
1-30 days | Residential Whole Loans | |
Variable Interest Entity [Line Items] | |
No of Loans | loan | 14 |
Principal | $ 7,897 |
Fair value | $ 8,218 |
1-30 days | Bridge Loans | |
Variable Interest Entity [Line Items] | |
No of Loans | loan | 3 |
Principal | $ 2,027 |
Fair value | $ 2,045 |
31-60 days | Residential Whole Loans | |
Variable Interest Entity [Line Items] | |
No of Loans | loan | 5 |
Principal | $ 2,326 |
Fair value | $ 2,432 |
31-60 days | Bridge Loans | |
Variable Interest Entity [Line Items] | |
No of Loans | loan | 1 |
Principal | $ 373 |
Fair value | $ 366 |
61-90 days | Residential Whole Loans | |
Variable Interest Entity [Line Items] | |
No of Loans | loan | 5 |
Principal | $ 2,297 |
Fair value | $ 2,218 |
61-90 days | Bridge Loans | |
Variable Interest Entity [Line Items] | |
No of Loans | loan | 0 |
Principal | $ 0 |
Fair value | $ 0 |
90+ days | Residential Whole Loans | |
Variable Interest Entity [Line Items] | |
No of Loans | loan | 26 |
Principal | $ 18,264 |
Fair value | $ 17,562 |
90+ days | Bridge Loans | |
Variable Interest Entity [Line Items] | |
No of Loans | loan | 21 |
Principal | $ 10,940 |
Fair value | $ 9,827 |
Commercial Loans - Narrative (D
Commercial Loans - Narrative (Details) $ in Thousands | 1 Months Ended | 3 Months Ended | 12 Months Ended | ||||
Mar. 31, 2019USD ($) | Nov. 30, 2015USD ($) | Mar. 31, 2021USD ($)entityloanborrowerextension | Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($) | Feb. 24, 2021USD ($) | Mar. 31, 2020USD ($) | |
Variable Interest Entity [Line Items] | |||||||
Variable interest entity, number of entity | entity | 2 | ||||||
Variable interest entity, amount acquired, interest rate | 8.80% | ||||||
Repurchased borrowings | $ 34,400 | ||||||
Number of commercial loans trusts | loan | 3 | 3 | |||||
Number of delinquent borrowers | borrower | 1 | ||||||
RETL Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Financing receivable, before allowance for credit loss | $ 303,034 | $ 354,202 | |||||
Number of option to extend stated maturity date | extension | 3 | ||||||
Option to extend stated maturity date with additional period | 1 year | ||||||
Financing Receivables Gross Unrealized Loss Accumulated In Investments | $ (3,764) | (14,998) | |||||
CSMC Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Financing receivable, before allowance for credit loss | 1,385,591 | 1,385,591 | |||||
Financing Receivables Gross Unrealized Loss Accumulated In Investments | 0 | $ 0 | |||||
CSMC Trust | Class F | Secured Debt | |||||||
Variable Interest Entity [Line Items] | |||||||
Debt instrument, debt default, amount | $ 14,900 | ||||||
RETL Trust | London Interbank Offered Rate (LIBOR) | |||||||
Variable Interest Entity [Line Items] | |||||||
Debt instrument, basis spread on variable rate | 4.06% | ||||||
CSMC Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Debt instrument, basis spread on variable rate | 4.38% | ||||||
Securitized commercial loans | |||||||
Variable Interest Entity [Line Items] | |||||||
LTV rate | 65.10% | ||||||
COVID response, borrowers requesting forbearance, principal balance | $ 30,000 | $ 30,000 | |||||
Securitized commercial loans | RETL Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Amount acquired, eliminated in consolidation | $ 65,300 | ||||||
Variable interest entity, amount acquired, eligible risk retention | $ 45,300 | ||||||
Eligible risk retention percentage | 5.00% | ||||||
Securitized commercial loans | MRCD Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Amount acquired, eliminated in consolidation | $ 161,400 | ||||||
Securitized commercial loans | MRCD Trust | Commercial Mortgage Pass-Through Certificate, Class HRR | |||||||
Variable Interest Entity [Line Items] | |||||||
Amount acquired, eliminated in consolidation | $ 10,500 | ||||||
Financing Receivables Gross Unrealized Loss Accumulated In Investments | $ (43,700) | ||||||
Securitized commercial loans | CSMC Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Financing receivable, before allowance for credit loss | $ 1,400,000 | ||||||
Securitized commercial loans | CMSC Trust | |||||||
Variable Interest Entity [Line Items] | |||||||
Amount acquired, eliminated in consolidation | $ 14,000 | ||||||
Commercial Loans | |||||||
Variable Interest Entity [Line Items] | |||||||
Number of commercial loans trusts | loan | 5 | ||||||
Commercial Loans | CRE Three | Retail | |||||||
Variable Interest Entity [Line Items] | |||||||
Financing receivable, before allowance for credit loss | $ 90,000 |
Commercial Loans - Commercial L
Commercial Loans - Commercial Loans Held (Details) - Securitized commercial loans $ in Thousands | 3 Months Ended |
Mar. 31, 2021USD ($)extension | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Coupon Rate | 65.10% |
CRE LLC And CRE Mezz | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Principal Balance | $ 256,546 |
Fair Value | 243,492 |
RSBC Trust | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Principal Balance | 68,750 |
Fair Value | 68,569 |
Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 1 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Principal Balance | 30,000 |
Fair Value | $ 27,345 |
Coupon Rate | 65.00% |
Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 5 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Principal Balance | $ 24,535 |
Fair Value | $ 23,985 |
Coupon Rate | 62.00% |
Number of extension option | extension | 3 |
Option to extend term | 1 year |
Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 6 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Principal Balance | $ 13,207 |
Fair Value | $ 12,911 |
Coupon Rate | 62.00% |
Number of extension option | extension | 3 |
Option to extend term | 1 year |
Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 7 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Principal Balance | $ 7,259 |
Fair Value | $ 7,096 |
Coupon Rate | 62.00% |
Number of extension option | extension | 3 |
Option to extend term | 1 year |
Nursing Facilities | CRE LLC And CRE Mezz | Principal & Interest First Mortgage | CRE 2 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Principal Balance | $ 47,079 |
Fair Value | $ 46,732 |
Coupon Rate | 75.00% |
Number of extension option | extension | 2 |
Option to extend term | 1 year |
Nursing Facilities | RSBC Trust | Interest-Only First Mortgage | SBC 1 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Principal Balance | $ 45,188 |
Fair Value | $ 45,050 |
Coupon Rate | 74.00% |
Option to extend term | 1 year |
Nursing Facilities | RSBC Trust | Interest-Only First Mortgage | SBC 3 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Principal Balance | $ 14,362 |
Fair Value | $ 14,337 |
Coupon Rate | 49.00% |
Entertainment and Retail | CRE LLC And CRE Mezz | Interest-Only Mezzanine Loan | CRE 3 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Principal Balance | $ 90,000 |
Fair Value | $ 81,369 |
Coupon Rate | 58.00% |
Entertainment and Retail | CRE LLC And CRE Mezz | Interest-Only Mezzanine Loan | CRE 3 | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Option to extend term | 1 year |
Entertainment and Retail | CRE LLC And CRE Mezz | Interest-Only Mezzanine Loan | CRE 3 | Maximum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Option to extend term | 2 years |
Retail | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 4 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Principal Balance | $ 40,000 |
Fair Value | $ 39,593 |
Coupon Rate | 63.00% |
Number of extension option | extension | 2 |
Option to extend term | 1 year |
Assisted Living | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 8 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Principal Balance | $ 4,466 |
Fair Value | $ 4,461 |
Coupon Rate | 79.00% |
Apartment Complex | RSBC Trust | Interest-Only First Mortgage | SBC 2 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Principal Balance | $ 9,200 |
Fair Value | $ 9,182 |
Coupon Rate | 84.00% |
Option to extend term | 1 year |
London Interbank Offered Rate (LIBOR) | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 1 | |
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) | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 5 | |
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) | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 6 | |
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) | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 7 | |
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) | Nursing Facilities | CRE LLC And CRE Mezz | Principal & Interest First Mortgage | CRE 2 | |
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) | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage | SBC 1 | |
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) | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage | SBC 3 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Coupon Rate | 4.10% |
London Interbank Offered Rate (LIBOR) | Entertainment and Retail | CRE LLC And CRE Mezz | Interest-Only Mezzanine Loan | CRE 3 | |
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) | Retail | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 4 | |
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) | Assisted Living | CRE LLC And CRE Mezz | Interest-Only First Mortgage | CRE 8 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Coupon Rate | 4.85% |
London Interbank Offered Rate (LIBOR) | Apartment Complex | RSBC Trust | Interest-Only First Mortgage | SBC 2 | |
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) Floor | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage | SBC 1 | |
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) Floor | Apartment Complex | RSBC Trust | Interest-Only First Mortgage | SBC 2 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Coupon Rate | 2.00% |
Commercial Loans - Consolidated
Commercial Loans - Consolidated Commercial Loan Trusts Included in the Consolidated Balance Sheets (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | |
Noncontrolling Interest [Line Items] | ||||
Restricted cash | $ 24,331 | $ 76,132 | $ 33,229 | |
Securitized commercial loans, at fair value | 1,636,127 | 1,605,335 | ||
Commercial Loans, at fair value | 312,061 | 310,523 | ||
Interest receivable | 13,112 | 13,568 | ||
Total assets | [1] | 3,213,363 | 3,336,009 | |
Interest payable | 8,878 | 12,006 | ||
Accounts payable and accrued expenses | 2,403 | 2,686 | ||
Other liabilities | 32,873 | 84,674 | ||
Total liabilities | [2] | 2,953,762 | 3,080,895 | |
VIE | ||||
Noncontrolling Interest [Line Items] | ||||
Restricted cash | 24,331 | 76,132 | ||
Securitized commercial loans, at fair value | 1,636,127 | 1,605,335 | ||
Commercial Loans, at fair value | 68,569 | 68,466 | ||
Interest receivable | 10,594 | 10,936 | ||
Total assets | 2,712,199 | 2,810,678 | ||
Interest payable | 7,594 | 7,882 | ||
Accounts payable and accrued expenses | 48 | 89 | ||
Other liabilities | 24,331 | 76,132 | ||
Total liabilities | 2,422,095 | 2,530,115 | ||
Securitized commercial loans | VIE | ||||
Noncontrolling Interest [Line Items] | ||||
Restricted cash | 24,331 | 76,132 | ||
Securitized commercial loans, at fair value | 1,636,127 | 1,605,335 | ||
Commercial Loans, at fair value | 68,569 | 68,466 | ||
Interest receivable | 6,161 | 6,248 | ||
Total assets | 1,735,188 | 1,756,181 | ||
Securitized debt, at fair value | 1,582,440 | 1,553,722 | ||
Interest payable | 5,575 | 5,660 | ||
Accounts payable and accrued expenses | 11 | 12 | ||
Other liabilities | 24,331 | 76,132 | ||
Total liabilities | $ 1,612,357 | $ 1,635,526 | ||
[1] | March 31, December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ 24,331 $ 76,132 Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively) 929,215 1,008,782 Residential Bridge Loans ($10,941 and $11,858 at fair value and $12,044 and $12,960 pledged as collateral, respectively) 12,044 12,960 Securitized commercial loans, at fair value 1,636,127 1,605,335 Commercial Loans, at fair value ($68,569 and $68,466 pledged as collateral, at fair value, respectively) 68,569 68,466 Investment related receivable 31,239 27,987 Interest receivable 10,594 10,936 Other assets 80 80 Total assets of consolidated VIEs $ 2,712,199 $ 2,810,678 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,582,440 and $1,553,722 at fair value and $217,972 and $215,753 held by affiliates, respectively) $ 2,390,122 $ 2,446,012 Interest payable (includes $765 and $784 on securitized debt held by affiliates, respectively) 7,594 7,882 Accounts payable and accrued expenses 48 89 Other liabilities 24,331 76,132 Total liabilities of consolidated VIEs $ 2,422,095 $ 2,530,115 | |||
[2] | March 31, December 31, 2020 (1) Assets of consolidated VIEs included in the total assets above: Restricted cash $ 24,331 $ 76,132 Residential Whole Loans, at fair value ($929,215 and $1,008,782 pledged as collateral, at fair value, respectively) 929,215 1,008,782 Residential Bridge Loans ($10,941 and $11,858 at fair value and $12,044 and $12,960 pledged as collateral, respectively) 12,044 12,960 Securitized commercial loans, at fair value 1,636,127 1,605,335 Commercial Loans, at fair value ($68,569 and $68,466 pledged as collateral, at fair value, respectively) 68,569 68,466 Investment related receivable 31,239 27,987 Interest receivable 10,594 10,936 Other assets 80 80 Total assets of consolidated VIEs $ 2,712,199 $ 2,810,678 (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt, net ($1,582,440 and $1,553,722 at fair value and $217,972 and $215,753 held by affiliates, respectively) $ 2,390,122 $ 2,446,012 Interest payable (includes $765 and $784 on securitized debt held by affiliates, respectively) 7,594 7,882 Accounts payable and accrued expenses 48 89 Other liabilities 24,331 76,132 Total liabilities of consolidated VIEs $ 2,422,095 $ 2,530,115 |
Commercial Loans - Components o
Commercial Loans - Components of the Carrying Value of Commercial Real Estate Loans (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
RETL Trust | ||
Variable Interest Entity [Line Items] | ||
Principal balance | $ 303,034 | $ 354,202 |
Unamortized premium | 58 | 180 |
Unamortized discount | 0 | 0 |
Amortized cost | 303,092 | 354,382 |
Gross unrealized gains | 0 | 0 |
Gross unrealized losses | (3,764) | (14,998) |
Fair value | 299,328 | 339,384 |
CSMC Trust | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 1,385,591 | 1,385,591 |
Unamortized premium | 0 | 0 |
Unamortized discount | (129,381) | (135,653) |
Amortized cost | 1,256,210 | 1,249,938 |
Gross unrealized gains | 80,589 | 16,013 |
Gross unrealized losses | 0 | 0 |
Fair value | 1,336,799 | 1,265,951 |
RSBC Trust | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 68,750 | 68,750 |
Unamortized premium | 0 | 0 |
Unamortized discount | (53) | (94) |
Amortized cost | 68,697 | 68,656 |
Gross unrealized gains | 0 | 0 |
Gross unrealized losses | (128) | (190) |
Fair value | 68,569 | 68,466 |
Commercial Mezzanine Loan | ||
Variable Interest Entity [Line Items] | ||
Principal balance | 256,546 | 256,694 |
Unamortized premium | 0 | 0 |
Unamortized discount | (31) | (53) |
Amortized cost | 256,515 | 256,641 |
Gross unrealized gains | 0 | 1 |
Gross unrealized losses | (13,023) | (14,585) |
Fair value | $ 243,492 | $ 242,057 |
Commercial Loans - Schedule of
Commercial Loans - Schedule of Non-Performing Aging Commercial Loans (Details) - Commercial Loans $ in Thousands | Mar. 31, 2021USD ($)loan |
Noncontrolling Interest [Line Items] | |
No of Loans | loan | 11 |
Principal | $ 325,296 |
Fair value | $ 312,061 |
Current | |
Noncontrolling Interest [Line Items] | |
No of Loans | loan | 10 |
Principal | $ 295,296 |
Fair value | $ 284,716 |
1-30 days | |
Noncontrolling Interest [Line Items] | |
No of Loans | loan | 0 |
Principal | $ 0 |
Fair value | $ 0 |
31-60 days | |
Noncontrolling Interest [Line Items] | |
No of Loans | loan | 0 |
Principal | $ 0 |
Fair value | $ 0 |
61-90 days | |
Noncontrolling Interest [Line Items] | |
No of Loans | loan | 0 |
Principal | $ 0 |
Fair value | $ 0 |
90+ days | |
Noncontrolling Interest [Line Items] | |
No of Loans | loan | 1 |
Principal | $ 30,000 |
Fair value | $ 27,345 |
Financings - Narrative (Details
Financings - Narrative (Details) | Oct. 06, 2020USD ($) | Jul. 01, 2020USD ($)$ / sharesshares | Jun. 29, 2020USD ($) | May 04, 2020 | Apr. 21, 2020counterparty | May 31, 2019USD ($) | Mar. 31, 2021USD ($)agreementitemissuance$ / shares | Mar. 31, 2020USD ($) | Dec. 31, 2020USD ($)$ / shares | Jun. 30, 2020USD ($) |
Short-term Debt [Line Items] | ||||||||||
Number of longer term financial arrangements company entered to reduce its exposure to short term financings | agreement | 2 | |||||||||
Number of counterparties from whom entity borrowed under repurchase agreement | item | 5 | |||||||||
Payments made for deferred financing costs | $ (12,000,000) | $ (2,000) | $ 0 | |||||||
Financing fee payable | $ 8,500,000 | |||||||||
Repurchase Agreement Borrowings | $ 348,379,000 | $ 358,846,000 | ||||||||
Number of repurchase agreement, exception from termination | agreement | 1 | |||||||||
Assets Pledged | $ 12,044,000 | 12,960,000 | ||||||||
Securities loaned, collateral, right to reclaim cash | 555,000 | 1,800,000 | ||||||||
Cash posted by counterparties | $ 60,000 | $ 320,000 | ||||||||
Redeemable period | 3 months | |||||||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | ||||||||
Repurchased borrowings | $ 34,400,000 | |||||||||
Repurchase agreements, net | 347,132,000 | $ 356,923,000 | ||||||||
Repurchase agreements | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Repurchase Agreement Borrowings | 107,417,000 | 108,598,000 | ||||||||
Assets Pledged | 672,300,000 | 682,900,000 | ||||||||
Repurchase agreements | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Repurchase Agreement Borrowings | 240,962,000 | 250,248,000 | ||||||||
Residential Whole Loan | Repurchase agreements | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Repurchase Agreement Borrowings | 29,373,000 | 29,800,000 | ||||||||
Residential Whole Loan | Repurchase agreements | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Repurchase Agreement Borrowings | $ 27,923,000 | 30,224,000 | ||||||||
Repurchase Agreements | Minimum | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Debt instrument, term | 1 month | |||||||||
Repurchase Agreements | Maximum | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Debt instrument, term | 18 months | |||||||||
Residential Loan Warehouse Facility | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Line of credit facility, 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] | ||||||||||
Debt instrument, term | 12 months | |||||||||
Line of credit facility, remaining borrowing capacity | $ 93,900,000 | |||||||||
Debt instrument extensions option term | 12 months | |||||||||
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% | |||||||||
6.75% Convertible Senior Unsecured Notes | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Repurchased borrowings | $ 6,700,000 | $ 25,000,000 | ||||||||
Debt instrument interest rate, effective percentage | 6.25% | 13.00% | ||||||||
6.75% Convertible Senior Unsecured Notes | Convertible Debt | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Principal Balance | $ 5,000,000 | $ 168,300,000 | $ 175,000,000 | |||||||
Interest rate stated percentage | 6.75% | |||||||||
Number of issuance | issuance | 3 | |||||||||
Redemption price, percentage | 100.00% | |||||||||
Debt instrument, convertible, conversion ratio | 0.0831947 | |||||||||
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 | |||||||||
Arroyo Trust | Secured Debt | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Principal Balance | $ 548,884,000 | |||||||||
Fair value | 544,703,000 | |||||||||
Arroyo Trust | Non-QM Loans | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Borrowing amount | 27,900,000 | |||||||||
Arroyo Trust | Residential Whole Loans | Secured Debt | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Fair value | $ 555,500,000 | |||||||||
Redemption of offering notes period | 3 years | |||||||||
Maximum aggregate collateral balance over original principal balance percentage | 20.00% | |||||||||
RETL Trust | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Trust certificates issued | $ 257,700,000 | |||||||||
Financing receivable, before allowance for credit loss | 303,034,000 | 354,202,000 | ||||||||
RETL Trust | Affiliated entities | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Trust certificates issued | 37,400,000 | |||||||||
RETL Trust | Third parties | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Trust certificates issued | 220,300,000 | |||||||||
RETL Trust | Secured Debt | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Principal Balance | 257,734,000 | |||||||||
Securitized debt, at fair value | 256,462,000 | |||||||||
RETL Trust | Commercial Mortgage Pass-Through Certificate, Class HRR | Secured Debt | Estimated Fair Value | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Long-term debt, fair value | 45,300,000 | |||||||||
Securitized debt, at fair value | 256,500,000 | |||||||||
CSMC Trust | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Trust certificates issued | 1,400,000,000 | |||||||||
Financing receivable, before allowance for credit loss | 1,385,591,000 | $ 1,385,591,000 | ||||||||
CSMC Trust | Affiliated entities | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Trust certificates issued | 205,600,000 | |||||||||
CSMC Trust | Third parties | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Trust certificates issued | 1,200,000,000 | |||||||||
CSMC Trust | Secured Debt | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Principal Balance | 1,370,691,000 | |||||||||
Securitized debt, at fair value | 1,325,978,000 | |||||||||
CSMC Trust | Class F | Secured Debt | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Principal Balance | 153,600,000 | |||||||||
Debt instrument, debt default, amount | 14,900,000 | |||||||||
Securitized debt, at fair value | 111,553,000 | |||||||||
CSMC Trust | Class F | Secured Debt | Estimated Fair Value | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Securitized debt, at fair value | 1,300,000,000 | |||||||||
CSMC Trust | Securitized commercial loans | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Financing receivable, before allowance for credit loss | 1,400,000,000 | |||||||||
Arroyo Trust 2019 | Residential Whole Loans | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Repurchase agreements, net | $ 919,000,000 | 919,000,000 | ||||||||
Arroyo Trust 2019 | Residential Whole Loans | Arroyo Trust | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Transferred of non-qm residential whole loans | $ 945,500,000 | |||||||||
Arroyo Mortgage Trust 2020 | Secured Debt | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Principal Balance | 265,384,000 | |||||||||
Fair value | 262,979,000 | |||||||||
Arroyo Mortgage Trust 2020 | Non-QM Loans | Arroyo Trust | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Number of counterparties from whom entity borrowed under repurchase agreement | counterparty | 3 | |||||||||
Line of credit facility, target advance rate | 84.00% | |||||||||
Line of credit facility, commitment fee percentage | 30.00% | |||||||||
Line of credit facility, exit fee percentage | 0.50% | |||||||||
Line of credit facility, remaining borrowing capacity | 62,000,000 | |||||||||
Arroyo Mortgage Trust 2020 | Residential Whole Loans | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Repurchase agreements, net | $ 341,700,000 | |||||||||
Arroyo Mortgage Trust 2020 | Residential Whole Loans | Secured Debt | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Fair value | $ 271,500,000 | |||||||||
Redemption of offering notes period | 3 years | |||||||||
Maximum aggregate collateral balance over original principal balance percentage | 30.00% | |||||||||
Arroyo Mortgage Trust 2020 | Residential Whole Loans | Arroyo Trust | ||||||||||
Short-term Debt [Line Items] | ||||||||||
Line of credit facility, 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 |
Financings - Borrowings Under R
Financings - Borrowings Under Repurchase Agreements (Details) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2021USD ($)agreement | Dec. 31, 2020USD ($) | |
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 348,379 | $ 358,846 |
Less Unamortized Debt Issuance Costs | 1,247 | 1,923 |
Repurchase agreements, net | $ 347,132 | $ 356,923 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.28% | 3.57% |
Weighted Average Interest Rate on Borrowings Outstanding at end of period, Total | 3.28% | 3.57% |
Weighted Average Remaining Maturity (days) | 105 days | 169 days |
Number of long-term repurchase agreements | agreement | 2 | |
Repurchase agreements | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 240,962 | $ 250,248 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.41% | 3.74% |
Weighted Average Remaining Maturity (days) | 136 days | 225 days |
Repurchase agreements | Non-Agency CMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 65,914 | $ 66,767 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 5.19% | 5.23% |
Weighted Average Remaining Maturity (days) | 36 days | 126 days |
Repurchase agreements | Non-Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 14,456 | $ 14,643 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 5.20% | 5.23% |
Weighted Average Remaining Maturity (days) | 36 days | 126 days |
Repurchase agreements | Residential Whole Loan | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 27,923 | $ 30,224 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.00% | 3.00% |
Weighted Average Remaining Maturity (days) | 188 days | 278 days |
Repurchase agreements | Commercial Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 119,167 | $ 124,937 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 2.09% | 2.17% |
Weighted Average Remaining Maturity (days) | 202 days | 287 days |
Repurchase agreements | Other securities | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 13,502 | $ 13,677 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 5.19% | 5.24% |
Weighted Average Remaining Maturity (days) | 36 days | 126 days |
Repurchase agreements | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 107,417 | $ 108,598 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.00% | 3.19% |
Weighted Average Remaining Maturity (days) | 37 days | 39 days |
Repurchase agreements | Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 1,242 | $ 1,418 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 1.13% | 1.34% |
Weighted Average Remaining Maturity (days) | 59 days | 59 days |
Repurchase agreements | Non-Agency CMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 10,312 | $ 10,313 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 2.01% | 2.25% |
Weighted Average Remaining Maturity (days) | 42 days | 14 days |
Repurchase agreements | Residential Whole Loan | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 29,373 | $ 29,800 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.17% | 3.71% |
Weighted Average Remaining Maturity (days) | 15 days | 15 days |
Repurchase agreements | Residential Bridge Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 10,097 | $ 11,254 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 2.70% | 2.73% |
Weighted Average Remaining Maturity (days) | 35 days | 36 days |
Repurchase agreements | Commercial Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 34,375 | $ 34,375 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 3.29% | 3.32% |
Weighted Average Remaining Maturity (days) | 77 days | 75 days |
Repurchase agreements | Membership Interest | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 19,551 | $ 18,844 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 2.86% | 2.90% |
Weighted Average Remaining Maturity (days) | 1 day | 29 days |
Repurchase agreements | Other securities | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 2,467 | $ 2,594 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period | 4.50% | 4.51% |
Weighted Average Remaining Maturity (days) | 19 days | 19 days |
Financings - Borrowings under_2
Financings - Borrowings under Repurchase Agreements Maturity Dates (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 348,379 | $ 358,846 |
1 to 29 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | 50,255 | 59,856 |
30 to 59 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | 115,858 | 13,421 |
60 to 89 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | 51,752 | 35,321 |
Greater than or equal to 90 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 130,514 | $ 250,248 |
Financings - Borrowings under_3
Financings - Borrowings under Repurchase Agreements Risk by Counterparty (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2021USD ($) | |
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 | $ 175,943 |
Weighted Average Remaining Maturity (days) | 153 days |
Percentage of Stockholders’ Equity | 67.80% |
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 | $ 105,829 |
Weighted Average Remaining Maturity (days) | 36 days |
Percentage of Stockholders’ Equity | 40.80% |
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 | $ 36,919 |
Weighted Average Remaining Maturity (days) | 66 days |
Percentage of Stockholders’ Equity | 14.20% |
Financings - Collateral Positio
Financings - Collateral Positions (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | $ 12,044 | $ 12,960 |
Assets pledged- fair value | 672,896 | 684,675 |
Accrued Interest | 3,417 | 3,475 |
Assets Pledged and Accrued Interest | 676,313 | 688,150 |
Repurchase agreements | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 672,300 | 682,900 |
Repurchase agreements | Agency RMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 1,629 | 1,708 |
Accrued Interest | 40 | 49 |
Assets Pledged and Accrued Interest | 1,669 | 1,757 |
Repurchase agreements | Non-Agency RMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 144,346 | 152,275 |
Accrued Interest | 609 | 649 |
Assets Pledged and Accrued Interest | 144,955 | 152,924 |
Repurchase agreements | Non-Agency CMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 26,659 | 25,382 |
Accrued Interest | 136 | 160 |
Assets Pledged and Accrued Interest | 26,795 | 25,542 |
Repurchase agreements | Whole-Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 92,497 | 97,566 |
Accrued Interest | 558 | 543 |
Assets Pledged and Accrued Interest | 93,055 | 98,109 |
Repurchase agreements | Residential Bridge Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 12,044 | 12,960 |
Accrued Interest | 167 | 180 |
Assets Pledged and Accrued Interest | 12,211 | 13,140 |
Repurchase agreements | Commercial Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 312,061 | 310,523 |
Accrued Interest | 1,849 | 1,850 |
Assets Pledged and Accrued Interest | 313,910 | 312,373 |
Repurchase agreements | Membership Interest | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 34,439 | 33,690 |
Accrued Interest | 0 | |
Assets Pledged and Accrued Interest | 34,439 | 33,690 |
Repurchase agreements | Other securities | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged | 48,666 | 48,754 |
Accrued Interest | 58 | 44 |
Assets Pledged and Accrued Interest | 48,724 | 48,798 |
Repurchase agreements | Cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets pledged- fair value | 555 | 1,817 |
Accrued Interest | 0 | 0 |
Assets Pledged and Accrued Interest | $ 555 | $ 1,817 |
Financings - Commercial Mortgag
Financings - Commercial Mortgage Pass Through Certificates (Details) - Secured Debt | 3 Months Ended |
Mar. 31, 2021USD ($) | |
RETL Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 257,734,000 |
Fair Value | 256,462,000 |
CSMC Trust | |
Debt Instrument [Line Items] | |
Principal Balance | 1,370,691,000 |
Fair Value | 1,325,978,000 |
Arroyo Trust | |
Debt Instrument [Line Items] | |
Principal Balance | 548,884,000 |
Carrying Value | 548,880,000 |
Less: Unamortized Deferred Financing Costs | 4,177,000 |
Total | 544,703,000 |
Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal Balance | 265,384,000 |
Carrying Value | 265,378,000 |
Less: Unamortized Deferred Financing Costs | 2,399,000 |
Total | 262,979,000 |
Class C | RETL Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 257,734,000 |
Coupon | 2.20% |
Fair Value | $ 256,436,000 |
Class C | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 94,500,000 |
Coupon | 4.30% |
Fair Value | $ 92,155,000 |
Class X-EXT | RETL Trust | |
Debt Instrument [Line Items] | |
Coupon | 1.20% |
Fair Value | $ 26,000 |
Notional amount | 257,700,000 |
Class A-1 | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 120,391,000 |
Coupon | 3.30% |
Fair Value | $ 122,992,000 |
Class A-1 | Arroyo Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 460,106,000 |
Coupon | 3.30% |
Carrying Value | $ 460,104,000 |
Class A-2 | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 531,700,000 |
Coupon | 4.00% |
Fair Value | $ 557,729,000 |
Class A-2 | Arroyo Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 24,658,000 |
Coupon | 3.50% |
Carrying Value | $ 24,657,000 |
Class A-2 | Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 13,518,000 |
Coupon | 2.90% |
Carrying Value | $ 13,517,000 |
Class B | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 136,400,000 |
Coupon | 4.20% |
Fair Value | $ 135,402,000 |
Class A-3 | Arroyo Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 39,065,000 |
Coupon | 3.80% |
Carrying Value | $ 39,064,000 |
Class A-3 | Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 17,963,000 |
Coupon | 3.30% |
Carrying Value | $ 17,963,000 |
Class M-1 | Arroyo Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 25,055,000 |
Coupon | 4.80% |
Carrying Value | $ 25,055,000 |
Class M-1 | Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 11,739,000 |
Coupon | 4.30% |
Carrying Value | $ 11,739,000 |
Class D | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 153,950,000 |
Coupon | 4.40% |
Fair Value | $ 142,388,000 |
Class E | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 180,150,000 |
Coupon | 4.40% |
Fair Value | $ 148,840,000 |
Class F | CSMC Trust | |
Debt Instrument [Line Items] | |
Principal Balance | $ 153,600,000 |
Coupon | 4.40% |
Fair Value | $ 111,553,000 |
Class X-1 | CSMC Trust | |
Debt Instrument [Line Items] | |
Coupon | 0.70% |
Fair Value | $ 12,347,000 |
Notional amount | $ 652,100,000 |
Class X-2 | CSMC Trust | |
Debt Instrument [Line Items] | |
Coupon | 0.20% |
Fair Value | $ 2,572,000 |
Notional amount | 733,500,000 |
Class A-1A | Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 198,598,000 |
Coupon | 1.70% |
Carrying Value | $ 198,593,000 |
Class A-1B | Arroyo Mortgage Trust 2020 | |
Debt Instrument [Line Items] | |
Principal Balance | $ 23,566,000 |
Coupon | 2.10% |
Carrying Value | $ 23,566,000 |
Derivative Instruments - Narrat
Derivative Instruments - Narrative (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 |
Due From Counterparties | |||
Interest rate swaps and interest rate swaptions | |||
Collateral already posted, aggregate fair value | $ 510 | $ 510 | |
Interest rate swaps | Fixed Pay Rate | |||
Interest rate swaps and interest rate swaptions | |||
Derivative, terminated | $ 3,100,000 | ||
Interest rate swaps | Variable Pay Rate | |||
Interest rate swaps and interest rate swaptions | |||
Derivative, terminated | $ 1,900,000 |
Derivative Instruments - Summar
Derivative Instruments - Summary of Entity's Derivative Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Fair Value | ||
Derivative assets | $ 1,607 | $ 1,726 |
Derivative liabilities | (648) | (656) |
Derivative instruments not accounted as hedges under GAAP | ||
Fair Value | ||
Derivative assets | 136 | 161 |
Derivative liabilities | (648) | (656) |
Total derivative instruments | (512) | (495) |
Credit default swaps | Derivative instruments not accounted as hedges under GAAP | ||
Notional Amount | ||
Notional amount, assets | 2,030 | 2,030 |
Notional amount, liabilities | 4,140 | 4,140 |
Fair Value | ||
Derivative assets | 136 | 161 |
Derivative liabilities | $ (648) | $ (656) |
Derivative Instruments - Gain o
Derivative Instruments - Gain or Loss (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Amounts recognized on the statements of operations related to the Company's derivatives | ||
Other Settlements / Expirations | $ 0 | $ (135) |
Return (Recovery) of Basis | (17) | (8,807) |
Total | 26 | (189,691) |
Derivative instruments not accounted as hedges under GAAP | ||
Amounts recognized on the statements of operations related to the Company's derivatives | ||
Other Settlements / Expirations | 16 | (83) |
Variation Margin Settlement | 0 | (179,759) |
Return (Recovery) of Basis | (94) | (283) |
Mark-to-Market | (17) | (8,807) |
Contractual interest income (expense), net | 121 | (759) |
Total | 26 | (189,691) |
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) | |
Variation Margin Settlement | (179,759) | |
Return (Recovery) of Basis | 262 | |
Mark-to-Market | (2,515) | |
Contractual interest income (expense), net | (1,395) | |
Total | (183,669) | |
Interest rate swaptions | Derivative instruments not accounted as hedges under GAAP | ||
Amounts recognized on the statements of operations related to the Company's derivatives | ||
Other Settlements / Expirations | 0 | |
Variation Margin Settlement | 0 | |
Return (Recovery) of Basis | 0 | |
Mark-to-Market | 181 | |
Contractual interest income (expense), net | 0 | |
Total | 181 | |
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 | 0 | 0 |
Variation Margin Settlement | 0 | 0 |
Return (Recovery) of Basis | (94) | (545) |
Mark-to-Market | 0 | (839) |
Contractual interest income (expense), net | 121 | 636 |
Total | 27 | (748) |
Credit default 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 | 16 | (1,315) |
Variation Margin Settlement | 0 | 0 |
Return (Recovery) of Basis | 0 | 0 |
Mark-to-Market | (17) | (2,638) |
Contractual interest income (expense), net | 0 | 0 |
Total | $ (1) | (3,953) |
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 | 1,494 | |
Variation Margin Settlement | 0 | |
Return (Recovery) of Basis | 0 | |
Mark-to-Market | (2,996) | |
Contractual interest income (expense), net | 0 | |
Total | $ (1,502) |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2021 | Dec. 31, 2020 |
Derivative Asset [Abstract] | ||
Gross Amounts | $ 1,607 | $ 1,726 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 1,607 | 1,726 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 136 | 161 |
Gross amounts not offset in the consolidated balance sheets, financial instruments | (1,607) | (1,726) |
Gross amounts not offset in the consolidated balance sheets, cash collateral | 0 | 0 |
Net Amount | 0 | 0 |
Derivative Liability [Abstract] | ||
Gross amounts of derivative liability, fair value | 648 | 656 |
Derivative liability, at fair value, gross amounts | 0 | 0 |
Derivative liabilities, net amounts of assets presented in consolidated balance sheets | 648 | 656 |
Gross amounts not offset in the consolidated balance sheets, financial instruments, derivative liability, at fair value | (136) | (161) |
Gross amounts not offset in the consolidated balance sheets, cash collateral, derivative liability, at fair value | (510) | (495) |
Derivative liability, at fair value, net Amount | 2 | 0 |
Gross amounts of repurchase agreements | 347,132 | 356,923 |
Repurchase agreement, net amounts of assets presented in consolidated balance sheets | 347,132 | 356,923 |
Gross amounts not offset in the consolidated balance sheets, financial instruments, repurchase agreements | (347,132) | (356,923) |
Repurchase agreements, cash collateral | 0 | 0 |
Net Amount | 0 | 0 |
Gross amounts of derivative liability | 347,780 | 357,579 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Derivative liability, net amounts of assets presented in consolidated balance sheets | 347,780 | 357,579 |
Derivative liability, financial instruments | (347,268) | (357,084) |
Derivative liability, net amount | 2 | 0 |
Derivative liability, cash collateral pledged | 510 | 510 |
Fair value of investments pledged against repurchase agreements | 672,300 | 682,900 |
Securities Sold under Agreements to Repurchase, Asset | 0 | 0 |
Interest-Only Strips— accounted for as derivatives | ||
Derivative Asset [Abstract] | ||
Gross Amounts | 1,471 | 1,565 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 1,471 | 1,565 |
Gross amounts not offset in the consolidated balance sheets, financial instruments | (1,471) | (1,565) |
Gross amounts not offset in the consolidated balance sheets, cash collateral | 0 | 0 |
Net Amount | 0 | 0 |
Derivative asset, at fair value | ||
Derivative Asset [Abstract] | ||
Gross Amounts | 136 | 161 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 136 | 161 |
Gross amounts not offset in the consolidated balance sheets, financial instruments | (136) | (161) |
Gross amounts not offset in the consolidated balance sheets, cash collateral | 0 | 0 |
Net Amount | $ 0 | $ 0 |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2021 | Mar. 31, 2020 | Dec. 31, 2020 | |
Related Party Transactions | |||
Management fees | $ 1,477 | $ 1,039 | |
Western Asset Management Company | |||
Related Party Transactions | |||
Management fees percentage | 1.50% | ||
Renewal term of management agreement (in year) | 1 year | ||
Notice period to terminate the Management Agreement following initial term | 180 days | ||
Termination fee of management agreement | 3 | ||
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 | $ 1,500 | 1,000 | |
Reimbursable employee costs | 219 | $ 221 | |
Management fees incurred but not yet paid | 3,000 | $ 3,000 | |
Reimbursable employee costs incurred but not yet paid | $ 156 | $ 148 | |
Western Asset Management Company | Minimum | |||
Related Party Transactions | |||
Proportion of affirmative votes by the entity's independent directors to terminate the management agreement percentage | 67.00% | ||
Proportion of votes required by the entity's independent directors for acceptance of reduction in management fees percentage | 67.00% |
Share-Based Payments (Details)
Share-Based Payments (Details) $ / shares in Units, $ in Thousands | Jun. 19, 2020directorshares | Mar. 31, 2021USD ($)$ / sharesshares | Mar. 31, 2020USD ($)$ / sharesshares | Dec. 31, 2020USD ($)shares |
Share-Based Payments | ||||
Shares authorized percentage | 3.00% | |||
Number of shares remained available for issuance (in shares) | 776,266 | |||
Stock-based compensation expense recognized | $ | $ 182 | $ 165 | ||
Common Stock Outstanding | ||||
Share-Based Payments | ||||
Number of shares remained available for issuance (in shares) | 1,804,258 | |||
Equity awards | ||||
Share-Based Payments | ||||
Granted (in shares) | 1,027,992 | |||
Unamortized compensation expense | $ | $ 437 | $ 619 | ||
Shares of Restricted Stock | ||||
Granted (in shares) | 1,027,992 | |||
Restricted common stock | ||||
Share-Based Payments | ||||
Granted (in shares) | 2,450 | 888 | ||
Number of independent directors to whom awards were granted | director | 5 | |||
Vested (in shares) | 36,000 | 36,000 | ||
Summary of restricted common stock vesting dates | ||||
Shares Vesting (in shares) | 168,815 | 103,480 | 202,365 | |
Shares of Restricted Stock | ||||
Outstanding, beginning of period (in shares) | 1,025,542 | 894,289 | ||
Granted (in shares) | 2,450 | 888 | ||
Cancelled/forfeited (in shares) | 0 | 0 | ||
Outstanding, end of period (in shares) | 1,027,992 | 895,177 | ||
Unvested at end of year (in shares) | 168,815 | 103,480 | 202,365 | |
Weighted Average Grant Date Fair Value | ||||
Outstanding at beginning of period (in dollars per share) | $ / shares | $ 14.10 | $ 15.76 | ||
Granted (in dollars per share) | $ / shares | 3.19 | 10.67 | ||
Cancelled/forfeited (in dollars per share) | $ / shares | 0 | 0 | ||
Outstanding at end of year (in dollars per share) | $ / shares | 14.07 | 15.75 | ||
Unvested at end of year (in dollars per share) | $ / shares | $ 4.40 | $ 10.29 | ||
Restricted common stock | Director Deferred Fee Plan | ||||
Share-Based Payments | ||||
Granted (in shares) | 2,450 | 888 | ||
Shares of Restricted Stock | ||||
Granted (in shares) | 2,450 | 888 | ||
Restricted common stock | March 2021 | ||||
Summary of restricted common stock vesting dates | ||||
Shares Vesting (in shares) | 0 | 36,000 | ||
Shares of Restricted Stock | ||||
Unvested at end of year (in shares) | 0 | 36,000 | ||
Restricted common stock | June 2021 | ||||
Summary of restricted common stock vesting dates | ||||
Shares Vesting (in shares) | 132,815 | 130,365 | ||
Shares of Restricted Stock | ||||
Unvested at end of year (in shares) | 132,815 | 130,365 | ||
Restricted common stock | March 2022 | ||||
Summary of restricted common stock vesting dates | ||||
Shares Vesting (in shares) | 36,000 | 36,000 | ||
Shares of Restricted Stock | ||||
Unvested at end of year (in shares) | 36,000 | 36,000 | ||
Restricted common stock | Director | ||||
Share-Based Payments | ||||
Granted (in shares) | 127,275 | |||
Awards granted to each of the entity's independent directors (in shares) | 25,455 | |||
Shares of Restricted Stock | ||||
Granted (in shares) | 127,275 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - USD ($) | Mar. 23, 2021 | Dec. 17, 2020 | Sep. 22, 2020 | Jul. 01, 2020 | Mar. 31, 2020 | Mar. 31, 2020 | Dec. 31, 2020 | Mar. 31, 2021 | Dec. 19, 2019 | Dec. 21, 2017 | Mar. 31, 2017 |
Shareholders equity | |||||||||||
Shares authorized to be repurchased (in shares) | 2,700,000 | 2,100,000 | |||||||||
Stock repurchased during period (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 | $ 0.06 | $ 0.05 | ||||||||
Dividends, cash paid per share of common stock (in dollars per share) | $ 0.06 | $ 0.06 | $ 0.05 | ||||||||
2022 Notes | Convertible Debt | |||||||||||
Shareholders equity | |||||||||||
Exchange of convertible senior notes (in shares) | 1,354,084 | ||||||||||
Principal Balance | $ 5,000,000 | $ 175,000,000 | $ 168,300,000 | ||||||||
Common Stock Outstanding | |||||||||||
Shareholders equity | |||||||||||
Stock repurchased during period (in shares) | 100,000 | ||||||||||
Common Stock Outstanding | At The Market Offering | |||||||||||
Shareholders equity | |||||||||||
Equity offering amount, maximum | $ 100,000,000 | ||||||||||
Sale of stock (in shares) | 0 | 6,034,741 | |||||||||
Sale of stock, price per share (in dollars per share) | $ 3.70 | ||||||||||
Sale of stock, consideration received on transaction | $ 22,000,000 |
Net Income (loss) per Common _3
Net Income (loss) per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2021 | Mar. 31, 2020 | |
Numerator: | ||
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share | $ 7,953 | $ (381,857) |
Dividends and undistributed earnings allocated to participating securities | 48 | 0 |
Net income (loss) allocable to common stockholders — basic and diluted | $ 7,905 | $ (381,857) |
Denominator: | ||
Weighted average common shares outstanding for basic earnings per share (in shares) | 60,742,301 | 53,402,623 |
Weighted average common shares outstanding for diluted earnings per share (in shares) | 60,742,301 | 53,402,623 |
Basic earnings (loss) per common share (in dollars per share) | $ 0.13 | $ (7.15) |
Diluted earnings (loss) per common share (in dollars per share) | $ 0.13 | $ (7.15) |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2021 | Mar. 31, 2020 | Dec. 31, 2020 | |
Valuation Allowance [Line Items] | |||
Current federal, state and local, tax expense (benefit) | $ 98 | $ (93) | |
Deferred tax assets, gross | 21,000 | $ 21,000 | |
State Jurisdiction | |||
Valuation Allowance [Line Items] | |||
Deferred tax asset, net operating losses | 19,300 | 19,300 | |
State Jurisdiction | Taxable REIT Subsidiary | |||
Valuation Allowance [Line Items] | |||
Deferred tax asset, net operating losses | 2,100 | 2,100 | |
Capital Loss Carryforward | |||
Valuation Allowance [Line Items] | |||
Valuation allowances balance | 21,000 | 21,000 | |
Operating Loss Carryforwards | |||
Valuation Allowance [Line Items] | |||
Valuation allowances balance | $ 21,400 | $ 21,400 |
Subsequent Events (Details)
Subsequent Events (Details) | May 05, 2021 | May 04, 2020 |
Commercial Whole Loan Facility | Subsequent Event | ||
Subsequent Event [Line Items] | ||
Debt instrument, term | 12 months | |
Debt instrument extensions option term | 12 months | |
Non-Agency CMBS and Non-Agency RMBS Facility | ||
Subsequent Event [Line Items] | ||
Debt instrument, term | 12 months | |
Debt instrument extensions option term | 12 months | |
Non-Agency CMBS and Non-Agency RMBS Facility | Subsequent Event | ||
Subsequent Event [Line Items] | ||
Debt instrument, term | 12 months | |
Non-Agency CMBS and Non-Agency RMBS Facility | London Interbank Offered Rate (LIBOR) | ||
Subsequent Event [Line Items] | ||
Debt instrument, basis spread on variable rate | 5.00% | |
Non-Agency CMBS and Non-Agency RMBS Facility | London Interbank Offered Rate (LIBOR) | Subsequent Event | ||
Subsequent Event [Line Items] | ||
Debt instrument, basis spread on variable rate | 2.00% |