Document And Entity Information
Document And Entity Information - shares | 9 Months Ended | |
Sep. 30, 2018 | Oct. 23, 2018 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2018 | |
Document Fiscal Year Focus | 2,018 | |
Document Fiscal Period Focus | Q3 | |
Entity Registrant Name | AG Mortgage Investment Trust, Inc. | |
Entity Central Index Key | 1,514,281 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Trading Symbol | MITT | |
Entity Common Stock, Shares Outstanding | 28,743,527 |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Assets | ||
Residential mortgage loans, at fair value | $ 87,600 | $ 18,890 |
Commercial loans, at fair value | 94,618 | 57,521 |
Single-family rental properties, net | 140,059 | 0 |
Investments in debt and equity of affiliates | 79,698 | 99,696 |
Excess mortgage servicing rights, at fair value | 28,625 | 5,084 |
Cash and cash equivalents | 30,341 | 15,200 |
Restricted cash | 45,921 | 37,615 |
Interest receivable | 12,823 | 12,607 |
Receivable on unsettled trades - $274,677 and $0 pledged as collateral, respectively | 285,041 | 0 |
Receivable under reverse repurchase agreements | 5,750 | 24,671 |
Derivative assets, at fair value | 4,887 | 2,127 |
Other assets | 4,737 | 2,490 |
Due from broker | 4,526 | 850 |
Total Assets | 3,894,789 | 3,789,295 |
Liabilities | ||
Financing arrangements, net | 2,913,381 | 3,004,407 |
Securitized debt, at fair value | 11,481 | 16,478 |
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 5,730 | 24,379 |
Payable on unsettled trades | 212,839 | 2,419 |
Interest payable | 5,294 | 5,226 |
Derivative liabilities, at fair value | 1,030 | 450 |
Dividend payable | 14,369 | 13,392 |
Due to affiliates | 4,073 | 4,258 |
Accrued expenses | 5,457 | 790 |
Taxes payable | 1,299 | 1,545 |
Due to broker | 7,964 | 1,692 |
Total Liabilities | 3,182,917 | 3,075,036 |
Commitments and Contingencies | ||
Stockholders’ Equity | ||
Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 28,738 and 28,193 shares issued and outstanding at September 30, 2018 and December 31, 2017, respectively | 287 | 282 |
Additional paid-in capital | 595,310 | 585,530 |
Retained earnings/(deficit) | (44,939) | (32,767) |
Total Stockholders’ Equity | 711,872 | 714,259 |
Total Liabilities & Stockholders’ Equity | 3,894,789 | 3,789,295 |
8.25% Series A Cumulative Redeemable Preferred Stock [Member] | ||
Stockholders’ Equity | ||
Preferred stock - $0.01 par value; 50,000 shares authorized: | 49,921 | 49,921 |
8.00% Series B Cumulative Redeemable Preferred Stock [Member] | ||
Stockholders’ Equity | ||
Preferred stock - $0.01 par value; 50,000 shares authorized: | 111,293 | 111,293 |
Agency [Member] | ||
Assets | ||
Real estate securities, at fair value: | 2,031,715 | 2,247,161 |
Non-Agency [Member] | ||
Assets | ||
Real estate securities, at fair value: | 714,855 | 1,004,256 |
ABS [Member] | ||
Assets | ||
Real estate securities, at fair value: | 37,544 | 40,958 |
Liabilities | ||
Financing arrangements, net | 18,585 | 22,761 |
CMBS [Member] | ||
Assets | ||
Real estate securities, at fair value: | 286,049 | 220,169 |
Liabilities | ||
Financing arrangements, net | $ 214,880 | $ 159,490 |
Consolidated Balance Sheets (_2
Consolidated Balance Sheets (Unaudited) [Parenthetical] - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Fair Value of investments pledged as collateral under repurchase agreements | $ 274,677 | $ 0 |
Preferred Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred Stock, shares authorized | 50,000,000 | 50,000,000 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 450,000,000 | 450,000,000 |
Common stock, shares issued | 28,738,000 | 28,193,000 |
Common stock, shares outstanding | 28,738,000 | 28,193,000 |
Agency [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | $ 1,728,405 | $ 2,126,135 |
Non-Agency [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | 693,696 | 976,072 |
ABS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | 24,383 | 30,833 |
CMBS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | $ 272,907 | $ 211,180 |
8.25% Series A Cumulative Redeemable Preferred Stock [Member] | ||
Preferred Stock, shares issued | 2,070,000 | 2,070,000 |
Preferred Stock, shares outstanding | 2,070,000 | 2,070,000 |
Preferred Stock, liquidation preference | $ 51,750 | $ 51,750 |
8.00% Series B Cumulative Redeemable Preferred Stock [Member] | ||
Preferred Stock, shares issued | 4,600,000 | 4,600,000 |
Preferred Stock, shares outstanding | 4,600,000 | 4,600,000 |
Preferred Stock, liquidation preference | $ 115,000 | $ 115,000 |
Consolidated Statements of Oper
Consolidated Statements of Operations (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Net Interest Income | ||||
Interest income | $ 39,703 | $ 33,592 | $ 115,072 | $ 92,773 |
Interest expense | 18,692 | 11,959 | 50,289 | 30,322 |
Total Net Interest Income | 21,011 | 21,633 | 64,783 | 62,451 |
Other Income/(Loss) | ||||
Net realized gain/(loss) | (14,204) | 22 | (37,103) | (12,527) |
Net interest component of interest rate swaps | 1,816 | (2,147) | 1,607 | (5,615) |
Unrealized gain/(loss) on real estate securities and loans, net | 700 | 14,893 | (36,032) | 53,190 |
Unrealized gain/(loss) on derivative and other instruments, net | 6,589 | 2,423 | 48,460 | 4,224 |
Rental income | 794 | 0 | 794 | 0 |
Other income | 1 | 2 | 21 | 34 |
Total Other Income/(Loss) | (4,304) | 15,193 | (22,253) | 39,306 |
Expenses | ||||
Management fee to affiliate | 2,384 | 2,454 | 7,210 | 7,374 |
Other operating expenses | 3,503 | 2,603 | 10,168 | 8,247 |
Equity based compensation to affiliate | 66 | 61 | 211 | 226 |
Excise tax | 375 | 375 | 1,125 | 1,125 |
Servicing fees | 148 | 23 | 232 | 185 |
Property depreciation and amortization | 494 | 0 | 494 | 0 |
Property operating and maintenance expenses | 232 | 0 | 232 | 0 |
Property management fee | 88 | 0 | 88 | 0 |
Total Expenses | 7,290 | 5,516 | 19,760 | 17,157 |
Income/(loss) before equity in earnings/(loss) from affiliates | 9,417 | 31,310 | 22,770 | 84,600 |
Equity in earnings/(loss) from affiliates | 13,960 | 4,701 | 17,023 | 9,700 |
Net Income/(Loss) | 23,377 | 36,011 | 39,793 | 94,300 |
Dividends on preferred stock | 3,367 | 3,367 | 10,102 | 10,102 |
Net Income/(Loss) Available to Common Stockholders | $ 20,010 | $ 32,644 | $ 29,691 | $ 84,198 |
Earnings/(Loss) Per Share of Common Stock | ||||
Basic (in dollars per share) | $ 0.70 | $ 1.17 | $ 1.05 | $ 3.03 |
Diluted (in dollars per share) | $ 0.70 | $ 1.17 | $ 1.05 | $ 3.03 |
Weighted Average Number of Shares of Common Stock Outstanding | ||||
Basic (in shares) | 28,422 | 27,841 | 28,274 | 27,756 |
Diluted (in shares) | 28,438 | 27,857 | 28,282 | 27,770 |
Consolidated Statements of Stoc
Consolidated Statements of Stockholders’ Equity (Unaudited) - USD ($) $ in Thousands | Total | Common Stock [Member] | 8.25 % Series A Cumulative Redeemable Preferred Stock [Member] | 8.00 % Series B Cumulative Redeemable Preferred Stock [Member] | Additional Paid-in Capital [Member] | Retained Earnings/(Deficit) [Member] |
Beginning Balance (in shares) at Dec. 31, 2016 | 27,700,000 | |||||
Beginning Balance at Dec. 31, 2016 | $ 655,876 | $ 277 | $ 49,921 | $ 111,293 | $ 576,276 | $ (81,891) |
Net proceeds from issuance of common stock (in shares) | 461,000 | |||||
Net proceeds from issuance of common stock | 8,719 | $ 5 | 8,714 | |||
Grant of restricted stock and amortization of equity based compensation (in shares) | 28,000 | |||||
Grant of restricted stock and amortization of equity based compensation | 406 | 406 | ||||
Common dividends declared | (42,573) | (42,573) | ||||
Preferred Series A dividends declared | (3,202) | (3,202) | ||||
Preferred Series B dividends declared | (6,900) | (6,900) | ||||
Net Income/(Loss) | 94,300 | 94,300 | ||||
Ending Balance (in shares) at Sep. 30, 2017 | 28,189,000 | |||||
Ending Balance at Sep. 30, 2017 | 706,626 | $ 282 | 49,921 | 111,293 | 585,396 | (40,266) |
Beginning Balance (in shares) at Dec. 31, 2017 | 28,193,000 | |||||
Beginning Balance at Dec. 31, 2017 | 714,259 | $ 282 | 49,921 | 111,293 | 585,530 | (32,767) |
Net proceeds from issuance of common stock (in shares) | 512,000 | |||||
Net proceeds from issuance of common stock | 9,282 | $ 5 | 9,277 | |||
Grant of restricted stock and amortization of equity based compensation (in shares) | 33,000 | |||||
Grant of restricted stock and amortization of equity based compensation | 503 | 503 | ||||
Common dividends declared | (41,863) | (41,863) | ||||
Preferred Series A dividends declared | (3,202) | (3,202) | ||||
Preferred Series B dividends declared | (6,900) | (6,900) | ||||
Net Income/(Loss) | 39,793 | 39,793 | ||||
Ending Balance (in shares) at Sep. 30, 2018 | 28,738,000 | |||||
Ending Balance at Sep. 30, 2018 | $ 711,872 | $ 287 | $ 49,921 | $ 111,293 | $ 595,310 | $ (44,939) |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Cash Flows from Operating Activities | ||
Net income/(loss) | $ 39,793 | $ 94,300 |
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: | ||
Net amortization of premium | (1,644) | (3,528) |
Net realized (gain)/loss | 37,103 | 12,527 |
Unrealized (gains)/losses on real estate securities and loans, net | 36,032 | (53,190) |
Unrealized (gains)/losses on derivative and other instruments, net | (48,460) | (4,224) |
Property depreciation and amortization | 494 | 0 |
Equity based compensation to affiliate | 211 | 226 |
Equity based compensation expense | 292 | 180 |
(Income)/loss from investments in debt and equity of affiliates in excess of distributions received | (10,542) | (6,781) |
Change in operating assets/liabilities: | ||
Interest receivable | (597) | (3,230) |
Other assets | (147) | 70 |
Due from broker | (3,963) | (6) |
Interest payable | 4,350 | 7,730 |
Due to affiliates | (185) | 410 |
Accrued expenses | 4,642 | (257) |
Taxes payable | (247) | (541) |
Net cash provided by (used in) operating activities | 57,132 | 43,686 |
Cash Flows from Investing Activities | ||
Purchase of real estate securities | (1,568,919) | (1,572,650) |
Purchase of residential mortgage loans | (105,450) | 0 |
Purchase of commercial loans | (51,401) | (10,271) |
Purchase of U.S. Treasury securities | (249,659) | 0 |
Purchase of single-family rental properties | (140,553) | 0 |
Purchase of excess mortgage servicing rights | (25,162) | (2,436) |
Investments in debt and equity of affiliates | (54,718) | (14,861) |
Proceeds from sales of real estate securities | 1,516,411 | 467,286 |
Proceeds from sales of residential mortgage loans | 33,527 | 13,761 |
Proceeds from sales of U.S. treasury securities | 249,227 | 0 |
Principal repayments/return of basis on real estate securities and excess mortgage servicing rights | 361,767 | 328,931 |
Principal repayments on commercial loans | 14,522 | 13,478 |
Principal repayments on residential mortgage loans | 3,030 | 5,872 |
Distribution received in excess of income from investments in debt and equity of affiliates | 22,577 | 4,845 |
Net proceeds from/(payments made) on reverse repurchase agreements | 18,952 | 22,681 |
Net proceeds from/(payments made) on sales of securities borrowed under reverse repurchase agreements | (18,266) | (22,413) |
Net settlement of interest rate swaps and other instruments | 24,273 | (10,746) |
Net settlement of TBAs | 40 | 3,003 |
Cash flows provided by/(used in) other investing activities | 559 | 3,375 |
Net cash provided by/(used in) investing activities | 30,757 | (770,145) |
Cash Flows from Financing Activities | ||
Net proceeds from issuance of common stock | 9,282 | 8,730 |
Deferred financing costs paid | (1,013) | 0 |
Borrowings under financing arrangements | 40,760,112 | 26,155,914 |
Repayments of financing arrangements | (40,816,403) | (25,362,642) |
Repayments of loan participation | 0 | (1,800) |
Net collateral received from/(paid to) derivative counterparty | 34,252 | (281) |
Net collateral received from/(paid to) repurchase counterparty | 315 | (322) |
Dividends paid on common stock | (40,885) | (39,521) |
Dividends paid on preferred stock | (10,102) | (10,102) |
Net cash provided by/(used in) financing activities | (64,442) | 749,976 |
Net change in cash, cash equivalents and restricted cash | 23,447 | 23,517 |
Cash, cash equivalents, and restricted cash, Beginning of Period | 52,815 | 79,053 |
Cash, cash equivalents, and restricted cash, End of Period | 76,262 | 102,570 |
Supplemental disclosure of cash flow information: | ||
Cash paid for interest on financing arrangements | 48,894 | 26,763 |
Cash paid for excise and income taxes | 1,389 | 1,733 |
Supplemental disclosure of non-cash financing and investing activities: | ||
Principal repayments on real estate securities not yet received | 447 | 480 |
Common stock dividends declared but not paid | 14,369 | 16,209 |
Decrease in securitized debt | 4,952 | 4,311 |
Transfer from residential mortgage loans to other assets | 1,170 | 2,306 |
Transfer from non-agency to investments in debt and equity of affiliates | 44,970 | 0 |
Transfer from other assets to investments in debt and equity of affiliates | 242 | 0 |
Transfer from investments in debt and equity of affiliates to CMBS | 65,425 | 0 |
Transfer from financing arrangements to investments in debt and equity of affiliates | $ 33,720 | $ 0 |
Consolidated Statements of Ca_2
Consolidated Statements of Cash Flows (Unaudited) [Parenthetical] - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Dec. 31, 2016 |
Statement of Cash Flows [Abstract] | ||||
Cash and cash equivalents | $ 30,341 | $ 15,200 | $ 61,716 | |
Restricted cash | 45,921 | 37,615 | 40,854 | |
Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows | $ 76,262 | $ 52,815 | $ 102,570 | $ 79,053 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization AG Mortgage Investment Trust, Inc. (the “Company”) was incorporated in the state of Maryland on March 1, 2011. The Company is focused on investing in, acquiring and managing a diversified portfolio of residential mortgage-backed securities, or RMBS, issued or guaranteed by a U.S. government-sponsored entity such as Fannie Mae or Freddie Mac (collectively, “GSEs”), or any agency of the U.S. Government such as Ginnie Mae (collectively, “Agency RMBS”) and other real estate-related securities and financial assets, including Non-Agency RMBS, ABS, CMBS, excess mortgage servicing rights (“Excess MSRs”), loans, and single-family rental properties, each as described below. Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities or organizations other than a GSE or agency of the U.S. government, including investment grade (AAA through BBB) and non-investment grade classes (BB and below). The mortgage loan collateral for Non-Agency RMBS consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by U.S. government agencies or U.S. government-sponsored entities. Asset Backed Securities (“ABS”) are securitized investments for which the underlying assets are diverse, not only representing real estate related assets. Commercial Mortgage Backed Securities (“CMBS”) represent investments of fixed- and floating-rate CMBS, including investment grade (AAA through BBB) and non-investment grade classes (BB and below), secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans. Collectively, the Company refers to Agency RMBS, Non-Agency RMBS, ABS and CMBS asset types as “real estate securities” or “securities.” Commercial loans are secured by an interest in commercial real estate and represent a contractual right to receive money on demand or on fixed or determinable dates. Residential mortgage loans refer to performing, re-performing and non-performing loans secured by a first lien mortgage on residential mortgaged property located in any of the 50 states of the United States or in the District of Columbia. The Company refers to its residential and commercial mortgage loans as “mortgage loans” or “loans.” Single-family rental properties represent equity interests in residential properties held for the purpose of owning, leasing, and operating as single-family rental properties. The Company is externally managed by AG REIT Management, LLC, a Delaware limited liability company (the “Manager”), a wholly-owned subsidiary of Angelo, Gordon & Co., L.P. (“Angelo Gordon”), a privately-held, SEC-registered investment adviser, pursuant to a management agreement. The Manager, pursuant to a delegation agreement dated as of June 29, 2011, has delegated to Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the management agreement. The Company conducts its operations to qualify and be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”). The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries. All intercompany balances and transactions have been eliminated in consolidation. |
Summary of significant accounti
Summary of significant accounting policies | 9 Months Ended |
Sep. 30, 2018 | |
Accounting Policies [Abstract] | |
Summary of significant accounting policies | Summary of significant accounting policies The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America (“GAAP”) for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Certain prior period amounts have been reclassified to conform to the current period’s presentation. In the opinion of management, all adjustments considered necessary for a fair statement of the Company’s financial position, results of operations and cash flows have been included for the interim period and are of a normal and recurring nature. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. Cash and cash equivalents Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents includes cash invested in money market funds. As of September 30, 2018 , the Company held $14.7 million of cash equivalents. As of December 31, 2017 , the Company held no cash equivalents. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of “Cash and cash equivalents” on the consolidated balance sheets. Any cash held by the Company as collateral is included in the “Due to broker” line item on the consolidated balance sheets and in cash flows from financing activities on the consolidated statement of cash flows. Due to broker does not include variation margin received on centrally cleared derivatives. See Note 9 for more detail. Any cash due to the Company in the form of principal payments is included in the “Due from broker” line item on the consolidated balance sheets and in cash flows from operating activities on the consolidated statement of cash flows. Restricted cash Restricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, financing arrangements and security deposits. Restricted cash is not available to the Company for general corporate purposes. As of September 30, 2018, the Company held $1.2 million of restricted cash related to security deposits. As of December 31, 2017, the Company held no restricted cash related to security deposits. Restricted cash may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the derivative or financing arrangement. Restricted cash is carried at cost, which approximates fair value. Restricted cash does not include variation margin pledged on centrally cleared derivatives. See Note 9 for more detail. Offering costs The Company has incurred offering costs in connection with common stock offerings and registration statements. Where applicable, the offering costs were paid out of the proceeds of the respective offerings. Offering costs in connection with common stock offerings and costs in connection with registration statements have been accounted for as a reduction of additional paid-in capital. Use of estimates The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates. Earnings/(Loss) per share In accordance with the provisions of Accounting Standards Codification (“ASC”) 260, “Earnings per Share,” the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted-average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive. Valuation of financial instruments The fair value of the financial instruments that the Company records at fair value will be determined by the Manager, subject to oversight of the Company’s board of directors, and in accordance with ASC 820, “Fair Value Measurements and Disclosures.” When possible, the Company determines fair value using independent data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under ASC 820 are described below: • Level 1 – Quoted prices in active markets for identical assets or liabilities. • Level 2 – Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. • Level 3 – Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. Transfers between levels are assumed to occur at the beginning of the reporting period. Accounting for real estate securities Investments in real estate securities are recorded in accordance with ASC 320-10, “Investments – Debt and Equity Securities,” ASC 325-40, “Beneficial Interests in Securitized Financial Assets,” or ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality.” The Company has chosen to make a fair value election pursuant to ASC 825, “Financial Instruments” for its real estate securities portfolio. Real estate securities are recorded at fair market value on the consolidated balance sheets and the periodic change in fair market value is recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain/(loss) on real estate securities and loans, net.” Real estate securities acquired through securitizations are shown in the line item “Purchase of real estate securities” on the consolidated statement of cash flows. These investments meet the requirements to be classified as available for sale under ASC 320-10-25 which requires the securities to be carried at fair value on the consolidated balance sheets with changes in fair value recorded to other comprehensive income, a component of stockholders’ equity. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. When the Company purchases securities with evidence of credit deterioration since origination, it will analyze the securities to determine if the guidance found in ASC 310-30 is applicable. The Company accounts for its securities under ASC 310 and ASC 325 and evaluates securities for other-than-temporary impairment (“OTTI”) on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of a real estate security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” When a real estate security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. Additionally for securities accounted for under ASC 325-40 an OTTI is deemed to have occurred when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a “market participant” would use and include observations of current information and events, and assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of potential credit losses. Cash flows are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments are reflected in the “Net realized gain/(loss)” line item on the consolidated statement of operations. The determination as to whether an OTTI exists is subjective, given that such determination is based on information available at the time of assessment as well as the Company’s estimate of the future performance and cash flow projections for the individual security. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time. Increases in interest income may be recognized on a security on which the Company previously recorded an OTTI charge if the performance of such security subsequently improves. Any remaining unrealized losses on securities at September 30, 2018 do not represent other than temporary impairment as the Company has the ability and intent to hold the securities to maturity or for a period of time sufficient for a forecasted market price recovery up to or above the amortized cost of the investment, and the Company is not required to sell the security for regulatory or other reasons. In addition, any unrealized losses on the Company’s Agency RMBS accounted for under ASC 320 are not due to credit losses given their explicit guarantee of principal and interest by the GSEs, but rather are due to changes in interest rates and prepayment expectations. See Note 3 for a summary of OTTI charges recorded. Sales of securities are driven by the Manager’s portfolio management process. The Manager seeks to mitigate risks including those associated with prepayments, defaults, severities, amongst others and will opportunistically rotate the portfolio into securities with more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of securities, loans and derivatives are included in the “Net realized gain/(loss)” line item on the consolidated statement of operations. The cost of positions sold is calculated using a first in, first out, or FIFO, basis. Realized gains and losses are recorded in earnings at the time of disposition. Accounting for residential and commercial mortgage loans Investments in mortgage loans are recorded in accordance with ASC 310-10, “Receivables.” At purchase, the Company may aggregate its mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. The Company has chosen to make a fair value election pursuant to ASC 825 for its mortgage loan portfolio. Loans are recorded at fair market value on the consolidated balance sheets and any periodic change in fair market value will be recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain/(loss) on real estate securities and loans, net.” The Company amortizes or accretes any premium or discount over the life of the loans utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal on its loans to determine whether they are impaired. A loan or pool of loans is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan or pool of loans is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged. When the Company purchases mortgage loans with evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those loans, it will apply the guidance found in ASC 310-30. Mortgage loans that are delinquent 60 or more days are considered non-performing. The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for loans accounted for under ASC 310-30. In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of principal and interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations. If based on the most current information and events it is probable that there is a significant increase in cash flows previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the loan’s yield over its remaining life. The Company will adjust the amount of accretable yield by reclassification from the nonaccretable difference. The adjustment is accounted for as a change in estimate in conformity with ASC 250, “Accounting Changes and Error Corrections” with the amount of periodic accretion adjusted over the remaining life of the loan. Decreases in cash flows expected to be collected from previously projected cash flows, which includes all cash flows originally expected to be collected by the investor plus any additional cash flows expected to be collected arising from changes in estimate after acquisition, may be recognized as impairment. Increases in interest income may be recognized on a loan on which the Company previously recorded an OTTI charge if the performance of such loan subsequently improves. Investments in debt and equity of affiliates The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method. A majority of the Company’s investments held through affiliated entities are comprised of real estate securities, Excess MSRs, and loans, including loans held through Mortgage Acquisition Holding I LLC (“MATH”) as discussed below. These types of investments are also held directly by the Company. These entities have chosen to make a fair value election on their financial instruments pursuant to ASC 825; as such, the Company will treat these investments consistently with this election. As of September 30, 2018 and December 31, 2017 , these investments had a gross fair market value of $164.9 million and $88.3 million , respectively, net of any non-recourse securitized debt. During Q3 2018, the Company transfered certain of its CMBS from certain of its non-wholly owned subsidiaries to a consolidated entity. The Company executed this transfer in order to obtain financing on these real estate securities. As a result, there was a reclassification of these assets from the “Investments in debt and equity affiliates” line item to the “CMBS” line item on the Company's consolidated balance sheets. In addition, the Company has also shown this reclassification as a non-cash transfer from the “Investments in debt and equity affiliates” line item to the “CMBS” line item on its consolidated statements of cash flows. On December 9, 2015, the Company, alongside private funds under the management of Angelo Gordon, through AG Arc LLC, one of the Company’s indirect subsidiaries (“AG Arc”), formed Arc Home LLC (“Arc Home”). The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. As of September 30, 2018 and December 31, 2017 , the Company’s interest in AG Arc had a fair market value of $23.1 million and $17.9 million , respectively. See Note 12 for additional detail. On August 27, 2017, the Company, alongside private funds under the management of Angelo Gordon, formed MATH to conduct a residential mortgage investment strategy. MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC (“MATT”) to purchase predominantly “Non-QMs,” which are residential mortgage loans that are not deemed “qualified mortgage,” or “QM,” loans under the rules of the CFPB. Non-QMs are not eligible for delivery to Fannie Mae, Freddie Mac, or Ginnie Mae. MATT is expected to make an election to be treated as a real estate investment trust beginning with the 2018 tax year. In furtherance of this business, MATH’s sponsoring funds have agreed to provide up to $75.0 million of capital to MATH, of which the Company agreed to provide $33.4 million for use in this mortgage investment business (net of any return of capital to the Company). The Company invests in MATT through MATH, and these indirect subsidiaries have chosen to make a fair value election on their respective financial instruments pursuant to ASC 825. As such, the Company will treat this investment consistently with this election. As of September 30, 2018 , the Company had funded $14.5 million of its total capital commitment and the Company’s outstanding commitment was $18.9 million (net of any return of capital to the Company). The Company’s investments in debt and equity of affiliates are recorded at fair market value on the consolidated balance sheets in the “Investments in debt and equity of affiliates” line item and periodic changes in fair market value are recorded in current period earnings on the consolidated statement of operations as a component of “Equity in earnings/(loss) from affiliates.” Capital contributions, distributions and profits and losses of such entities are allocated in accordance with the terms of the applicable agreements. Accounting for excess mortgage servicing rights The Company has acquired the right to receive the excess servicing spread related to Excess MSRs. The Company has chosen to make a fair value election pursuant to ASC 825 for Excess MSRs. Excess MSRs are recorded at fair market value on the consolidated balance sheets and any periodic change in fair market value is recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain/(loss) on derivative and other instruments, net.” The Company amortizes or accretes any premium or discount over the life of the related Excess MSRs utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of interest of its Excess MSRs to determine whether they are impaired. An Excess MSR is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for Excess MSRs. In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations. If there is a significant increase in expected cash flows over what was previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the Excess MSR’s yield over its remaining life. Decreases in cash flows expected to be collected from previously projected cash flows, which includes all cash flows originally expected to be collected by the investor plus any additional cash flows expected to be collected arising from changes in estimate after acquisition, may be recognized as impairment. Increases in interest income may be recognized on an Excess MSR on which the Company previously recorded an OTTI charge if the performance of such Excess MSR subsequently improves. Accounting for single-family rental properties Purchases of single-family rental properties are treated as asset acquisitions under ASU 2017-01, “Clarifying the Definition of a Business” and are recorded at their purchase price, which is allocated between land, building and improvements, and in-place lease intangibles (when a tenant is in place at the acquisition date) based upon their relative fair values at the date of acquisition. Fair value is determined in accordance with ASC 820 and is primarily based on unobservable data inputs. In making estimates of fair values for purposes of allocating the purchase price, the Company utilizes its own market knowledge and published market data and generally engages a third-party valuation specialist to assist management in the determination of fair value for purposes of allocating price of properties acquired as part of portfolio level transactions. For purposes of this allocation, the purchase price is inclusive of acquisition costs, which include legal costs, as well as other closing costs. The Company incurs costs to acquire, stabilize and prepare our single-family rental properties to be rented. These costs include renovation and other costs associated with these activities. The Company capitalizes these costs as a component of the Company's investment in each single-family rental property, using specific identification and relative allocation methodologies. The capitalization period associated with the Company's stabilization activities begins at such time that activities commence and concludes at the time that a single-family rental property is available to be leased. Once a property is ready for its intended use, expenditures for ordinary maintenance and repairs are expensed to operations as incurred. The Company capitalizes expenditures that improve or extend the life of a home and for certain furniture and fixtures additions. The Company records single-family rental properties at purchase price less accumulated depreciation. Costs capitalized in connection with property acquisitions and improvements are depreciated over their estimated useful lives on a straight line basis. For costs capitalized in connection with property acquisitions and improvements, the weighted average useful lives range from 5 years to 30 years. In-place lease intangibles are recorded based on the costs to execute similar leases as well as an estimate of lost rent revenue at in-place rental rates during the estimated time required to lease the property. The in-place lease intangibles are amortized over the remaining life of the leases and are recorded in “Single-family rental properties, net” on the Company's consolidated balance sheets. The weighted average remaining life of the leases is 7.4 months. The Company assesses impairment in its single-family rental properties at least on a quarterly basis, or whenever events or changes in business circumstances indicate that carrying amounts of the assets may not be fully recoverable. When such trigger events occur, the Company determines whether there has been impairment by comparing the asset’s carrying value with its estimated fair value. Should impairment exist, the asset is written down to its estimated fair value. This analysis is performed at the property level using estimated cash flows, which are estimated based on a number of assumptions that are subject to economic and market uncertainties, including, among others, demand for rental properties, competition for customers, changes in market rental rates, costs to operate each property, expected ownership periods and value of the property. If the carrying amount of a property exceeds the sum of its undiscounted future operating and disposition cash flows, an impairment loss is recorded for excess of the carrying amount over the estimated fair value. Minimum contractual rents from leases are recognized on a straight-line basis over the terms of the leases in rental income. Therefore, actual amounts billed in accordance with the lease during any given period may be higher or lower than the amount of rental income recognized during the period. Straight-line rental income commences when the customer takes control of the leased premises. Investment consolidation and transfers of financial assets For each investment made, the Company evaluates the underlying entity that issued the securities acquired or to which the Company makes a loan to determine the appropriate accounting. A similar analysis will be performed for each entity with which the Company enters into an agreement for management, servicing or related services. In performing the analysis, the Company refers to guidance in ASC 810-10, “Consolidation.” In situations where the Company is the transferor of financial assets, the Company refers to the guidance in ASC 860-10 “Transfers and Servicing.” In variable interest entities (“VIEs”), an entity is subject to consolidation under ASC 810-10 if the equity investors either do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of ASC 810-10 are required to be consolidated by their 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 of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. See Note 3 for more detail. The Company entered into a resecuritization transaction in 2014 which resulted in the Company consolidating the VIE that was created to facilitate the transaction and to which the underlying assets in connection with the resecuritization were transferred. In determining the accounting treatment to be applied to this resecuritization transaction, the Company evaluated whether the entity used to facilitate this transaction was a VIE and, if so, whether it should be consolidated. Based on its evaluation, the Company concluded that the VIE should be consolidated. If the Company had determined that consolidation was not required, it would have then assessed whether the transfer of the underlying assets would qualify as a sale or should be accounted for as secured financings under GAAP. See Note 3 below for more detail. The Company transferred certain of its CMBS in Q3 2018 from certain of its non-wholly owned subsidiaries into a newly formed entity so the Company could obtain financing on these real estate securities. The Company evaluated whether this newly formed entity was a VIE and, whether it should be consolidated. Based on its evaluation, the Company concluded that the VIE should be consolidated. If the Company had determined that consolidation was not required, it would have accounted for its investment in this entity as an equity method investment. See Note 3 below as well as the “Investments in debt and equity of affiliates” section above for more detail. The Company may periodically enter into transactions in which it transfers assets to a third party. Upon a transfer of financial assets, the Company will sometimes retain or acquire senior or subordinated interests in the related assets. Pursuant to ASC 860-10, a determination must be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor’s continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term “participating interest” to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale. Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair values. The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. On February 12, 2016, the Company originated a $12.0 million commercial loan and at closing, transferred a 15% or $1.8 million interest in the loan (the “Participation Interest”) to an unaffiliated third party. The Company, as transferor, evaluated the transfer under ASC 860-10, and concluded the transferred participation interest should be accounted for as a secured borrowing. The Company has recorded the $12.0 million commercial loan on its consolidated balance sheets as an asset in the “Commercial loans, at fair value” line item. The Company has recorded a $1.8 million liability in the “Loan participation payable, at fair value” line item representing the transfer of the participation interest. The Company has chosen to make a fair value election on the consolidated interest pursuant to ASC 825. The holder of the participation interest has no recourse to the general credit of the Company. The commercial loan was p |
Real Estate Securities
Real Estate Securities | 9 Months Ended |
Sep. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Real Estate Securities | Real Estate Securities The following tables detail the Company’s real estate securities portfolio as of September 30, 2018 and December 31, 2017 . The Company’s Agency RMBS are mortgage pass-through certificates or collateralized mortgage obligations (“CMOs”) representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. The principal and interest payments on Agency RMBS securities have an explicit guarantee by either an agency of the U.S. government or a U.S. government-sponsored entity. The Company’s Non-Agency RMBS, ABS and CMBS portfolios are primarily not issued or guaranteed by Fannie Mae, Freddie Mac or any agency of the U.S. Government and are therefore subject to credit risk. The following table details the Company’s real estate securities portfolio as of September 30, 2018 (in thousands): Gross Unrealized (1) Weighted Average Current Face Premium / (Discount) Amortized Cost Gains Losses Fair Value Coupon (2) Yield Agency RMBS: 30 Year Fixed Rate $ 1,740,991 $ 44,102 $ 1,785,093 $ 523 $ (23,147 ) $ 1,762,469 3.99 % 3.61 % Fixed Rate CMO 46,042 350 46,392 — (1,069 ) 45,323 3.00 % 2.79 % ARM 108,008 506 108,514 — (2,693 ) 105,821 2.41 % 2.87 % Interest Only 700,861 (581,230 ) 119,631 1,927 (3,456 ) 118,102 3.74 % 7.73 % Total Agency: 2,595,902 (536,272 ) 2,059,630 2,450 (30,365 ) 2,031,715 3.84 % 3.79 % Credit Investments: Non-Agency RMBS 851,628 (197,511 ) 654,117 58,650 (1,772 ) 710,995 4.81 % 6.62 % Non-Agency RMBS Interest Only 315,347 (312,148 ) 3,199 1,329 (668 ) 3,860 0.56 % 26.75 % Total Non-Agency: 1,166,975 (509,659 ) 657,316 59,979 (2,440 ) 714,855 4.09 % 6.73 % ABS 37,453 (176 ) 37,277 311 (44 ) 37,544 8.79 % 9.36 % CMBS 389,160 (166,154 ) 223,006 14,022 (1,676 ) 235,352 5.93 % 8.32 % CMBS Interest Only 3,410,010 (3,361,455 ) 48,555 2,562 (420 ) 50,697 0.25 % 6.81 % Total CMBS: 3,799,170 (3,527,609 ) 271,561 16,584 (2,096 ) 286,049 0.53 % 8.05 % Total $ 7,599,500 $ (4,573,716 ) $ 3,025,784 $ 79,324 $ (34,945 ) $ 3,070,163 2.24 % 4.94 % (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item on the consolidated statement of operations. The gross unrealized stated above represents inception to date unrealized gains/(losses). (2) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. The following table details the Company’s real estate securities portfolio as of December 31, 2017 (in thousands): Gross Unrealized (1) Weighted Average Current Face Premium / (Discount) Amortized Cost Gains Losses Fair Value Coupon (2) Yield Agency RMBS: 30 Year Fixed Rate $ 1,848,172 $ 81,134 $ 1,929,306 $ 5,125 $ (5,398 ) $ 1,929,033 3.79 % 3.13 % Fixed Rate CMO 52,264 406 52,670 281 — 52,951 3.00 % 2.79 % ARM 176,561 (835 ) 175,726 683 (22 ) 176,387 2.35 % 2.83 % Interest Only 644,239 (554,353 ) 89,886 1,608 (2,704 ) 88,790 3.27 % 6.84 % Total Agency: 2,721,236 (473,648 ) 2,247,588 7,697 (8,124 ) 2,247,161 3.56 % 3.25 % Credit Investments: Non-Agency RMBS 1,165,534 (228,543 ) 936,991 66,813 (2,210 ) 1,001,594 4.45 % 6.10 % Non-Agency RMBS Interest Only 371,297 (367,977 ) 3,320 130 (788 ) 2,662 0.30 % 10.49 % Total Non-Agency: 1,536,831 (596,520 ) 940,311 66,943 (2,998 ) 1,004,256 3.38 % 6.12 % ABS 40,655 (438 ) 40,217 741 — 40,958 7.61 % 8.27 % CMBS 221,305 (51,818 ) 169,487 1,060 (1,080 ) 169,467 5.58 % 6.23 % CMBS Interest Only 2,021,261 (1,974,313 ) 46,948 3,778 (24 ) 50,702 0.40 % 6.63 % Total CMBS: 2,242,566 (2,026,131 ) 216,435 4,838 (1,104 ) 220,169 0.80 % 6.32 % Total $ 6,541,288 $ (3,096,737 ) $ 3,444,551 $ 80,219 $ (12,226 ) $ 3,512,544 2.60 % 4.32 % (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item on the consolidated statement of operations. The gross unrealized stated above represents inception to date unrealized gains/(losses). (2) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. The following table presents the gross unrealized losses and fair value of the Company’s real estate securities by length of time that such securities have been in a continuous unrealized loss position as of September 30, 2018 and December 31, 2017 (in thousands): Less than 12 months Greater than 12 months As of Fair Value Unrealized Losses Fair Value Unrealized Losses September 30, 2018 $ 1,803,448 $ (31,967 ) $ 63,062 $ (2,978 ) December 31, 2017 1,116,925 (8,012 ) 188,434 (4,214 ) As described in Note 2, the Company evaluates securities for OTTI on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of a real estate security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” For the three months ended September 30, 2018 the Company recognized an OTTI charge of $ 5.0 million on its securities, which is included in the “Net realized gain/(loss)” line item on the consolidated statement of operations. Of this amount, $2.9 million was recognized on eight securities in an unrealized loss position which the Company demonstrated intent to sell, and the charge represents a write-down of cost to fair value as of the reporting date. The Company recorded $2.1 million of OTTI due to an adverse change in cash flows on certain securities where the fair values of the securities were less than their carrying amounts. Of the $ 5.0 million of OTTI recorded, $ 3.4 million related to securities where OTTI was not recognized in a prior year. For the nine months ended September 30, 2018 the Company recognized an OTTI charge of $6.7 million on its securities, which is included in the “Net realized gain/(loss)” line item on the consolidated statement of operations. Of this amount, $2.9 million was recognized on eight securities in an unrealized loss position which the Company demonstrated intent to sell, and the charge represents a write-down of cost to fair value as of the reporting date. The Company recorded $3.8 million of OTTI due to an adverse change in cash flows on certain securities where the fair values of the securities were less than their carrying amounts. Of the $6.7 million of OTTI recorded, $4.5 million related to securities where OTTI was not recognized in a prior year. For the three months ended September 30, 2017 the Company recognized an OTTI charge of $2.0 million on its securities, which is included in the “Net realized gain/(loss)” line item on the consolidated statement of operations. The Company recorded $2.0 million of OTTI due to an adverse change in cash flows on certain securities where the fair values of the securities were less than their carrying amounts. Of the $2.0 million of OTTI recorded, $0.7 million related to securities where OTTI was not recognized in a prior year. For the nine months ended September 30, 2017 the Company recognized an OTTI charge of $6.5 million on its securities, which is included in the “Net realized gain/(loss)” line item on the consolidated statement of operations. Of this amount, $1.9 million was recognized on three securities in an unrealized loss position which the Company demonstrated intent to sell, and the charge represents a write-down of cost to fair value as of the reporting date. The Company recorded $4.6 million of OTTI due to an adverse change in cash flows on certain securities where the fair values of the securities were less than their carrying amounts. Of the $4.6 million of OTTI recorded, $1.8 million related to securities where OTTI was not recognized in a prior year. The decline in value of the remaining real estate securities is solely due to market conditions and not the credit quality of the assets. The investments in any remaining unrealized loss positions are not considered other than temporarily impaired because the Company currently has the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments and the Company is not required to sell the investments for regulatory or other reasons. The following table details the weighted average life of our real estate securities broken out by Agency RMBS, Agency Interest-Only (“IO”) and Credit Investments as of September 30, 2018 (in thousands): Agency RMBS (1) Agency IO Credit Investments (2) Weighted Average Life (3) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon (4) Less than or equal to 1 year $ — $ — — $ — $ — — $ 110,603 $ 111,154 0.74 % Greater than one year and less than or equal to five years 151,172 154,934 2.59 % 18,379 17,559 3.02 % 327,349 312,781 0.99 % Greater than five years and less than or equal to ten years 1,407,700 1,426,849 4.01 % 99,723 102,072 3.97 % 436,396 398,028 1.53 % Greater than ten years 354,741 358,216 3.90 % — — — 164,100 144,191 5.69 % Total $ 1,913,613 $ 1,939,999 3.87 % $ 118,102 $ 119,631 3.74 % $ 1,038,448 $ 966,154 1.33 % (1) For purposes of this table, Agency RMBS represent securities backed by Fixed Rate 30 Year mortgages, ARMs and Fixed Rate CMOs. (2) For purposes of this table, Credit Investments represent Non-Agency RMBS, ABS, CMBS and Interest Only credit securities. (3) Actual maturities of mortgage-backed securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. (4) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. The following table details the weighted average life of our real estate securities broken out by Agency RMBS, Agency IO and Credit Investments as of December 31, 2017 (in thousands): Agency RMBS (1) Agency IO Credit Investments (2) Weighted Average Life (3) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon (4) Less than or equal to 1 year $ — $ — — $ — $ — — $ 117,532 $ 117,805 2.15 % Greater than one year and less than or equal to five years 229,338 228,397 2.50 % 28,837 29,520 2.36 % 477,066 460,334 1.07 % Greater than five years and less than or equal to ten years 1,865,474 1,865,706 3.79 % 59,953 60,366 4.36 % 482,184 452,403 2.87 % Greater than ten years 63,559 63,599 3.50 % — — — 188,601 166,421 5.31 % Total $ 2,158,371 $ 2,157,702 3.64 % $ 88,790 $ 89,886 3.27 % $ 1,265,383 $ 1,196,963 1.89 % (1) For purposes of this table, Agency RMBS represent securities backed by Fixed Rate 30 Year mortgages, ARMs and Fixed Rate CMOs. (2) For purposes of this table, Credit Investments represent Non-Agency RMBS, ABS, CMBS and Interest Only credit securities. (3) Actual maturities of mortgage-backed securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. (4) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. For the three months ended September 30, 2018 , the Company sold 14 securities for total proceeds of $201.7 million, with an additional $283.9 million proceeds on 24 unsettled security sales, recording realized gains of $0.3 million and realized losses of $18.4 million. For the nine months ended September 30, 2018 , the Company sold 119 securities for total proceeds of $1.5 billion , with an additional $283.9 million proceeds on 24 unsettled security sales, recording realized gains of $6.5 million and realized losses of $53.9 million . For the three months ended September 30, 2017 , the Company sold 22 securities for total proceeds of $206.4 million, recording realized gains of $2.5 million and realized losses of $0.1 million. For the nine months ended September 30, 2017 , the Company sold 52 securities for total proceeds of $467.3 million , recording realized gains of $3.5 million and realized losses of $2.2 million . See Notes 4 and 9 for amounts realized on sales of loans and the settlement of certain derivatives, respectively. A Special Purpose Entity (“SPE”) is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to a SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. See Note 2 for more detail. The Company previously entered into a resecuritization transaction in 2014 that resulted in the Company consolidating the VIE created for the transaction with the SPE, which was used to facilitate the transaction (“VIE A”). The Company concluded that the SPE created to facilitate this transaction was a VIE. The Company also determined that the VIE created to facilitate the resecuritization transaction should be consolidated by the Company and treated as a secured borrowing, based on the Company’s involvement in the VIE, including the design and purpose of the SPE, and whether the Company’s involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of the VIE. The following table details certain information on VIE A as of September 30, 2018 (in thousands): Weighted Average Current Face Fair Value Coupon Yield Life (Years) (1) Consolidated tranche (2) $ 11,403 $ 11,481 3.85 % 4.46 % 2.46 Retained tranche 8,486 6,548 4.92 % 18.65 % 8.52 Total resecuritized asset $ 19,889 $ 18,029 4.31 % 9.61 % 5.04 (1) Actual maturities of investments and loans are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. (2) As of September 30, 2018 , the fair market value of the consolidated tranche is included in the Company’s consolidated balance sheets as “Non-Agency RMBS.” As of September 30, 2018 , the Company has recorded secured financing of $11.5 million on the consolidated balance sheets in the “Securitized debt, at fair value” line item. The Company recorded the proceeds from the issuance of the secured financing in the “Cash Flows from Financing Activities” section of the consolidated statement of cash flows at the time of securitization. The following table details certain information on VIE A as of December 31, 2017 (in thousands): Weighted Average Current Face Fair Value Coupon Yield Life (Years) (1) Consolidated tranche (2) $ 16,355 $ 16,478 3.11 % 3.92 % 2.95 Retained tranche 8,618 6,100 4.28 % 15.48 % 9.04 Total resecuritized asset $ 24,973 $ 22,578 3.51 % 7.04 % 5.05 (1) Actual maturities of investments and loans are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. (2) As of December 31, 2017 , the fair market value of the consolidated tranche is included in the Company’s consolidated balance sheets as “Non-Agency RMBS.” As of December 31, 2017 , the Company has recorded secured financing of $16.5 million on the consolidated balance sheets in the “Securitized debt, at fair value” line item. The Company recorded the proceeds from the issuance of the secured financing in the “Cash Flows from Financing Activities” section of the consolidated statement of cash flows at the time of securitization. The holders of the consolidated tranche have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to VIE A. The Company transferred certain of its CMBS in Q3 2018 from certain of its non-wholly owned subsidiaries into a newly formed entity so it could obtain financing on these real estate securities (“VIE B”). The Company concluded that the entity created to facilitate this transfer was a VIE. The Company also determined that VIE B should be consolidated by the Company based on the Company’s 100% equity ownership in VIE B (despite a profit participation interest held by an unaffiliated third party in VIE B), the Company's involvement in VIE B, including the design and purpose of the entity, and whether the Company’s involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of VIE B. The following table details certain information on VIE B as of September 30, 2018 (in thousands): September 30, 2018 Assets CMBS $ 81,146 Cash and cash equivalents 492 Restricted cash 351 Interest receivable 152 Total assets $ 82,141 Liabilities Financing arrangements, net $ 56,891 Interest payable 205 Accrued expenses 2,399 Total liabilities $ 59,495 The Company did not have an interest in VIE B as of December 31, 2017 . Except for restricted cash, assets held by VIE B are not restricted and can be used to settle any obligations of the Company. The liabilities of VIE B are recourse to the Company and can be satisfied with assets of the Company. |
Loans
Loans | 9 Months Ended |
Sep. 30, 2018 | |
Receivables [Abstract] | |
Loans | Loans Residential mortgage loans In June 2018, the Company purchased a residential mortgage loan portfolio with an aggregate unpaid principal balance and acquisition fair value of $86.3 million and $76.3 million , respectively, net of sales. The table below details certain information regarding the Company’s residential mortgage loan portfolio as of September 30, 2018 (in thousands): Gross Unrealized (1) Weighted Average Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (2) Residential mortgage loans $ 101,259 $ (13,982 ) $ 87,277 $ 975 $ (652 ) $ 87,600 3.57 % 6.84 % 7.56 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item. The gross unrealized stated above represents inception to date unrealized gains (losses). (2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The table below details certain information regarding the Company’s residential mortgage loan portfolio as of December 31, 2017 (in thousands): Gross Unrealized (1) Weighted Average Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (2) Residential mortgage loans $ 25,676 $ (7,792 ) $ 17,884 $ 1,006 $ — $ 18,890 3.10 % 12.24 % 5.67 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item. The gross unrealized stated above represents inception to date unrealized gains (losses). (2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The table below details information regarding the Company’s re-performing and non-performing residential mortgage loans as of September 30, 2018 and December 31, 2017 (in thousands): September 30, 2018 December 31, 2017 Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance Re-Performing $ 45,143 $ 51,776 $ 7,069 $ 9,544 Non-Performing 42,457 49,483 11,821 16,132 $ 87,600 $ 101,259 $ 18,890 $ 25,676 As described in Note 2, the Company evaluates loans for OTTI on at least a quarterly basis. The determination of whether a loan is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of a loan is less than its amortized cost at the balance sheet date, the loan is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” No OTTI was recorded for the three and nine months ended September 30, 2018 on the Company’s residential mortgage loans. No OTTI was recorded for the three months ended September 30, 2017 . For the nine months ended September 30, 2017 the Company recognized $0.4 million of OTTI on certain loan pools, which is included in the “Net realized gain/(loss)” line item on the consolidated statement of operations. The Company recorded the $0.4 million of OTTI due to an adverse change in cash flows where the fair values of the securities were less than their carrying amounts. The $0.4 million related to non-performing loan pools with an unpaid principal balance of $9.4 million and an average fair market value of $6.6 million and $8.2 million for the three and nine months ended September 30, 2017 , respectively. As of September 30, 2018 and December 31, 2017 the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $11.9 million and $9.1 million , respectively. The Company’s mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the U.S. The following is a summary of the geographic concentration of credit risk within the Company’s mortgage loan portfolio: Geographic Concentration of Credit Risk September 30, 2018 December 31, 2017 Percentage of fair value of mortgage loans secured by properties in the following states: Representing 5% or more of fair value: California 27 % 7 % New York 9 % 37 % Florida 8 % 1 % New Jersey 5 % 6 % Maryland 4 % 7 % The Company records interest income on a level-yield basis. The accretable discount is determined by the excess of the Company’s estimate of undiscounted principal, interest, and other cash flows expected to be collected over its initial investment in the mortgage loan. The following is a summary of the changes in the accretable portion of discounts for the three and nine months ended September 30, 2018 and September 30, 2017 , respectively (in thousands): Three Months Ended Nine Months Ended September 30, 2018 September 30, 2017 September 30, 2018 September 30, 2017 Beginning Balance $ 45,050 $ 10,342 $ 9,318 $ 18,281 Additions — — 36,443 — Accretion (1,492 ) (506 ) (2,525 ) (1,968 ) Reclassifications from/(to) non-accretable difference (606 ) 1,476 1,215 4,858 Disposals (2,231 ) — (3,730 ) (9,859 ) Ending Balance $ 40,721 $ 11,312 $ 40,721 $ 11,312 As of September 30, 2018 , the Company’s residential mortgage loan portfolio was comprised of 601 conventional loans with original loan balances between $10,000 and $1.9 million. As of December 31, 2017 , the Company’s residential mortgage loan portfolio was comprised of 125 conventional loans with original loan balances between $9,000 and $1.1 million . For the three months ended September 30, 2018 , the Company sold 13 loans for total proceeds of $2.5 million, with an additional $1.1 million on 7 unsettled loan sales as of quarter end, recording realized gains of $0.8 million and realized losses of $(34.2) thousand. For the nine months ended September 30, 2018 , the Company sold 163 loans for total proceeds of $33.5 million, with an additional $1.1 million on 7 unsettled loan sales as of quarter end, recording realized gains of $1.5 million and realized losses of $(0.1) million. There were no sales for the three months ended September 30, 2017 . For the nine months ended September 30, 2017 , the Company sold 66 loans for total proceeds of $10.2 million , recording realized gains of $2.6 million and realized losses of $0.3 million . In addition, for the three and nine months ended September 30, 2017 , the Company received $3.6 million of proceeds from sold loans which were unsettled at December 31, 2016 . Commercial loans The following table presents detail on the Company’s commercial loan portfolio on September 30, 2018 (in thousands). Gross Unrealized (1) Weighted Average Loan (2) Current Face Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon (3) Yield Life (Years) (4) Initial Stated Maturity Date Extended Maturity Date (5) Location Loan B (6) $ 32,800 $ — $ 32,800 $ — $ — $ 32,800 6.87 % 7.25 % 0.78 July 1, 2016 July 1, 2019 TX Loan F (7) 10,417 (7 ) 10,410 7 — 10,417 13.13 % 14.05 % 0.19 September 9, 2018 September 9, 2019 MN Loan G (8) 15,401 — 15,401 — — 15,401 6.88 % 6.88 % 1.80 July 9, 2020 July 9, 2022 CA Loan H (9) 36,000 — 36,000 — — 36,000 5.91 % 5.91 % 1.46 March 9, 2019 March 9, 2020 AZ $ 94,618 $ (7 ) $ 94,611 $ 7 $ — $ 94,618 7.20 % 7.59 % 1.14 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item. The gross unrealized columns above represent inception to date unrealized gains (losses). (2) The Company has the contractual right to receive a balloon payment for each loan. (3) Each commercial loan investment has a variable coupon rate. (4) Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. (5) Represents the maturity date of the last possible extension option. (6) Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million , respectively. As of September 30, 2018 , Loan B has been extended to the extended maturity date shown above. (7) Loan F is a mezzanine loan of up to $14.6 million , of which $10.4 million has been advanced. As of the stated maturity date above, Loan F has been extended to December 2018. (8) Loan G is a first mortgage of up to $ 75.0 million, of which $ 15.4 million has been advanced. (9) Loan H is a first mortgage of up to $ 36.0 million, all of which has been advanced. The following table presents detail on the Company’s commercial loan portfolio on December 31, 2017 (in thousands). Gross Unrealized (1) Weighted Average Loan (2) Current Face Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon (3) Yield Life (Years) (4) Initial Stated Maturity Date Extended Maturity Date (5) Location Loan B (6) $ 32,800 $ — $ 32,800 $ — $ — $ 32,800 6.14 % 6.52 % 1.53 July 1, 2016 July 1, 2019 TX Loan E (7) 14,521 (1,028 ) 13,493 810 — 14,303 9.83 % 12.70 % 3.01 April 9, 2017 April 9, 2021 Various Loan F (8) 10,417 (76 ) 10,341 77 — 10,418 12.43 % 13.98 % 0.70 September 9, 2018 September 9, 2019 MN $ 57,738 $ (1,104 ) $ 56,634 $ 887 $ — $ 57,521 8.20 % 9.41 % 1.76 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item. The gross unrealized columns above represent inception to date unrealized gains (losses). (2) The Company has the contractual right to receive a balloon payment for each loan. (3) Each commercial loan investment has a variable coupon rate. (4) Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. (5) Represents the maturity date of the last possible extension option. (6) Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million , respectively. As of December 31, 2017 , Loan B has been extended to the extended maturity date shown above. (7) Loan E is a mezzanine loan. As of December 31, 2017 , Loan E has been extended to April 9, 2018. Loan E paid off at par in Q2 2018, with the Company receiving $14.5 million of principal proceeds. (8) Loan F is a mezzanine loan of up to $14.6 million, of which $10.4 million has been advanced. In February 2016, the Company originated a $12.0 million commercial loan and, at closing, transferred a 15.0% , or $1.8 million , participation interest in the loan (the “Participation Interest”) to an unaffiliated third party. The Participation Interest did not meet the sales criteria established under ASC 860; therefore, the entire commercial loan has been recorded as an asset in the “Commercial loans, at fair value” line item on the Company’s consolidated balance sheets, referred to in the above table as “Loan D.” The weighted average coupon and yield on the commercial loan was 10.62% and 14.33% , respectively, at December 31, 2016 . A $1.8 million liability was recorded in the “Loan participation payable, at fair value” line item on the Company’s consolidated balance sheets representing the transfer of the Participation Interest. The Company recorded the origination of the commercial loan in the “Cash Flows from Investing Activities” section and the proceeds from the transfer in the “Cash Flows from Financing Activities” section of the consolidated statement of cash flows. The weighted average coupon and yield on the Participation Interest was 10.62% and 21.70% , respectively, at December 31, 2016 . In February 2017, the Company received $12.0 million of proceeds from the pay-off of Loan D. The principal and interest due on the Participation Interest was paid from these proceeds. During the three and nine months ended September 30, 2018 , the Company recorded $10,665 and $1.1 million of discount accretion, respectively, on its commercial loans. The decrease in discount accretion is a result of the recognition of most of the outstanding discount on Loan E ,which paid off at par in April 2018 and for which the Company received $14.5 million of principal proceeds. During the three and nine months ended September 30, 2017 , the Company recorded $0.1 million and $ 0.3 million of discount accretion, respectively, on its commercial loans. |
Excess MSRs
Excess MSRs | 9 Months Ended |
Sep. 30, 2018 | |
Disclosure of Excess MSRs [Abstract] | |
Excess MSRs | Excess MSRs The following table presents detail on the Company’s Excess MSR portfolio on September 30, 2018 (in thousands). Gross Unrealized (1) Weighted Average Unpaid Principal Balance Amortized Cost Gains Losses Fair Value Yield Life (Years) (2) Agency Excess MSRs $ 3,665,174 $ 27,449 $ 1,486 $ (544 ) $ 28,391 11.30 % 7.03 Credit Excess MSRs 43,025 228 12 (6 ) 234 23.85 % 4.96 Total Excess MSRs $ 3,708,199 $ 27,677 $ 1,498 $ (550 ) $ 28,625 11.47 % 7.01 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its Excess MSR portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on derivative and other instruments, net” line item. The gross unrealized columns above represent inception to date unrealized gains (losses). (2) Actual maturities of Excess MSRs may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. The following table presents detail on the Company’s Excess MSR portfolio on December 31, 2017 (in thousands). Gross Unrealized (1) Weighted Average Unpaid Principal Amortized Cost Gains Losses Fair Value Yield Life (Years) (2) Agency Excess MSRs $ 768,385 $ 4,479 $ 333 $ (11 ) $ 4,801 12.23 % 6.30 Credit Excess MSRs 50,308 259 24 — 283 21.87 % 5.00 Total Excess MSRs $ 818,693 $ 4,738 $ 357 $ (11 ) $ 5,084 12.76 % 6.20 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its Excess MSR portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on derivative and other instruments, net” line item. The gross unrealized columns above represent inception to date unrealized gains (losses). (2) Actual maturities of Excess MSRs may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. As described in Note 2, the Company evaluates securities for OTTI on at least a quarterly basis. The determination of whether an excess MSR is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of an Excess MSR is less than its amortized cost at the balance sheet date, the Excess MSR is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” No OTTI was recorded for the three and nine months ended September 30, 2018 or the three and nine months ended September 30, 2017 . |
Single-Family Residential Prope
Single-Family Residential Properties | 9 Months Ended |
Sep. 30, 2018 | |
Real Estate [Abstract] | |
Single-Family Residential Properties | Single-family rental properties In September 2018, the Company purchased 1,225 single-family rental properties for $140.1 million . The Company also financed the portfolio with $103 million of 5 -year, fixed rate debt. The following table presents the net carrying amount associated with the Company's properties by component (in thousands). September 30, 2018 Land $ 29,182 Building 109,271 In-place lease intangibles 2,100 Single-family rental properties 140,553 Less: Accumulated depreciation and amortization (494 ) Single-family rental properties, net $ 140,059 As of September 30, 2018 , the carrying amount of the properties included $ 1.0 million of capitalized acquisition costs. During the three and nine months ended September 30, 2018 , the Company recognized $0.2 million of deprecation expense related to components of the properties. We also recognized $0.3 million of amortization related to in-place lease intangible assets. As the weighted average life of the in-place lease intangibles is 7.4 months, the Company expects to fully amortize these assets over that time period. These amounts are included in the “Property depreciation and amortization” line item in the consolidated statement of operations. Additionally, there was no impairment recognized during the three and nine months ended September 30, 2018 . The following table presents a schedule of non-cancellable, contractual, future minimum rent under leases at September 30, 2018 (in thousands). These rental payments are based on income recognition. Period Ending December 31, Amount 2018 (last 3 months) $ 2,660 2019 3,642 2020 37 2021 — 2022 — Thereafter — Total $ 6,339 |
Fair value measurements
Fair value measurements | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
Fair value measurements | Fair value measurements As described in Note 2, the fair value of financial instruments that are recorded at fair value will be determined by the Manager, subject to oversight of the Company’s board of directors, and in accordance with ASC 820, “Fair Value Measurements and Disclosures.” When possible, the Company determines fair value using independent data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. Values for the Company’s securities, Excess MSRs, securitized debt, derivatives and U.S. Treasury securities are based upon prices obtained from third party pricing services, which are indicative of market activity. The fair value of the Company’s obligation to return securities borrowed under reverse repurchase agreements is based upon the value of the underlying borrowed U.S. Treasury securities as of the reporting date. The evaluation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices such as the one-year constant maturity treasury and LIBOR, which are observable inputs. The evaluation also considers the underlying characteristics of each investment, which are also observable inputs, including: coupon; maturity date; loan age; reset date; collateral type; periodic and life cap; geography; and prepayment speeds. The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available. As part of the Company’s risk management process, the Company reviews and analyzes all prices obtained by comparing prices to recently completed transactions involving the same or similar investments on or near the reporting date. If, in the opinion of the Manager, one or more prices reported to the Company are not reliable or unavailable, the Manager reviews the fair value based on characteristics of the investment it receives from the issuer and available market information. In valuing its derivatives, 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. All of the Company’s derivatives are either subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (the “Dodd Frank Act”). For swaps cleared under the Dodd Frank Act, a Central Counterparty Clearing House (“CCP”) now stands between the Company and the over-the-counter derivative counterparties. In order to access clearing, the Company has entered into clearing agreements with Futures Commissions Merchants (“FCMs”). Beginning in the first quarter of 2017, as a result of a CME amendment to its rule book governing central clearing activities, the daily exchange of variation margin associated with a CME centrally cleared derivative instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, beginning in 2017, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared interest rate swaps and futures as a direct reduction to the carrying value of the interest rate swap and future derivative asset or liability, respectively. Beginning in 2017, the carrying amount of centrally cleared interest rate swaps and futures reflected in the Company’s consolidated balance sheets is equal to the unsettled fair value of such instruments. See Note 9 for more information. The fair value of the Company’s mortgage loans and loan participation considers data such as loan origination information, additional updated borrower information, loan servicing data, as available, forward interest rates, general economic conditions, home price index forecasts and valuations of the underlying properties. The variables considered most significant to the determination of the fair value of the Company’s mortgage loans include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates and loss severity (considering mortgage insurance). Projections of default and prepayment rates are impacted by other variables such as reperformance rates and timeline to liquidation. The Company uses loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value of its mortgage loans. Because of the inherent uncertainty of such valuation, the fair values established for mortgage loans held by the Company may differ from the fair values that would have been established if a ready market existed for these mortgage loans. Accordingly, mortgage loans are classified as Level 3 in the fair value hierarchy. The Manager may also engage specialized third party valuation service providers to assess and corroborate the valuation of a selection of investments in the Company’s loan portfolio on a periodic basis. These specialized third party valuation service providers conduct independent valuation analyses based on a review of source documents, available market data, and comparable investments. The analyses provided by valuation service providers are reviewed and considered by the Manager. TBA instruments are similar in form to the Company’s Agency RMBS portfolio, and the Company therefore estimates fair value based on similar methods. Cash equivalents include investments in money market funds that invest primarily in short-term U.S. Treasury and Agency securities. These cash equivalent instruments are valued at their market quoted prices, which generally approximate cost plus accrued interest and are generally categorized as Level 1. The Company entered into a resecuritization transaction that resulted in the Company consolidating a VIE created with the SPE which was used to facilitate the transaction. The Company categorizes the fair value measurement of the consolidated tranche as Level 3. In December 2015, the Company, alongside private funds under the management of Angelo Gordon, through AG Arc, formed Arc Home. The Company invests in Arc Home through AG Arc. In June 2016, Arc Home closed on the acquisition of a Fannie Mae, Freddie Mac, FHA, VA and Ginnie Mae seller/servicer of residential mortgages. Through this subsidiary, Arc Home originates conforming, Government, Jumbo and other non-conforming residential mortgage loans, retains the mortgage servicing rights associated with the loans it originates, and purchases additional mortgage servicing rights from third-party sellers. As a result of this acquisition, the Company transferred its investment in AG Arc from Level 1 into Level 3. In February 2016, the Company originated a $12.0 million commercial loan and transferred a 15% participation interest in the loan to an unaffiliated third party. The Company categorizes the fair value measurement of the commercial loan and consolidated participation interest as Level 3. The commercial loan was paid off in full in February 2017. The following table presents the Company’s financial instruments measured at fair value as of September 30, 2018 (in thousands): Fair Value at September 30, 2018 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ — $ 1,762,469 $ — $ 1,762,469 Fixed Rate CMO — 45,323 — 45,323 ARM — 105,821 — 105,821 Interest Only — 118,102 — 118,102 Credit Investments: Non-Agency RMBS — 117,350 593,645 710,995 Non-Agency RMBS Interest Only — — 3,860 3,860 ABS — — 37,544 37,544 CMBS — — 235,352 235,352 CMBS Interest Only — — 50,697 50,697 Residential mortgage loans — — 87,600 87,600 Commercial loans — — 94,618 94,618 Excess mortgage servicing rights — — 28,625 28,625 Cash equivalents 14,697 — — 14,697 Derivative assets — 4,887 — 4,887 AG Arc — — 23,068 23,068 Total Assets Measured at Fair Value $ 14,697 $ 2,153,952 $ 1,155,009 $ 3,323,658 Liabilities: Securitized debt $ — $ — $ (11,481 ) $ (11,481 ) Securities borrowed under reverse repurchase agreements — (5,730 ) — (5,730 ) Derivative liabilities — (1,030 ) — (1,030 ) Total Liabilities Measured at Fair Value $ — $ (6,760 ) $ (11,481 ) $ (18,241 ) The following table presents the Company’s financial instruments measured at fair value as of December 31, 2017 (in thousands): Fair Value at December 31, 2017 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ — $ 1,929,033 $ — $ 1,929,033 Fixed Rate CMO — 52,951 — 52,951 ARM — 176,387 — 176,387 Interest Only — 88,790 — 88,790 Credit Investments: Non-Agency RMBS — 156,170 845,424 1,001,594 Non-Agency RMBS Interest Only — — 2,662 2,662 ABS — — 40,958 40,958 CMBS — 8,217 161,250 169,467 CMBS Interest Only — — 50,702 50,702 Residential mortgage loans — — 18,890 18,890 Commercial loans — — 57,521 57,521 Excess mortgage servicing rights — — 5,084 5,084 Derivative assets 110 2,017 — 2,127 AG Arc — — 17,911 17,911 Total Assets Measured at Fair Value $ 110 $ 2,413,565 $ 1,200,402 $ 3,614,077 Liabilities: Securitized debt $ — $ — $ (16,478 ) $ (16,478 ) Securities borrowed under reverse repurchase agreements — (24,379 ) — (24,379 ) Derivative liabilities — (450 ) — (450 ) Total Liabilities Measured at Fair Value $ — $ (24,829 ) $ (16,478 ) $ (41,307 ) The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three and nine months ended September 30, 2018 and September 30, 2017 . Refer to the tables below for details on transfers between the Level 3 and Level 2 categories under ASC 820. Transfers into the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of reduced levels of market transparency. Transfers out of the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of increased levels of market transparency. Indications of increases or decreases in levels of market transparency include a change in observable transactions or executable quotes involving these instruments or similar instruments. Changes in these indications could impact price transparency, and thereby cause a change in level designations in future periods. The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: Three Months Ended September 30, 2018 (in thousands) Non-Agency RMBS Non-Agency RMBS Interest Only ABS CMBS CMBS Interest Only Residential Mortgage Loans Commercial Loans Excess Mortgage Servicing Rights AG Arc Securitized debt Beginning balance $ 786,108 $ 2,871 $ 37,755 $ 159,832 $ 43,182 $ 93,129 $ 43,217 $ 29,282 $ 18,353 $ (13,984 ) Transfers (1): Transfers into level 3 — — — 8,217 — — — — — — Transfers out of level 3 (97,349 ) — — — — — — — — — Purchases/Transfers 3,807 — 303 57,427 10,437 149 51,401 — — — Capital contributions — — — — — — — — 4,459 — Proceeds from sales/redemptions (53,018 ) — — — (742 ) (3,821 ) — — — — Proceeds from settlement (45,361 ) — (386 ) (4,500 ) — (1,774 ) — (12 ) — 2,470 Total net gains/(losses) (2) Included in net income (542 ) 989 (128 ) 14,376 (2,180 ) (83 ) — (645 ) 256 33 Ending Balance $ 593,645 $ 3,860 $ 37,544 $ 235,352 $ 50,697 $ 87,600 $ 94,618 $ 28,625 $ 23,068 $ (11,481 ) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2018 (3) $ 2,876 $ 1,011 $ (128 ) $ 14,376 $ (2,083 ) $ (195 ) $ — $ (646 ) $ 256 $ 34 (1) Transfers are assumed to occur at the beginning of the period. During the three months ended September 30, 2018, the Company transferred 2 CMBS securities into the Level 3 category from the Level 2 category and 14 Non-Agency RMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 14,368 Unrealized gain/(loss) on derivative and other instruments, net (612 ) Net realized gain/(loss) (1,936 ) Equity in earnings/(loss) from affiliates 256 Total $ 12,076 (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 15,857 Unrealized gain/(loss) on derivative and other instruments, net (612 ) Equity in earnings/(loss) from affiliates 256 Total $ 15,501 Three Months Ended September 30, 2017 (in thousands) Non-Agency RMBS Non-Agency RMBS Interest Only ABS CMBS CMBS Interest Only Residential Mortgage Loans Commercial Loans Excess Mortgage Servicing Rights AG Arc Securitized debt Beginning balance $ 863,021 $ 3,213 $ 47,917 $ 137,658 $ 52,806 $ 23,455 $ 57,294 $ 2,787 $ 17,713 $ (18,778 ) Transfers (1): Transfers into level 3 83,490 — — 8,460 — — — — — — Purchases/Transfers 137,744 — 5,601 20,191 — — — 13 — — Capital contributions — — — — — — — — — — Proceeds from sales/redemptions (297,784 ) — — — — — — — — — Proceeds from settlement (26,789 ) — (211 ) (20,512 ) — (272 ) — (127 ) — 1,563 Total net gains/(losses) (2) Included in net income 14,549 (351 ) (83 ) 70 (834 ) 685 104 8 111 (6 ) Ending Balance $ 774,231 $ 2,862 $ 53,224 $ 145,867 $ 51,972 $ 23,868 $ 57,398 $ 2,681 $ 17,824 $ (17,221 ) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2017 (3) $ 12,110 $ (84 ) $ (83 ) $ (153 ) $ (834 ) $ 826 $ 104 $ 8 $ 112 $ (6 ) (1) Transfers are assumed to occur at the beginning of the period. During the three months ended September 30, 2017, the Company transferred 9 Non-Agency RMBS securities and 1 CMBS security into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 13,630 Unrealized gain/(loss) on derivative and other instruments, net (6 ) Net realized gain/(loss) 517 Equity in earnings/(loss) from affiliates 112 Total $ 14,253 (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 11,894 Unrealized gain/(loss) on derivative and other instruments, net (6 ) Equity in earnings/(loss) from affiliates 112 Total $ 12,000 Nine Months Ended September 30, 2018 (in thousands) Non-Agency RMBS Non-Agency RMBS Interest Only ABS CMBS CMBS Interest Only Residential Mortgage Loans Commercial Loans Excess Mortgage Servicing Rights AG Arc Securitized debt Beginning balance $ 845,424 $ 2,662 $ 40,958 $ 161,250 $ 50,702 $ 18,890 $ 57,521 $ 5,084 $ 17,911 $ (16,478 ) Transfers (1): Transfers into level 3 69,260 — — 8,217 — — — — — — Transfers out of level 3 (64,623 ) — — (6,951 ) — — — — — — Purchases/Transfers 97,683 — 5,899 113,683 10,436 105,190 51,401 25,162 — — Capital contributions — — — — — — — — 4,459 — Proceeds from sales/redemptions (237,822 ) — — — (5,400 ) (34,653 ) — — — — Proceeds from settlement (114,924 ) — (9,097 ) (53,645 ) — (3,030 ) (14,522 ) (524 ) — 4,952 Total net gains/(losses) (2) Included in net income (1,353 ) 1,198 (216 ) 12,798 (5,041 ) 1,203 218 (1,097 ) 698 45 Ending Balance $ 593,645 $ 3,860 $ 37,544 $ 235,352 $ 50,697 $ 87,600 $ 94,618 $ 28,625 $ 23,068 $ (11,481 ) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2018 (3) $ 1,179 $ 1,241 $ (197 ) $ 12,725 $ (4,711 ) $ 389 $ — $ (1,097 ) $ 698 $ 45 (1) Transfers are assumed to occur at the beginning of the period. During the nine months ended September 30, 2018, the Company transferred 5 Non-Agency RMBS securities and 2 CMBS securities into the Level 3 category from the Level 2 category and 14 Non-Agency RMBS securities and 1 CMBS security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 5,273 Unrealized gain/(loss) on derivative and other instruments, net (1,052 ) Net realized gain/(loss) 3,534 Equity in earnings/(loss) from affiliates 698 Total $ 8,453 (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 10,626 Unrealized gain/(loss) on derivative and other instruments, net (1,052 ) Equity in earnings/(loss) from affiliates 698 Total $ 10,272 Nine Months Ended September 30, 2017 (in thousands) Non-Agency RMBS Non-Agency RMBS Interest Only ABS CMBS CMBS Interest Only Residential Mortgage Loans Commercial Loans Excess Mortgage Servicing Rights AG Arc Securitized debt Loan Participation payable Beginning balance $ 717,761 $ 3,761 $ 21,232 $ 130,790 $ 52,137 $ 38,196 $ 60,069 $ 413 $ 12,895 $ (21,492 ) $ (1,800 ) Transfers (1): Transfers into level 3 203,851 — — 8,460 — — — — — — — Transfers out of level 3 (51,307 ) — — — — — — — — — — Purchases/Transfers 395,021 — 52,049 38,760 — — 10,271 2,578 — — — Capital contributions — — — — — — — — 4,459 — — Proceeds from sales/redemptions (382,544 ) — (16,977 ) (4,534 ) — (10,103 ) — — — — — Proceeds from settlement (142,166 ) — (4,196 ) (29,106 ) — (5,570 ) (13,534 ) (314 ) — 4,311 1,955 Total net gains/(losses) (2) Included in net income 33,615 (899 ) 1,116 1,497 (165 ) 1,345 592 4 470 (40 ) (155 ) Ending Balance $ 774,231 $ 2,862 $ 53,224 $ 145,867 $ 51,972 $ 23,868 $ 57,398 $ 2,681 $ 17,824 $ (17,221 ) $ — Change in unrealized appreciation/(depreciation) for level 3 assets still held as of September 30, 2017 (3) $ 32,503 $ (632 ) $ 660 $ 1,705 $ (165 ) $ (576 ) $ 537 $ 4 $ 470 $ (40 ) $ — (1) Transfers are assumed to occur at the beginning of the period. During the nine months ended September 30, 2017, the Company transferred 18 Non-Agency RMBS securities and 1 CMBS security into the Level 3 category from the Level 2 category and 5 Non-Agency RMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 37,250 Unrealized gain/(loss) on derivative and other instruments, net (195 ) Net realized gain/(loss) (144 ) Equity in earnings/(loss) from affiliates 470 Total $ 37,381 (3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 34,036 Unrealized gain/(loss) on derivative and other instruments, net (40 ) Equity in earnings/(loss) from affiliates 470 Total $ 34,466 The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value. Asset Class Fair Value at September 30, 2018 (in thousands) Valuation Technique Unobservable Input Range (Weighted Average) Yield 2.79% - 11.01% (4.67%) Non-Agency RMBS $ 579,852 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 25.00% (11.72%) Projected Collateral Losses 0.00% - 30.00% (2.39%) Projected Collateral Severities -0.61% - 100.00% (29.99%) $ 13,793 Consensus Pricing Offered Quotes 92.50 - 93.06 (92.72) Yield 7.00% - 35.00% (28.15%) Non-Agency RMBS Interest Only $ 3,860 Discounted Cash Flow Projected Collateral Prepayments 9.50% - 18.00% (15.51%) Projected Collateral Losses 0.75% - 2.00% (1.48%) Projected Collateral Severities 10.00% - 65.00% (18.52%) Yield 6.38% - 6.38% (6.38%) ABS $ 32,411 Discounted Cash Flow Projected Collateral Prepayments 20.00% - 40.00% (23.71%) Projected Collateral Losses 0.00% - 2.00% (1.67%) Projected Collateral Severities 0.00% - 50.00% (41.80%) $ 5,133 Consensus Pricing Offered Quotes 100.00 - 100.00 (100.00) Yield 5.49% - 64.88% (8.82%) CMBS $ 232,461 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 0.00% (0.00%) Projected Collateral Losses 0.00% - 0.50% (0.02%) Projected Collateral Severities 0.00% - 25.00% (0.96%) $ 2,891 Consensus Pricing Offered Quotes 4.86 - 8.88 (7.87) Yield 3.71% - 10.61% (5.20%) CMBS Interest Only $ 50,697 Discounted Cash Flow Projected Collateral Prepayments 99.00% - 100.00% (99.92%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 7.00% - 9.00% (8.80%) Residential Mortgage Loans $ 13,058 Discounted Cash Flow Projected Collateral Prepayments 4.78% - 5.04% (4.85%) Projected Collateral Losses 3.31% - 5.81% (4.43%) Projected Collateral Severities 6.89% - 26.78% (16.23%) $ 74,542 Recent Transaction Cost N/A Yield 7.25% - 7.25% (7.25%) Commercial Loans $ 32,800 Discounted Cash Flow Credit Spread 4.75 bps - 4.75 bps (4.75 bps) Recovery Percentage (1) 100.00% - 100.00% (100.00%) $ 61,818 Consensus Pricing Offered Quotes 100.00 - 100.00 (100.00) Excess Mortgage Servicing Rights Discounted Cash Flow Yield 8.50% - 11.55% (9.18%) $ 28,391 Projected Collateral Prepayments 6.15% - 9.82% (7.83%) $ 234 Consensus Pricing Offered Quotes 0.03 - 0.52 (0.49) AG Arc $ 23,068 Comparable Multiple Book Value Multiple 1.0x - 1.0x (1.0x) Liability Class Fair Value at September 30, 2018 (in thousands) Valuation Technique Unobservable Input Range Yield 4.16% - 4.16% (4.16%) Securitized debt $ (11,481 ) Discounted Cash Flow Projected Collateral Prepayments 10.00% - 10.00% (10.00%) Projected Collateral Losses 3.50% - 3.50% (3.50%) Projected Collateral Severities 45.00% - 45.00% (45.00%) (1) Represents the proportion of the principal expected to be collected relative to the loan balances as of September 30, 2018 . Asset Class Fair Value at December 31, 2017 (in thousands) Valuation Technique Unobservable Input Range (Weighted Average) Yield 0.94% - 31.75% (4.49%) Non-Agency RMBS $ 783,881 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 35.00% (10.50%) Projected Collateral Losses 0.00% - 50.00% (3.25%) Projected Collateral Severities 0.00% - 100.00% (34.77%) $ 14,794 Consensus Pricing Offered Quotes 74.75 - 74.75 (74.75) $ 46,749 Recent Transaction Recent Transaction N/A Yield 7.00% - 25.00% (22.34%) Non-Agency RMBS Interest Only $ 2,662 Discounted Cash Flow Projected Collateral Prepayments 10.50% - 18.00% (16.89%) Projected Collateral Losses 1.50% - 2.00% (1.57%) Projected Collateral Severities 10.00% - 40.00% (14.43%) Yield 4.62% - 9.83% (7.56%) ABS $ 40,958 Discounted Cash Flow Projected Collateral Prepayments 20.00% - 40.00% (22.62%) Projected Collateral Losses 0.00% - 2.00% (1.74%) Projected Collateral Severities 0.00% - 50.00% (43.45%) Yield -1.45% - 8.35% (6.24%) CMBS $ 157,685 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 0.00% (0.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) $ 3,565 Consensus Pricing Offered Quotes 6.20 - 7.60 (7.12) Yield 2.93% - 5.90% (4.43%) CMBS Interest Only $ 50,702 Discounted Cash Flow Projected Collateral Prepayments 100.00% - 100.00% (100.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 6.25% - 9.00% (7.81%) Residential Mortgage Loans $ 18,890 Discounted Cash Flow Projected Collateral Prepayments 2.98% - 5.05% (3.93%) Projected Collateral Losses 3.88% - 6.91% (4.27%) Projected Collateral Severities 20.21% - 37.25% (22.00%) Yield 6.52% - 6.52% (6.52%) Commercial Loans $ 32,800 Discounted Cash Flow Credit Spread 4.75 bps - 4.75 bps (4.75 bps) Recovery Percentage (1) 100.00% - 100.00% (100.00%) $ 24,721 Consensus Pricing Offered Quotes 98.50 - 100.00 (99.13) Excess Mortgage Servicing Rights Discounted Cash Flow Yield 9.12% - 11.74% (10.29%) $ 4,801 Projected Collateral Prepayments 7.59% - 11.85% (9.67%) $ 283 Consensus Pricing Offered Quotes 0.04 - 0.52 (0.48) AG Arc $ 17,911 Comparable Multiple Book Value Multiple 1.0x - 1.0x (1.0x) Liability Class Fair Value at December 31, 2017 (in thousands) Valuation Technique Unobservable Input Range Yield 3.23% - 3.23% (3.23%) Securitized debt $ (16,478 ) Discounted Cash Flow Projected Collateral Prepayments 14.00% - 14.00% (14.00%) Projected Collateral Losses 7.00% - 7.00% (7.00%) Projected Collateral Severities 40.00% - 40.00% (40.00%) (1) Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2017 . As further described above, values for the Company’s securities portfolio are based upon prices obtained from third-party pricing services. Broker quotations may also be used. The significant unobservable inputs used in the fair value measurement of the Company’s securities are prepayment rates, probability of default, and loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates. Also, as described above, valuation of the Company’s loan portfolio is determined by the Manager using third-party pricing services where available, specialized third party valuation service providers, or model-based pricing. The evaluation considers the underlying characteristics of each loan, which are observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. These valuations also require significant judgments, which include assumptions regarding capitalization rates, re-performance rates, leasing, creditworthiness of major tenants, occupancy rates, availability of financing, exit plan, loan sponsorship, actions of other lenders and other factors deemed necessary by management. Changes in the market environment and other events that may occur over the life of our investments may cause the gains or losses ultimately realized on these investments to be different than the valuations currently estimated. If applicable, analyses provided by valuation service providers are reviewed and considered by the Manager. |
Financing Arrangements
Financing Arrangements | 9 Months Ended |
Sep. 30, 2018 | |
Disclosure of Repurchase Agreements [Abstract] | |
Financing Arrangements | Financing arrangements Repurchase agreements A vast majority of the Company's financing arrangements are through repurchase agreements. The Company pledges certain real estate securities and loans as collateral under repurchase agreements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. Repurchase agreements involve the sale and a simultaneous agreement to repurchase the transferred assets or similar assets at a future date. The amount borrowed generally is equal to the fair value of the assets pledged less an agreed-upon discount, referred to as a “haircut.” The Company calculates haircuts disclosed in the tables below by dividing allocated capital on each borrowing by the current fair market value of each investment. Repurchase agreements entered into by the Company are accounted for as financings and require the repurchase of the transferred assets at the end of each agreement’s term, typically 30 to 90 days. The carrying amount of the Company’s repurchase agreements approximates fair value due to their short-term maturities or floating rate coupons. If the Company maintains the beneficial interest in the specific assets pledged during the term of the borrowing, it receives the related principal and interest payments. If the Company does not maintain the beneficial interest in the specific assets pledged during the term of the borrowing, it will have the related principal and interest payments remitted to it by the lender. Interest rates on these borrowings are fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the borrowing at which time the Company may enter into a new borrowing arrangement at prevailing market rates with the same counterparty or repay that counterparty and negotiate financing with a different counterparty. If the fair value of pledged assets declines due to changes in market conditions or the publishing of monthly security paydown factors, lenders typically would require 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, referred to as margin calls. The fair value of financial instruments pledged as collateral on the Company’s repurchase agreements disclosed in the tables below represent the Company’s fair value of such instruments which may differ from the fair value assigned to the collateral by its counterparties. The Company maintains a level of liquidity in the form of cash and unpledged Agency RMBS and Agency Interest-Only securities in order to meet these obligations. Under the terms of the Company’s master repurchase agreements, the counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. The following table presents certain financial information regarding the Company’s repurchase agreements secured by real estate securities as of September 30, 2018 (in thousands): Financing Arrangements Financial Instruments Pledged Financing Arrangements Maturing Within: Balance Weighted Average Rate Weighted Average Haircut Fair Value Pledged Amortized Cost Accrued Interest Overnight $ 126,397 2.36 % 3.0 % $ 130,265 $ 131,579 $ 420 30 days or less 2,330,949 2.51 % 8.1 % 2,568,069 2,266,719 9,040 31-60 days 136,189 3.62 % 20.3 % 171,807 155,000 544 61-90 days 47,725 3.52 % 22.1 % 61,370 58,631 291 91-180 days 4,346 3.62 % 22.5 % 5,613 5,622 13 Greater than 180 days 42,154 3.13 % 11.3 % 49,849 49,636 25 Total / Weighted Average $ 2,687,760 2.59 % 8.8 % $ 2,986,973 $ 2,667,187 $ 10,333 The following table presents certain financial information regarding the Company’s repurchase agreements secured by real estate securities as of December 31, 2017 (in thousands): Financing Arrangements Financial Instruments Pledged Financing Arrangements Maturing Within: Balance Weighted Average Rate Weighted Average Haircut Fair Value Pledged Amortized Cost Accrued Interest Overnight $ 128,779 1.80 % 3.2 % $ 133,012 $ 133,030 $ 376 30 days or less 2,105,103 1.94 % 9.6 % 2,361,574 2,302,744 8,407 31-60 days 611,763 1.76 % 7.6 % 677,310 670,307 2,131 61-90 days 32,445 3.04 % 25.9 % 43,851 42,712 301 91-180 days 1,131 3.21 % 22.7 % 1,463 1,479 1 Greater than 180 days 93,060 3.00 % 20.4 % 119,490 118,698 47 Total / Weighted Average $ 2,972,281 1.94 % 9.4 % $ 3,336,700 $ 3,268,970 $ 11,263 Although repurchase agreements are committed borrowings until maturity, the lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets resulting from changes in market conditions or factor changes would require the Company to provide additional collateral or cash to fund margin calls. See Note 9 for details on collateral posted/received against certain derivatives. The following table presents information with respect to the Company’s posting of collateral under repurchase agreements on September 30, 2018 and December 31, 2017 , broken out by investment type (in thousands): September 30, 2018 December 31, 2017 Fair Value of investments pledged as collateral under repurchase agreements Agency RMBS $ 1,721,310 $ 2,118,615 Non-Agency RMBS 693,696 976,072 ABS 24,383 30,833 CMBS 272,907 211,180 Cash pledged (i.e., restricted cash) under repurchase agreements 10,053 12,155 Fair Value of unsettled trades pledged as collateral under repurchase agreements 274,677 — Total collateral pledged under repurchase agreements $ 2,997,026 $ 3,348,855 The following table presents information with respect to the Company’s total borrowings under repurchase agreements on September 30, 2018 and December 31, 2017 , broken out by investment type (in thousands): September 30, 2018 December 31, 2017 Repurchase agreements secured by investments: Agency RMBS $ 1,888,026 $ 2,005,133 Non-Agency RMBS 566,269 784,897 ABS 18,585 22,761 CMBS 214,880 159,490 Gross Liability for repurchase agreements $ 2,687,760 $ 2,972,281 The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of September 30, 2018 (in thousands): Gross Amounts Not Offset in the Consolidated Balance Sheets Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities Presented in the Consolidated Balance Sheets Financial Instruments Posted Cash Collateral Posted Net Amount Repurchase agreements $ 2,687,760 $ — $ 2,687,760 $ 2,687,760 $ — $ — The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of December 31, 2017 (in thousands): Gross Amounts Not Offset in the Consolidated Balance Sheets Description Gross Amounts of Recognized Liabilities Gross Amounts Net Amounts of Liabilities Financial Instruments Posted Cash Collateral Posted Net Amount Repurchase agreements $ 2,972,281 $ — $ 2,972,281 $ 2,972,281 $ — $ — Term loan and revolving facilities The following table presents information regarding the Company's term loan and revolving facilities, excluding facilities within investments in debt and equity of affiliates, as of September 30, 2018 and December 31, 2017 (in thousands). September 30, 2018 December 31, 2017 Facility (1) Maturity Date Rate Funding Cost Balance Net Carrying Value of Assets Pledged as Collateral Rate Funding Cost Balance Net Carrying Value of Assets Pledged as Collateral Term loan, net (2) October 10, 2023 4.63 % 4.80 % $ 101,987 $ 140,059 — % — % $ — $ — Revolving facility A July 1, 2019 4.37 % 4.37 % $ 21,796 $ 32,800 3.70 % 3.70 % $ 21,796 $ 32,800 Revolving facility B June 15, 2020 4.25 % 4.28 % 64,827 86,659 4.07 % 4.07 % 10,330 15,861 Revolving facility C August 10, 2023 4.27 % 4.48 % 37,011 51,401 — % — % — — Total revolving facilities $ 123,634 $ 170,860 $ 32,126 $ 48,661 Total term loan and revolving facilities $ 225,621 $ 310,919 $ 32,126 $ 48,661 (1) The term loan and all revolving facilities listed above are interest only until maturity. (2) The total borrowings under the term loan is $103 million , which is shown net of deferred financing costs of $1.0 million . On September 17, 2014, AG MIT CREL, LLC (“AG MIT CREL”), a subsidiary of the Company, entered into a Master Repurchase Agreement and Securities Contract (the “CREL Repurchase Agreement”or “Revolving facility A”) with Wells Fargo to finance AG MIT CREL’s acquisition of certain beneficial interests in one or more commercial mortgage loans. Each transaction under the CREL Repurchase Agreement will have its own specific terms, such as identification of the assets subject to the transaction, sale price, repurchase price and rate. The CREL Repurchase Agreement provided for a funding period ending September 17, 2016 and an initial facility termination date of September 17, 2016 (the “Initial Termination Date”), subject to the satisfaction of certain terms of the extensions described below. AG MIT CREL had three ( 3 ) one -year options to extend the term of the CREL Repurchase Agreement. On August 4, 2015, the Company, AG MIT CREL and AG MIT, LLC ("AG MIT") entered into an Omnibus Amendment No. 1 to Master Repurchase and Securities Contract, Guarantee Agreement and Fee and Pricing Letter (the “First Amendment”) with Wells Fargo, which amended certain terms in the CREL Repurchase Agreement, the Guarantee, dated as of September 17, 2014, delivered by the Company and AG MIT to Wells Fargo and the Fee and Pricing Letter, dated as of September 17, 2014, between AG MIT CREL and Wells Fargo. The First Amendment lowered the maximum aggregate borrowing capacity available under the CREL Repurchase Agreement from $150 million to approximately $42.8 million . The First Amendment also provided that the CREL Repurchase Agreement become full recourse to the Company and AG MIT, LLC. By amending the recourse of the CREL Repurchase Agreement to the Company and AG MIT, the Company was able to remove certain financial covenants on AG MIT CREL that limited the amount that AG MIT CREL could borrow under the CREL Repurchase Agreement. The First Amendment also eliminated the fee for the portion of the repurchase facility that was unused. The CREL Repurchase Agreement contains representations, warranties, covenants, including financial covenants, events of default and indemnities that are customary for agreements of this type. As of September 30, 2018 and December 31, 2017 , the Company had $21.8 million of debt outstanding under this facility. In September 2016, the Company exercised its first option to extend the term of the CREL Repurchase Agreement. In June 2017, the Company, AG MIT CREL and AG MIT entered into an Omnibus Amendment No. 2 to Master Repurchase and Securities Contract, Guarantee Agreement and Fee and Pricing Letter (the “Second Amendment”) with Wells Fargo. The Second Amendment amended the CREL Repurchase Agreement to extend the facility termination date to July 1, 2019 and removed the second and third extension options. In June 2018, AG MIT WFB1 2014 LLC (“AG MIT WFB1”), a subsidiary of the Company, entered into Amendment Numbers Seven and Eight of the Master Repurchase Agreement and Securities Contract (as amended, the “WFB1 Repurchase Agreement” or “Revolving facility B”) with Wells Fargo to finance the ownership and acquisition of certain pools of residential mortgage loans. The WFB1 Repurchase Agreement provides for a funding period ending June 14, 2019 and a facility termination date of June 15, 2020. The maximum aggregate borrowing capacity available under the WFB1 Repurchase Agreement is $110.0 million . The WFB1 Repurchase Agreement contains representations, warranties, covenants, including financial covenants, events of default and indemnities that are customary for agreements of this type. In the event the debt outstanding under the WFB1 Repurchase Agreement falls below $7.0 million , a cash trap trigger event will occur in which all income payments received by Wells Fargo will be applied against the outstanding balance until the WFB1 Repurchase Agreement is paid off. As of September 30, 2018 and December 31, 2017 , the Company had $64.8 million and $10.3 million of debt outstanding under the WFB1 Repurchase Agreement, respectively. In August 2018, AG MIT CREL II, LLC, a subsidiary of the Company, entered into a Master Repurchase Agreement with JP Morgan (the “JPM Repurchase Agreement” or “Revolving facility C”). The agreement provides a maximum aggregate borrowing capacity of $100.0 million . The JPM Repurchase Agreement contains representations, warranties, covenants, including financial covenants, events of default and indemnities that are customary for agreements of this type. As of September 30, 2018 , the Company had $ 37.0 million of debt outstanding under the JPM Repurchase Agreement. In September 2018, SFR MT LLC, a subsidiary of the Company, entered into an agreement with an insurance company to finance the ownership and acquisition of Single-family rental properties (the “term loan”). The financing has a fixed rate of 4.625% and has a termination date of October 10, 2023. The agreement provides a maximum aggregate borrowing capacity of $103.0 million . This financing arrangement contains representations, warranties, covenants, including financial covenants, events of default and indemnities that are customary for agreements of this type. As of September 30, 2018 , the Company has $103.0 million of debt outstanding under the agreement. Financing arrangements The Company seeks to obtain financing from several different counterparties in order to reduce the financing risk related to any single counterparty. The Company has entered into master repurchase agreements (“MRAs”) or loan agreements with such financing counterparties. As of September 30, 2018 and December 31, 2017 the Company had 41 and 39 financing counterparties, respectively, under which it had outstanding debt with 31 and 27 counterparties, respectively. At September 30, 2018 , there were no counterparties that provided the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities. The following table presents information at December 31, 2017 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities. Counterparty Stockholders’ Equity at Risk (in thousands) Weighted Average Maturity (days) Percentage of Stockholders’ Equity RBC (Barbados) Trading Bank Corporation $ 45,239 26 6 % Barclays Capital Inc 39,358 13 6 % The Company’s financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity, leverage ratios, performance triggers or other financial ratios. |
Derivatives
Derivatives | 9 Months Ended |
Sep. 30, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives | Derivatives The Company’s derivatives may include interest rate swaps (“swaps”), TBAs, swaption contracts and Eurodollar Futures and U.S. Treasury Futures, (the latter two, collectively, “Futures”). Derivatives have not been designated as hedging instruments. The Company may also utilize other instruments to manage interest rate risk, including long and short positions in U.S. Treasury securities. The Company may exchange cash “variation margin” with the counterparties to its derivative instruments on a daily basis based upon changes in fair value as measured by the Chicago Mercantile Exchange (“CME”), the central clearinghouse through which those derivatives are cleared. In addition, the CME requires market participants to deposit and maintain an “initial margin” amount which is determined by the CME and is generally intended to be set at a level sufficient to protect the CME from the maximum estimated single-day price movement in that market participant’s contracts. Receivables recognized for the right to reclaim cash initial margin posted in respect of derivative instruments are included in the “Restricted cash” line item in the consolidated balance sheets. Prior to the first quarter of 2017, the daily exchange of variation margin associated with centrally cleared derivative instruments was considered a pledge of collateral. For these prior periods, receivables recognized for the right to reclaim cash variation margin posted in respect of derivative instruments are included in the “Restricted cash” line item in the consolidated balance sheets. Beginning in the first quarter of 2017, as a result of an amendment to the CME's rule book, which governs their central clearing activities, the daily exchange of variation margin associated with a a CME instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, beginning in 2017, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared derivative instruments as a direct reduction to the carrying value of the derivative asset or liability, respectively. Beginning in 2017, the carrying amount of centrally cleared derivative instruments reflected in the Company’s consolidated balance sheets approximates the unsettled fair value of such instruments. As variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments represents the change in fair value that occurred on the last day of the reporting period. Non-exchange traded derivatives were not affected by these legal interpretations and continue to be reported at fair value including accrued interest. The following table presents the fair value of the Company’s derivatives and other instruments and their balance sheet location at September 30, 2018 and December 31, 2017 (in thousands). Derivatives and Other Instruments Designation Balance Sheet Location September 30, 2018 December 31, 2017 Interest rate swaps (1) Non-Hedge Derivative assets, at fair value $ 3,583 $ 1,428 Interest rate swaps (1) Non-Hedge Derivative liabilities, at fair value (511 ) (450 ) Swaptions Non-Hedge Derivative assets, at fair value 523 362 TBAs Non-Hedge Derivative assets, at fair value 781 227 TBAs Non-Hedge Derivative liabilities, at fair value (519 ) — Short positions on U.S. Treasury Futures (2) Non-Hedge Derivative assets, at fair value — 110 Short positions on U.S. Treasuries Non-Hedge Obligation to return securities borrowed under reverse repurchase agreements, at fair value (3) (5,730 ) (24,379 ) (1) As of September 30, 2018 , the Company applied a reduction in fair value of $61.1 million and $0.4 million to its interest rate swap assets and liabilities, respectively, related to variation margin. As of December 31, 2017 , the Company applied a reduction in fair value of $19.5 million and $0.6 million to its interest rate swap assets and liabilities, respectively, related to variation margin. (2) As of September 30, 2018 , the Company applied a reduction in fair value of $0.6 million its U.S. Treasury Futures assets, related to variation margin. As of December 31, 2017 , the Company did not apply a fair value reduction to its U.S. Treasury Futures assets and liabilities related to variation margin. (3) The Company’s obligation to return securities borrowed under reverse repurchase agreements relates to securities borrowed to cover short sales of U.S. Treasury securities. The change in fair value of the borrowed securities is recorded on the “Unrealized gain/(loss) on derivatives and other instruments, net” line item in the Company’s consolidated statement of operations. The following table summarizes information related to derivatives and other instruments (in thousands): Non-hedge derivatives and other instruments held long/(short): September 30, 2018 December 31, 2017 Notional amount of Pay Fix/Receive Float Interest Rate Swap Agreements 2,143,000 2,227,000 Notional amount of Swaptions 250,000 270,000 Net notional amount of TBAs 75,000 100,000 Notional amount of short positions on U.S. Treasury Futures (1) (50,000 ) (52,500 ) Notional amount of short positions on U.S. Treasuries (5,750 ) (24,668 ) (1) Each U.S. Treasury Future contract embodies $100,000 of notional value. The following table summarizes gains/(losses) related to derivatives and other instruments (in thousands): Three Months Ended Nine Months Ended Non-hedge derivatives and other instruments gain/(loss): Statement of Operations Location September 30, 2018 September 30, 2017 September 30, 2018 September 30, 2017 Interest rate swaps, at fair value Unrealized gain/(loss) on derivative and other instruments, net $ 5,921 $ 2,955 $ 47,783 $ 6,214 Interest rate swaps, at fair value Net realized gain/(loss) 7,925 (1,813 ) 13,787 (9,896 ) Eurodollar Futures Unrealized gain/(loss) on derivative and other instruments, net — 75 — 75 Eurodollar Futures Net realized gain/(loss) — 323 — 323 Swaptions, at fair value Unrealized gain/(loss) on derivative and other instruments, net (449 ) — (481 ) — Swaptions, at fair value Net realized gain/(loss) — — 51 — U.S. Treasury Futures Unrealized gain/(loss) on derivative and other instruments, net 573 (722 ) 464 658 U.S. Treasury Futures Net realized gain/(loss) (5 ) (224 ) 735 (4,055 ) TBAs (1) Unrealized gain/(loss) on derivative and other instruments, net 18 54 36 (996 ) TBAs (1) Net realized gain/(loss) (124 ) 1,672 40 3,003 U.S. Treasuries Unrealized gain/(loss) on derivative and other instruments, net 28 — (66 ) (1,725 ) U.S. Treasuries Net realized gain/(loss) — — 131 1,731 (1) For the three months ended September 30, 2018 , gains and losses from purchases and sales of TBAs consisted of $0.5 million of net TBA dollar roll net interest income and net losses of $(0.5) million due to price changes. For the nine months ended September 30, 2018 , gains and losses from purchases and sales of TBAs consisted of $1.6 million of net TBA dollar roll net interest income and net losses of $(1.5) million due to price changes. For the three months ended September 30, 2017 , gains and losses from purchases and sales of TBAs consisted of $1.5 million of net TBA dollar roll net interest income and net gains of $0.2 million due to price changes. For the nine months ended September 30, 2017 , gains and losses from purchases and sales of TBAs consisted of $2.6 million of net TBA dollar roll net interest income and net losses of $(0.6) million due to price changes. The following table presents both gross information and net information about derivative and other instruments eligible for offset in the consolidated balance sheets as of September 30, 2018 (in thousands): Gross Amounts Not Offset in the Consolidated Balance Sheet Description (1) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets Financial Instruments (Posted)/Received Cash Collateral (Posted)/Received Net Amount Receivable Under Reverse Repurchase Agreements $ 5,750 $ — $ 5,750 $ 5,730 $ — $ 20 Derivative Assets (2) Interest Rate Swaps $ 9,054 $ — $ 9,054 $ — $ 9,054 $ — Interest Rate Swaptions 523 — 523 — (100 ) 623 TBAs 781 — 781 — — 781 Total Derivative Assets $ 10,358 $ — $ 10,358 $ — $ 8,954 $ 1,404 Derivative Liabilities (3) Interest Rate Swaps $ 1,480 $ — $ 1,480 $ — $ 1,480 $ — TBAs (519 ) — (519 ) — (519 ) — Total Derivative Liabilities $ 961 $ — $ 961 $ — $ 961 $ — (1) The Company applied a reduction in fair value of $61.1 million and $0.4 million to its interest rate swap assets and liabilities, respectively, related to variation margin. (2) Included in Derivative Assets on the consolidated balance sheet is $10.4 million less accrued interest of $(5.5) million for a total of $4.9 million . (3) Included in Derivative Liabilities on the consolidated balance sheet is $1.0 million plus accrued interest of $(2.0) million for a total of $(1.0) million . The following table presents both gross information and net information about derivative instruments eligible for offset in the consolidated balance sheets as of December 31, 2017 (in thousands): Gross Amounts Not Offset in the Consolidated Balance Sheet Description (1) Gross Gross Amounts Net Amounts of Assets Financial Cash Collateral Net Amount Receivable Under Reverse Repurchase Agreements $ 24,671 $ — $ 24,671 $ 24,379 $ — $ 292 Derivative Assets (2) Interest Rate Swaps $ 4,544 $ — $ 4,544 $ — $ 1,666 $ 2,878 Interest Rate Swaptions 362 — 362 — — 362 TBAs 227 — 227 — — 227 U.S. Treasury Futures - Short 110 — 110 — — 110 Total Derivative Assets $ 5,243 $ — $ 5,243 $ — $ 1,666 $ 3,577 Derivative Liabilities (3) Interest Rate Swaps $ (6 ) $ — $ (6 ) $ — $ (6 ) $ — Total Derivative Liabilities $ (6 ) $ — $ (6 ) $ — $ (6 ) $ — (1) The Company applied a reduction in fair value of $19.5 million and $0.6 million to its interest rate swap assets and liabilities, respectively, related to variation margin. (2) Included in Derivative Assets on the consolidated balance sheet is $5.2 million less accrued interest of $(3.1) million for a total of $2.1 million . (3) Included in Derivative Liabilities on the consolidated balance sheet is $(6) thousand plus accrued interest of $(444) thousand for a total of $(450) thousand . The Company must post cash or securities as collateral on its derivative instruments when their fair value declines. This typically occurs when prevailing market rates change adversely, with the severity of the change also dependent on the term of the derivatives involved. The posting of collateral is generally bilateral, meaning that if the fair value of the Company’s derivatives increases, its counterparty will post collateral to it. As of September 30, 2018 , the Company pledged real estate securities with a fair value of $7.1 million and cash of $31.8 million as collateral against certain derivatives. The Company’s counterparties posted cash of $3.5 million to it as collateral for certain derivatives. As of December 31, 2017 , the Company pledged real estate securities with a fair value of $7.5 million and cash of $25.4 million as collateral against certain derivatives. The Company’s counterparties posted cash of $1.7 million as collateral for certain derivatives. Interest rate swaps To help mitigate exposure to increases in interest rates, the Company uses currently-paying and may use forward-starting, one- or three-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements. This arrangement hedges our exposure to higher interest rates because the variable-rate payments received on the swap agreements largely offset additional interest accruing on the related borrowings due to the higher interest rate, leaving the fixed-rate payments to be paid on the swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the swap agreements and actual borrowing rates. As of September 30, 2018 , the Company’s interest rate swap positions consist of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of September 30, 2018 (in thousands): Maturity Notional Amount Weighted Average Pay-Fixed Rate Weighted Average Receive-Variable Rate Weighted Average Years to Maturity 2019 $ 50,000 1.29 % 2.34 % 1.08 2020 250,000 1.63 % 2.34 % 1.52 2021 27,000 2.86 % 2.31 % 2.89 2022 653,000 1.90 % 2.34 % 3.84 2023 219,000 2.97 % 2.35 % 4.75 2024 230,000 2.06 % 2.34 % 5.75 2025 125,000 2.87 % 2.36 % 6.63 2026 75,000 2.12 % 2.32 % 8.14 2027 264,000 2.35 % 2.34 % 8.94 2028 250,000 2.97 % 2.34 % 9.66 Total/Wtd Avg $ 2,143,000 2.24 % 2.34 % 5.41 As of December 31, 2017 , the Company’s interest rate swap positions consist of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of December 31, 2017 (in thousands): Maturity Notional Amount Weighted Average Pay-Fixed Rate Weighted Average Receive-Variable Rate Weighted Average Years to Maturity 2019 $ 170,000 1.36 % 1.43 % 1.88 2020 835,000 1.77 % 1.52 % 2.54 2022 653,000 1.90 % 1.51 % 4.59 2024 230,000 2.06 % 1.47 % 6.50 2026 75,000 2.12 % 1.44 % 8.89 2027 264,000 2.35 % 1.50 % 9.69 Total/Wtd Avg $ 2,227,000 1.89 % 1.50 % 4.56 TBAs As discussed in Note 2, the Company has entered into TBAs. The following table presents information about the Company’s TBAs for the three and nine months ended September 30, 2018 and September 30, 2017 (in thousands): For the Three Months Ended September 30, 2018 Beginning Notional Amount Buys or Covers Sales or Shorts Ending Notional Amount Fair Value as of Period End Receivable/(Payable) from/to Broker Derivative Asset Derivative Liability TBAs - Long $ 160,000 $ 487,000 $ (572,000 ) $ 75,000 $ 75,727 $ (75,224 ) $ 633 $ (130 ) TBAs - Short $ — $ 177,000 $ (177,000 ) $ — $ — $ (241 ) $ 148 $ (389 ) For the Three Months Ended September 30, 2017 Beginning Notional Amount Buys or Covers Sales or Shorts Ending Notional Amount Fair Value as of Period End Receivable/(Payable) from/to Broker Derivative Asset Derivative Liability TBAs - Long $ 300,000 $ 738,000 $ (922,000 ) $ 116,000 $ 121,125 $ (122,545 ) $ 118 $ (1,537 ) For the Nine Months Ended September 30, 2018 Beginning Notional Amount Buys or Covers Sales or Shorts Ending Notional Amount Fair Value as of Period End Receivable/(Payable) from/to Broker Derivative Asset Derivative Liability TBAs - Long $ 100,000 $ 1,438,000 $ (1,463,000 ) $ 75,000 $ 75,727 $ (75,224 ) $ 633 $ (130 ) TBAs - Short $ — $ 1,031,000 $ (1,031,000 ) $ — $ — $ (241 ) $ 148 $ (389 ) For the Nine Months Ended September 30, 2017 Beginning Notional Amount Buys or Covers Sales or Shorts Ending Notional Amount Fair Value as of Period End Receivable/(Payable) from/to Broker Derivative Asset Derivative Liability TBAs - Long $ 50,000 $ 1,914,000 $ (1,848,000 ) $ 116,000 $ 121,125 $ (122,545 ) $ 118 $ (1,537 ) TBAs - Short $ (75,000 ) $ 75,000 $ — $ — $ — $ — $ — $ — |
Earnings per share
Earnings per share | 9 Months Ended |
Sep. 30, 2018 | |
Earnings Per Share [Abstract] | |
Earnings per share | Earnings per share Basic earnings per share (“EPS”) is calculated by dividing net income/(loss) available to common stockholders for the period by the weighted- average shares of the Company’s common stock outstanding for that period that participate in the Company’s common dividends. Diluted EPS takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. As of September 30, 2018 and September 30, 2017 , the Company’s outstanding warrants and unvested restricted stock units were as follows: September 30, 2018 September 30, 2017 Outstanding warrants (1) — 1,007,500 Unvested restricted stock units previously granted to the Manager 40,007 60,000 (1) The warrants expired on July 6, 2018. Each warrant entitled the holder to purchase half a share of the Company’s common stock at a fixed price upon exercise of the warrant. For the three and nine months ended September 30, 2017 , the Company excluded the effects of such from the computation of diluted earnings per share because their effect would be anti-dilutive. The warrants expired on July 6, 2018. Restricted stock units granted to the manager do not entitle the participant the rights of a shareholder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units. The restricted stock units are not considered to be participating shares. The dilutive effects of the restricted stock units are only included in diluted weighted average common shares outstanding. The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the three and nine months ended September 30, 2018 and September 30, 2017 (in thousands, except per share data): Three Months Ended September 30, 2018 Three Months Ended September 30, 2017 Nine Months Ended September 30, 2018 Nine Months Ended September 30, 2017 Numerator: Net income/(loss) available to common stockholders for basic and diluted earnings per share $ 20,010 $ 32,644 $ 29,691 $ 84,198 Denominator: Basic weighted average common shares outstanding 28,422 27,841 28,274 27,756 Dilutive effect of restricted stock units 16 16 8 14 Diluted weighted average common shares outstanding 28,438 27,857 28,282 27,770 Basic Earnings/(Loss) Per Share of Common Stock: $ 0.70 $ 1.17 $ 1.05 $ 3.03 Diluted Earnings/(Loss) Per Share of Common Stock: $ 0.70 $ 1.17 $ 1.05 $ 3.03 The following tables detail our common stock dividends for the nine months ended September 30, 2018 and September 30, 2017 : 2018 Declaration Date Record Date Payment Date Dividend Per Share 3/15/2018 3/29/2018 4/30/2018 $ 0.475 6/18/2018 6/29/2018 7/31/2018 0.500 9/14/2018 9/28/2018 10/31/2018 0.500 2017 Declaration Date Record Date Payment Date Dividend Per Share (1) 3/10/2017 3/21/2017 4/28/2017 $ 0.475 6/8/2017 6/19/2017 7/31/2017 0.475 9/11/2017 9/29/2017 10/31/2017 0.575 (1) The combined dividend of $0.575 includes a dividend of $0.475 per common share and a special cash dividend of $0.10 per common share. The following tables detail our preferred stock dividends during the nine months ended September 30, 2018 and September 30, 2017 : 2018 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.25% Series A 2/16/2018 2/28/2018 3/19/2018 $ 0.51563 8.25% Series A 5/15/2018 5/31/2018 6/18/2018 0.51563 8.25% Series A 8/16/2018 8/31/2018 9/17/2018 0.51563 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.00% Series B 2/16/2018 2/28/2018 3/19/2018 $ 0.50 8.00% Series B 5/15/2018 5/31/2018 6/18/2018 0.50 8.00% Series B 8/16/2018 8/31/2018 9/17/2018 0.50 2017 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.25% Series A 2/16/2017 2/28/2017 3/17/2017 $ 0.51563 8.25% Series A 5/15/2017 5/31/2017 6/19/2017 0.51563 8.25% Series A 8/16/2017 8/31/2017 9/18/2017 0.51563 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.00% Series B 2/16/2017 2/28/2017 3/17/2017 $ 0.50 8.00% Series B 5/15/2017 5/31/2017 6/19/2017 0.50 8.00% Series B 8/16/2017 8/31/2017 9/18/2017 0.50 |
Income taxes
Income taxes | 9 Months Ended |
Sep. 30, 2018 | |
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 provided it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. Most states follow U.S. federal income tax treatment of REITs. For the three months ended September 30, 2018 and September 30, 2017 , the Company recorded excise tax expense of $0.4 million and $0.4 million , respectively. For the nine months ended September 30, 2018 and September 30, 2017 , the Company recorded excise tax expense of $1.1 million and $1.1 million , respectively. Excise tax represents a four percent tax on the required amount of the Company’s ordinary income and net capital gains not distributed during the year. The expense is calculated in accordance with applicable tax regulations. The Company files tax returns in several U.S jurisdictions. There are no ongoing U.S. federal, state or local tax examinations related to the Company. The Company elected to treat certain domestic subsidiaries as TRSs and may elect to treat other subsidiaries as TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly, and generally may engage in any real estate or non-real estate-related business. The Company elected to treat one of its foreign subsidiaries as a TRS and, accordingly, taxable income generated by this TRS may not be subject to local income taxation, but generally will be included in the Company’s income on a current basis as Subpart F income, whether or not distributed. Cash distributions declared by the Company that do not exceed its current or accumulated earnings and profits will be considered ordinary income to stockholders for income tax purposes unless all or a portion of a distribution is designated by the Company as a capital gain dividend. Distributions in excess of the Company’s current and accumulated earnings and profits will be characterized as return of capital or capital gains. Based on the Company’s analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of September 30, 2018 or September 30, 2017 . The Company’s federal income tax returns for the last three tax years are open to examination by the Internal Revenue Service. In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes. |
Related party transactions
Related party transactions | 9 Months Ended |
Sep. 30, 2018 | |
Related Party Transactions [Abstract] | |
Related party transactions | Related party transactions The Company has entered into a management agreement with the Manager, which provided for an initial term and will be deemed renewed automatically each year for an additional one-year period, subject to certain termination rights. As of September 30, 2018 and December 31, 2017 , no event of termination had occurred. The Company is externally managed and advised by the Manager. Pursuant to the terms of the management agreement, which became effective July 6, 2011 (upon the consummation of the Company’s initial public offering (the “IPO”)), the Manager provides the Company with its management team, including its officers, along with appropriate support personnel. Each of the Company’s officers is an employee of Angelo Gordon. The Company does not have any employees. The Manager, pursuant to a delegation agreement dated as of June 29, 2011, has delegated to Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the Company’s management agreement. Management fee The Manager is entitled to a management fee equal to 1.50% per annum, calculated and paid quarterly, of the Company’s Stockholders’ Equity. For purposes of calculating the management fee, “Stockholders’ Equity” means the sum of the net proceeds from any issuances of equity securities (including preferred securities) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance, and excluding any future equity issuance to the Manager), plus the Company’s retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items described below incurred in current or prior periods), less any amount that the Company pays for repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in the Company’s 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. Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on the Company’s financial statements. For the three and nine months ended September 30, 2018 , the Company incurred management fees of approximately $2.4 million and $7.2 million , respectively. For the three and nine months ended September 30, 2017 , the Company incurred management fees of approximately $2.5 million and $7.4 million , respectively. Termination fee The termination fee, payable upon the occurrence of (i) the Company’s termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach of any material term of the management agreement, will be equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter. As of September 30, 2018 and December 31, 2017 , no event of termination of the management agreement had occurred. Expense reimbursement The Company is required to reimburse the Manager or its affiliates for operating expenses which are incurred by the Manager or its affiliates on behalf of the Company, including expenses relating to legal, accounting, due diligence and other services. The Company’s reimbursement obligation is not subject to any dollar limitation; however, the reimbursement is subject to an annual budget process which combines guidelines from the Management Agreement with oversight by the Company’s board of directors. The Company reimburses the Manager or its affiliates for the Company’s allocable share of the compensation, including, without limitation, annual base salary, bonus, any related withholding taxes and employee benefits paid to (i) the Company’s chief financial officer based on the percentage of time spent on Company affairs, (ii) the Company’s general counsel based on the percentage of time spent on the Company’s affairs, and (iii) other corporate finance, tax, accounting, internal audit, legal, risk management, operations, compliance and other non-investment personnel of the Manager and its affiliates who spend all or a portion of their time managing the Company’s affairs based upon the percentage of time devoted by such personnel to the Company’s affairs. In their capacities as officers or personnel of the Manager or its affiliates, they devote such portion of their time to the Company’s affairs as is necessary to enable the Company to operate its business. Of the $3.5 million and $10.2 million of Other operating expenses for the three and nine months ended September 30, 2018 , respectively, the Company has accrued $2.0 million and $5.5 million , respectively, representing a reimbursement of expenses. Of the $2.6 million and $8.2 million of Other operating expenses for the three and nine months ended September 30, 2017 , respectively, the Company has accrued $1.4 million and $4.8 million , respectively, representing a reimbursement of expenses. Restricted stock grants Pursuant to the Company’s Manager Equity Incentive Plan and the Equity Incentive Plan adopted on July 6, 2011, the Company can award up to 277,500 shares of its common stock in the form of restricted stock, stock options, restricted stock units or other types of awards to the directors, officers, advisors, consultants and other personnel of the Company and to the Manager. As of September 30, 2018 , 48,461 shares of common stock were available to be awarded under the equity incentive plans. Awards under the equity incentive plans are forfeitable until they become vested. An award will become vested only if the vesting conditions set forth in the applicable award agreement (as determined by the compensation committee) are satisfied. The vesting conditions may include performance of services for a specified period, achievement of performance goals, or a combination of both. The compensation committee also has the authority to provide for accelerated vesting of an award upon the occurrence of certain events in its discretion. As of September 30, 2018 , the Company has granted an aggregate of 68,789 and 40,250 shares of restricted common stock to its independent directors and Manager, respectively, and 120,000 restricted stock units to its Manager under its equity incentive plans. As of September 30, 2018 , all the shares of restricted common stock granted to the Company’s Manager and independent directors have vested and 79,993 restricted stock units granted to the Company’s Manager have vested. The 40,007 restricted stock units that have not vested as of September 30, 2018 were granted to the Manager on July 1, 2017 and represent the right to receive an equivalent number of shares of the Company’s common stock to be issued if and when the units vest. Annual vesting of approximately 20,000 units will occur on each of July 1, 2019, and July 1, 2020. The units do not entitle the participant the rights of a holder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units. The vesting of such units is subject to the continuation of the management agreement. If the management agreement terminates, all unvested units then held by the Manager or the Manager’s transferee shall be immediately cancelled and forfeited without consideration. Director compensation Beginning in 2018, the Company began paying a $160,000 annual base director’s fee to each independent director. Base director’s fees are paid 50% in cash and 50% in restricted common stock. The number of shares of restricted common stock to be issued each quarter to each independent director is determined based on the average of the high and low prices of the Company’s common stock on the New York Stock Exchange on the last trading day of each fiscal quarter. To the extent that any fractional shares would otherwise be issuable and payable to each independent director, a cash payment is made to each independent director in lieu of any fractional shares. All directors’ fees are paid pro rata (and restricted stock grants determined) on a quarterly basis in arrears, and shares issued are fully vested and non-forfeitable. These shares may not be sold or transferred by such director during the time of his service as an independent member of the Company’s board. Investments in debt and equity of affiliates The Company invests in credit sensitive residential and commercial real estate assets through affiliated entities which hold an ownership interest in the assets. The Company is one investor, amongst other investors managed by affiliates of Angelo Gordon, in such entities and has applied the equity method of accounting for such investments. As of September 30, 2018 and December 31, 2017 , the Company’s share of these investments had a gross fair market value of $164.9 million and $88.3 million , respectively, net of any non-recourse securitized debt. During Q3 2018, the Company transfered certain of its CMBS from certain of its non-wholly owned subsidiaries to a fully consolidated entity. The Company executed this transfer in order to obtain financing on these real estate securities. As a result, there was a reclassification of these assets from the “Investments in debt and equity affiliates” line item to the “CMBS” line item on the Company's consolidated balance sheets. In addition, the Company has also shown this reclassification as a non-cash transfer on its consolidated statements of cash flows. The Company’s investment in AG Arc, the entity through which the Company invests in Arc Home, is reflected on the “Investments in debt and equity of affiliates” line item on its consolidated balance sheets at a fair value of $23.1 million and $17.9 million on September 30, 2018 and December 31, 2017 , respectively. On March 8, 2016, an affiliate of the Manager (“the Affiliate”) became a member of AG Arc. The Affiliate acquired an ownership interest in AG Arc which resulted in the Company’s ownership interest being reduced on a pro-rata basis. In June 2016, Arc Home closed on the acquisition of a Fannie Mae, Freddie Mac, Federal Housing Administration (“FHA”), Veteran’s Administration (“VA”) and Ginnie Mae seller/servicer of mortgages with licenses to conduct business in 47 states, including Washington D.C. Through this subsidiary, Arc Home originates conforming, Government, Jumbo and other non-conforming residential mortgage loans, retains the mortgage servicing rights associated with the loans it originates, and purchases additional mortgage servicing rights from third-party sellers. Arc Home is led by an external management team. On August 29, 2017, the Company, alongside private funds under the management of Angelo Gordon entered into the MATH LLC Agreement, which requires that MATH fund a capital commitment of $75.0 million to MATT. The Company’s share of MATH’s total capital commitment to MATT is $33.4 million , of which the Company had funded $14.5 million as of September 30, 2018 . As of September 30, 2018 , the Company’s remaining commitment was $18.9 million (net of any return of capital to the Company). Transactions with affiliates In connection with the Company’s investments in residential mortgage loans and residential mortgage loans in securitized form that it purchases from an affiliate (or affiliates) of the Manager (“Securitized Whole Loans”), the Company may engage asset managers to provide advisory, consultation, asset management and other services to help our third-party servicers formulate and implement strategic plans to manage, collect and dispose of loans in a manner that is reasonably expected to maximize the amount of proceeds from each loan. Beginning in November 2015, the Company engaged Red Creek Asset Management LLC (“Asset Manager”), a related party of the Manager and direct subsidiary of Angelo Gordon, as the asset manager for certain of its residential loans and Securitized Whole Loans. The Asset Manager acknowledges that the Company will at all times have and retain ownership and control of all loans and that the Asset Manager will not acquire (i) title to any loan, (ii) any security interest in any loan, or (iii) any other rights or interests of any kind or any nature whatsoever in or to any loan. The Company pays separate arm’s-length asset management fees as assessed and confirmed periodically by a third party valuation firm for (i) non-performing loans and (ii) reperforming loans. For the three and nine months ended September 30, 2018 , the fees paid by the Company to the Asset Manager totaled $123,050 and $244,481 , respectively. For the three and nine months ended September 30, 2017 , the fees paid by the Company to the Asset Manager totaled $41,732 and $137,022 , respectively. Arc Home may sell loans to the Company, to third parties, or to affiliates of the Manager. Arc Home may also enter into agreements with third parties or affiliates of the Manager to sell rights to receive the excess servicing spread related to MSRs that it either purchases from third parties or originates. The Company has entered into agreements with Arc Home to purchase rights to receive the excess servicing spread related to certain of Arc Home's MSRs and as of September 30, 2018 , these Excess MSRs had fair value of approximately $29.3 million. In connection with the Company’s investments in Excess MSRs purchased through Arc Home, the Company pays an administrative fee to Arc Home. For the three and nine months ended September 30, 2018 the administrative fees paid by the Company to Arc Home totaled $87,264 and $164,946 , respectively. For the three and nine months ended September 30, 2017 the administrative fees paid by the Company to Arc Home totaled $2,921 and $6,364 , respectively. In June 2016, in accordance with the Company’s Affiliated Transactions Policy, the Company executed two trades whereby the Company acquired real estate securities from two separate affiliates of the Manager (the “June Selling Affiliates”). As of the date of the trades, the securities acquired from the June Selling Affiliates had a total fair value of $6.9 million . In each case, the June Selling Affiliates sold the real estate securities through a BWIC (Bids Wanted in Competition). Prior to the submission of the BWIC by the June Selling Affiliates, the Company submitted its bid for the real estate securities to the June Selling Affiliates. The Company’s pre-submission of its bid allowed the Company to confirm third-party market pricing and best execution. In February 2017, in accordance with the Company’s Affiliated Transactions Policy, the Company executed one trade whereby the Company acquired a real estate security from an affiliate of the Manager (the “February Selling Affiliate”). As of the date of the trade, the security acquired from the February Selling Affiliate had a total fair value of $2.0 million . The February Selling Affiliate sold the real estate security through a BWIC. Prior to the submission of the BWIC by the February Selling Affiliate, the Company submitted its bid for the real estate security to the February Selling Affiliate. The Company’s pre-submission of its bid allowed the Company to confirm third-party market pricing and best execution. In July 2017, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities from an affiliate of the Manager (the “July Selling Affiliate”). As of the date of the trade, the securities acquired from the July Selling Affiliate had a total fair value of $0.2 million . As procuring market bids for the real estate securities was determined to be impracticable in the Manager’s reasonable judgment, appropriate pricing was based on a valuation prepared by an independent third-party pricing vendor. The third-party pricing vendor allowed the Company to confirm third-party market pricing and best execution. In October 2017, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities and loans from two affiliates of the Manager (the “October Selling Affiliates”). As of the date of the trade, the real estate securities and loans acquired from the October Selling Affiliates had a total fair value of $8.4 million . As procuring market bids for the real estate securities and loans were determined to be impracticable in the Manager’s reasonable judgment, appropriate pricing was based on a valuation prepared by independent third-party pricing vendors. The third-party pricing vendors allowed the Company to confirm third-party market pricing and best execution. |
Equity
Equity | 9 Months Ended |
Sep. 30, 2018 | |
Stockholders' Equity Note [Abstract] | |
Equity | Equity On May 2, 2018, the Company filed a shelf registration statement registering up to $750.0 million of its securities, including capital stock (the “2018 Registration Statement”). As of September 30, 2018 , $650.0 million of the Company’s securities, including capital stock, was available for issuance under the 2018 Registration Statement. The 2018 Registration Statement became effective on May 18, 2018 and will expire on May 18, 2021. Concurrently with the IPO in 2011, the Company offered a private placement of 3,205,000 units at $20.00 per share to a limited number of investors qualifying as “accredited investors” under Rule 501 of Regulation D promulgated under the Securities Act of 1933, as amended (the “Securities Act”). Each unit consisted of one share of common stock (“private placement share”) and a warrant (“private placement warrant”) to purchase 0.50 of a share of common stock. Each private placement warrant had an exercise price of $20.50 per share (as adjusted for reorganizations, reclassifications, consolidations, mergers, sales, transfers or other dispositions) and expired on July 6, 2018 . No warrants were exercised for the three and nine months ended September 30, 2017 , or in 2018 through the expiration date on July 6, 2018. The Company’s Series A and Series B Preferred Stock have no stated maturity and are not subject to any sinking fund or mandatory redemption. Under certain circumstances upon a change of control, the Company’s Series A and Series B Preferred Stock are convertible to shares of the Company’s common stock. Holders of the Company’s Series A and Series B Preferred Stock have no voting rights, except under limited conditions, and holders are entitled to receive cumulative cash dividends at a rate of 8.25% and 8.00% per annum on the Series A and Series B Preferred Stock, respectively, of the $25.00 per share liquidation preference before holders of the common stock are entitled to receive any dividends. Shares of the Company’s Series A and Series B Preferred Stock are currently redeemable at $25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option. Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December. As of September 30, 2018 , the Company had declared all required quarterly dividends on the Company’s Series A and Series B Preferred Stock. On November 3, 2015, the Company’s board of directors authorized a stock repurchase program (“Repurchase Program”) to repurchase up to $25.0 million of its outstanding common stock. Such authorization does not have an expiration date. As part of the Repurchase Program, shares may be purchased in open market transactions, including through block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Exchange Act. Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases. Subject to applicable securities laws, the timing, manner, price and amount of any repurchases of common stock under the Repurchase Program may be determined by the Company in its discretion, using available cash resources. Shares of common stock repurchased by the Company under the Repurchase Program, if any, will be cancelled and, until reissued by the Company, will be deemed to be authorized but unissued shares of its common stock as required by Maryland law. The Repurchase Program may be suspended or discontinued by the Company at any time and without prior notice and the authorization does not obligate the Company to acquire any particular amount of common stock. The cost of the acquisition by the Company of shares of its own stock in excess of the aggregate par value of the shares first reduces additional paid-in capital, to the extent available, with any residual cost applied against retained earnings. No shares were repurchased under the Repurchase Program during the nine months ended September 30, 2018 or September 30, 2017 , and approximately $14.6 million of common stock remained authorized for future share repurchases under the Repurchase Program. On May 5, 2017, the Company entered into an equity distribution agreement with each of Credit Suisse Securities (USA) LLC and JMP Securities LLC (collectively, the “Sales Agents”), which the Company refers to as the “Equity Distribution Agreements,” pursuant to which the Company may sell up to $100.0 million aggregate offering price of shares of its common stock from time to time through the Sales Agents, as defined in Rule 415 under the Securities Act of 1933. The Equity Distribution Agreements were amended on May 2, 2018 in conjunction with the filing of the Company’s 2018 Registration Statement. As of September 30, 2018 , the Company sold 972.7 thousand shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $18.1 million . |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2018 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. On December 9, 2015, the Company, alongside private funds under the management of Angelo Gordon, through AG Arc, entered into Arc Home’s LLC Agreement and agreed to fund an initial capital commitment of $30.0 million . On each of April 25, 2017 and September 28, 2018, the Company, alongside private funds under the management of Angelo Gordon, agreed to fund an additional capital commitment to Arc Home in the amount of $10.0 million . As of September 30, 2018 , the Company’s share of Arc Home’s total capital commitment was $22.3 million . The Company had funded all of its capital commitment to Arc Home as of September 30, 2018 . On February 28, 2017, the Company, alongside a private fund under the management of Angelo Gordon, purchased a mezzanine loan and agreed to fund a commitment of $21.9 million . The Company’s share of the commitment is $14.6 million of which the Company had funded $10.4 million as of September 30, 2018 . As of September 30, 2018 , the Company’s remaining commitment was $4.2 million . On August 29, 2017, the Company, alongside private funds under the management of Angelo Gordon, entered into the MATH LLC Agreement, which requires that MATH fund a capital commitment of $75.0 million to MATT. The Company’s share of MATH’s total capital commitment to MATT is $33.4 million (net of any return of capital to the Company), of which the Company had funded $14.5 million as of September 30, 2018 . As of September 30, 2018 , the Company’s remaining commitment was $18.9 million (net of any return of capital to the Company). On March 29, 2018, the Company alongside private funds under the management of Angelo Gordon, purchased a variable funding note issued pursuant to an indenture. The Company’s share of the total commitment to the variable funding note is $7.1 million , of which the Company has funded $5.1 million as of September 30, 2018 . As of September 30, 2018 , the Company’s remaining commitment was $2.0 million . On June 8, 2018, the Company, alongside private funds under the management of Angelo Gordon and other third parties, entered into a commitment to close on a commercial loan, subject to the satisfaction of certain conditions. The Company’s share of the commitment is $20.0 million . As of September 30, 2018 , the conditions had not been met, the loan had not closed and the Company had not funded any of this commitment. On July 26, 2018, the Company entered into a commitment on a commercial loan. The Company's share of the commitment is $75.0 million. As of September 30, 2018 , the Company has funded $15.4 million and has a remaining commitment of $59.6 million. On September 21, 2018, the Company entered into a commitment on a commercial loan. The Company's share of the commitment is $36.0 million. As of September 30, 2018 , the Company had funded all of its capital commitment. |
Summary of significant accoun_2
Summary of significant accounting policies (Policies) | 9 Months Ended |
Sep. 30, 2018 | |
Accounting Policies [Abstract] | |
Cash and cash equivalents | Cash and cash equivalents Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents includes cash invested in money market funds. As of September 30, 2018 , the Company held $14.7 million of cash equivalents. As of December 31, 2017 , the Company held no cash equivalents. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of “Cash and cash equivalents” on the consolidated balance sheets. Any cash held by the Company as collateral is included in the “Due to broker” line item on the consolidated balance sheets and in cash flows from financing activities on the consolidated statement of cash flows. Due to broker does not include variation margin received on centrally cleared derivatives. See Note 9 for more detail. Any cash due to the Company in the form of principal payments is included in the “Due from broker” line item on the consolidated balance sheets and in cash flows from operating activities on the consolidated statement of cash flows. |
Restricted cash | Restricted cash Restricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, financing arrangements and security deposits. Restricted cash is not available to the Company for general corporate purposes. As of September 30, 2018, the Company held $1.2 million of restricted cash related to security deposits. As of December 31, 2017, the Company held no restricted cash related to security deposits. Restricted cash may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the derivative or financing arrangement. Restricted cash is carried at cost, which approximates fair value. Restricted cash does not include variation margin pledged on centrally cleared derivatives. |
Offering costs | Offering costs The Company has incurred offering costs in connection with common stock offerings and registration statements. Where applicable, the offering costs were paid out of the proceeds of the respective offerings. Offering costs in connection with common stock offerings and costs in connection with registration statements have been accounted for as a reduction of additional paid-in capital. |
Use of estimates | Use of estimates The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates. |
Earnings/(Loss) per share | Earnings/(Loss) per share In accordance with the provisions of Accounting Standards Codification (“ASC”) 260, “Earnings per Share,” the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted-average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive. |
Valuation of financial instruments | Valuation of financial instruments The fair value of the financial instruments that the Company records at fair value will be determined by the Manager, subject to oversight of the Company’s board of directors, and in accordance with ASC 820, “Fair Value Measurements and Disclosures.” When possible, the Company determines fair value using independent data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under ASC 820 are described below: • Level 1 – Quoted prices in active markets for identical assets or liabilities. • Level 2 – Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. • Level 3 – Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. Transfers between levels are assumed to occur at the beginning of the reporting period. |
Accounting for real estate securities | Accounting for real estate securities Investments in real estate securities are recorded in accordance with ASC 320-10, “Investments – Debt and Equity Securities,” ASC 325-40, “Beneficial Interests in Securitized Financial Assets,” or ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality.” The Company has chosen to make a fair value election pursuant to ASC 825, “Financial Instruments” for its real estate securities portfolio. Real estate securities are recorded at fair market value on the consolidated balance sheets and the periodic change in fair market value is recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain/(loss) on real estate securities and loans, net.” Real estate securities acquired through securitizations are shown in the line item “Purchase of real estate securities” on the consolidated statement of cash flows. These investments meet the requirements to be classified as available for sale under ASC 320-10-25 which requires the securities to be carried at fair value on the consolidated balance sheets with changes in fair value recorded to other comprehensive income, a component of stockholders’ equity. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. When the Company purchases securities with evidence of credit deterioration since origination, it will analyze the securities to determine if the guidance found in ASC 310-30 is applicable. The Company accounts for its securities under ASC 310 and ASC 325 and evaluates securities for other-than-temporary impairment (“OTTI”) on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of a real estate security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” When a real estate security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. Additionally for securities accounted for under ASC 325-40 an OTTI is deemed to have occurred when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a “market participant” would use and include observations of current information and events, and assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of potential credit losses. Cash flows are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments are reflected in the “Net realized gain/(loss)” line item on the consolidated statement of operations. The determination as to whether an OTTI exists is subjective, given that such determination is based on information available at the time of assessment as well as the Company’s estimate of the future performance and cash flow projections for the individual security. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time. Increases in interest income may be recognized on a security on which the Company previously recorded an OTTI charge if the performance of such security subsequently improves. Any remaining unrealized losses on securities at September 30, 2018 do not represent other than temporary impairment as the Company has the ability and intent to hold the securities to maturity or for a period of time sufficient for a forecasted market price recovery up to or above the amortized cost of the investment, and the Company is not required to sell the security for regulatory or other reasons. In addition, any unrealized losses on the Company’s Agency RMBS accounted for under ASC 320 are not due to credit losses given their explicit guarantee of principal and interest by the GSEs, but rather are due to changes in interest rates and prepayment expectations. See Note 3 for a summary of OTTI charges recorded. Sales of securities are driven by the Manager’s portfolio management process. The Manager seeks to mitigate risks including those associated with prepayments, defaults, severities, amongst others and will opportunistically rotate the portfolio into securities with more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of securities, loans and derivatives are included in the “Net realized gain/(loss)” line item on the consolidated statement of operations. The cost of positions sold is calculated using a first in, first out, or FIFO, basis. Realized gains and losses are recorded in earnings at the time of disposition. |
Accounting for residential and commercial mortgage loans | Accounting for residential and commercial mortgage loans Investments in mortgage loans are recorded in accordance with ASC 310-10, “Receivables.” At purchase, the Company may aggregate its mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. The Company has chosen to make a fair value election pursuant to ASC 825 for its mortgage loan portfolio. Loans are recorded at fair market value on the consolidated balance sheets and any periodic change in fair market value will be recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain/(loss) on real estate securities and loans, net.” The Company amortizes or accretes any premium or discount over the life of the loans utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal on its loans to determine whether they are impaired. A loan or pool of loans is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan or pool of loans is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged. When the Company purchases mortgage loans with evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those loans, it will apply the guidance found in ASC 310-30. Mortgage loans that are delinquent 60 or more days are considered non-performing. The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for loans accounted for under ASC 310-30. In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of principal and interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations. If based on the most current information and events it is probable that there is a significant increase in cash flows previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the loan’s yield over its remaining life. The Company will adjust the amount of accretable yield by reclassification from the nonaccretable difference. The adjustment is accounted for as a change in estimate in conformity with ASC 250, “Accounting Changes and Error Corrections” with the amount of periodic accretion adjusted over the remaining life of the loan. Decreases in cash flows expected to be collected from previously projected cash flows, which includes all cash flows originally expected to be collected by the investor plus any additional cash flows expected to be collected arising from changes in estimate after acquisition, may be recognized as impairment. Increases in interest income may be recognized on a loan on which the Company previously recorded an OTTI charge if the performance of such loan subsequently improves. |
Investments in debt and equity of affiliates | Investments in debt and equity of affiliates The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method. A majority of the Company’s investments held through affiliated entities are comprised of real estate securities, Excess MSRs, and loans, including loans held through Mortgage Acquisition Holding I LLC (“MATH”) as discussed below. These types of investments are also held directly by the Company. These entities have chosen to make a fair value election on their financial instruments pursuant to ASC 825; as such, the Company will treat these investments consistently with this election. As of September 30, 2018 and December 31, 2017 , these investments had a gross fair market value of $164.9 million and $88.3 million , respectively, net of any non-recourse securitized debt. During Q3 2018, the Company transfered certain of its CMBS from certain of its non-wholly owned subsidiaries to a consolidated entity. The Company executed this transfer in order to obtain financing on these real estate securities. As a result, there was a reclassification of these assets from the “Investments in debt and equity affiliates” line item to the “CMBS” line item on the Company's consolidated balance sheets. In addition, the Company has also shown this reclassification as a non-cash transfer from the “Investments in debt and equity affiliates” line item to the “CMBS” line item on its consolidated statements of cash flows. On December 9, 2015, the Company, alongside private funds under the management of Angelo Gordon, through AG Arc LLC, one of the Company’s indirect subsidiaries (“AG Arc”), formed Arc Home LLC (“Arc Home”). The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. As of September 30, 2018 and December 31, 2017 , the Company’s interest in AG Arc had a fair market value of $23.1 million and $17.9 million , respectively. See Note 12 for additional detail. On August 27, 2017, the Company, alongside private funds under the management of Angelo Gordon, formed MATH to conduct a residential mortgage investment strategy. MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC (“MATT”) to purchase predominantly “Non-QMs,” which are residential mortgage loans that are not deemed “qualified mortgage,” or “QM,” loans under the rules of the CFPB. Non-QMs are not eligible for delivery to Fannie Mae, Freddie Mac, or Ginnie Mae. MATT is expected to make an election to be treated as a real estate investment trust beginning with the 2018 tax year. In furtherance of this business, MATH’s sponsoring funds have agreed to provide up to $75.0 million of capital to MATH, of which the Company agreed to provide $33.4 million for use in this mortgage investment business (net of any return of capital to the Company). The Company invests in MATT through MATH, and these indirect subsidiaries have chosen to make a fair value election on their respective financial instruments pursuant to ASC 825. As such, the Company will treat this investment consistently with this election. As of September 30, 2018 , the Company had funded $14.5 million of its total capital commitment and the Company’s outstanding commitment was $18.9 million (net of any return of capital to the Company). The Company’s investments in debt and equity of affiliates are recorded at fair market value on the consolidated balance sheets in the “Investments in debt and equity of affiliates” line item and periodic changes in fair market value are recorded in current period earnings on the consolidated statement of operations as a component of “Equity in earnings/(loss) from affiliates.” Capital contributions, distributions and profits and losses of such entities are allocated in accordance with the terms of the applicable agreements. |
Accounting for excess mortgage servicing rights | Accounting for excess mortgage servicing rights The Company has acquired the right to receive the excess servicing spread related to Excess MSRs. The Company has chosen to make a fair value election pursuant to ASC 825 for Excess MSRs. Excess MSRs are recorded at fair market value on the consolidated balance sheets and any periodic change in fair market value is recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain/(loss) on derivative and other instruments, net.” The Company amortizes or accretes any premium or discount over the life of the related Excess MSRs utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of interest of its Excess MSRs to determine whether they are impaired. An Excess MSR is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for Excess MSRs. In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations. If there is a significant increase in expected cash flows over what was previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the Excess MSR’s yield over its remaining life. Decreases in cash flows expected to be collected from previously projected cash flows, which includes all cash flows originally expected to be collected by the investor plus any additional cash flows expected to be collected arising from changes in estimate after acquisition, may be recognized as impairment. Increases in interest income may be recognized on an Excess MSR on which the Company previously recorded an OTTI charge if the performance of such Excess MSR subsequently improves. |
Accounting for single-family residential properties | Accounting for single-family rental properties Purchases of single-family rental properties are treated as asset acquisitions under ASU 2017-01, “Clarifying the Definition of a Business” and are recorded at their purchase price, which is allocated between land, building and improvements, and in-place lease intangibles (when a tenant is in place at the acquisition date) based upon their relative fair values at the date of acquisition. Fair value is determined in accordance with ASC 820 and is primarily based on unobservable data inputs. In making estimates of fair values for purposes of allocating the purchase price, the Company utilizes its own market knowledge and published market data and generally engages a third-party valuation specialist to assist management in the determination of fair value for purposes of allocating price of properties acquired as part of portfolio level transactions. For purposes of this allocation, the purchase price is inclusive of acquisition costs, which include legal costs, as well as other closing costs. The Company incurs costs to acquire, stabilize and prepare our single-family rental properties to be rented. These costs include renovation and other costs associated with these activities. The Company capitalizes these costs as a component of the Company's investment in each single-family rental property, using specific identification and relative allocation methodologies. The capitalization period associated with the Company's stabilization activities begins at such time that activities commence and concludes at the time that a single-family rental property is available to be leased. Once a property is ready for its intended use, expenditures for ordinary maintenance and repairs are expensed to operations as incurred. The Company capitalizes expenditures that improve or extend the life of a home and for certain furniture and fixtures additions. The Company records single-family rental properties at purchase price less accumulated depreciation. Costs capitalized in connection with property acquisitions and improvements are depreciated over their estimated useful lives on a straight line basis. For costs capitalized in connection with property acquisitions and improvements, the weighted average useful lives range from 5 years to 30 years. In-place lease intangibles are recorded based on the costs to execute similar leases as well as an estimate of lost rent revenue at in-place rental rates during the estimated time required to lease the property. The in-place lease intangibles are amortized over the remaining life of the leases and are recorded in “Single-family rental properties, net” on the Company's consolidated balance sheets. The weighted average remaining life of the leases is 7.4 months. The Company assesses impairment in its single-family rental properties at least on a quarterly basis, or whenever events or changes in business circumstances indicate that carrying amounts of the assets may not be fully recoverable. When such trigger events occur, the Company determines whether there has been impairment by comparing the asset’s carrying value with its estimated fair value. Should impairment exist, the asset is written down to its estimated fair value. This analysis is performed at the property level using estimated cash flows, which are estimated based on a number of assumptions that are subject to economic and market uncertainties, including, among others, demand for rental properties, competition for customers, changes in market rental rates, costs to operate each property, expected ownership periods and value of the property. If the carrying amount of a property exceeds the sum of its undiscounted future operating and disposition cash flows, an impairment loss is recorded for excess of the carrying amount over the estimated fair value. Minimum contractual rents from leases are recognized on a straight-line basis over the terms of the leases in rental income. Therefore, actual amounts billed in accordance with the lease during any given period may be higher or lower than the amount of rental income recognized during the period. Straight-line rental income commences when the customer takes control of the leased premises. |
Investment consolidation and transfers of financial assets | Investment consolidation and transfers of financial assets For each investment made, the Company evaluates the underlying entity that issued the securities acquired or to which the Company makes a loan to determine the appropriate accounting. A similar analysis will be performed for each entity with which the Company enters into an agreement for management, servicing or related services. In performing the analysis, the Company refers to guidance in ASC 810-10, “Consolidation.” In situations where the Company is the transferor of financial assets, the Company refers to the guidance in ASC 860-10 “Transfers and Servicing.” In variable interest entities (“VIEs”), an entity is subject to consolidation under ASC 810-10 if the equity investors either do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of ASC 810-10 are required to be consolidated by their 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 of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. See Note 3 for more detail. The Company entered into a resecuritization transaction in 2014 which resulted in the Company consolidating the VIE that was created to facilitate the transaction and to which the underlying assets in connection with the resecuritization were transferred. In determining the accounting treatment to be applied to this resecuritization transaction, the Company evaluated whether the entity used to facilitate this transaction was a VIE and, if so, whether it should be consolidated. Based on its evaluation, the Company concluded that the VIE should be consolidated. If the Company had determined that consolidation was not required, it would have then assessed whether the transfer of the underlying assets would qualify as a sale or should be accounted for as secured financings under GAAP. See Note 3 below for more detail. The Company transferred certain of its CMBS in Q3 2018 from certain of its non-wholly owned subsidiaries into a newly formed entity so the Company could obtain financing on these real estate securities. The Company evaluated whether this newly formed entity was a VIE and, whether it should be consolidated. Based on its evaluation, the Company concluded that the VIE should be consolidated. If the Company had determined that consolidation was not required, it would have accounted for its investment in this entity as an equity method investment. See Note 3 below as well as the “Investments in debt and equity of affiliates” section above for more detail. The Company may periodically enter into transactions in which it transfers assets to a third party. Upon a transfer of financial assets, the Company will sometimes retain or acquire senior or subordinated interests in the related assets. Pursuant to ASC 860-10, a determination must be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor’s continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term “participating interest” to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale. Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair values. The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. On February 12, 2016, the Company originated a $12.0 million commercial loan and at closing, transferred a 15% or $1.8 million interest in the loan (the “Participation Interest”) to an unaffiliated third party. The Company, as transferor, evaluated the transfer under ASC 860-10, and concluded the transferred participation interest should be accounted for as a secured borrowing. The Company has recorded the $12.0 million commercial loan on its consolidated balance sheets as an asset in the “Commercial loans, at fair value” line item. The Company has recorded a $1.8 million liability in the “Loan participation payable, at fair value” line item representing the transfer of the participation interest. The Company has chosen to make a fair value election on the consolidated interest pursuant to ASC 825. The holder of the participation interest has no recourse to the general credit of the Company. The commercial loan was paid off in full in February 2017. The principal and interest due on the Participation Interest was paid from these proceeds. See Note 4 for more detail. From time to time, the Company may securitize mortgage loans it holds if such financing is available. These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a “sale” and the loans will be removed from the consolidated balance sheets or as a “financing” and will be classified as “real estate securities” on the consolidated balance sheets, depending upon the structure of the securitization transaction. ASC 860-10 is a standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a “sale” or a “financing.” |
Interest income recognition | Interest income recognition Interest income on the Company’s real estate securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such securities. The Company has elected to record interest in accordance with ASC 835-30-35-2, “Imputation of Interest,” using the effective interest method for all securities accounted for under the fair value option (ASC 825). As such, premiums and discounts are amortized or accreted into interest income over the lives of the securities in accordance with ASC 310-20, “Nonrefundable Fees and Other Costs,” ASC 320-10 or ASC 325-40, as applicable. Total interest income is recorded in the “Interest income” line item on the consolidated statement of operations. On at least a quarterly basis for securities accounted for under ASC 320-10 and ASC 310-20 (generally Agency RMBS, exclusive of interest-only securities), prepayments of the underlying collateral must be estimated, which directly affect the speed at which the Company amortizes premiums on its securities. If actual and anticipated cash flows differ from previous estimates, the Company records an adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield through the reporting date. Similarly, the Company also reassesses the cash flows on at least a quarterly basis for securities accounted for under ASC 325-40 (generally Non-Agency RMBS, ABS, CMBS, interest-only securities and Excess MSRs). In estimating these cash flows, there are a number of assumptions made that are uncertain and subject to judgments and assumptions based on subjective and objective factors and contingencies. These include the rate and timing of principal and interest receipts (including assumptions of prepayments, repurchases, defaults and liquidations), the pass-through or coupon rate and interest rate fluctuations. In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be estimated. Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment as adjusted for credit impairment, if any. Interest income on the Company’s loan portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans. The Company has elected to record interest in accordance with ASC 835-30-35-2 using the effective interest method for all loans accounted for under the fair value option (ASC 825). Any amortization will be reflected as an adjustment to interest income in the consolidated statement of operations. For security and loan investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, the Company will apply the provisions of ASC 310-30. For purposes of income recognition, the Company may aggregate loans that have common risk characteristics into pools and uses a composite interest rate and expectation of cash flows expected to be collected for the pool. ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities (loans) acquired in a transfer if those differences are attributable, at least in part, to credit quality. ASC 310-30 limits the yield that may be accreted (accretable yield) to the excess of the investor’s estimate of undiscounted expected principal, interest and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan. ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) not be recognized as an adjustment of yield, loss accrual or valuation allowance. Subsequent increases in cash flows expected to be collected generally should be recognized prospectively through an adjustment of the loan’s yield over its remaining life. Decreases in cash flows expected to be collected should be recognized as impairment. The Company’s accrual of interest, discount accretion and premium amortization for U.S. federal and other tax purposes differs from the financial accounting treatment of these items as described above. |
Financing arrangements | Financing arrangements The Company finances the acquisition of certain assets within its portfolio through the use of financing arrangements. Financing arrangements include repurchase agreements and financing facilities. The Company's financing facilities include both term loans and revolving facilities. Repurchase agreements and financing facilities are treated as collateralized financing transactions and carried at primarily their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s repurchase agreements and revolving facilities approximates fair value. The Company pledges certain securities, loans or properties as collateral under financing arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. The amounts available to be borrowed under repurchase agreements and revolving facilities are dependent upon the fair value of the securities, or loans pledged as collateral, which can fluctuate with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. In response to declines in fair value of assets pledged under repurchase agreements and revolving facilities, lenders may require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as margin calls. |
Accounting for derivative financial instruments | Accounting for derivative financial instruments The Company enters into derivative contracts as a means of mitigating interest rate risk rather than to enhance returns. The Company accounts for derivative financial instruments in accordance with ASC 815-10, “Derivatives and Hedging.” ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. Additionally, if or when hedge accounting is elected, the fair value adjustments will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a hedge for accounting purposes and, if so, the nature of the hedging activity. As of September 30, 2018 and December 31, 2017 , the Company did not have any interest rate derivatives designated as hedges. All derivatives have been recorded at fair value in accordance with ASC 820-10, with corresponding changes in value recognized in the consolidated statement of operations. The Company records derivative asset and liability positions on a gross basis with respect to its counterparties. The Company records the daily receipt or payment of variation margin associated with the Company’s centrally cleared derivative instruments on a net basis. See Note 9 for a discussion of this accounting treatment. During the period in which the Company unwinds a derivative, it records a realized gain/(loss) in the “Net realized gain/(loss)” line item in the consolidated statement of operations. |
To-be-announced securities | To-be-announced securities A to-be-announced security (“TBA”) is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS delivered into or received from the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. The Company may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a pair off), net settling the paired off positions for cash, simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a dollar roll. The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to Agency RMBS for settlement in the current month. This difference, or discount, is referred to as the price drop. The price drop is the economic equivalent of net interest carry income on the underlying Agency RMBS over the roll period (interest income less implied financing cost) and is commonly referred to as dollar roll income/(loss). Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing. Dollar roll income is recognized in the consolidated statement of operations in the line item “Unrealized gain/(loss) on derivative and other instruments, net.” The Company presents the purchase or sale of TBAs net of the corresponding payable or receivable, respectively, until the settlement date of the transaction. Contracts for the purchase or sale of Agency RMBS are accounted for as derivatives if they do not qualify for the “regular way” security trade scope exception found in ASC 815-10. To be eligible for this scope exception, the contract must meet the following conditions: (1) there is no other way to purchase or sell that security, (2) delivery of that security and settlement will occur within the shortest period possible for that type of security, and (3) it is probable at inception and throughout the term of the individual contract that the contract will not settle net and will result in physical delivery of a security when it is issued. Unrealized gains and losses associated with TBA contracts not meeting the regular-way exception and not designated as hedging instruments are recognized in the consolidated statement of operations in the line item “Unrealized gain/(loss) on derivative and other instruments, net.” |
U.S. Treasury securities | U.S. Treasury securities The Company may purchase long or sell short U.S. Treasury securities to help mitigate the potential impact of changes in interest rates. The Company may finance its purchase of U.S. Treasury securities with overnight repurchase agreements. The Company may borrow securities to cover short sales of U.S. Treasury securities through overnight reverse repurchase agreements, which are accounted for as borrowing transactions, and the Company recognizes an obligation to return the borrowed securities at fair value on its consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date. Interest income and expense associated with purchases and short sales of U.S. Treasury securities are recognized in “Interest income” and “Interest expense”, respectively, on the consolidated statement of operations. Realized and unrealized gains and losses associated with purchases and short sales of U.S. Treasury securities are recognized in “Net realized gain/(loss)” and “Unrealized gain/(loss) on derivative and other instruments, net,” respectively, on the consolidated statement of operations. |
Short positions in U.S. Treasury securities through reverse repurchase agreements | Short positions in U.S. Treasury securities through reverse repurchase agreements The Company may sell short U.S. Treasury securities to help mitigate the potential impact of changes in interest rates. The Company may borrow securities to cover short sales of U.S. Treasury securities under reverse repurchase agreements, which are accounted for as borrowing transactions, and the Company recognizes an obligation to return the borrowed securities at fair value on its consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date. The Company establishes haircuts to ensure the market value of the underlying assets remain sufficient to protect the Company in the event of a default by a counterparty. Realized and unrealized gains and losses associated with purchases and short sales of U.S. Treasury securities are recognized in “Net realized gain/(loss)” and “Unrealized gain/(loss) on derivative and other instruments, net,” respectively, on the consolidated statement of operations. |
Manager compensation | Manager compensation The management agreement provides for payment to the Manager of a management fee. The management fee is accrued and expensed during the period for which it is earned. |
Income taxes | Income taxes The Company conducts its operations to qualify and be taxed as a REIT. Accordingly, the Company will generally not be subject to federal or state corporate income tax to the extent that the Company makes qualifying distributions to its stockholders, and provided that it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. The dividends paid deduction of a REIT for qualifying dividends to its stockholders is computed using the Company’s taxable income/(loss) as opposed to net income/(loss) reported on the Company’s GAAP financial statements. Taxable income/(loss), generally, will differ from net income/(loss) reported on the financial statements because the determination of taxable income/(loss) is based on tax principles and not financial accounting principles. The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries (“TRSs”) and may elect to treat other subsidiaries as TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A domestic TRS may declare dividends to the Company which will be included in the Company’s taxable income/(loss) and necessitate a distribution to stockholders. Conversely, if the Company retains earnings at the domestic TRS level, no distribution is required and the Company can increase book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state and local corporate income taxes. The Company elected to treat one of its foreign subsidiaries as a TRS and, accordingly, taxable income generated by this foreign TRS may not be subject to local income taxation, but generally will be included in the Company’s income on a current basis as Subpart F income, whether or not distributed. The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company believes that it will operate in a manner that will allow it to qualify for taxation as a REIT. As a result of the Company’s expected REIT qualification, it does not generally expect to pay federal or state corporate income tax. Many of the REIT requirements, however, are highly technical and complex. If the Company were to fail to meet the REIT requirements, it would be subject to federal income taxes and applicable state and local taxes. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. The Company evaluates uncertain income tax positions, if any, in accordance with ASC 740, “Income Taxes.” The Company classifies interest and penalties, if any, related to unrecognized tax benefits as a component of provision for income taxes. |
Deal related performance fees | Deal related performance fees The Company accrues deal related performance fees, payable to Arc Home and third party operators, on certain of its CMBS, Excess MSRs and its single-family rental properties. The deal related performance fees are based on these investments meeting certain performance hurdles. The fees are accrued and expensed during the period for which they are earned. |
Stock-based compensation | Stock-based compensation The Company applies the provisions of ASC 718, “Compensation—Stock Compensation” with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including stock options, restricted stock plans, performance-based awards, stock appreciation rights and employee stock purchase plans. ASC 718 requires that compensation cost relating to stock-based payment transactions be recognized in financial statements. Compensation cost is measured based on the fair value of the equity or liability instruments issued. Compensation cost related to restricted common shares issued to the Company’s directors is measured at its estimated fair value at the grant date, and is amortized and expensed over the vesting period on a straight-line basis. Compensation cost related to restricted common shares and restricted stock units issued to the Manager is initially measured at estimated fair value at the grant date, and is remeasured on subsequent dates to the extent the awards are unvested. Restricted stock units granted to the Manager do not entitle the participant the rights of a shareholder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units. The restricted stock units are not considered to be participating shares. Restricted stock units are measured at fair value reduced by the present value of the dividends expected to be paid on the underlying shares during the requisite service period, discounted at an assumed risk free rate. The Company has elected to use the straight-line method to amortize compensation expense for restricted stock units. |
Recent accounting pronouncements | Recent accounting pronouncements In August 2016, the FASB issued ASU 2016-15, “Classification of Certain Cash Receipts and Cash Payments” (“ASU 2016-15”). ASU 2016-15 addresses eight specific cash flow issues with the objective of reducing existing diversity of how certain cash receipts and cash payments are presented. These specific issues include debt prepayment and debt extinguishment costs, settlement of zero-coupon debt, proceeds from the settlement of insurance claims, and beneficial interests in securitization transactions, among others. The adoption of this standard reclassified certain items on the Company’s consolidated statement of cash flows between the “Cash flows from Operating Activities” and the “Cash Flows from Investing Activities” line items as it pertains to the settlement of certain instruments. The Company adopted ASU 2016-15 in the first quarter of 2018 and applied the guidance retrospectively to its prior period consolidated statement of cash flows. In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash. The amendments in this update require that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. The adoption of this standard required the Company to reconcile changes in cash, cash equivalents, and restricted cash on the consolidated statement of cash flows. As a result, the Company no longer presents transfers between cash and cash equivalents and restricted cash in the statement of cash flows. The Company adopted ASU 2016-18 in the first quarter of 2018 and applied the guidance retrospectively to its prior period consolidated statement of cash flows. In June 2016, the FASB issued ASU 2016-13, “Financial Instruments – Credit Losses” (“ASU 2016-13”). ASU 2016-13 introduces a new model related to the accounting for credit losses on instruments, specifically, financial assets subject to credit losses and measured at amortized cost and certain off-balance sheet credit exposures. ASU 2016-13 amends the current guidance, requiring an OTTI charge only when fair value is below the amortized cost of an asset. The length of time the fair value of an available-for-sale debt security has been below the amortized cost will no longer impact the determination of whether a credit loss exists. As such, it is no longer an other-than-temporary model. In addition, credit losses on available-for-sale debt securities will now be limited to the difference between the security’s amortized cost basis and its fair value. The new debt security model will also require the use of an allowance to record estimated credit losses. The new guidance also expands the disclosure requirements regarding an entity’s assumptions and models. In addition, public entities will need to disclose the amortized cost balance for each class of financial asset by credit quality indicator, disaggregated by the year of origination (i.e., by vintage year). ASU 2016-13 is effective for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Company is currently evaluating its method of adoption and the impact this ASU will have on its consolidated financial statements. In March 2017, the FASB issued ASU 2017-8, “Premium Amortization of Purchased Callable Debt Securities” (“ASU 2017-8”). The amendments in this update require purchase premiums for investments in debt securities that are noncontingently callable by the issuer (at a fixed price and preset date) to be amortized to the earliest call date. Previously, purchase premiums for such investments were permitted to be amortized to the instrument’s maturity date. ASU 2017-8 is effective for public business entities for fiscal years beginning after December 15, 2018 and interim periods within those years. The Company is currently assessing the impact this guidance will have on its consolidated financial statements. In June 2018, the FASB issued ASU 2018–7, “Improvements to Nonemployee Share–Based Payment Accounting” (“ASU 2018-7”). The standard largely aligns the accounting for share–based payment awards issued to employees and nonemployees. Equity–classified share–based payment awards issued to nonemployees will be measured on the grant date, instead of being remeasured through the performance completion date (generally the vesting date), as required under the current guidance. The standard is to be applied on a modified retrospective basis through a cumulative–effect adjustment to retained earnings as of the beginning of the fiscal year when adopted. The standard is effective for public business entities for fiscal years beginning after December 15, 2018 and interim periods within those years. The Company is currently assessing the impact this guidance will have on its consolidated financial statements. In August 2018, the FASB issued ASU 2018-13, “Fair Value Measurement (Topic 820) Disclosure Framework–Changes to the Disclosure Requirements for Fair Value Measurement” (“ASU 2018-13”). ASU 2018-13 changes the fair value measurement disclosure requirements of ASC 820 “Fair Value Measurement" by adding, eliminating, and modifying certain disclosure requirements. ASU 2018-13 is effective for all entities for fiscal years beginning after December 15, 2019 and requires application of the prospective method of transition. The Company is currently assessing the impact the guidance will have on its consolidated consolidated financial statements. |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of real estate securities portfolio | The following table details the Company’s real estate securities portfolio as of September 30, 2018 (in thousands): Gross Unrealized (1) Weighted Average Current Face Premium / (Discount) Amortized Cost Gains Losses Fair Value Coupon (2) Yield Agency RMBS: 30 Year Fixed Rate $ 1,740,991 $ 44,102 $ 1,785,093 $ 523 $ (23,147 ) $ 1,762,469 3.99 % 3.61 % Fixed Rate CMO 46,042 350 46,392 — (1,069 ) 45,323 3.00 % 2.79 % ARM 108,008 506 108,514 — (2,693 ) 105,821 2.41 % 2.87 % Interest Only 700,861 (581,230 ) 119,631 1,927 (3,456 ) 118,102 3.74 % 7.73 % Total Agency: 2,595,902 (536,272 ) 2,059,630 2,450 (30,365 ) 2,031,715 3.84 % 3.79 % Credit Investments: Non-Agency RMBS 851,628 (197,511 ) 654,117 58,650 (1,772 ) 710,995 4.81 % 6.62 % Non-Agency RMBS Interest Only 315,347 (312,148 ) 3,199 1,329 (668 ) 3,860 0.56 % 26.75 % Total Non-Agency: 1,166,975 (509,659 ) 657,316 59,979 (2,440 ) 714,855 4.09 % 6.73 % ABS 37,453 (176 ) 37,277 311 (44 ) 37,544 8.79 % 9.36 % CMBS 389,160 (166,154 ) 223,006 14,022 (1,676 ) 235,352 5.93 % 8.32 % CMBS Interest Only 3,410,010 (3,361,455 ) 48,555 2,562 (420 ) 50,697 0.25 % 6.81 % Total CMBS: 3,799,170 (3,527,609 ) 271,561 16,584 (2,096 ) 286,049 0.53 % 8.05 % Total $ 7,599,500 $ (4,573,716 ) $ 3,025,784 $ 79,324 $ (34,945 ) $ 3,070,163 2.24 % 4.94 % (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item on the consolidated statement of operations. The gross unrealized stated above represents inception to date unrealized gains/(losses). (2) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. The following table details the Company’s real estate securities portfolio as of December 31, 2017 (in thousands): Gross Unrealized (1) Weighted Average Current Face Premium / (Discount) Amortized Cost Gains Losses Fair Value Coupon (2) Yield Agency RMBS: 30 Year Fixed Rate $ 1,848,172 $ 81,134 $ 1,929,306 $ 5,125 $ (5,398 ) $ 1,929,033 3.79 % 3.13 % Fixed Rate CMO 52,264 406 52,670 281 — 52,951 3.00 % 2.79 % ARM 176,561 (835 ) 175,726 683 (22 ) 176,387 2.35 % 2.83 % Interest Only 644,239 (554,353 ) 89,886 1,608 (2,704 ) 88,790 3.27 % 6.84 % Total Agency: 2,721,236 (473,648 ) 2,247,588 7,697 (8,124 ) 2,247,161 3.56 % 3.25 % Credit Investments: Non-Agency RMBS 1,165,534 (228,543 ) 936,991 66,813 (2,210 ) 1,001,594 4.45 % 6.10 % Non-Agency RMBS Interest Only 371,297 (367,977 ) 3,320 130 (788 ) 2,662 0.30 % 10.49 % Total Non-Agency: 1,536,831 (596,520 ) 940,311 66,943 (2,998 ) 1,004,256 3.38 % 6.12 % ABS 40,655 (438 ) 40,217 741 — 40,958 7.61 % 8.27 % CMBS 221,305 (51,818 ) 169,487 1,060 (1,080 ) 169,467 5.58 % 6.23 % CMBS Interest Only 2,021,261 (1,974,313 ) 46,948 3,778 (24 ) 50,702 0.40 % 6.63 % Total CMBS: 2,242,566 (2,026,131 ) 216,435 4,838 (1,104 ) 220,169 0.80 % 6.32 % Total $ 6,541,288 $ (3,096,737 ) $ 3,444,551 $ 80,219 $ (12,226 ) $ 3,512,544 2.60 % 4.32 % (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item on the consolidated statement of operations. The gross unrealized stated above represents inception to date unrealized gains/(losses). (2) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. |
Schedule of gross unrealized losses and fair value of Company's real estate securities by length of time | The following table presents the gross unrealized losses and fair value of the Company’s real estate securities by length of time that such securities have been in a continuous unrealized loss position as of September 30, 2018 and December 31, 2017 (in thousands): Less than 12 months Greater than 12 months As of Fair Value Unrealized Losses Fair Value Unrealized Losses September 30, 2018 $ 1,803,448 $ (31,967 ) $ 63,062 $ (2,978 ) December 31, 2017 1,116,925 (8,012 ) 188,434 (4,214 ) |
Schedule of weighted average life of real estate securities | The following table details the weighted average life of our real estate securities broken out by Agency RMBS, Agency Interest-Only (“IO”) and Credit Investments as of September 30, 2018 (in thousands): Agency RMBS (1) Agency IO Credit Investments (2) Weighted Average Life (3) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon (4) Less than or equal to 1 year $ — $ — — $ — $ — — $ 110,603 $ 111,154 0.74 % Greater than one year and less than or equal to five years 151,172 154,934 2.59 % 18,379 17,559 3.02 % 327,349 312,781 0.99 % Greater than five years and less than or equal to ten years 1,407,700 1,426,849 4.01 % 99,723 102,072 3.97 % 436,396 398,028 1.53 % Greater than ten years 354,741 358,216 3.90 % — — — 164,100 144,191 5.69 % Total $ 1,913,613 $ 1,939,999 3.87 % $ 118,102 $ 119,631 3.74 % $ 1,038,448 $ 966,154 1.33 % (1) For purposes of this table, Agency RMBS represent securities backed by Fixed Rate 30 Year mortgages, ARMs and Fixed Rate CMOs. (2) For purposes of this table, Credit Investments represent Non-Agency RMBS, ABS, CMBS and Interest Only credit securities. (3) Actual maturities of mortgage-backed securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. (4) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. The following table details the weighted average life of our real estate securities broken out by Agency RMBS, Agency IO and Credit Investments as of December 31, 2017 (in thousands): Agency RMBS (1) Agency IO Credit Investments (2) Weighted Average Life (3) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon (4) Less than or equal to 1 year $ — $ — — $ — $ — — $ 117,532 $ 117,805 2.15 % Greater than one year and less than or equal to five years 229,338 228,397 2.50 % 28,837 29,520 2.36 % 477,066 460,334 1.07 % Greater than five years and less than or equal to ten years 1,865,474 1,865,706 3.79 % 59,953 60,366 4.36 % 482,184 452,403 2.87 % Greater than ten years 63,559 63,599 3.50 % — — — 188,601 166,421 5.31 % Total $ 2,158,371 $ 2,157,702 3.64 % $ 88,790 $ 89,886 3.27 % $ 1,265,383 $ 1,196,963 1.89 % (1) For purposes of this table, Agency RMBS represent securities backed by Fixed Rate 30 Year mortgages, ARMs and Fixed Rate CMOs. (2) For purposes of this table, Credit Investments represent Non-Agency RMBS, ABS, CMBS and Interest Only credit securities. (3) Actual maturities of mortgage-backed securities are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. (4) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. |
Schedule of Company's consolidated VIE | The following table details certain information on VIE B as of September 30, 2018 (in thousands): September 30, 2018 Assets CMBS $ 81,146 Cash and cash equivalents 492 Restricted cash 351 Interest receivable 152 Total assets $ 82,141 Liabilities Financing arrangements, net $ 56,891 Interest payable 205 Accrued expenses 2,399 Total liabilities $ 59,495 The following table details certain information on VIE A as of September 30, 2018 (in thousands): Weighted Average Current Face Fair Value Coupon Yield Life (Years) (1) Consolidated tranche (2) $ 11,403 $ 11,481 3.85 % 4.46 % 2.46 Retained tranche 8,486 6,548 4.92 % 18.65 % 8.52 Total resecuritized asset $ 19,889 $ 18,029 4.31 % 9.61 % 5.04 (1) Actual maturities of investments and loans are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. (2) As of September 30, 2018 , the fair market value of the consolidated tranche is included in the Company’s consolidated balance sheets as “Non-Agency RMBS.” As of September 30, 2018 , the Company has recorded secured financing of $11.5 million on the consolidated balance sheets in the “Securitized debt, at fair value” line item. The Company recorded the proceeds from the issuance of the secured financing in the “Cash Flows from Financing Activities” section of the consolidated statement of cash flows at the time of securitization. The following table details certain information on VIE A as of December 31, 2017 (in thousands): Weighted Average Current Face Fair Value Coupon Yield Life (Years) (1) Consolidated tranche (2) $ 16,355 $ 16,478 3.11 % 3.92 % 2.95 Retained tranche 8,618 6,100 4.28 % 15.48 % 9.04 Total resecuritized asset $ 24,973 $ 22,578 3.51 % 7.04 % 5.05 (1) Actual maturities of investments and loans are generally shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. (2) As of December 31, 2017 , the fair market value of the consolidated tranche is included in the Company’s consolidated balance sheets as “Non-Agency RMBS.” As of December 31, 2017 , the Company has recorded secured financing of $16.5 million on the consolidated balance sheets in the “Securitized debt, at fair value” line item. The Company recorded the proceeds from the issuance of the secured financing in the “Cash Flows from Financing Activities” section of the consolidated statement of cash flows at the time of securitization. |
Loans (Tables)
Loans (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Gain (Loss) on Investments [Line Items] | |
Schedule of changes in the accretable portion of discounts | The following is a summary of the changes in the accretable portion of discounts for the three and nine months ended September 30, 2018 and September 30, 2017 , respectively (in thousands): Three Months Ended Nine Months Ended September 30, 2018 September 30, 2017 September 30, 2018 September 30, 2017 Beginning Balance $ 45,050 $ 10,342 $ 9,318 $ 18,281 Additions — — 36,443 — Accretion (1,492 ) (506 ) (2,525 ) (1,968 ) Reclassifications from/(to) non-accretable difference (606 ) 1,476 1,215 4,858 Disposals (2,231 ) — (3,730 ) (9,859 ) Ending Balance $ 40,721 $ 11,312 $ 40,721 $ 11,312 |
Residential Mortgage Loans [Member] | |
Gain (Loss) on Investments [Line Items] | |
Schedule of Company's residential mortgage loan portfolio and commercial loan portfolio | The table below details certain information regarding the Company’s residential mortgage loan portfolio as of September 30, 2018 (in thousands): Gross Unrealized (1) Weighted Average Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (2) Residential mortgage loans $ 101,259 $ (13,982 ) $ 87,277 $ 975 $ (652 ) $ 87,600 3.57 % 6.84 % 7.56 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item. The gross unrealized stated above represents inception to date unrealized gains (losses). (2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The table below details certain information regarding the Company’s residential mortgage loan portfolio as of December 31, 2017 (in thousands): Gross Unrealized (1) Weighted Average Unpaid Principal Balance Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life (Years) (2) Residential mortgage loans $ 25,676 $ (7,792 ) $ 17,884 $ 1,006 $ — $ 18,890 3.10 % 12.24 % 5.67 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item. The gross unrealized stated above represents inception to date unrealized gains (losses). (2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The table bel |
Schedule of Company's re-performing and non-performing residential mortgage loans | The table below details information regarding the Company’s re-performing and non-performing residential mortgage loans as of September 30, 2018 and December 31, 2017 (in thousands): September 30, 2018 December 31, 2017 Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance Re-Performing $ 45,143 $ 51,776 $ 7,069 $ 9,544 Non-Performing 42,457 49,483 11,821 16,132 $ 87,600 $ 101,259 $ 18,890 $ 25,676 |
Schedule of certain concentrations of credit risk within the Company's mortgage loan portfolio | The Company’s mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the U.S. The following is a summary of the geographic concentration of credit risk within the Company’s mortgage loan portfolio: Geographic Concentration of Credit Risk September 30, 2018 December 31, 2017 Percentage of fair value of mortgage loans secured by properties in the following states: Representing 5% or more of fair value: California 27 % 7 % New York 9 % 37 % Florida 8 % 1 % New Jersey 5 % 6 % Maryland 4 % 7 % |
Commercial Loans [Member] | |
Gain (Loss) on Investments [Line Items] | |
Schedule of Company's residential mortgage loan portfolio and commercial loan portfolio | The following table presents detail on the Company’s commercial loan portfolio on September 30, 2018 (in thousands). Gross Unrealized (1) Weighted Average Loan (2) Current Face Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon (3) Yield Life (Years) (4) Initial Stated Maturity Date Extended Maturity Date (5) Location Loan B (6) $ 32,800 $ — $ 32,800 $ — $ — $ 32,800 6.87 % 7.25 % 0.78 July 1, 2016 July 1, 2019 TX Loan F (7) 10,417 (7 ) 10,410 7 — 10,417 13.13 % 14.05 % 0.19 September 9, 2018 September 9, 2019 MN Loan G (8) 15,401 — 15,401 — — 15,401 6.88 % 6.88 % 1.80 July 9, 2020 July 9, 2022 CA Loan H (9) 36,000 — 36,000 — — 36,000 5.91 % 5.91 % 1.46 March 9, 2019 March 9, 2020 AZ $ 94,618 $ (7 ) $ 94,611 $ 7 $ — $ 94,618 7.20 % 7.59 % 1.14 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item. The gross unrealized columns above represent inception to date unrealized gains (losses). (2) The Company has the contractual right to receive a balloon payment for each loan. (3) Each commercial loan investment has a variable coupon rate. (4) Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. (5) Represents the maturity date of the last possible extension option. (6) Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million , respectively. As of September 30, 2018 , Loan B has been extended to the extended maturity date shown above. (7) Loan F is a mezzanine loan of up to $14.6 million , of which $10.4 million has been advanced. As of the stated maturity date above, Loan F has been extended to December 2018. (8) Loan G is a first mortgage of up to $ 75.0 million, of which $ 15.4 million has been advanced. (9) Loan H is a first mortgage of up to $ 36.0 million, all of which has been advanced. The following table presents detail on the Company’s commercial loan portfolio on December 31, 2017 (in thousands). Gross Unrealized (1) Weighted Average Loan (2) Current Face Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon (3) Yield Life (Years) (4) Initial Stated Maturity Date Extended Maturity Date (5) Location Loan B (6) $ 32,800 $ — $ 32,800 $ — $ — $ 32,800 6.14 % 6.52 % 1.53 July 1, 2016 July 1, 2019 TX Loan E (7) 14,521 (1,028 ) 13,493 810 — 14,303 9.83 % 12.70 % 3.01 April 9, 2017 April 9, 2021 Various Loan F (8) 10,417 (76 ) 10,341 77 — 10,418 12.43 % 13.98 % 0.70 September 9, 2018 September 9, 2019 MN $ 57,738 $ (1,104 ) $ 56,634 $ 887 $ — $ 57,521 8.20 % 9.41 % 1.76 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on real estate securities and loans, net” line item. The gross unrealized columns above represent inception to date unrealized gains (losses). (2) The Company has the contractual right to receive a balloon payment for each loan. (3) Each commercial loan investment has a variable coupon rate. (4) Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. (5) Represents the maturity date of the last possible extension option. (6) Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million , respectively. As of December 31, 2017 , Loan B has been extended to the extended maturity date shown above. (7) Loan E is a mezzanine loan. As of December 31, 2017 , Loan E has been extended to April 9, 2018. Loan E paid off at par in Q2 2018, with the Company receiving $14.5 million of principal proceeds. (8) Loan F is a mezzanine loan of up to $14.6 million, of which $10.4 million has been advanced. |
Excess MSRs (Tables)
Excess MSRs (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Disclosure of Excess MSRs [Abstract] | |
Schedule of Excess MSR Portfolio | The following table presents detail on the Company’s Excess MSR portfolio on September 30, 2018 (in thousands). Gross Unrealized (1) Weighted Average Unpaid Principal Balance Amortized Cost Gains Losses Fair Value Yield Life (Years) (2) Agency Excess MSRs $ 3,665,174 $ 27,449 $ 1,486 $ (544 ) $ 28,391 11.30 % 7.03 Credit Excess MSRs 43,025 228 12 (6 ) 234 23.85 % 4.96 Total Excess MSRs $ 3,708,199 $ 27,677 $ 1,498 $ (550 ) $ 28,625 11.47 % 7.01 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its Excess MSR portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on derivative and other instruments, net” line item. The gross unrealized columns above represent inception to date unrealized gains (losses). (2) Actual maturities of Excess MSRs may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. The following table presents detail on the Company’s Excess MSR portfolio on December 31, 2017 (in thousands). Gross Unrealized (1) Weighted Average Unpaid Principal Amortized Cost Gains Losses Fair Value Yield Life (Years) (2) Agency Excess MSRs $ 768,385 $ 4,479 $ 333 $ (11 ) $ 4,801 12.23 % 6.30 Credit Excess MSRs 50,308 259 24 — 283 21.87 % 5.00 Total Excess MSRs $ 818,693 $ 4,738 $ 357 $ (11 ) $ 5,084 12.76 % 6.20 (1) The Company has chosen to make a fair value election pursuant to ASC 825 for its Excess MSR portfolio. Unrealized gains and losses are recognized in current period earnings in the “Unrealized gain/(loss) on derivative and other instruments, net” line item. The gross unrealized columns above represent inception to date unrealized gains (losses). (2) Actual maturities of Excess MSRs may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. |
Single-Family Residential Pro_2
Single-Family Residential Properties (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Real Estate [Abstract] | |
Schedule of real estate properties by component | The following table presents the net carrying amount associated with the Company's properties by component (in thousands). September 30, 2018 Land $ 29,182 Building 109,271 In-place lease intangibles 2,100 Single-family rental properties 140,553 Less: Accumulated depreciation and amortization (494 ) Single-family rental properties, net $ 140,059 |
Schedule of non-cancellable, contractual, future minimum rental payments | The following table presents a schedule of non-cancellable, contractual, future minimum rent under leases at September 30, 2018 (in thousands). These rental payments are based on income recognition. Period Ending December 31, Amount 2018 (last 3 months) $ 2,660 2019 3,642 2020 37 2021 — 2022 — Thereafter — Total $ 6,339 |
Fair value measurements (Tables
Fair value measurements (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
Schedule of financial instruments measured at fair value | The following table presents the Company’s financial instruments measured at fair value as of September 30, 2018 (in thousands): Fair Value at September 30, 2018 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ — $ 1,762,469 $ — $ 1,762,469 Fixed Rate CMO — 45,323 — 45,323 ARM — 105,821 — 105,821 Interest Only — 118,102 — 118,102 Credit Investments: Non-Agency RMBS — 117,350 593,645 710,995 Non-Agency RMBS Interest Only — — 3,860 3,860 ABS — — 37,544 37,544 CMBS — — 235,352 235,352 CMBS Interest Only — — 50,697 50,697 Residential mortgage loans — — 87,600 87,600 Commercial loans — — 94,618 94,618 Excess mortgage servicing rights — — 28,625 28,625 Cash equivalents 14,697 — — 14,697 Derivative assets — 4,887 — 4,887 AG Arc — — 23,068 23,068 Total Assets Measured at Fair Value $ 14,697 $ 2,153,952 $ 1,155,009 $ 3,323,658 Liabilities: Securitized debt $ — $ — $ (11,481 ) $ (11,481 ) Securities borrowed under reverse repurchase agreements — (5,730 ) — (5,730 ) Derivative liabilities — (1,030 ) — (1,030 ) Total Liabilities Measured at Fair Value $ — $ (6,760 ) $ (11,481 ) $ (18,241 ) The following table presents the Company’s financial instruments measured at fair value as of December 31, 2017 (in thousands): Fair Value at December 31, 2017 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ — $ 1,929,033 $ — $ 1,929,033 Fixed Rate CMO — 52,951 — 52,951 ARM — 176,387 — 176,387 Interest Only — 88,790 — 88,790 Credit Investments: Non-Agency RMBS — 156,170 845,424 1,001,594 Non-Agency RMBS Interest Only — — 2,662 2,662 ABS — — 40,958 40,958 CMBS — 8,217 161,250 169,467 CMBS Interest Only — — 50,702 50,702 Residential mortgage loans — — 18,890 18,890 Commercial loans — — 57,521 57,521 Excess mortgage servicing rights — — 5,084 5,084 Derivative assets 110 2,017 — 2,127 AG Arc — — 17,911 17,911 Total Assets Measured at Fair Value $ 110 $ 2,413,565 $ 1,200,402 $ 3,614,077 Liabilities: Securitized debt $ — $ — $ (16,478 ) $ (16,478 ) Securities borrowed under reverse repurchase agreements — (24,379 ) — (24,379 ) Derivative liabilities — (450 ) — (450 ) Total Liabilities Measured at Fair Value $ — $ (24,829 ) $ (16,478 ) $ (41,307 ) |
Schedule of assets and liabilities measured on a recurring basis | The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: Three Months Ended September 30, 2018 (in thousands) Non-Agency RMBS Non-Agency RMBS Interest Only ABS CMBS CMBS Interest Only Residential Mortgage Loans Commercial Loans Excess Mortgage Servicing Rights AG Arc Securitized debt Beginning balance $ 786,108 $ 2,871 $ 37,755 $ 159,832 $ 43,182 $ 93,129 $ 43,217 $ 29,282 $ 18,353 $ (13,984 ) Transfers (1): Transfers into level 3 — — — 8,217 — — — — — — Transfers out of level 3 (97,349 ) — — — — — — — — — Purchases/Transfers 3,807 — 303 57,427 10,437 149 51,401 — — — Capital contributions — — — — — — — — 4,459 — Proceeds from sales/redemptions (53,018 ) — — — (742 ) (3,821 ) — — — — Proceeds from settlement (45,361 ) — (386 ) (4,500 ) — (1,774 ) — (12 ) — 2,470 Total net gains/(losses) (2) Included in net income (542 ) 989 (128 ) 14,376 (2,180 ) (83 ) — (645 ) 256 33 Ending Balance $ 593,645 $ 3,860 $ 37,544 $ 235,352 $ 50,697 $ 87,600 $ 94,618 $ 28,625 $ 23,068 $ (11,481 ) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2018 (3) $ 2,876 $ 1,011 $ (128 ) $ 14,376 $ (2,083 ) $ (195 ) $ — $ (646 ) $ 256 $ 34 (1) Transfers are assumed to occur at the beginning of the period. During the three months ended September 30, 2018, the Company transferred 2 CMBS securities into the Level 3 category from the Level 2 category and 14 Non-Agency RMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 14,368 Unrealized gain/(loss) on derivative and other instruments, net (612 ) Net realized gain/(loss) (1,936 ) Equity in earnings/(loss) from affiliates 256 Total $ 12,076 (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 15,857 Unrealized gain/(loss) on derivative and other instruments, net (612 ) Equity in earnings/(loss) from affiliates 256 Total $ 15,501 Three Months Ended September 30, 2017 (in thousands) Non-Agency RMBS Non-Agency RMBS Interest Only ABS CMBS CMBS Interest Only Residential Mortgage Loans Commercial Loans Excess Mortgage Servicing Rights AG Arc Securitized debt Beginning balance $ 863,021 $ 3,213 $ 47,917 $ 137,658 $ 52,806 $ 23,455 $ 57,294 $ 2,787 $ 17,713 $ (18,778 ) Transfers (1): Transfers into level 3 83,490 — — 8,460 — — — — — — Purchases/Transfers 137,744 — 5,601 20,191 — — — 13 — — Capital contributions — — — — — — — — — — Proceeds from sales/redemptions (297,784 ) — — — — — — — — — Proceeds from settlement (26,789 ) — (211 ) (20,512 ) — (272 ) — (127 ) — 1,563 Total net gains/(losses) (2) Included in net income 14,549 (351 ) (83 ) 70 (834 ) 685 104 8 111 (6 ) Ending Balance $ 774,231 $ 2,862 $ 53,224 $ 145,867 $ 51,972 $ 23,868 $ 57,398 $ 2,681 $ 17,824 $ (17,221 ) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2017 (3) $ 12,110 $ (84 ) $ (83 ) $ (153 ) $ (834 ) $ 826 $ 104 $ 8 $ 112 $ (6 ) (1) Transfers are assumed to occur at the beginning of the period. During the three months ended September 30, 2017, the Company transferred 9 Non-Agency RMBS securities and 1 CMBS security into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 13,630 Unrealized gain/(loss) on derivative and other instruments, net (6 ) Net realized gain/(loss) 517 Equity in earnings/(loss) from affiliates 112 Total $ 14,253 (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 11,894 Unrealized gain/(loss) on derivative and other instruments, net (6 ) Equity in earnings/(loss) from affiliates 112 Total $ 12,000 Nine Months Ended September 30, 2018 (in thousands) Non-Agency RMBS Non-Agency RMBS Interest Only ABS CMBS CMBS Interest Only Residential Mortgage Loans Commercial Loans Excess Mortgage Servicing Rights AG Arc Securitized debt Beginning balance $ 845,424 $ 2,662 $ 40,958 $ 161,250 $ 50,702 $ 18,890 $ 57,521 $ 5,084 $ 17,911 $ (16,478 ) Transfers (1): Transfers into level 3 69,260 — — 8,217 — — — — — — Transfers out of level 3 (64,623 ) — — (6,951 ) — — — — — — Purchases/Transfers 97,683 — 5,899 113,683 10,436 105,190 51,401 25,162 — — Capital contributions — — — — — — — — 4,459 — Proceeds from sales/redemptions (237,822 ) — — — (5,400 ) (34,653 ) — — — — Proceeds from settlement (114,924 ) — (9,097 ) (53,645 ) — (3,030 ) (14,522 ) (524 ) — 4,952 Total net gains/(losses) (2) Included in net income (1,353 ) 1,198 (216 ) 12,798 (5,041 ) 1,203 218 (1,097 ) 698 45 Ending Balance $ 593,645 $ 3,860 $ 37,544 $ 235,352 $ 50,697 $ 87,600 $ 94,618 $ 28,625 $ 23,068 $ (11,481 ) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2018 (3) $ 1,179 $ 1,241 $ (197 ) $ 12,725 $ (4,711 ) $ 389 $ — $ (1,097 ) $ 698 $ 45 (1) Transfers are assumed to occur at the beginning of the period. During the nine months ended September 30, 2018, the Company transferred 5 Non-Agency RMBS securities and 2 CMBS securities into the Level 3 category from the Level 2 category and 14 Non-Agency RMBS securities and 1 CMBS security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 5,273 Unrealized gain/(loss) on derivative and other instruments, net (1,052 ) Net realized gain/(loss) 3,534 Equity in earnings/(loss) from affiliates 698 Total $ 8,453 (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 10,626 Unrealized gain/(loss) on derivative and other instruments, net (1,052 ) Equity in earnings/(loss) from affiliates 698 Total $ 10,272 Nine Months Ended September 30, 2017 (in thousands) Non-Agency RMBS Non-Agency RMBS Interest Only ABS CMBS CMBS Interest Only Residential Mortgage Loans Commercial Loans Excess Mortgage Servicing Rights AG Arc Securitized debt Loan Participation payable Beginning balance $ 717,761 $ 3,761 $ 21,232 $ 130,790 $ 52,137 $ 38,196 $ 60,069 $ 413 $ 12,895 $ (21,492 ) $ (1,800 ) Transfers (1): Transfers into level 3 203,851 — — 8,460 — — — — — — — Transfers out of level 3 (51,307 ) — — — — — — — — — — Purchases/Transfers 395,021 — 52,049 38,760 — — 10,271 2,578 — — — Capital contributions — — — — — — — — 4,459 — — Proceeds from sales/redemptions (382,544 ) — (16,977 ) (4,534 ) — (10,103 ) — — — — — Proceeds from settlement (142,166 ) — (4,196 ) (29,106 ) — (5,570 ) (13,534 ) (314 ) — 4,311 1,955 Total net gains/(losses) (2) Included in net income 33,615 (899 ) 1,116 1,497 (165 ) 1,345 592 4 470 (40 ) (155 ) Ending Balance $ 774,231 $ 2,862 $ 53,224 $ 145,867 $ 51,972 $ 23,868 $ 57,398 $ 2,681 $ 17,824 $ (17,221 ) $ — Change in unrealized appreciation/(depreciation) for level 3 assets still held as of September 30, 2017 (3) $ 32,503 $ (632 ) $ 660 $ 1,705 $ (165 ) $ (576 ) $ 537 $ 4 $ 470 $ (40 ) $ — (1) Transfers are assumed to occur at the beginning of the period. During the nine months ended September 30, 2017, the Company transferred 18 Non-Agency RMBS securities and 1 CMBS security into the Level 3 category from the Level 2 category and 5 Non-Agency RMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 37,250 Unrealized gain/(loss) on derivative and other instruments, net (195 ) Net realized gain/(loss) (144 ) Equity in earnings/(loss) from affiliates 470 Total $ 37,381 (3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 34,036 Unrealized gain/(loss) on derivative and other instruments, net (40 ) Equity in earnings/(loss) from affiliates 470 Total $ 34,466 |
Schedule of valuation techniques | The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value. Asset Class Fair Value at September 30, 2018 (in thousands) Valuation Technique Unobservable Input Range (Weighted Average) Yield 2.79% - 11.01% (4.67%) Non-Agency RMBS $ 579,852 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 25.00% (11.72%) Projected Collateral Losses 0.00% - 30.00% (2.39%) Projected Collateral Severities -0.61% - 100.00% (29.99%) $ 13,793 Consensus Pricing Offered Quotes 92.50 - 93.06 (92.72) Yield 7.00% - 35.00% (28.15%) Non-Agency RMBS Interest Only $ 3,860 Discounted Cash Flow Projected Collateral Prepayments 9.50% - 18.00% (15.51%) Projected Collateral Losses 0.75% - 2.00% (1.48%) Projected Collateral Severities 10.00% - 65.00% (18.52%) Yield 6.38% - 6.38% (6.38%) ABS $ 32,411 Discounted Cash Flow Projected Collateral Prepayments 20.00% - 40.00% (23.71%) Projected Collateral Losses 0.00% - 2.00% (1.67%) Projected Collateral Severities 0.00% - 50.00% (41.80%) $ 5,133 Consensus Pricing Offered Quotes 100.00 - 100.00 (100.00) Yield 5.49% - 64.88% (8.82%) CMBS $ 232,461 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 0.00% (0.00%) Projected Collateral Losses 0.00% - 0.50% (0.02%) Projected Collateral Severities 0.00% - 25.00% (0.96%) $ 2,891 Consensus Pricing Offered Quotes 4.86 - 8.88 (7.87) Yield 3.71% - 10.61% (5.20%) CMBS Interest Only $ 50,697 Discounted Cash Flow Projected Collateral Prepayments 99.00% - 100.00% (99.92%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 7.00% - 9.00% (8.80%) Residential Mortgage Loans $ 13,058 Discounted Cash Flow Projected Collateral Prepayments 4.78% - 5.04% (4.85%) Projected Collateral Losses 3.31% - 5.81% (4.43%) Projected Collateral Severities 6.89% - 26.78% (16.23%) $ 74,542 Recent Transaction Cost N/A Yield 7.25% - 7.25% (7.25%) Commercial Loans $ 32,800 Discounted Cash Flow Credit Spread 4.75 bps - 4.75 bps (4.75 bps) Recovery Percentage (1) 100.00% - 100.00% (100.00%) $ 61,818 Consensus Pricing Offered Quotes 100.00 - 100.00 (100.00) Excess Mortgage Servicing Rights Discounted Cash Flow Yield 8.50% - 11.55% (9.18%) $ 28,391 Projected Collateral Prepayments 6.15% - 9.82% (7.83%) $ 234 Consensus Pricing Offered Quotes 0.03 - 0.52 (0.49) AG Arc $ 23,068 Comparable Multiple Book Value Multiple 1.0x - 1.0x (1.0x) Liability Class Fair Value at September 30, 2018 (in thousands) Valuation Technique Unobservable Input Range Yield 4.16% - 4.16% (4.16%) Securitized debt $ (11,481 ) Discounted Cash Flow Projected Collateral Prepayments 10.00% - 10.00% (10.00%) Projected Collateral Losses 3.50% - 3.50% (3.50%) Projected Collateral Severities 45.00% - 45.00% (45.00%) (1) Represents the proportion of the principal expected to be collected relative to the loan balances as of September 30, 2018 . Asset Class Fair Value at December 31, 2017 (in thousands) Valuation Technique Unobservable Input Range (Weighted Average) Yield 0.94% - 31.75% (4.49%) Non-Agency RMBS $ 783,881 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 35.00% (10.50%) Projected Collateral Losses 0.00% - 50.00% (3.25%) Projected Collateral Severities 0.00% - 100.00% (34.77%) $ 14,794 Consensus Pricing Offered Quotes 74.75 - 74.75 (74.75) $ 46,749 Recent Transaction Recent Transaction N/A Yield 7.00% - 25.00% (22.34%) Non-Agency RMBS Interest Only $ 2,662 Discounted Cash Flow Projected Collateral Prepayments 10.50% - 18.00% (16.89%) Projected Collateral Losses 1.50% - 2.00% (1.57%) Projected Collateral Severities 10.00% - 40.00% (14.43%) Yield 4.62% - 9.83% (7.56%) ABS $ 40,958 Discounted Cash Flow Projected Collateral Prepayments 20.00% - 40.00% (22.62%) Projected Collateral Losses 0.00% - 2.00% (1.74%) Projected Collateral Severities 0.00% - 50.00% (43.45%) Yield -1.45% - 8.35% (6.24%) CMBS $ 157,685 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 0.00% (0.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) $ 3,565 Consensus Pricing Offered Quotes 6.20 - 7.60 (7.12) Yield 2.93% - 5.90% (4.43%) CMBS Interest Only $ 50,702 Discounted Cash Flow Projected Collateral Prepayments 100.00% - 100.00% (100.00%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 6.25% - 9.00% (7.81%) Residential Mortgage Loans $ 18,890 Discounted Cash Flow Projected Collateral Prepayments 2.98% - 5.05% (3.93%) Projected Collateral Losses 3.88% - 6.91% (4.27%) Projected Collateral Severities 20.21% - 37.25% (22.00%) Yield 6.52% - 6.52% (6.52%) Commercial Loans $ 32,800 Discounted Cash Flow Credit Spread 4.75 bps - 4.75 bps (4.75 bps) Recovery Percentage (1) 100.00% - 100.00% (100.00%) $ 24,721 Consensus Pricing Offered Quotes 98.50 - 100.00 (99.13) Excess Mortgage Servicing Rights Discounted Cash Flow Yield 9.12% - 11.74% (10.29%) $ 4,801 Projected Collateral Prepayments 7.59% - 11.85% (9.67%) $ 283 Consensus Pricing Offered Quotes 0.04 - 0.52 (0.48) AG Arc $ 17,911 Comparable Multiple Book Value Multiple 1.0x - 1.0x (1.0x) Liability Class Fair Value at December 31, 2017 (in thousands) Valuation Technique Unobservable Input Range Yield 3.23% - 3.23% (3.23%) Securitized debt $ (16,478 ) Discounted Cash Flow Projected Collateral Prepayments 14.00% - 14.00% (14.00%) Projected Collateral Losses 7.00% - 7.00% (7.00%) Projected Collateral Severities 40.00% - 40.00% (40.00%) (1) Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2017 . |
Financing Arrangements (Tables)
Financing Arrangements (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of repurchase agreements | The following table presents certain financial information regarding the Company’s repurchase agreements secured by real estate securities as of September 30, 2018 (in thousands): Financing Arrangements Financial Instruments Pledged Financing Arrangements Maturing Within: Balance Weighted Average Rate Weighted Average Haircut Fair Value Pledged Amortized Cost Accrued Interest Overnight $ 126,397 2.36 % 3.0 % $ 130,265 $ 131,579 $ 420 30 days or less 2,330,949 2.51 % 8.1 % 2,568,069 2,266,719 9,040 31-60 days 136,189 3.62 % 20.3 % 171,807 155,000 544 61-90 days 47,725 3.52 % 22.1 % 61,370 58,631 291 91-180 days 4,346 3.62 % 22.5 % 5,613 5,622 13 Greater than 180 days 42,154 3.13 % 11.3 % 49,849 49,636 25 Total / Weighted Average $ 2,687,760 2.59 % 8.8 % $ 2,986,973 $ 2,667,187 $ 10,333 The following table presents certain financial information regarding the Company’s repurchase agreements secured by real estate securities as of December 31, 2017 (in thousands): Financing Arrangements Financial Instruments Pledged Financing Arrangements Maturing Within: Balance Weighted Average Rate Weighted Average Haircut Fair Value Pledged Amortized Cost Accrued Interest Overnight $ 128,779 1.80 % 3.2 % $ 133,012 $ 133,030 $ 376 30 days or less 2,105,103 1.94 % 9.6 % 2,361,574 2,302,744 8,407 31-60 days 611,763 1.76 % 7.6 % 677,310 670,307 2,131 61-90 days 32,445 3.04 % 25.9 % 43,851 42,712 301 91-180 days 1,131 3.21 % 22.7 % 1,463 1,479 1 Greater than 180 days 93,060 3.00 % 20.4 % 119,490 118,698 47 Total / Weighted Average $ 2,972,281 1.94 % 9.4 % $ 3,336,700 $ 3,268,970 $ 11,263 |
Schedule of securities collateral information | The following table presents information with respect to the Company’s posting of collateral under repurchase agreements on September 30, 2018 and December 31, 2017 , broken out by investment type (in thousands): September 30, 2018 December 31, 2017 Fair Value of investments pledged as collateral under repurchase agreements Agency RMBS $ 1,721,310 $ 2,118,615 Non-Agency RMBS 693,696 976,072 ABS 24,383 30,833 CMBS 272,907 211,180 Cash pledged (i.e., restricted cash) under repurchase agreements 10,053 12,155 Fair Value of unsettled trades pledged as collateral under repurchase agreements 274,677 — Total collateral pledged under repurchase agreements $ 2,997,026 $ 3,348,855 |
Schedule of total borrowings under repurchase agreements | The following table presents information with respect to the Company’s total borrowings under repurchase agreements on September 30, 2018 and December 31, 2017 , broken out by investment type (in thousands): September 30, 2018 December 31, 2017 Repurchase agreements secured by investments: Agency RMBS $ 1,888,026 $ 2,005,133 Non-Agency RMBS 566,269 784,897 ABS 18,585 22,761 CMBS 214,880 159,490 Gross Liability for repurchase agreements $ 2,687,760 $ 2,972,281 |
Schedule of gross and net information about repurchase agreements | The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of September 30, 2018 (in thousands): Gross Amounts Not Offset in the Consolidated Balance Sheets Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities Presented in the Consolidated Balance Sheets Financial Instruments Posted Cash Collateral Posted Net Amount Repurchase agreements $ 2,687,760 $ — $ 2,687,760 $ 2,687,760 $ — $ — The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of December 31, 2017 (in thousands): Gross Amounts Not Offset in the Consolidated Balance Sheets Description Gross Amounts of Recognized Liabilities Gross Amounts Net Amounts of Liabilities Financial Instruments Posted Cash Collateral Posted Net Amount Repurchase agreements $ 2,972,281 $ — $ 2,972,281 $ 2,972,281 $ — $ — |
Schedule of term loan and revolving facilities | The following table presents information regarding the Company's term loan and revolving facilities, excluding facilities within investments in debt and equity of affiliates, as of September 30, 2018 and December 31, 2017 (in thousands). September 30, 2018 December 31, 2017 Facility (1) Maturity Date Rate Funding Cost Balance Net Carrying Value of Assets Pledged as Collateral Rate Funding Cost Balance Net Carrying Value of Assets Pledged as Collateral Term loan, net (2) October 10, 2023 4.63 % 4.80 % $ 101,987 $ 140,059 — % — % $ — $ — Revolving facility A July 1, 2019 4.37 % 4.37 % $ 21,796 $ 32,800 3.70 % 3.70 % $ 21,796 $ 32,800 Revolving facility B June 15, 2020 4.25 % 4.28 % 64,827 86,659 4.07 % 4.07 % 10,330 15,861 Revolving facility C August 10, 2023 4.27 % 4.48 % 37,011 51,401 — % — % — — Total revolving facilities $ 123,634 $ 170,860 $ 32,126 $ 48,661 Total term loan and revolving facilities $ 225,621 $ 310,919 $ 32,126 $ 48,661 (1) The term loan and all revolving facilities listed above are interest only until maturity. (2) The total borrowings under the term loan is $103 million , which is shown net of deferred financing costs of $1.0 million . |
Schedule of repurchase agreement counterparty | The following table presents information at December 31, 2017 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities. Counterparty Stockholders’ Equity at Risk (in thousands) Weighted Average Maturity (days) Percentage of Stockholders’ Equity RBC (Barbados) Trading Bank Corporation $ 45,239 26 6 % Barclays Capital Inc 39,358 13 6 % |
Derivatives (Tables)
Derivatives (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Company's derivative and other instruments and their balance sheet location | The following table presents the fair value of the Company’s derivatives and other instruments and their balance sheet location at September 30, 2018 and December 31, 2017 (in thousands). Derivatives and Other Instruments Designation Balance Sheet Location September 30, 2018 December 31, 2017 Interest rate swaps (1) Non-Hedge Derivative assets, at fair value $ 3,583 $ 1,428 Interest rate swaps (1) Non-Hedge Derivative liabilities, at fair value (511 ) (450 ) Swaptions Non-Hedge Derivative assets, at fair value 523 362 TBAs Non-Hedge Derivative assets, at fair value 781 227 TBAs Non-Hedge Derivative liabilities, at fair value (519 ) — Short positions on U.S. Treasury Futures (2) Non-Hedge Derivative assets, at fair value — 110 Short positions on U.S. Treasuries Non-Hedge Obligation to return securities borrowed under reverse repurchase agreements, at fair value (3) (5,730 ) (24,379 ) (1) As of September 30, 2018 , the Company applied a reduction in fair value of $61.1 million and $0.4 million to its interest rate swap assets and liabilities, respectively, related to variation margin. As of December 31, 2017 , the Company applied a reduction in fair value of $19.5 million and $0.6 million to its interest rate swap assets and liabilities, respectively, related to variation margin. (2) As of September 30, 2018 , the Company applied a reduction in fair value of $0.6 million its U.S. Treasury Futures assets, related to variation margin. As of December 31, 2017 , the Company did not apply a fair value reduction to its U.S. Treasury Futures assets and liabilities related to variation margin. (3) The Company’s obligation to return securities borrowed under reverse repurchase agreements relates to securities borrowed to cover short sales of U.S. Treasury securities. The change in fair value of the borrowed securities is recorded on the “Unrealized gain/(loss) on derivatives and other instruments, net” line item in the Company’s consolidated statement of operations. |
Schedule of derivatives and other instruments | The following table summarizes information related to derivatives and other instruments (in thousands): Non-hedge derivatives and other instruments held long/(short): September 30, 2018 December 31, 2017 Notional amount of Pay Fix/Receive Float Interest Rate Swap Agreements 2,143,000 2,227,000 Notional amount of Swaptions 250,000 270,000 Net notional amount of TBAs 75,000 100,000 Notional amount of short positions on U.S. Treasury Futures (1) (50,000 ) (52,500 ) Notional amount of short positions on U.S. Treasuries (5,750 ) (24,668 ) (1) Each U.S. Treasury Future contract embodies $100,000 of notional value. |
Schedule of gains/(losses) related to derivatives and other instruments | The following table summarizes gains/(losses) related to derivatives and other instruments (in thousands): Three Months Ended Nine Months Ended Non-hedge derivatives and other instruments gain/(loss): Statement of Operations Location September 30, 2018 September 30, 2017 September 30, 2018 September 30, 2017 Interest rate swaps, at fair value Unrealized gain/(loss) on derivative and other instruments, net $ 5,921 $ 2,955 $ 47,783 $ 6,214 Interest rate swaps, at fair value Net realized gain/(loss) 7,925 (1,813 ) 13,787 (9,896 ) Eurodollar Futures Unrealized gain/(loss) on derivative and other instruments, net — 75 — 75 Eurodollar Futures Net realized gain/(loss) — 323 — 323 Swaptions, at fair value Unrealized gain/(loss) on derivative and other instruments, net (449 ) — (481 ) — Swaptions, at fair value Net realized gain/(loss) — — 51 — U.S. Treasury Futures Unrealized gain/(loss) on derivative and other instruments, net 573 (722 ) 464 658 U.S. Treasury Futures Net realized gain/(loss) (5 ) (224 ) 735 (4,055 ) TBAs (1) Unrealized gain/(loss) on derivative and other instruments, net 18 54 36 (996 ) TBAs (1) Net realized gain/(loss) (124 ) 1,672 40 3,003 U.S. Treasuries Unrealized gain/(loss) on derivative and other instruments, net 28 — (66 ) (1,725 ) U.S. Treasuries Net realized gain/(loss) — — 131 1,731 (1) For the three months ended September 30, 2018 , gains and losses from purchases and sales of TBAs consisted of $0.5 million of net TBA dollar roll net interest income and net losses of $(0.5) million due to price changes. For the nine months ended September 30, 2018 , gains and losses from purchases and sales of TBAs consisted of $1.6 million of net TBA dollar roll net interest income and net losses of $(1.5) million due to price changes. For the three months ended September 30, 2017 , gains and losses from purchases and sales of TBAs consisted of $1.5 million of net TBA dollar roll net interest income and net gains of $0.2 million due to price changes. For the nine months ended September 30, 2017 , gains and losses from purchases and sales of TBAs consisted of $2.6 million of net TBA dollar roll net interest income and net losses of $(0.6) million due to price changes. |
Schedule of gross and net information about derivatives and other instruments | The following table presents both gross information and net information about derivative and other instruments eligible for offset in the consolidated balance sheets as of September 30, 2018 (in thousands): Gross Amounts Not Offset in the Consolidated Balance Sheet Description (1) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets Financial Instruments (Posted)/Received Cash Collateral (Posted)/Received Net Amount Receivable Under Reverse Repurchase Agreements $ 5,750 $ — $ 5,750 $ 5,730 $ — $ 20 Derivative Assets (2) Interest Rate Swaps $ 9,054 $ — $ 9,054 $ — $ 9,054 $ — Interest Rate Swaptions 523 — 523 — (100 ) 623 TBAs 781 — 781 — — 781 Total Derivative Assets $ 10,358 $ — $ 10,358 $ — $ 8,954 $ 1,404 Derivative Liabilities (3) Interest Rate Swaps $ 1,480 $ — $ 1,480 $ — $ 1,480 $ — TBAs (519 ) — (519 ) — (519 ) — Total Derivative Liabilities $ 961 $ — $ 961 $ — $ 961 $ — (1) The Company applied a reduction in fair value of $61.1 million and $0.4 million to its interest rate swap assets and liabilities, respectively, related to variation margin. (2) Included in Derivative Assets on the consolidated balance sheet is $10.4 million less accrued interest of $(5.5) million for a total of $4.9 million . (3) Included in Derivative Liabilities on the consolidated balance sheet is $1.0 million plus accrued interest of $(2.0) million for a total of $(1.0) million . The following table presents both gross information and net information about derivative instruments eligible for offset in the consolidated balance sheets as of December 31, 2017 (in thousands): Gross Amounts Not Offset in the Consolidated Balance Sheet Description (1) Gross Gross Amounts Net Amounts of Assets Financial Cash Collateral Net Amount Receivable Under Reverse Repurchase Agreements $ 24,671 $ — $ 24,671 $ 24,379 $ — $ 292 Derivative Assets (2) Interest Rate Swaps $ 4,544 $ — $ 4,544 $ — $ 1,666 $ 2,878 Interest Rate Swaptions 362 — 362 — — 362 TBAs 227 — 227 — — 227 U.S. Treasury Futures - Short 110 — 110 — — 110 Total Derivative Assets $ 5,243 $ — $ 5,243 $ — $ 1,666 $ 3,577 Derivative Liabilities (3) Interest Rate Swaps $ (6 ) $ — $ (6 ) $ — $ (6 ) $ — Total Derivative Liabilities $ (6 ) $ — $ (6 ) $ — $ (6 ) $ — (1) The Company applied a reduction in fair value of $19.5 million and $0.6 million to its interest rate swap assets and liabilities, respectively, related to variation margin. (2) Included in Derivative Assets on the consolidated balance sheet is $5.2 million less accrued interest of $(3.1) million for a total of $2.1 million . (3) Included in Derivative Liabilities on the consolidated balance sheet is $(6) thousand plus accrued interest of $(444) thousand for a total of $(450) thousand . |
Schedule of interest rate derivatives | As of September 30, 2018 , the Company’s interest rate swap positions consist of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of September 30, 2018 (in thousands): Maturity Notional Amount Weighted Average Pay-Fixed Rate Weighted Average Receive-Variable Rate Weighted Average Years to Maturity 2019 $ 50,000 1.29 % 2.34 % 1.08 2020 250,000 1.63 % 2.34 % 1.52 2021 27,000 2.86 % 2.31 % 2.89 2022 653,000 1.90 % 2.34 % 3.84 2023 219,000 2.97 % 2.35 % 4.75 2024 230,000 2.06 % 2.34 % 5.75 2025 125,000 2.87 % 2.36 % 6.63 2026 75,000 2.12 % 2.32 % 8.14 2027 264,000 2.35 % 2.34 % 8.94 2028 250,000 2.97 % 2.34 % 9.66 Total/Wtd Avg $ 2,143,000 2.24 % 2.34 % 5.41 As of December 31, 2017 , the Company’s interest rate swap positions consist of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of December 31, 2017 (in thousands): Maturity Notional Amount Weighted Average Pay-Fixed Rate Weighted Average Receive-Variable Rate Weighted Average Years to Maturity 2019 $ 170,000 1.36 % 1.43 % 1.88 2020 835,000 1.77 % 1.52 % 2.54 2022 653,000 1.90 % 1.51 % 4.59 2024 230,000 2.06 % 1.47 % 6.50 2026 75,000 2.12 % 1.44 % 8.89 2027 264,000 2.35 % 1.50 % 9.69 Total/Wtd Avg $ 2,227,000 1.89 % 1.50 % 4.56 |
Schedule of to be announced securities activity | As discussed in Note 2, the Company has entered into TBAs. The following table presents information about the Company’s TBAs for the three and nine months ended September 30, 2018 and September 30, 2017 (in thousands): For the Three Months Ended September 30, 2018 Beginning Notional Amount Buys or Covers Sales or Shorts Ending Notional Amount Fair Value as of Period End Receivable/(Payable) from/to Broker Derivative Asset Derivative Liability TBAs - Long $ 160,000 $ 487,000 $ (572,000 ) $ 75,000 $ 75,727 $ (75,224 ) $ 633 $ (130 ) TBAs - Short $ — $ 177,000 $ (177,000 ) $ — $ — $ (241 ) $ 148 $ (389 ) For the Three Months Ended September 30, 2017 Beginning Notional Amount Buys or Covers Sales or Shorts Ending Notional Amount Fair Value as of Period End Receivable/(Payable) from/to Broker Derivative Asset Derivative Liability TBAs - Long $ 300,000 $ 738,000 $ (922,000 ) $ 116,000 $ 121,125 $ (122,545 ) $ 118 $ (1,537 ) For the Nine Months Ended September 30, 2018 Beginning Notional Amount Buys or Covers Sales or Shorts Ending Notional Amount Fair Value as of Period End Receivable/(Payable) from/to Broker Derivative Asset Derivative Liability TBAs - Long $ 100,000 $ 1,438,000 $ (1,463,000 ) $ 75,000 $ 75,727 $ (75,224 ) $ 633 $ (130 ) TBAs - Short $ — $ 1,031,000 $ (1,031,000 ) $ — $ — $ (241 ) $ 148 $ (389 ) For the Nine Months Ended September 30, 2017 Beginning Notional Amount Buys or Covers Sales or Shorts Ending Notional Amount Fair Value as of Period End Receivable/(Payable) from/to Broker Derivative Asset Derivative Liability TBAs - Long $ 50,000 $ 1,914,000 $ (1,848,000 ) $ 116,000 $ 121,125 $ (122,545 ) $ 118 $ (1,537 ) TBAs - Short $ (75,000 ) $ 75,000 $ — $ — $ — $ — $ — $ — |
Earnings per share (Tables)
Earnings per share (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Schedule of Earning Per Share Basic And Diluted [Line Items] | |
Schedule of outstanding warrants and unvested restricted stock units | As of September 30, 2018 and September 30, 2017 , the Company’s outstanding warrants and unvested restricted stock units were as follows: September 30, 2018 September 30, 2017 Outstanding warrants (1) — 1,007,500 Unvested restricted stock units previously granted to the Manager 40,007 60,000 (1) The warrants expired on July 6, 2018. |
Schedule of basic and diluted earnings per share | The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the three and nine months ended September 30, 2018 and September 30, 2017 (in thousands, except per share data): Three Months Ended September 30, 2018 Three Months Ended September 30, 2017 Nine Months Ended September 30, 2018 Nine Months Ended September 30, 2017 Numerator: Net income/(loss) available to common stockholders for basic and diluted earnings per share $ 20,010 $ 32,644 $ 29,691 $ 84,198 Denominator: Basic weighted average common shares outstanding 28,422 27,841 28,274 27,756 Dilutive effect of restricted stock units 16 16 8 14 Diluted weighted average common shares outstanding 28,438 27,857 28,282 27,770 Basic Earnings/(Loss) Per Share of Common Stock: $ 0.70 $ 1.17 $ 1.05 $ 3.03 Diluted Earnings/(Loss) Per Share of Common Stock: $ 0.70 $ 1.17 $ 1.05 $ 3.03 |
Common Stock [Member] | |
Schedule of Earning Per Share Basic And Diluted [Line Items] | |
Schedule of basic and diluted earnings per share | The following tables detail our common stock dividends for the nine months ended September 30, 2018 and September 30, 2017 : 2018 Declaration Date Record Date Payment Date Dividend Per Share 3/15/2018 3/29/2018 4/30/2018 $ 0.475 6/18/2018 6/29/2018 7/31/2018 0.500 9/14/2018 9/28/2018 10/31/2018 0.500 2017 Declaration Date Record Date Payment Date Dividend Per Share (1) 3/10/2017 3/21/2017 4/28/2017 $ 0.475 6/8/2017 6/19/2017 7/31/2017 0.475 9/11/2017 9/29/2017 10/31/2017 0.575 (1) The combined dividend of $0.575 includes a dividend of $0.475 per common share and a special cash dividend of $0.10 per common share. |
Preferred Stock [Member] | |
Schedule of Earning Per Share Basic And Diluted [Line Items] | |
Schedule of basic and diluted earnings per share | The following tables detail our preferred stock dividends during the nine months ended September 30, 2018 and September 30, 2017 : 2018 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.25% Series A 2/16/2018 2/28/2018 3/19/2018 $ 0.51563 8.25% Series A 5/15/2018 5/31/2018 6/18/2018 0.51563 8.25% Series A 8/16/2018 8/31/2018 9/17/2018 0.51563 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.00% Series B 2/16/2018 2/28/2018 3/19/2018 $ 0.50 8.00% Series B 5/15/2018 5/31/2018 6/18/2018 0.50 8.00% Series B 8/16/2018 8/31/2018 9/17/2018 0.50 2017 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.25% Series A 2/16/2017 2/28/2017 3/17/2017 $ 0.51563 8.25% Series A 5/15/2017 5/31/2017 6/19/2017 0.51563 8.25% Series A 8/16/2017 8/31/2017 9/18/2017 0.51563 Dividend Declaration Date Record Date Payment Date Dividend Per Share 8.00% Series B 2/16/2017 2/28/2017 3/17/2017 $ 0.50 8.00% Series B 5/15/2017 5/31/2017 6/19/2017 0.50 8.00% Series B 8/16/2017 8/31/2017 9/18/2017 0.50 |
Summary of significant accoun_3
Summary of significant accounting policies - Narrative (Details) - USD ($) | Aug. 27, 2017 | Apr. 25, 2017 | Dec. 09, 2015 | Sep. 30, 2018 | Dec. 31, 2017 | Feb. 29, 2016 | Feb. 12, 2016 |
Significant Accounting Policies Disclosure [Line Items] | |||||||
Cash equivalents | $ 14,700,000 | $ 0 | |||||
Restricted cash related to security deposits | 1,200,000 | 0 | |||||
Investments fair market value | 164,900,000 | 88,300,000 | |||||
The Company's investments in debt and equity of affiliates | 79,698,000 | 99,696,000 | |||||
The total amount committed under the long-term purchase commitment for the entity and its affiliates. | $ 10,000,000 | $ 30,000,000 | |||||
Amount provided for mortgage investment business | $ 33,400,000 | ||||||
Percentage of participation interest | 15.00% | 15.00% | |||||
Participation interest | $ 1,800,000 | $ 1,800,000 | |||||
Commercial Portfolio Segment [Member] | |||||||
Significant Accounting Policies Disclosure [Line Items] | |||||||
Commercial loan | $ 12,000,000 | $ 12,000,000 | |||||
Mortgage Acquisition Holding I LLC [Member] | |||||||
Significant Accounting Policies Disclosure [Line Items] | |||||||
The total amount committed under the long-term purchase commitment for the entity and its affiliates. | $ 75,000,000 | ||||||
The amount the entity has funded to date out of the amount it has agreed to spend under the long-term purchase commitment. | 14,500,000 | ||||||
Outstanding commitment | 18,900,000 | ||||||
ARC Home LLC [Member] | |||||||
Significant Accounting Policies Disclosure [Line Items] | |||||||
The Company's investments in debt and equity of affiliates | $ 23,100,000 | $ 17,900,000 | |||||
In-Place Lease Intangibles [Member] | |||||||
Significant Accounting Policies Disclosure [Line Items] | |||||||
Weighted average useful life, intangible assets | 7 months 12 days | ||||||
Minimum [Member] | Building and Building Improvements [Member] | |||||||
Significant Accounting Policies Disclosure [Line Items] | |||||||
Weighted average useful life, property acquisitions and improvements | 5 years | ||||||
Maximum [Member] | Building and Building Improvements [Member] | |||||||
Significant Accounting Policies Disclosure [Line Items] | |||||||
Weighted average useful life, property acquisitions and improvements | 30 years |
Real Estate Securities - Summar
Real Estate Securities - Summary of real estate securities portfolio (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | $ 7,599,500 | $ 6,541,288 |
Premium / (Discount) | (4,573,716) | (3,096,737) |
Amortized Cost | 3,025,784 | 3,444,551 |
Gross Unrealized Gains | 79,324 | 80,219 |
Gross Unrealized Losses | (34,945) | (12,226) |
Fair Value | $ 3,070,163 | $ 3,512,544 |
Weighted Average Coupon | 2.24% | 2.60% |
Weighted Average Yield | 4.94% | 4.32% |
Agency RMBS: 30 Year Fixed Rate [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | $ 1,740,991 | $ 1,848,172 |
Premium / (Discount) | 44,102 | 81,134 |
Amortized Cost | 1,785,093 | 1,929,306 |
Gross Unrealized Gains | 523 | 5,125 |
Gross Unrealized Losses | (23,147) | (5,398) |
Fair Value | $ 1,762,469 | $ 1,929,033 |
Weighted Average Coupon | 3.99% | 3.79% |
Weighted Average Yield | 3.61% | 3.13% |
Agency RMBS: Fixed Rate CMO [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | $ 46,042 | $ 52,264 |
Premium / (Discount) | 350 | 406 |
Amortized Cost | 46,392 | 52,670 |
Gross Unrealized Gains | 0 | 281 |
Gross Unrealized Losses | (1,069) | 0 |
Fair Value | $ 45,323 | $ 52,951 |
Weighted Average Coupon | 3.00% | 3.00% |
Weighted Average Yield | 2.79% | 2.79% |
Agency RMBS: ARM [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | $ 108,008 | $ 176,561 |
Premium / (Discount) | 506 | (835) |
Amortized Cost | 108,514 | 175,726 |
Gross Unrealized Gains | 0 | 683 |
Gross Unrealized Losses | (2,693) | (22) |
Fair Value | $ 105,821 | $ 176,387 |
Weighted Average Coupon | 2.41% | 2.35% |
Weighted Average Yield | 2.87% | 2.83% |
Agency RMBS: Interest Only [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | $ 700,861 | $ 644,239 |
Premium / (Discount) | (581,230) | (554,353) |
Amortized Cost | 119,631 | 89,886 |
Gross Unrealized Gains | 1,927 | 1,608 |
Gross Unrealized Losses | (3,456) | (2,704) |
Fair Value | $ 118,102 | $ 88,790 |
Weighted Average Coupon | 3.74% | 3.27% |
Weighted Average Yield | 7.73% | 6.84% |
Credit Securities: Non-Agency RMBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | $ 851,628 | $ 1,165,534 |
Premium / (Discount) | (197,511) | (228,543) |
Amortized Cost | 654,117 | 936,991 |
Gross Unrealized Gains | 58,650 | 66,813 |
Gross Unrealized Losses | (1,772) | (2,210) |
Fair Value | $ 710,995 | $ 1,001,594 |
Weighted Average Coupon | 4.81% | 4.45% |
Weighted Average Yield | 6.62% | 6.10% |
Credit Securities: Non-Agency RMBS Interest Only [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | $ 315,347 | $ 371,297 |
Premium / (Discount) | (312,148) | (367,977) |
Amortized Cost | 3,199 | 3,320 |
Gross Unrealized Gains | 1,329 | 130 |
Gross Unrealized Losses | (668) | (788) |
Fair Value | $ 3,860 | $ 2,662 |
Weighted Average Coupon | 0.56% | 0.30% |
Weighted Average Yield | 26.75% | 10.49% |
Credit Securities: ABS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | $ 37,453 | $ 40,655 |
Premium / (Discount) | (176) | (438) |
Amortized Cost | 37,277 | 40,217 |
Gross Unrealized Gains | 311 | 741 |
Gross Unrealized Losses | (44) | 0 |
Fair Value | $ 37,544 | $ 40,958 |
Weighted Average Coupon | 8.79% | 7.61% |
Weighted Average Yield | 9.36% | 8.27% |
Credit Securities: CMBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | $ 389,160 | $ 221,305 |
Premium / (Discount) | (166,154) | (51,818) |
Amortized Cost | 223,006 | 169,487 |
Gross Unrealized Gains | 14,022 | 1,060 |
Gross Unrealized Losses | (1,676) | (1,080) |
Fair Value | $ 235,352 | $ 169,467 |
Weighted Average Coupon | 5.93% | 5.58% |
Weighted Average Yield | 8.32% | 6.23% |
Credit Securities: CMBS Interest Only [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | $ 3,410,010 | $ 2,021,261 |
Premium / (Discount) | (3,361,455) | (1,974,313) |
Amortized Cost | 48,555 | 46,948 |
Gross Unrealized Gains | 2,562 | 3,778 |
Gross Unrealized Losses | (420) | (24) |
Fair Value | $ 50,697 | $ 50,702 |
Weighted Average Coupon | 0.25% | 0.40% |
Weighted Average Yield | 6.81% | 6.63% |
Agency Residential Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | $ 2,595,902 | $ 2,721,236 |
Premium / (Discount) | (536,272) | (473,648) |
Amortized Cost | 2,059,630 | 2,247,588 |
Gross Unrealized Gains | 2,450 | 7,697 |
Gross Unrealized Losses | (30,365) | (8,124) |
Fair Value | $ 2,031,715 | $ 2,247,161 |
Weighted Average Coupon | 3.84% | 3.56% |
Weighted Average Yield | 3.79% | 3.25% |
Total Non Agency Residential Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | $ 1,166,975 | $ 1,536,831 |
Premium / (Discount) | (509,659) | (596,520) |
Amortized Cost | 657,316 | 940,311 |
Gross Unrealized Gains | 59,979 | 66,943 |
Gross Unrealized Losses | (2,440) | (2,998) |
Fair Value | $ 714,855 | $ 1,004,256 |
Weighted Average Coupon | 4.09% | 3.38% |
Weighted Average Yield | 6.73% | 6.12% |
Total Commercial Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | $ 3,799,170 | $ 2,242,566 |
Premium / (Discount) | (3,527,609) | (2,026,131) |
Amortized Cost | 271,561 | 216,435 |
Gross Unrealized Gains | 16,584 | 4,838 |
Gross Unrealized Losses | (2,096) | (1,104) |
Fair Value | $ 286,049 | $ 220,169 |
Weighted Average Coupon | 0.53% | 0.80% |
Weighted Average Yield | 8.05% | 6.32% |
Real Estate Securities - Summ_2
Real Estate Securities - Summary of gross unrealized losses and fair value of real estate securities by length of time (Details 1) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Investments, Debt and Equity Securities [Abstract] | ||
Less than 12 months, Fair Value | $ 1,803,448 | $ 1,116,925 |
Less than 12 months, Unrealized Losses | (31,967) | (8,012) |
Greater than 12 months, Fair Value | 63,062 | 188,434 |
Greater than 12 months, Unrealized Losses | $ (2,978) | $ (4,214) |
Real Estate Securities - Narrat
Real Estate Securities - Narrative (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018USD ($)security | Sep. 30, 2017USD ($)security | Sep. 30, 2018USD ($)security | Sep. 30, 2017USD ($)security | Dec. 31, 2017USD ($) | |
Schedule of Available-for-sale Securities [Line Items] | |||||
Other than temporary impairment, adverse change in cash flows on certain securities | $ 5,000 | $ 2,000 | $ 6,700 | $ 6,500 | |
Other than temporary impairment charge on securities | $ 2,900 | $ 2,900 | 1,900 | ||
Number of securities with intent to be sold | security | 8 | 3 | 8 | ||
Proceeds from sales of real estate securities | $ 1,516,411 | 467,286 | |||
Receivable on unsettled trades - $274,677 and $0 pledged as collateral, respectively | $ 285,041 | 285,041 | $ 0 | ||
Settled Securities [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Other than temporary impairment charge on securities | $ 3,400 | $ 2,000 | $ 4,500 | $ 1,800 | |
Number of securities sold | security | 14 | 22 | 119 | 52 | |
Proceeds from sales of real estate securities | $ 201,700 | $ 206,400 | $ 1,500,000 | $ 467,300 | |
Securities, gross realized gains | 300 | 2,500 | 6,500 | 3,500 | |
Securities, gross realized losses | $ 18,400 | 100 | $ 53,900 | 2,200 | |
Unsettled Securities [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Number of securities sold | security | 24 | 24 | |||
Proceeds from sales of real estate securities | $ 283,900 | $ 283,900 | |||
Fair Values of Securities [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Other than temporary impairment, adverse change in cash flows on certain securities | $ 2,100 | $ 700 | $ 3,800 | ||
Other than temporary impairment charge on securities | $ 4,600 |
Real Estate Securities - Summ_3
Real Estate Securities - Summary of weighted average life of real estate securities (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Agency RMBS [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value Total | $ 1,913,613 | $ 2,158,371 |
Amortized Cost Total | $ 1,939,999 | $ 2,157,702 |
Weighted Average Coupon Total | 3.87% | 3.64% |
Agency RMBS [Member] | Less than or equal to 1 year [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value Less than or equal to 1 year | $ 0 | $ 0 |
Amortized Cost Less than or equal to 1 year | $ 0 | $ 0 |
Weighted Average Coupon Less than or equal to 1 year | 0.00% | 0.00% |
Agency RMBS [Member] | Greater than one year and less than or equal to five years [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value Greater than one year and less than or equal to five years | $ 151,172 | $ 229,338 |
Amortized Cost Greater than one year and less than or equal to five years | $ 154,934 | $ 228,397 |
Weighted Average Coupon Greater than one year and less than or equal to five years | 2.59% | 2.50% |
Agency RMBS [Member] | Greater than five years and less than or equal to ten years [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value Greater than five years and less than or equal to ten years | $ 1,407,700 | $ 1,865,474 |
Amortized Cost Greater than five years and less than or equal to ten years | $ 1,426,849 | $ 1,865,706 |
Weighted Average Coupon Greater than five years and less than or equal to ten years | 4.01% | 3.79% |
Agency RMBS [Member] | Greater than ten years [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value Greater than ten years | $ 354,741 | $ 63,559 |
Amortized Cost Greater than ten years | $ 358,216 | $ 63,599 |
Weighted Average Coupon Greater than ten years | 3.90% | 3.50% |
Agency IO [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value Total | $ 118,102 | $ 88,790 |
Amortized Cost Total | $ 119,631 | $ 89,886 |
Weighted Average Coupon Total | 3.74% | 3.27% |
Agency IO [Member] | Less than or equal to 1 year [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value Less than or equal to 1 year | $ 0 | $ 0 |
Amortized Cost Less than or equal to 1 year | $ 0 | $ 0 |
Weighted Average Coupon Less than or equal to 1 year | 0.00% | 0.00% |
Agency IO [Member] | Greater than one year and less than or equal to five years [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value Greater than one year and less than or equal to five years | $ 18,379 | $ 28,837 |
Amortized Cost Greater than one year and less than or equal to five years | $ 17,559 | $ 29,520 |
Weighted Average Coupon Greater than one year and less than or equal to five years | 3.02% | 2.36% |
Agency IO [Member] | Greater than five years and less than or equal to ten years [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value Greater than five years and less than or equal to ten years | $ 99,723 | $ 59,953 |
Amortized Cost Greater than five years and less than or equal to ten years | $ 102,072 | $ 60,366 |
Weighted Average Coupon Greater than five years and less than or equal to ten years | 3.97% | 4.36% |
Agency IO [Member] | Greater than ten years [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value Greater than ten years | $ 0 | $ 0 |
Amortized Cost Greater than ten years | $ 0 | $ 0 |
Weighted Average Coupon Greater than ten years | 0.00% | 0.00% |
Credit Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value Total | $ 1,038,448 | $ 1,265,383 |
Amortized Cost Total | $ 966,154 | $ 1,196,963 |
Weighted Average Coupon Total | 1.33% | 1.89% |
Credit Securities [Member] | Less than or equal to 1 year [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value Less than or equal to 1 year | $ 110,603 | $ 117,532 |
Amortized Cost Less than or equal to 1 year | $ 111,154 | $ 117,805 |
Weighted Average Coupon Less than or equal to 1 year | 0.74% | 2.15% |
Credit Securities [Member] | Greater than one year and less than or equal to five years [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value Greater than one year and less than or equal to five years | $ 327,349 | $ 477,066 |
Amortized Cost Greater than one year and less than or equal to five years | $ 312,781 | $ 460,334 |
Weighted Average Coupon Greater than one year and less than or equal to five years | 0.99% | 1.07% |
Credit Securities [Member] | Greater than five years and less than or equal to ten years [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value Greater than five years and less than or equal to ten years | $ 436,396 | $ 482,184 |
Amortized Cost Greater than five years and less than or equal to ten years | $ 398,028 | $ 452,403 |
Weighted Average Coupon Greater than five years and less than or equal to ten years | 1.53% | 2.87% |
Credit Securities [Member] | Greater than ten years [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Fair Value Greater than ten years | $ 164,100 | $ 188,601 |
Amortized Cost Greater than ten years | $ 144,191 | $ 166,421 |
Weighted Average Coupon Greater than ten years | 5.69% | 5.31% |
Real Estate Securities - Summ_4
Real Estate Securities - Summary of Company's consolidated VIE A (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | $ 7,599,500 | $ 6,541,288 |
Fair Value | $ 3,070,163 | $ 3,512,544 |
Weighted Average Coupon | 2.24% | 2.60% |
Weighted Average Yield | 4.94% | 4.32% |
Securitized debt, at fair value | $ 11,481 | $ 16,478 |
Resecuritized Asset [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | 19,889 | 24,973 |
Fair Value | $ 18,029 | $ 22,578 |
Weighted Average Coupon | 4.31% | 3.51% |
Weighted Average Yield | 9.61% | 7.04% |
Weighted Average Life (Years) | 5 years 15 days | 5 years 18 days |
Consolidated tranche [Member] | Resecuritized Asset [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | $ 11,403 | $ 16,355 |
Fair Value | $ 11,481 | $ 16,478 |
Weighted Average Coupon | 3.85% | 3.11% |
Weighted Average Yield | 4.46% | 3.92% |
Weighted Average Life (Years) | 2 years 5 months 14 days | 2 years 11 months 12 days |
Retained tranche [Member] | Resecuritized Asset [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Current Face | $ 8,486 | $ 8,618 |
Fair Value | $ 6,548 | $ 6,100 |
Weighted Average Coupon | 4.92% | 4.28% |
Weighted Average Yield | 18.65% | 15.48% |
Weighted Average Life (Years) | 8 years 6 months 6 days | 9 years 14 days |
Real Estate Securities - Summ_5
Real Estate Securities - Summary of Company's consolidated VIE B (Details) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 |
Assets | |||
Cash and cash equivalents | $ 30,341,000 | $ 15,200,000 | $ 61,716,000 |
Restricted cash | 1,200,000 | 0 | |
Interest receivable | 12,823,000 | 12,607,000 | |
Total Assets | 3,894,789,000 | 3,789,295,000 | |
Liabilities | |||
Financing arrangements, net | 2,913,381,000 | 3,004,407,000 | |
Interest payable | 5,294,000 | 5,226,000 | |
Accrued expenses | 5,457,000 | 790,000 | |
Total Liabilities | 3,182,917,000 | $ 3,075,036,000 | |
Variable Interest Entity B [Member] | |||
Assets | |||
CMBS | 81,146,000 | ||
Cash and cash equivalents | 492,000 | ||
Restricted cash | 351,000 | ||
Interest receivable | 152,000 | ||
Total Assets | 82,141,000 | ||
Liabilities | |||
Financing arrangements, net | 56,891,000 | ||
Interest payable | 205,000 | ||
Accrued expenses | 2,399,000 | ||
Total Liabilities | $ 59,495,000 |
Loans - Narrative (Details)
Loans - Narrative (Details) | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||||||
Feb. 28, 2017USD ($) | Sep. 30, 2018USD ($)loan | Jun. 30, 2018USD ($) | Sep. 30, 2017USD ($) | Sep. 30, 2018USD ($)loan | Sep. 30, 2017USD ($)loan | Dec. 31, 2017USD ($)loan | Dec. 31, 2016USD ($) | Feb. 29, 2016USD ($) | Feb. 12, 2016USD ($) | |
Gain (Loss) on Investments [Line Items] | ||||||||||
Residential mortgage loan portfolio, aggregate unpaid principal balance | $ 86,300,000 | |||||||||
Residential mortgage loan portfolio, acquisition fair value | 76,300,000 | |||||||||
Mortgage loans in process of foreclosure | $ 11,900,000 | $ 11,900,000 | $ 9,100,000 | |||||||
Proceeds from sale of loans | 2,500,000 | 33,500,000 | $ 10,200,000 | |||||||
Realized gain on sale of loan | 800,000 | 1,500,000 | 2,600,000 | |||||||
Realized loss on sale of loan | 0 | (100,000) | 300,000 | |||||||
Percentage of participation interest | 15.00% | 15.00% | ||||||||
Participation interest | $ 1,800,000 | $ 1,800,000 | ||||||||
Discount accretion on commercial loans | 10,665 | $ 100,000 | 1,100,000 | 300,000 | ||||||
Unsettled Loan [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Proceeds from sale of loans | 1,100,000 | 1,100,000 | $ 3,600,000 | |||||||
Commercial Portfolio Segment [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Commercial loan | $ 12,000,000 | $ 12,000,000 | ||||||||
Nonperforming Financial Instruments [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Unpaid principal balance | 9,400,000 | 9,400,000 | ||||||||
Fair market value | 6,600,000 | 6,600,000 | ||||||||
Reperforming Financing Receivable [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Fair market value | 8,200,000 | 8,200,000 | ||||||||
Loans [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Other than temporary impairment losses recognized | 400,000 | |||||||||
Loan C [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Weighted average coupon rate on commercial loan | 10.62% | |||||||||
Weighted average yield on commercial loan | 14.33% | |||||||||
Loan D [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Proceeds from collection of loans receivable | $ 12,000,000 | |||||||||
Loan E [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Proceeds from collection of loans receivable | $ 14,500,000 | |||||||||
Loans Pools [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Other than temporary impairment losses recognized | 0 | $ 0 | 0 | $ 400,000 | ||||||
Residential Mortgage Loans [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Fair market value | $ 87,600,000 | $ 87,600,000 | $ 18,890,000 | |||||||
Number of conventional loans with balances | loan | 601 | 601 | 125 | |||||||
Loan balances | $ 101,259,000 | $ 101,259,000 | $ 25,676,000 | |||||||
Number of loans sold | loan | 13 | 163 | 66 | |||||||
Residential Mortgage Loans [Member] | Unsettled Loan [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Number of loans sold | loan | 7 | 7 | ||||||||
Residential Mortgage Loans [Member] | Maximum [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Loan balances | $ 1,900,000 | $ 1,900,000 | 1,100,000 | |||||||
Residential Mortgage Loans [Member] | Minimum [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Loan balances | $ 10,000 | $ 10,000 | $ 9,000 | |||||||
Commercial Loans [Member] | Commercial Portfolio Segment [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Weighted average coupon rate on commercial loan | 7.20% | 8.20% | ||||||||
Weighted average yield on commercial loan | 7.59% | 9.41% | ||||||||
Participation Interest [Member] | ||||||||||
Gain (Loss) on Investments [Line Items] | ||||||||||
Weighted average coupon rate on commercial loan | 10.62% | |||||||||
Weighted average yield on commercial loan | 21.70% |
Loans - Summary of Company's re
Loans - Summary of Company's residential mortgage loan portfolio (Details) - Residential Mortgage Loans [Member] - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 101,259 | $ 25,676 |
Premium (Discount) | (13,982) | (7,792) |
Amortized Cost | 87,277 | 17,884 |
Gross Unrealized Gains | 975 | 1,006 |
Gross Unrealized Losses | (652) | 0 |
Fair Value | $ 87,600 | $ 18,890 |
Weighted Average Coupon | 3.57% | 3.10% |
Weighted Average Yield | 6.84% | 12.24% |
Weighted Average Life (Years) | 7 years 6 months 22 days | 5 years 8 months 1 day |
Loans - Summary of Company's _2
Loans - Summary of Company's re-performing and non-performing residential mortgage loans (Details) - Residential Mortgage Loans [Member] - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Debt Instrument [Line Items] | ||
Fair Value | $ 87,600 | $ 18,890 |
Unpaid Principal Balance | 101,259 | 25,676 |
Re-Performing Financing Receivable [Member] | ||
Debt Instrument [Line Items] | ||
Fair Value | 45,143 | 7,069 |
Unpaid Principal Balance | 51,776 | 9,544 |
Non-Performing Financing Receivable [Member] | ||
Debt Instrument [Line Items] | ||
Fair Value | 42,457 | 11,821 |
Unpaid Principal Balance | $ 49,483 | $ 16,132 |
Loans - Summary of concentratio
Loans - Summary of concentrations of credit risk (Details) - Geographic Concentration Risk [Member] - Accounts Receivable [Member] | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
California [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 27.00% | 7.00% |
New York [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 9.00% | 37.00% |
Florida [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 8.00% | 1.00% |
New Jersey [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 5.00% | 6.00% |
Maryland [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 4.00% | 7.00% |
Loans - Summary of changes in t
Loans - Summary of changes in the accretable portion of discounts (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Changes in the accretable portion | ||||
Beginning Balance | $ 45,050 | $ 10,342 | $ 9,318 | $ 18,281 |
Additions | 0 | 0 | 36,443 | 0 |
Accretion | (1,492) | (506) | (2,525) | (1,968) |
Reclassifications from/(to) non-accretable difference | (606) | 1,476 | 1,215 | 4,858 |
Disposals | (2,231) | 0 | (3,730) | (9,859) |
Ending Balance | $ 40,721 | $ 11,312 | $ 40,721 | $ 11,312 |
Loans - Summary of Company's co
Loans - Summary of Company's commercial loan portfolio (Details) - USD ($) $ in Thousands | Sep. 21, 2018 | Jul. 26, 2018 | Jun. 08, 2018 | Jun. 30, 2018 | Sep. 30, 2018 | Dec. 31, 2017 |
Commercial Loans [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Outstanding commitment | $ 20,000 | $ 59,600 | ||||
Commercial Loans [Member] | Commercial Portfolio Segment [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Current Face | 94,618 | $ 57,738 | ||||
Premium (Discount) | (7) | (1,104) | ||||
Amortized Cost | 94,611 | 56,634 | ||||
Gross Unrealized Gains | 7 | 887 | ||||
Gross Unrealized Losses | 0 | 0 | ||||
Fair Value | $ 94,618 | $ 57,521 | ||||
Weighted Average Coupon Rate | 7.20% | 8.20% | ||||
Weighted Average Yield | 7.59% | 9.41% | ||||
Weighted Average Life (in years) | 1 year 1 month 20 days | 1 year 9 months 4 days | ||||
Loan B [Member] | Commercial Loans [Member] | Commercial Portfolio Segment [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Current Face | $ 32,800 | $ 32,800 | ||||
Premium (Discount) | 0 | 0 | ||||
Amortized Cost | 32,800 | 32,800 | ||||
Gross Unrealized Gains | 0 | 0 | ||||
Gross Unrealized Losses | 0 | 0 | ||||
Fair Value | $ 32,800 | $ 32,800 | ||||
Weighted Average Coupon Rate | 6.87% | 6.14% | ||||
Weighted Average Yield | 7.25% | 6.52% | ||||
Weighted Average Life (in years) | 9 months 10 days | 1 year 6 months 11 days | ||||
Loan E [Member] | Commercial Loans [Member] | Commercial Portfolio Segment [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Current Face | $ 14,521 | |||||
Premium (Discount) | (1,028) | |||||
Amortized Cost | 13,493 | |||||
Gross Unrealized Gains | 810 | |||||
Gross Unrealized Losses | 0 | |||||
Fair Value | $ 14,303 | |||||
Weighted Average Coupon Rate | 9.83% | |||||
Weighted Average Yield | 12.70% | |||||
Weighted Average Life (in years) | 3 years 4 days | |||||
Loan F [Member] | Commercial Loans [Member] | Commercial Portfolio Segment [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Current Face | $ 10,417 | $ 10,417 | ||||
Premium (Discount) | (7) | (76) | ||||
Amortized Cost | 10,410 | 10,341 | ||||
Gross Unrealized Gains | 7 | 77 | ||||
Gross Unrealized Losses | 0 | 0 | ||||
Fair Value | $ 10,417 | $ 10,418 | ||||
Weighted Average Coupon Rate | 13.13% | 12.43% | ||||
Weighted Average Yield | 14.05% | 13.98% | ||||
Weighted Average Life (in years) | 2 months 10 days | 8 months 12 days | ||||
Loan G [Member] | Commercial Loans [Member] | Commercial Portfolio Segment [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Current Face | $ 15,401 | |||||
Premium (Discount) | 0 | |||||
Amortized Cost | 15,401 | |||||
Gross Unrealized Gains | 0 | |||||
Gross Unrealized Losses | 0 | |||||
Fair Value | $ 15,401 | |||||
Weighted Average Coupon Rate | 6.88% | |||||
Weighted Average Yield | 6.88% | |||||
Weighted Average Life (in years) | 1 year 9 months 18 days | |||||
Loan H [Member] | Commercial Loans [Member] | Commercial Portfolio Segment [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Current Face | $ 36,000 | |||||
Premium (Discount) | 0 | |||||
Amortized Cost | 36,000 | |||||
Gross Unrealized Gains | 0 | |||||
Gross Unrealized Losses | 0 | |||||
Fair Value | $ 36,000 | |||||
Weighted Average Coupon Rate | 5.91% | |||||
Weighted Average Yield | 5.91% | |||||
Weighted Average Life (in years) | 1 year 5 months 16 days | |||||
Loan B [Member] | Commercial Mortgage Loans [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Loan balances | $ 31,800 | $ 31,800 | ||||
Loan B [Member] | Mezzanine Loan [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Loan balances | 1,000 | 1,000 | ||||
Loan E [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Proceeds from collection of loans receivable | $ 14,500 | |||||
Loan G [Member] | Commercial Loans [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Outstanding commitment | $ 75,000 | |||||
The amount the entity has funded to date out of the amount it has agreed to spend under the long-term purchase commitment. | 15,400 | |||||
Loan H [Member] | Commercial Loans [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Outstanding commitment | $ 36,000 | |||||
Maximum [Member] | Loan F [Member] | Mezzanine Loan [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Outstanding commitment | 14,600 | 14,600 | ||||
Minimum [Member] | Loan F [Member] | Mezzanine Loan [Member] | ||||||
Gain (Loss) on Investments [Line Items] | ||||||
Loan balances | $ 10,400 | $ 10,400 |
Excess MSRs - Summary of Excess
Excess MSRs - Summary of Excess MSR portfolio (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Disclosure of Excess MSRs [Line Items] | ||
Unpaid Principal Balance | $ 3,708,199 | $ 818,693 |
Amortized Cost | 27,677 | 4,738 |
Gross Unrealized Gains | 1,498 | 357 |
Gross Unrealized Losses | (550) | (11) |
Fair Value | $ 28,625 | $ 5,084 |
Weighted Average Yield | 11.47% | 12.76% |
Weighted Average Life (Years) | 7 years 2 days | 6 years 2 months 12 days |
Agency Excess MSRs [Member] | ||
Disclosure of Excess MSRs [Line Items] | ||
Unpaid Principal Balance | $ 3,665,174 | $ 768,385 |
Amortized Cost | 27,449 | 4,479 |
Gross Unrealized Gains | 1,486 | 333 |
Gross Unrealized Losses | (544) | (11) |
Fair Value | $ 28,391 | $ 4,801 |
Weighted Average Yield | 11.30% | 12.23% |
Weighted Average Life (Years) | 7 years 11 days | 6 years 3 months 18 days |
Credit Excess MSRs [Member] | ||
Disclosure of Excess MSRs [Line Items] | ||
Unpaid Principal Balance | $ 43,025 | $ 50,308 |
Amortized Cost | 228 | 259 |
Gross Unrealized Gains | 12 | 24 |
Gross Unrealized Losses | (6) | 0 |
Fair Value | $ 234 | $ 283 |
Weighted Average Yield | 23.85% | 21.87% |
Weighted Average Life (Years) | 4 years 11 months 14 days | 5 years |
Excess MSRs - Narrative (Detail
Excess MSRs - Narrative (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Disclosure of Excess MSRs [Abstract] | ||||
MSR OTTI | $ 0 | $ 0 | $ 0 | $ 0 |
Single-Family Residential Pro_3
Single-Family Residential Properties - Narrative (Details) | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2018USD ($)property | Sep. 30, 2018USD ($)property | Dec. 31, 2017USD ($) | |
Real Estate [Line Items] | |||
Number of single-family residential properties | property | 1,225 | 1,225 | |
Payments to acquire real estate | $ 140,059,000 | $ 140,059,000 | $ 0 |
Capitalized acquisition costs (excluding purchase price) | 1 | ||
Depreciation expense | 200,000 | 200,000 | |
Amortization related to in-place lease intangible assets | 300,000 | 300,000 | |
Impairment recognized | 0 | $ 0 | |
In-Place Lease Intangibles [Member] | |||
Real Estate [Line Items] | |||
Weighted average useful life, intangible assets | 7 months 12 days | ||
Fixed Rate Debt [Member] | |||
Real Estate [Line Items] | |||
Fixed rate debt | $ 103,000,000 | $ 103,000,000 | |
Debt instrument, term | 5 years |
Single-Family Residential Pro_4
Single-Family Residential Properties - Summary of real estate properties by component (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Real Estate [Abstract] | ||
Land | $ 29,182 | |
Building | 109,271 | |
In-place lease intangibles | 2,100 | |
Single-family rental properties | 140,553 | |
Less: Accumulated depreciation and amortization | (494) | |
Single-family rental properties, net | $ 140,059 | $ 0 |
Single-Family Residential Pro_5
Single-Family Residential Properties - Summary of future minimum rental payments (Details) $ in Thousands | Sep. 30, 2018USD ($) |
Real Estate [Abstract] | |
2018 (last 3 months) | $ 2,660 |
2,019 | 3,642 |
2,020 | 37 |
2,021 | 0 |
2,022 | 0 |
Thereafter | 0 |
Total | $ 6,339 |
Fair value measurements - Narra
Fair value measurements - Narrative (Details) - USD ($) $ in Millions | Feb. 29, 2016 | Feb. 12, 2016 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Percentage of participation interest | 15.00% | 15.00% |
Commercial Portfolio Segment [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Commercial loan | $ 12 | $ 12 |
Fair value measurements - Summa
Fair value measurements - Summary of financial instruments measured at fair value (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Assets: | ||
Assets, Fair Value Disclosure | $ 3,323,658 | $ 3,614,077 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | (18,241) | (41,307) |
AG Arc [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 23,068 | 17,911 |
Cash Equivalents [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 14,697 | |
Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 4,887 | 2,127 |
Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (1,030) | (450) |
Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,762,469 | 1,929,033 |
Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 45,323 | 52,951 |
Agency RMBS: ARM [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 105,821 | 176,387 |
Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 118,102 | 88,790 |
Credit Investments: Non-Agency RMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 710,995 | 1,001,594 |
Credit Investments: Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 3,860 | 2,662 |
Credit Investments: ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 37,544 | 40,958 |
Credit Investments: CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 235,352 | 169,467 |
Credit Investment: CMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 50,697 | 50,702 |
Residential Mortgage Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 87,600 | 18,890 |
Commercial Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 94,618 | 57,521 |
Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 28,625 | 5,084 |
Securitized debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (11,481) | (16,478) |
Securities Borrowed Under Reverse Repurchase Agreements [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (5,730) | (24,379) |
Fair Value, Inputs, Level 1 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 14,697 | 110 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | AG Arc [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Cash Equivalents [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 14,697 | |
Fair Value, Inputs, Level 1 [Member] | Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 110 |
Fair Value, Inputs, Level 1 [Member] | Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS: ARM [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Credit Investments: Non-Agency RMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Credit Investments: Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Credit Investments: ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Credit Investments: CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Credit Investment: CMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Residential Mortgage Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Commercial Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Securitized debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Securities Borrowed Under Reverse Repurchase Agreements [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 2,153,952 | 2,413,565 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | (6,760) | (24,829) |
Fair Value, Inputs, Level 2 [Member] | AG Arc [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Cash Equivalents [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | |
Fair Value, Inputs, Level 2 [Member] | Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 4,887 | 2,017 |
Fair Value, Inputs, Level 2 [Member] | Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (1,030) | (450) |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,762,469 | 1,929,033 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 45,323 | 52,951 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: ARM [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 105,821 | 176,387 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 118,102 | 88,790 |
Fair Value, Inputs, Level 2 [Member] | Credit Investments: Non-Agency RMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 117,350 | 156,170 |
Fair Value, Inputs, Level 2 [Member] | Credit Investments: Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Credit Investments: ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Credit Investments: CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 8,217 |
Fair Value, Inputs, Level 2 [Member] | Credit Investment: CMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Residential Mortgage Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Commercial Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Securitized debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Securities Borrowed Under Reverse Repurchase Agreements [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (5,730) | (24,379) |
Fair Value, Inputs, Level 3 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,155,009 | 1,200,402 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | (11,481) | (16,478) |
Fair Value, Inputs, Level 3 [Member] | AG Arc [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 23,068 | 17,911 |
Fair Value, Inputs, Level 3 [Member] | Cash Equivalents [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | |
Fair Value, Inputs, Level 3 [Member] | Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Agency RMBS: ARM [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments: Non-Agency RMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 593,645 | 845,424 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments: Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 3,860 | 2,662 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments: ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 37,544 | 40,958 |
Fair Value, Inputs, Level 3 [Member] | Credit Investments: CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 235,352 | 161,250 |
Fair Value, Inputs, Level 3 [Member] | Credit Investment: CMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 50,697 | 50,702 |
Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 87,600 | 18,890 |
Fair Value, Inputs, Level 3 [Member] | Commercial Loans [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 94,618 | 57,521 |
Fair Value, Inputs, Level 3 [Member] | Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 28,625 | 5,084 |
Fair Value, Inputs, Level 3 [Member] | Securitized debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (11,481) | (16,478) |
Fair Value, Inputs, Level 3 [Member] | Securities Borrowed Under Reverse Repurchase Agreements [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | $ 0 | $ 0 |
Fair value measurements - Sum_2
Fair value measurements - Summary of assets and liabilities measured on a recurring basis (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018USD ($)security | Sep. 30, 2017USD ($)security | Sep. 30, 2018USD ($)security | Sep. 30, 2017USD ($)security | |
Residential Mortgage Loans [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | $ 18,890 | |||
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | 0 | |||
Purchases/Transfers | 105,190 | |||
Capital contributions | 0 | |||
Proceeds from sales/redemptions | (34,653) | |||
Proceeds from settlement | (3,030) | |||
Total net gains/(losses) | ||||
Included in net income | 1,203 | |||
Ending Balance | $ 87,600 | 87,600 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 389 | |||
Fair Value, Inputs, Level 3 [Member] | Residential Mortgage Loans [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 93,129 | $ 23,455 | $ 38,196 | |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 149 | 0 | 0 | |
Capital contributions | 0 | 0 | 0 | |
Proceeds from sales/redemptions | (3,821) | 0 | (10,103) | |
Proceeds from settlement | (1,774) | (272) | (5,570) | |
Total net gains/(losses) | ||||
Included in net income | (83) | 685 | 1,345 | |
Ending Balance | 87,600 | 23,868 | 87,600 | 23,868 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (195) | 826 | (576) | |
Credit Investments: Non-Agency RMBS [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 845,424 | |||
Transfers: | ||||
Transfers into level 3 | 69,260 | |||
Transfers out of level 3 | 64,623 | |||
Purchases/Transfers | 97,683 | |||
Capital contributions | 0 | |||
Proceeds from sales/redemptions | (237,822) | |||
Proceeds from settlement | (114,924) | |||
Total net gains/(losses) | ||||
Included in net income | (1,353) | |||
Ending Balance | 593,645 | 593,645 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 1,179 | |||
Credit Investments: Non-Agency RMBS [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 786,108 | 863,021 | 717,761 | |
Transfers: | ||||
Transfers into level 3 | 0 | 83,490 | 203,851 | |
Transfers out of level 3 | (97,349) | (51,307) | ||
Purchases/Transfers | 3,807 | 137,744 | 395,021 | |
Capital contributions | 0 | 0 | 0 | |
Proceeds from sales/redemptions | (53,018) | (297,784) | (382,544) | |
Proceeds from settlement | (45,361) | (26,789) | (142,166) | |
Total net gains/(losses) | ||||
Included in net income | (542) | 14,549 | 33,615 | |
Ending Balance | 593,645 | 774,231 | $ 593,645 | 774,231 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 2,876 | $ 12,110 | $ 32,503 | |
Number of securities transferred | security | 9 | 5 | 18 | |
Credit Investments: Non-Agency RMBS [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Total net gains/(losses) | ||||
Number of securities transferred | security | 14 | 5 | ||
Credit Investments: Non-Agency RMBS Interest Only [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | $ 2,662 | |||
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | 0 | |||
Purchases/Transfers | 0 | |||
Capital contributions | 0 | |||
Proceeds from sales/redemptions | 0 | |||
Proceeds from settlement | 0 | |||
Total net gains/(losses) | ||||
Included in net income | 1,198 | |||
Ending Balance | 3,860 | 3,860 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 1,241 | |||
Credit Investments: Non-Agency RMBS Interest Only [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 2,871 | $ 3,213 | $ 3,761 | |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 0 | 0 | 0 | |
Capital contributions | 0 | 0 | 0 | |
Proceeds from sales/redemptions | 0 | 0 | 0 | |
Proceeds from settlement | 0 | 0 | 0 | |
Total net gains/(losses) | ||||
Included in net income | 989 | (351) | (899) | |
Ending Balance | 3,860 | 2,862 | 3,860 | 2,862 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 1,011 | (84) | (632) | |
Credit Investments: ABS [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 40,958 | |||
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | 0 | |||
Purchases/Transfers | 5,899 | |||
Capital contributions | 0 | |||
Proceeds from sales/redemptions | 0 | |||
Proceeds from settlement | (9,097) | |||
Total net gains/(losses) | ||||
Included in net income | (216) | |||
Ending Balance | 37,544 | 37,544 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (197) | |||
Credit Investments: ABS [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 37,755 | 47,917 | 21,232 | |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 303 | 5,601 | 52,049 | |
Capital contributions | 0 | 0 | 0 | |
Proceeds from sales/redemptions | 0 | 0 | (16,977) | |
Proceeds from settlement | (386) | (211) | (4,196) | |
Total net gains/(losses) | ||||
Included in net income | (128) | (83) | 1,116 | |
Ending Balance | 37,544 | 53,224 | 37,544 | 53,224 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (128) | (83) | 660 | |
CMBS [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 161,250 | |||
Transfers: | ||||
Transfers into level 3 | 8,217 | |||
Transfers out of level 3 | (6,951) | |||
Purchases/Transfers | 113,683 | |||
Capital contributions | 0 | |||
Proceeds from sales/redemptions | 0 | |||
Proceeds from settlement | (53,645) | |||
Total net gains/(losses) | ||||
Included in net income | 12,798 | |||
Ending Balance | 235,352 | 235,352 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 12,725 | |||
CMBS [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 159,832 | 137,658 | 130,790 | |
Transfers: | ||||
Transfers into level 3 | 8,217 | 8,460 | 8,460 | |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 57,427 | 20,191 | 38,760 | |
Capital contributions | 0 | 0 | 0 | |
Proceeds from sales/redemptions | 0 | 0 | (4,534) | |
Proceeds from settlement | (4,500) | (20,512) | (29,106) | |
Total net gains/(losses) | ||||
Included in net income | 14,376 | 70 | 1,497 | |
Ending Balance | 235,352 | 145,867 | $ 235,352 | 145,867 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ 14,376 | $ (153) | $ 1,705 | |
Number of securities transferred | security | 2 | 1 | 2 | 1 |
CMBS [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Total net gains/(losses) | ||||
Number of securities transferred | security | 1 | |||
Credit Investment: CMBS Interest Only [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | $ 50,702 | |||
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | 0 | |||
Purchases/Transfers | 10,436 | |||
Capital contributions | 0 | |||
Proceeds from sales/redemptions | (5,400) | |||
Proceeds from settlement | 0 | |||
Total net gains/(losses) | ||||
Included in net income | (5,041) | |||
Ending Balance | $ 50,697 | 50,697 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (4,711) | |||
Credit Investment: CMBS Interest Only [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 43,182 | $ 52,806 | $ 52,137 | |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 10,437 | 0 | 0 | |
Capital contributions | 0 | 0 | 0 | |
Proceeds from sales/redemptions | (742) | 0 | 0 | |
Proceeds from settlement | 0 | 0 | 0 | |
Total net gains/(losses) | ||||
Included in net income | (2,180) | (834) | (165) | |
Ending Balance | 50,697 | 51,972 | 50,697 | 51,972 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (2,083) | (834) | (165) | |
Commercial Loans [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 57,521 | |||
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | 0 | |||
Purchases/Transfers | 51,401 | |||
Capital contributions | 0 | |||
Proceeds from sales/redemptions | 0 | |||
Proceeds from settlement | (14,522) | |||
Total net gains/(losses) | ||||
Included in net income | 218 | |||
Ending Balance | 94,618 | 94,618 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | |||
Commercial Loans [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 43,217 | 57,294 | 60,069 | |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 51,401 | 0 | 10,271 | |
Capital contributions | 0 | 0 | 0 | |
Proceeds from sales/redemptions | 0 | 0 | 0 | |
Proceeds from settlement | 0 | 0 | (13,534) | |
Total net gains/(losses) | ||||
Included in net income | 0 | 104 | 592 | |
Ending Balance | 94,618 | 57,398 | 94,618 | 57,398 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 104 | 537 | |
Excess Mortgage Servicing Rights [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 5,084 | |||
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | 0 | |||
Purchases/Transfers | 25,162 | |||
Capital contributions | 0 | |||
Proceeds from sales/redemptions | 0 | |||
Proceeds from settlement | (524) | |||
Total net gains/(losses) | ||||
Included in net income | (1,097) | |||
Ending Balance | 28,625 | 28,625 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (1,097) | |||
Excess Mortgage Servicing Rights [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 29,282 | 2,787 | 413 | |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 0 | 13 | 2,578 | |
Capital contributions | 0 | 0 | 0 | |
Proceeds from sales/redemptions | 0 | 0 | 0 | |
Proceeds from settlement | (12) | (127) | (314) | |
Total net gains/(losses) | ||||
Included in net income | (645) | 8 | 4 | |
Ending Balance | 28,625 | 2,681 | 28,625 | 2,681 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (646) | 8 | 4 | |
AG Arc [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 17,911 | |||
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | 0 | |||
Purchases/Transfers | 0 | |||
Capital contributions | 4,459 | |||
Proceeds from sales/redemptions | 0 | |||
Proceeds from settlement | 0 | |||
Total net gains/(losses) | ||||
Included in net income | 698 | |||
Ending Balance | 23,068 | 23,068 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 698 | |||
AG Arc [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 18,353 | 17,713 | 12,895 | |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 0 | 0 | 0 | |
Capital contributions | 4,459 | 0 | 4,459 | |
Proceeds from sales/redemptions | 0 | 0 | 0 | |
Proceeds from settlement | 0 | 0 | 0 | |
Total net gains/(losses) | ||||
Included in net income | 256 | 111 | 470 | |
Ending Balance | 23,068 | 17,824 | 23,068 | 17,824 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 256 | 112 | 470 | |
Securitized Debt [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | (16,478) | |||
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | 0 | |||
Purchases/Transfers | 0 | |||
Capital contributions | 0 | |||
Proceeds from sales/redemptions | 0 | |||
Proceeds from settlement | 4,952 | |||
Total net gains/(losses) | ||||
Included in net income | 45 | |||
Ending Balance | (11,481) | (11,481) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 45 | |||
Securitized Debt [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | (13,984) | (18,778) | (21,492) | |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 0 | 0 | 0 | |
Capital contributions | 0 | 0 | 0 | |
Proceeds from sales/redemptions | 0 | 0 | 0 | |
Proceeds from settlement | 2,470 | 1,563 | 4,311 | |
Total net gains/(losses) | ||||
Included in net income | 33 | (6) | (40) | |
Ending Balance | (11,481) | (17,221) | $ (11,481) | (17,221) |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ 34 | (6) | (40) | |
Loan Participation Payable [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | (1,800) | |||
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | 0 | |||
Purchases/Transfers | 0 | |||
Capital contributions | 0 | |||
Proceeds from sales/redemptions | 0 | |||
Proceeds from settlement | 1,955 | |||
Total net gains/(losses) | ||||
Included in net income | (155) | |||
Ending Balance | $ 0 | 0 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ 0 |
Fair value measurements - Sum_3
Fair value measurements - Summary of gains/(losses) recorded in the statement of operations (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Condensed Income Statements, Captions [Line Items] | ||||
Gain (loss) included in statement of operations | $ 15,501 | $ 12,000 | $ 10,272 | $ 34,466 |
Unrealized gain/(loss) on derivative and other instruments, net | 48,460 | 4,224 | ||
Equity in earnings/(loss) from affiliates | 13,960 | 4,701 | 17,023 | 9,700 |
Interest Income [Member] | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | (612) | (6) | (1,052) | (40) |
Equity in earnings/(loss) from affiliates | 256 | 112 | 698 | 470 |
AG Arc [Member] | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Capital contributions | 4,459 | |||
Real Estate Securities And Loans [Member] | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Gain (loss) included in statement of operations | 15,857 | 11,894 | 10,626 | 34,036 |
Securitized Debt [Member] | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Capital contributions | 0 | |||
Fair Value, Inputs, Level 3 [Member] | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Gain (loss) included in statement of operations | 12,076 | 14,253 | 8,453 | 37,381 |
Fair Value, Inputs, Level 3 [Member] | Trading Securities [Member] | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Gain (loss) included in statement of operations | (1,936) | 517 | 3,534 | (144) |
Fair Value, Inputs, Level 3 [Member] | Interest Income [Member] | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | (612) | (6) | (1,052) | (195) |
Equity in earnings/(loss) from affiliates | 256 | 112 | 698 | 470 |
Fair Value, Inputs, Level 3 [Member] | AG Arc [Member] | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Capital contributions | 4,459 | 0 | 4,459 | |
Fair Value, Inputs, Level 3 [Member] | Real Estate Securities And Loans [Member] | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Gain (loss) included in statement of operations | 14,368 | 13,630 | $ 5,273 | 37,250 |
Fair Value, Inputs, Level 3 [Member] | Securitized Debt [Member] | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Capital contributions | $ 0 | $ 0 | $ 0 |
Fair value measurements - Sum_4
Fair value measurements - Summary of valuation techniques (Details) $ / shares in Units, $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018USD ($)$ / shares | Dec. 31, 2017USD ($)$ / shares | |
Non-Agency RMBS | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ 579,852 | $ 783,881 |
Non-Agency RMBS | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ 13,793 | 14,794 |
Non-Agency RMBS | Recent Transaction Price [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ 46,749 | |
Non-Agency RMBS | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 2.79% | 0.94% |
Projected Collateral Prepayments | 0.00% | 0.00% |
Projected Collateral Losses | 0.00% | 0.00% |
Projected Collateral Severities | (1.00%) | 0.00% |
Non-Agency RMBS | Minimum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Offered Quotes (in dollars per share) | $ / shares | $ 92.50 | $ 74.75 |
Non-Agency RMBS | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 11.01% | 31.75% |
Projected Collateral Prepayments | 25.00% | 35.00% |
Projected Collateral Losses | 30.00% | 50.00% |
Projected Collateral Severities | 100.00% | 100.00% |
Non-Agency RMBS | Maximum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Offered Quotes (in dollars per share) | $ / shares | $ 93.06 | $ 74.75 |
Non-Agency RMBS | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 4.67% | 4.49% |
Projected Collateral Prepayments | 11.72% | 10.50% |
Projected Collateral Losses | 2.39% | 3.25% |
Projected Collateral Severities | 29.99% | 34.77% |
Non-Agency RMBS | Weighted Average [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Offered Quotes (in dollars per share) | $ / shares | $ 92.72 | $ 74.75 |
Non-Agency RMBS Interest Only [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ 3,860 | $ 2,662 |
Non-Agency RMBS Interest Only [Member] | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 7.00% | 7.00% |
Projected Collateral Prepayments | 9.50% | 10.50% |
Projected Collateral Losses | 0.75% | 1.50% |
Projected Collateral Severities | 10.00% | 10.00% |
Non-Agency RMBS Interest Only [Member] | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 35.00% | 25.00% |
Projected Collateral Prepayments | 18.00% | 18.00% |
Projected Collateral Losses | 2.00% | 2.00% |
Projected Collateral Severities | 65.00% | 40.00% |
Non-Agency RMBS Interest Only [Member] | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 28.15% | 22.34% |
Projected Collateral Prepayments | 15.51% | 16.89% |
Projected Collateral Losses | 1.48% | 1.57% |
Projected Collateral Severities | 18.52% | 14.43% |
ABS [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ 32,411 | $ 40,958 |
ABS [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ 5,133 | |
ABS [Member] | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 6.38% | 4.62% |
Projected Collateral Prepayments | 20.00% | 20.00% |
Projected Collateral Losses | 0.00% | 0.00% |
Projected Collateral Severities | 0.00% | 0.00% |
ABS [Member] | Minimum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Offered Quotes (in dollars per share) | $ / shares | $ 100 | |
ABS [Member] | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 6.38% | 9.83% |
Projected Collateral Prepayments | 40.00% | 40.00% |
Projected Collateral Losses | 2.00% | 2.00% |
Projected Collateral Severities | 50.00% | 50.00% |
ABS [Member] | Maximum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Offered Quotes (in dollars per share) | $ / shares | $ 100 | |
ABS [Member] | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 6.38% | 7.56% |
Projected Collateral Prepayments | 23.71% | 22.62% |
Projected Collateral Losses | 2.00% | 1.74% |
Projected Collateral Severities | 42.00% | 43.45% |
ABS [Member] | Weighted Average [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Offered Quotes (in dollars per share) | $ / shares | $ 100 | |
CMBS [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ 232,461 | $ 157,685 |
CMBS [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ 2,891 | $ 3,565 |
Offered Quotes (in dollars per share) | $ / shares | $ 0.08 | |
CMBS [Member] | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 5.49% | (1.45%) |
Projected Collateral Prepayments | 0.00% | 0.00% |
Projected Collateral Losses | 0.00% | 0.00% |
Projected Collateral Severities | 0.00% | 0.00% |
CMBS [Member] | Minimum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Offered Quotes (in dollars per share) | $ / shares | $ 4.86 | $ 6.20 |
CMBS [Member] | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 64.88% | 8.35% |
Projected Collateral Prepayments | 0.00% | 0.00% |
Projected Collateral Losses | 1.00% | 0.00% |
Projected Collateral Severities | 25.00% | 0.00% |
CMBS [Member] | Maximum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Offered Quotes (in dollars per share) | $ / shares | $ 8.88 | $ 7.60 |
CMBS [Member] | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 8.82% | 6.24% |
Projected Collateral Prepayments | 0.00% | 0.00% |
Projected Collateral Losses | 0.00% | 0.00% |
Projected Collateral Severities | 1.00% | 0.00% |
CMBS Interest Only [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ 50,697 | $ 50,702 |
CMBS Interest Only [Member] | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 3.71% | 2.93% |
Projected Collateral Prepayments | 99.00% | 100.00% |
Projected Collateral Losses | 0.00% | 0.00% |
Projected Collateral Severities | 0.00% | 0.00% |
CMBS Interest Only [Member] | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 10.61% | 5.90% |
Projected Collateral Prepayments | 100.00% | 100.00% |
Projected Collateral Losses | 0.00% | 0.00% |
Projected Collateral Severities | 0.00% | 0.00% |
CMBS Interest Only [Member] | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 5.20% | 4.43% |
Projected Collateral Prepayments | 99.92% | 100.00% |
Projected Collateral Losses | 0.00% | 0.00% |
Projected Collateral Severities | 0.00% | 0.00% |
Residential Mortgage Loans [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ 13,058 | $ 18,890 |
Residential Mortgage Loans [Member] | Recent Transaction Price [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ 74,542 | |
Residential Mortgage Loans [Member] | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 7.00% | 6.25% |
Projected Collateral Prepayments | 4.78% | 2.98% |
Projected Collateral Losses | 3.31% | 3.88% |
Projected Collateral Severities | 6.89% | 20.21% |
Residential Mortgage Loans [Member] | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 9.00% | 9.00% |
Projected Collateral Prepayments | 5.04% | 5.05% |
Projected Collateral Losses | 5.81% | 6.91% |
Projected Collateral Severities | 26.78% | 37.25% |
Residential Mortgage Loans [Member] | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 8.80% | 7.81% |
Projected Collateral Prepayments | 4.85% | 3.93% |
Projected Collateral Losses | 4.43% | 4.27% |
Projected Collateral Severities | 16.23% | 22.00% |
Commercial Loans [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ 32,800 | $ 32,800 |
Commercial Loans [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ 61,818 | $ 24,721 |
Offered Quotes (in dollars per share) | $ / shares | $ 100 | |
Commercial Loans [Member] | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 7.25% | 6.52% |
Fair Value Inputs, Recovery Percentage | 100.00% | 100.00% |
Fair Value Measurement Credit Spread | 4.75 | 4.75 |
Commercial Loans [Member] | Minimum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Offered Quotes (in dollars per share) | $ / shares | $ 100 | $ 98.50 |
Commercial Loans [Member] | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 7.25% | 6.52% |
Fair Value Inputs, Recovery Percentage | 100.00% | 100.00% |
Fair Value Measurement Credit Spread | 4.75 | 4.75 |
Commercial Loans [Member] | Maximum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Offered Quotes (in dollars per share) | $ / shares | $ 100 | $ 100 |
Commercial Loans [Member] | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 7.25% | 6.52% |
Fair Value Inputs, Recovery Percentage | 100.00% | 100.00% |
Fair Value Measurement Credit Spread | 4.75 | 4.75 |
Excess Mortgage Servicing Rights [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ 28,391 | $ 4,801 |
Excess Mortgage Servicing Rights [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ 234 | $ 283 |
Excess Mortgage Servicing Rights [Member] | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 8.50% | 9.12% |
Projected Collateral Prepayments | 6.15% | 7.59% |
Excess Mortgage Servicing Rights [Member] | Minimum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Offered Quotes (in dollars per share) | $ / shares | $ 0.03 | $ 0.04 |
Excess Mortgage Servicing Rights [Member] | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 11.55% | 11.74% |
Projected Collateral Prepayments | 9.82% | 11.85% |
Excess Mortgage Servicing Rights [Member] | Maximum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Offered Quotes (in dollars per share) | $ / shares | $ 0.52 | $ 0.52 |
Excess Mortgage Servicing Rights [Member] | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 9.18% | 10.29% |
Projected Collateral Prepayments | 7.83% | 9.67% |
Excess Mortgage Servicing Rights [Member] | Weighted Average [Member] | Consensus Pricing [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Offered Quotes (in dollars per share) | $ / shares | $ 0.49 | |
AG Arc [Member] | Comparable Multiple [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ 23,068 | $ 17,911 |
Book Value Multiple | 1 | 1 |
Securitized debt [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Fair Value | $ (11,481) | $ (16,478) |
Yield | 3.23% | |
Projected Collateral Prepayments | 14.00% | |
Projected Collateral Losses | 7.00% | |
Projected Collateral Severities | 40.00% | |
Securitized debt [Member] | Minimum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 4.16% | 3.23% |
Projected Collateral Prepayments | 10.00% | 14.00% |
Projected Collateral Losses | 3.50% | 7.00% |
Projected Collateral Severities | 45.00% | 40.00% |
Securitized debt [Member] | Maximum [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 4.16% | 3.23% |
Projected Collateral Prepayments | 10.00% | 14.00% |
Projected Collateral Losses | 3.50% | 7.00% |
Projected Collateral Severities | 45.00% | 40.00% |
Securitized debt [Member] | Weighted Average [Member] | Discounted Cash Flow [Member] | ||
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items] | ||
Yield | 4.16% | |
Projected Collateral Prepayments | 10.00% | |
Projected Collateral Losses | 3.50% | |
Projected Collateral Severities | 45.00% |
Financing Arrangements - Summar
Financing Arrangements - Summary of repurchase agreements (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 2,687,760 | $ 2,972,281 |
Weighted Average Rate | 2.59% | 1.94% |
Weighted Average Haircut | 8.80% | 9.40% |
Fair Value Pledged | $ 2,986,973 | $ 3,336,700 |
Amortized Cost | 2,667,187 | 3,268,970 |
Accrued Interest | 10,333 | 11,263 |
Overnight [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 126,397 | $ 128,779 |
Weighted Average Rate | 2.36% | 1.80% |
Weighted Average Haircut | 3.00% | 3.20% |
Fair Value Pledged | $ 130,265 | $ 133,012 |
Amortized Cost | 131,579 | 133,030 |
Accrued Interest | 420 | 376 |
30 days or less [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 2,330,949 | $ 2,105,103 |
Weighted Average Rate | 2.51% | 1.94% |
Weighted Average Haircut | 8.10% | 9.60% |
Fair Value Pledged | $ 2,568,069 | $ 2,361,574 |
Amortized Cost | 2,266,719 | 2,302,744 |
Accrued Interest | 9,040 | 8,407 |
31-60 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 136,189 | $ 611,763 |
Weighted Average Rate | 3.62% | 1.76% |
Weighted Average Haircut | 20.30% | 7.60% |
Fair Value Pledged | $ 171,807 | $ 677,310 |
Amortized Cost | 155,000 | 670,307 |
Accrued Interest | 544 | 2,131 |
61-90 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 47,725 | $ 32,445 |
Weighted Average Rate | 3.52% | 3.04% |
Weighted Average Haircut | 22.10% | 25.90% |
Fair Value Pledged | $ 61,370 | $ 43,851 |
Amortized Cost | 58,631 | 42,712 |
Accrued Interest | 291 | 301 |
91-180 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 4,346 | $ 1,131 |
Weighted Average Rate | 3.62% | 3.21% |
Weighted Average Haircut | 22.50% | 22.70% |
Fair Value Pledged | $ 5,613 | $ 1,463 |
Amortized Cost | 5,622 | 1,479 |
Accrued Interest | 13 | 1 |
Maturity Over 180 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 42,154 | $ 93,060 |
Weighted Average Rate | 3.13% | 3.00% |
Weighted Average Haircut | 11.30% | 20.40% |
Fair Value Pledged | $ 49,849 | $ 119,490 |
Amortized Cost | 49,636 | 118,698 |
Accrued Interest | $ 25 | $ 47 |
Financing Arrangements - Summ_2
Financing Arrangements - Summary of securities collateral information (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Fair Value of investments pledged as collateral under repurchase agreements | ||
Fair Value of investments pledged as collateral under repurchase agreements | $ 274,677 | $ 0 |
Cash pledged (i.e., restricted cash) under repurchase agreements | 10,053 | 12,155 |
Fair Value of unsettled trades pledged as collateral under repurchase agreements | 274,677 | 0 |
Total collateral pledged under repurchase agreements | 2,997,026 | 3,348,855 |
Agency RMBS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Fair Value of investments pledged as collateral under repurchase agreements | 1,721,310 | 2,118,615 |
Non-Agency RMBS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Fair Value of investments pledged as collateral under repurchase agreements | 693,696 | 976,072 |
ABS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Fair Value of investments pledged as collateral under repurchase agreements | 24,383 | 30,833 |
CMBS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Fair Value of investments pledged as collateral under repurchase agreements | $ 272,907 | $ 211,180 |
Financing Arrangements - Summ_3
Financing Arrangements - Summary of total borrowings under repurchase agreements (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | $ 2,913,381 | $ 3,004,407 |
Agency RMBS [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | 1,888,026 | 2,005,133 |
Non-Agency RMBS [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | 566,269 | 784,897 |
ABS [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | 18,585 | 22,761 |
CMBS [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | 214,880 | 159,490 |
Gross Amounts of Recognized Liabilities [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | $ 2,687,760 | $ 2,972,281 |
Financing Arrangements - Summ_4
Financing Arrangements - Summary of gross and net information about repurchase agreements (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Financing arrangements, net | $ 2,913,381 | $ 3,004,407 |
Gross Amounts of Recognized Liabilities [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Financing arrangements, net | 2,687,760 | 2,972,281 |
Gross Amounts Offset In The Consolidated Balance Sheets [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Financing arrangements, net | 0 | 0 |
Net Amounts Of Liabilities Presented In The Consolidated Balance Sheets [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Financing arrangements, net | 2,687,760 | 2,972,281 |
Gross Amounts Not Offset in the Consolidated Balance Sheets Financial Instruments Posted [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Financing arrangements, net | 2,687,760 | 2,972,281 |
Gross Amounts Not Offset in the Consolidated Balance Sheets of Cash Collateral Posted [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Financing arrangements, net | 0 | 0 |
Net Amount [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Financing arrangements, net | $ 0 | $ 0 |
Financing Arrangements - Summ_5
Financing Arrangements - Summary of term loan and revolving facilities (Details) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Debt Instrument [Line Items] | ||
Balance | $ 225,621,000 | $ 32,126,000 |
Net Carrying Value of Assets Pledged as Collateral | $ 310,919,000 | $ 48,661,000 |
Term Loan [Member] | ||
Debt Instrument [Line Items] | ||
Rate | 4.63% | 0.00% |
Funding Cost | 4.80% | 0.00% |
Balance | $ 101,987,000 | $ 0 |
Net Carrying Value of Assets Pledged as Collateral | 140,059,000 | $ 0 |
Total borrowings | 103,000,000 | |
Financing fees | $ 1,000,000 | |
Revolving Credit Facility A [Member] | ||
Debt Instrument [Line Items] | ||
Rate | 4.37% | 3.70% |
Funding Cost | 4.37% | 3.70% |
Balance | $ 21,796,000 | $ 21,796,000 |
Net Carrying Value of Assets Pledged as Collateral | $ 32,800,000 | $ 32,800,000 |
Revolving Credit Facility B [Member] | ||
Debt Instrument [Line Items] | ||
Rate | 4.25% | 4.07% |
Funding Cost | 4.28% | 4.07% |
Balance | $ 64,827,000 | $ 10,330,000 |
Net Carrying Value of Assets Pledged as Collateral | $ 86,659,000 | $ 15,861,000 |
Revolving Credit Facility C [Member] | ||
Debt Instrument [Line Items] | ||
Rate | 4.27% | 0.00% |
Funding Cost | 4.48% | 0.00% |
Balance | $ 37,011,000 | $ 0 |
Net Carrying Value of Assets Pledged as Collateral | 51,401,000 | 0 |
Revolving Credit Facility [Member] | ||
Debt Instrument [Line Items] | ||
Balance | 123,634,000 | 32,126,000 |
Net Carrying Value of Assets Pledged as Collateral | $ 170,860,000 | $ 48,661,000 |
Financing Arrangements - Narrat
Financing Arrangements - Narrative (Details) $ in Millions | Sep. 17, 2016option | Jun. 30, 2018USD ($) | Sep. 30, 2018USD ($)counterparty | Aug. 31, 2018USD ($) | Dec. 31, 2017USD ($)counterparty | Aug. 04, 2015USD ($) |
Repurchase Agreement Disclosure [Line Items] | ||||||
Number of extension options | option | 3 | |||||
Extension term | 1 year | |||||
Financing counterparties | counterparty | 41 | 39 | ||||
Number of counterparties with outstanding debt | counterparty | 31 | 27 | ||||
Wells Fargo Bank, N.A [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Maximum borrowing capacity on renewal of repurchase agreement | $ 110 | |||||
AG MIT WFB1 [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Debt outstanding | $ 64.8 | $ 10.3 | ||||
AG MIT WFB1 [Member] | Maximum [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Cash trap trigger | $ 7 | |||||
AG MIT CREL [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Maximum borrowing capacity on renewal of repurchase agreement | $ 150 | |||||
Debt outstanding | 21.8 | $ 21.8 | $ 42.8 | |||
JP Morgan [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Maximum borrowing capacity on renewal of repurchase agreement | $ 100 | |||||
Debt outstanding | 37 | |||||
Metropolitan Life Insurance Company [Member] | ||||||
Repurchase Agreement Disclosure [Line Items] | ||||||
Debt outstanding | $ 103 | |||||
Long term debt fixed rate percentage | 4.625% |
Financing Arrangements - Summ_6
Financing Arrangements - Summary of repurchase agreement counterparty (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2017USD ($) | |
RBC Capital Markets [Member] | |
Repurchase Agreement Counterparty [Line Items] | |
Stockholders’ Equity at Risk (in thousands) | $ 45,239 |
Weighted Average Maturity (days) | 26 days |
Percentage of Stockholders’ Equity | 6.00% |
Barclays Capital Inc [Member] | |
Repurchase Agreement Counterparty [Line Items] | |
Stockholders’ Equity at Risk (in thousands) | $ 39,358 |
Weighted Average Maturity (days) | 13 days |
Percentage of Stockholders’ Equity | 6.00% |
Derivatives - Summary of Compan
Derivatives - Summary of Company's derivatives and other instruments and their balance sheet location (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Interest Rate Swaps [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | $ 3,583 | $ 1,428 |
Derivative liabilities, at fair value | (511) | (450) |
Swaptions [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | 523 | 362 |
TBAs [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | 781 | 227 |
Derivative liabilities, at fair value | (519) | 0 |
US Treasury Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | 0 | 110 |
US Treasury Securities [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative liabilities, at fair value | (5,730) | (24,379) |
Maximum [Member] | Interest Rate Swaps [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | 61,100 | 19,500 |
Derivative liabilities, at fair value | (400) | $ (600) |
Maximum [Member] | US Treasury Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | $ 600 |
Derivatives - Summary of inform
Derivatives - Summary of information related to derivatives and other instruments (Details) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Derivative [Line Items] | ||
Derivative, notional amount | $ 2,143,000,000 | $ 2,227,000,000 |
US Treasury Futures [Member] | ||
Derivative [Line Items] | ||
Derivative, notional amount | 100,000 | |
Long [Member] | Float Interest Rate Swap Agreements [Member] | ||
Derivative [Line Items] | ||
Derivative, notional amount | 2,143,000,000 | 2,227,000,000 |
Notional amount of Swaptions [Member] | Long [Member] | ||
Derivative [Line Items] | ||
Derivative, notional amount | 250,000,000 | 270,000,000 |
Net notional amount of TBAs [Member] | Long [Member] | ||
Derivative [Line Items] | ||
Derivative, notional amount | 75,000,000 | 100,000,000 |
US Treasury Futures [Member] | Short [Member] | ||
Derivative [Line Items] | ||
Derivative liability, notional amount | (50,000,000) | (52,500,000) |
US Treasury Securities [Member] | Short [Member] | ||
Derivative [Line Items] | ||
Derivative liability, notional amount | $ (5,750,000) | $ (24,668,000) |
Derivatives - Summary of gains_
Derivatives - Summary of gains/(losses) related to derivatives and other instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains and losses from purchases and sales of TBAs | $ (36,032) | $ 53,190 | ||
U.S. Treasuries [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | $ 28 | $ 0 | (66) | (1,725) |
Net realized gain/(loss) | 0 | 0 | 131 | 1,731 |
Interest Rate Swaps [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | 5,921 | 2,955 | 47,783 | 6,214 |
Net realized gain/(loss) | 7,925 | (1,813) | 13,787 | (9,896) |
Eurodollar Future [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | 0 | 75 | 0 | 75 |
Net realized gain/(loss) | 0 | 323 | 0 | 323 |
Swaptions, at fair value [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | (449) | 0 | (481) | 0 |
Net realized gain/(loss) | 0 | 0 | 51 | 0 |
US Treasury Futures [Member] | Short [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | 573 | (722) | 464 | 658 |
Net realized gain/(loss) | (5) | (224) | 735 | (4,055) |
TBAs [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | 18 | 54 | 36 | (996) |
Net realized gain/(loss) | (124) | 1,672 | 40 | 3,003 |
Gains and losses from purchases and sales of TBAs | 500 | 1,500 | 1,600 | 2,600 |
Unrealized net loss | $ (500) | $ (1,500) | $ (600) | |
Unrealized gain | $ 200 |
Derivatives - Summary of gross
Derivatives - Summary of gross and net information about derivatives and other instruments (Details) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Derivative Assets | ||
Gross Amounts of Recognized Assets (Liabilities) | $ 10,358,000 | $ 5,243,000 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 10,358,000 | 5,243,000 |
Financial Instruments (Posted)/Received | 0 | 0 |
Cash Collateral (Posted)/Received | 8,954,000 | 1,666,000 |
Net Amount | 1,404,000 | 3,577,000 |
Derivative Liabilities | ||
Gross Amounts of Recognized Assets (Liabilities) | 961,000 | (6,000) |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 961,000 | (6,000) |
Financial Instruments (Posted)/Received | 0 | 0 |
Cash Collateral (Posted)/Received | 961,000 | (6,000) |
Net Amount | 0 | 0 |
Derivative assets before accrued interest | 10,400,000 | 5,200,000 |
Derivative assets accrued interest | (5,500,000) | (3,100,000) |
Derivative Asset | 4,887,000 | 2,127,000 |
Derivative liabilities including accrued interest | 1,000,000 | (6,000) |
Derivative liabilities accrued interest | (2,000,000) | (444,000) |
Derivative Liability | (1,030,000) | (450,000) |
Interest Rate Swaps [Member] | ||
Derivative Assets | ||
Gross Amounts of Recognized Assets (Liabilities) | 9,054,000 | 4,544,000 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 9,054,000 | 4,544,000 |
Financial Instruments (Posted)/Received | 0 | 0 |
Cash Collateral (Posted)/Received | 9,054,000 | 1,666,000 |
Net Amount | 0 | 2,878,000 |
Derivative Liabilities | ||
Gross Amounts of Recognized Assets (Liabilities) | 1,480,000 | (6,000) |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 1,480,000 | (6,000) |
Financial Instruments (Posted)/Received | 0 | 0 |
Cash Collateral (Posted)/Received | 1,480,000 | (6,000) |
Net Amount | 0 | 0 |
Interest Rate Swaptions [Member] | ||
Derivative Assets | ||
Gross Amounts of Recognized Assets (Liabilities) | 523,000 | 362,000 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 523,000 | 362,000 |
Financial Instruments (Posted)/Received | 0 | 0 |
Cash Collateral (Posted)/Received | (100,000) | 0 |
Net Amount | 623,000 | 362,000 |
Receivable Under Reverse Repurchase Agreements [Member] | ||
Receivable Under Reverse Repurchase Agreements | ||
Gross Amounts of Recognized Assets (Liabilities) | 5,750,000 | 24,671,000 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 5,750,000 | 24,671,000 |
Financial Instruments (Posted)/Received | 5,730,000 | 24,379,000 |
Gross Amounts Not Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amount | 20,000 | 292,000 |
Interest Rate Swaps [Member] | ||
Derivative Liabilities | ||
Derivative assets, at fair value | 3,583,000 | 1,428,000 |
Derivative liabilities, at fair value | 511,000 | 450,000 |
TBAs [Member] | ||
Derivative Assets | ||
Gross Amounts of Recognized Assets (Liabilities) | 781,000 | 227,000 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 781,000 | 227,000 |
Financial Instruments (Posted)/Received | 0 | 0 |
Cash Collateral (Posted)/Received | 0 | 0 |
Net Amount | 781,000 | 227,000 |
Derivative Liabilities | ||
Gross Amounts of Recognized Assets (Liabilities) | (519,000) | |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | (519,000) | |
Financial Instruments (Posted)/Received | 0 | |
Cash Collateral (Posted)/Received | (519,000) | |
Net Amount | 0 | |
Derivative assets, at fair value | 781,000 | 227,000 |
Derivative liabilities, at fair value | 519,000 | 0 |
U.S. Treasury Futures - Short [Member] | ||
Derivative Assets | ||
Gross Amounts of Recognized Assets (Liabilities) | 110,000 | |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 110,000 | |
Financial Instruments (Posted)/Received | 0 | |
Cash Collateral (Posted)/Received | 0 | |
Net Amount | 110,000 | |
Maximum [Member] | Interest Rate Swaps [Member] | ||
Derivative Liabilities | ||
Derivative assets, at fair value | 61,100,000 | 19,500,000 |
Derivative liabilities, at fair value | $ 400,000 | $ 600,000 |
Derivatives - Narrative (Detail
Derivatives - Narrative (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Pledged real estate securities, fair value | $ 7.1 | $ 7.5 |
Cash as collateral for certain derivatives | 31.8 | 25.4 |
Counterparties posted cash as collateral for certain derivatives | $ 3.5 | $ 1.7 |
Derivatives - Summary of intere
Derivatives - Summary of interest rate derivatives (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 2,143,000 | $ 2,227,000 |
Weighted Average Pay-Fixed Rate | 2.24% | 1.89% |
Weighted Average Receive-Variable Rate | 2.34% | 1.50% |
Weighted Average Years to Maturity | 5 years 4 months 29 days | 4 years 6 months 22 days |
2019 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 50,000 | $ 170,000 |
Weighted Average Pay-Fixed Rate | 1.29% | 1.36% |
Weighted Average Receive-Variable Rate | 2.34% | 1.43% |
Weighted Average Years to Maturity | 1 year 30 days | 1 year 10 months 17 days |
2020 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 250,000 | $ 835,000 |
Weighted Average Pay-Fixed Rate | 1.63% | 1.77% |
Weighted Average Receive-Variable Rate | 2.34% | 1.52% |
Weighted Average Years to Maturity | 1 year 6 months 7 days | 2 years 6 months 14 days |
2021 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 27,000 | |
Weighted Average Pay-Fixed Rate | 2.86% | |
Weighted Average Receive-Variable Rate | 2.31% | |
Weighted Average Years to Maturity | 2 years 10 months 21 days | |
2022 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 653,000 | $ 653,000 |
Weighted Average Pay-Fixed Rate | 1.90% | 1.90% |
Weighted Average Receive-Variable Rate | 2.34% | 1.51% |
Weighted Average Years to Maturity | 3 years 10 months 4 days | 4 years 7 months 2 days |
2023 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 219,000 | |
Weighted Average Pay-Fixed Rate | 2.97% | |
Weighted Average Receive-Variable Rate | 2.35% | |
Weighted Average Years to Maturity | 4 years 8 months 30 days | |
2024 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 230,000 | $ 230,000 |
Weighted Average Pay-Fixed Rate | 2.06% | 2.06% |
Weighted Average Receive-Variable Rate | 2.34% | 1.47% |
Weighted Average Years to Maturity | 5 years 8 months 30 days | 6 years 6 months |
2025 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 125,000 | |
Weighted Average Pay-Fixed Rate | 2.87% | |
Weighted Average Receive-Variable Rate | 2.36% | |
Weighted Average Years to Maturity | 6 years 7 months 17 days | |
2026 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 75,000 | $ 75,000 |
Weighted Average Pay-Fixed Rate | 2.12% | 2.12% |
Weighted Average Receive-Variable Rate | 2.32% | 1.44% |
Weighted Average Years to Maturity | 8 years 1 month 21 days | 8 years 10 months 20 days |
2027 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 264,000 | $ 264,000 |
Weighted Average Pay-Fixed Rate | 2.35% | 2.35% |
Weighted Average Receive-Variable Rate | 2.34% | 1.50% |
Weighted Average Years to Maturity | 8 years 11 months 8 days | 9 years 8 months 8 days |
2028 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 250,000 | |
Weighted Average Pay-Fixed Rate | 2.97% | |
Weighted Average Receive-Variable Rate | 2.34% | |
Weighted Average Years to Maturity | 9 years 7 months 29 days |
Derivatives - Summary of TBAs (
Derivatives - Summary of TBAs (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
To Be Announced Securities [Roll Forward] | |||||
Beginning Notional Amount | $ 2,227,000 | ||||
Ending Notional Amount | $ 2,143,000 | 2,143,000 | |||
Receivable/(Payable) from/to Broker | (7,964) | (7,964) | $ (1,692) | ||
Derivative Asset | 4,887 | 4,887 | 2,127 | ||
Derivative Liability | (1,030) | (1,030) | $ (450) | ||
To Be Announced Securities [Member] | Long [Member] | |||||
To Be Announced Securities [Roll Forward] | |||||
Beginning Notional Amount | 160,000 | $ 300,000 | 100,000 | $ 50,000 | |
Buys or Covers | 487,000 | 738,000 | 1,438,000 | 1,914,000 | |
Sales or Shorts | (572,000) | (922,000) | (1,463,000) | (1,848,000) | |
Ending Notional Amount | 75,000 | 116,000 | 75,000 | 116,000 | |
Fair Value as of Period End | 75,727 | 121,125 | 75,727 | 121,125 | |
Receivable/(Payable) from/to Broker | (75,224) | (122,545) | (75,224) | (122,545) | |
Derivative Asset | 633 | 118 | 633 | 118 | |
Derivative Liability | 130 | (1,537) | 130 | (1,537) | |
To Be Announced Securities [Member] | Short [Member] | |||||
To Be Announced Securities [Roll Forward] | |||||
Beginning Notional Amount | 0 | 0 | (75,000) | ||
Buys or Covers | 177,000 | 1,031,000 | 75,000 | ||
Sales or Shorts | (177,000) | (1,031,000) | 0 | ||
Ending Notional Amount | 0 | 0 | 0 | 0 | |
Fair Value as of Period End | 0 | 0 | 0 | 0 | |
Receivable/(Payable) from/to Broker | (241) | 0 | (241) | 0 | |
Derivative Asset | 148 | 0 | 148 | 0 | |
Derivative Liability | $ (389) | $ 0 | $ (389) | $ 0 |
Earnings per share - Summary of
Earnings per share - Summary of outstanding warrants and unvested restricted stock units (Details) - shares | Sep. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 |
Class of Warrant or Right [Line Items] | |||
Outstanding warrants (in shares) | 0 | 1,007,500 | |
Unvested restricted stock units previously granted to the Manager (in shares) | 28,738,000 | 28,193,000 | |
Restricted Stock Units (RSUs) [Member] | Manager [Member] | |||
Class of Warrant or Right [Line Items] | |||
Unvested restricted stock units previously granted to the Manager (in shares) | 40,007 | 60,000 |
Earnings per share - Summary _2
Earnings per share - Summary of earnings per share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Numerator: | ||||
Net income/(loss) available to common stockholders for basic and diluted earnings per share | $ 20,010 | $ 32,644 | $ 29,691 | $ 84,198 |
Denominator: | ||||
Basic weighted average common shares outstanding (in shares) | 28,422 | 27,841 | 28,274 | 27,756 |
Dilutive effect of restricted stock units (in shares) | 16 | 16 | 8 | 14 |
Diluted weighted average common shares outstanding (in shares) | 28,438 | 27,857 | 28,282 | 27,770 |
Basic Earnings/(Loss) Per Share of Common Stock (in dollars per share) | $ 0.70 | $ 1.17 | $ 1.05 | $ 3.03 |
Diluted Earnings/(Loss) Per Share of Common Stock (in dollars per share) | $ 0.70 | $ 1.17 | $ 1.05 | $ 3.03 |
Earnings per share - Summary _3
Earnings per share - Summary of common stock dividends (Details) - $ / shares | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2018 | |
Common Stock [Member] | ||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||
Dividend Per Share (in dollars per share) | $ 0.475 | $ 0.475 |
Common Stock One [Member] | ||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||
Dividend Per Share (in dollars per share) | 0.475 | 0.5 |
Common Stock Two [Member] | ||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||
Dividend Per Share (in dollars per share) | 0.575 | $ 0.5 |
Special cash dividend | $ 0.10 |
Earnings per share - Summary _4
Earnings per share - Summary of preferred stock dividends (Details) - $ / shares | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Series A Preferred Stock One [Member] | ||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||
Dividend Percentage | 8.25% | 8.25% |
Dividend Per Share (in dollars per share) | $ 0.51563 | $ 0.51563 |
Series A Preferred Stock Two [Member] | ||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||
Dividend Percentage | 8.25% | 8.25% |
Dividend Per Share (in dollars per share) | $ 0.51563 | $ 0.51563 |
Series A Preferred Stock Three [Member] [Member] | ||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||
Dividend Per Share (in dollars per share) | $ 0.51563 | $ 0.51563 |
Series B Preferred Stock one [Member] | ||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||
Dividend Percentage | 8.00% | 8.00% |
Dividend Per Share (in dollars per share) | $ 0.50 | $ 0.50 |
Series B Preferred Stock Two [Member] | ||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||
Dividend Percentage | 8.00% | 8.00% |
Dividend Per Share (in dollars per share) | $ 0.50 | $ 0.50 |
Series B Preferred Stock Three [Member] | ||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||
Dividend Per Share (in dollars per share) | $ 0.50 | $ 0.50 |
Income taxes - Narrative (Detai
Income taxes - Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Income Tax Disclosure [Abstract] | ||||
Excise tax expense | $ 0.4 | $ 0.4 | $ 1.1 | $ 1.1 |
Related party transactions - Na
Related party transactions - Narrative (Details) | Aug. 29, 2017USD ($) | Jul. 01, 2017shares | Apr. 25, 2017USD ($) | Dec. 09, 2015USD ($) | Sep. 30, 2018USD ($)stateshares | Sep. 30, 2017USD ($) | Sep. 30, 2018USD ($)stateshares | Sep. 30, 2017USD ($) | Dec. 31, 2017USD ($) | Oct. 31, 2017USD ($) | Jul. 31, 2017USD ($) | Feb. 28, 2017USD ($) | Jun. 30, 2016USD ($) |
Related Party Transaction [Line Items] | |||||||||||||
Management fee percentage | 1.50% | 1.50% | |||||||||||
Management fee to affiliate | $ 2,384,000 | $ 2,454,000 | $ 7,210,000 | $ 7,374,000 | |||||||||
Other operating expenses | 3,503,000 | 2,603,000 | 10,168,000 | 8,247,000 | |||||||||
Reimbursement of expenses | 2,000,000 | 1,400,000 | 5,500,000 | 4,800,000 | |||||||||
Director's fee | $ 160,000 | ||||||||||||
Percentage of director's fees paid in cash | 50.00% | ||||||||||||
Percentage of director's fees paid in restricted common stock | 50.00% | ||||||||||||
Investments in debt and equity of affiliates | $ 79,698,000 | $ 79,698,000 | $ 99,696,000 | ||||||||||
Number of states in which entity operates | state | 47 | 47 | |||||||||||
The total amount committed under the long-term purchase commitment for the entity and its affiliates. | $ 10,000,000 | $ 30,000,000 | |||||||||||
Fees paid to asset manager | $ 123,050 | 41,732 | $ 244,481 | 137,022 | |||||||||
Residential and Commercial Real Estate Assets [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Investments in debt and equity of affiliates | 164,900,000 | 164,900,000 | 88,300,000 | ||||||||||
AG Arc LLC [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Investments in debt and equity of affiliates | 23,100,000 | 23,100,000 | $ 17,900,000 | ||||||||||
Outstanding commitment | 22,300,000 | ||||||||||||
Excess MSRs, fair value | 29,337,481 | 29,337,481 | |||||||||||
ARC Home LLC [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Sourcing fees | $ 87,264 | $ 2,921 | 164,946 | $ 6,364 | |||||||||
Mortgage Acquisition Trust [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
The total amount committed under the long-term purchase commitment for the entity and its affiliates. | $ 75,000,000 | ||||||||||||
Outstanding commitment | $ 33,400,000 | 18,900,000 | |||||||||||
The amount the entity has funded to date out of the amount it has agreed to spend under the long-term purchase commitment. | $ 14,500,000 | ||||||||||||
October Selling Affiliates [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Investments in debt and equity of affiliates | $ 8,400,000 | ||||||||||||
Selling Affiliates [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Real estate securities, at fair value: | $ 6,900,000 | ||||||||||||
July Selling Affiliate [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Investments in debt and equity of affiliates | $ 200,000 | ||||||||||||
BWIC [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Investments in debt and equity of affiliates | $ 2,000,000 | ||||||||||||
Manager Equity Incentive Plan [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Shares of common stock company can award (in shares) | shares | 277,500 | ||||||||||||
Shares available to be awarded under equity incentive plans (in shares) | shares | 48,461 | 48,461 | |||||||||||
Manager [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 40,250 | ||||||||||||
Manager [Member] | Restricted Stock [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 40,007 | 120,000 | |||||||||||
Restricted stock units vested (in shares) | shares | 79,993 | ||||||||||||
Units vesting annually (in shares) | shares | 20,000 | 20,000 | |||||||||||
Director [Member] | Restricted Stock [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 68,789 |
Equity - Narrative (Details)
Equity - Narrative (Details) - USD ($) $ / shares in Units, $ in Thousands | May 05, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | May 02, 2018 | Nov. 03, 2015 |
Class of Stock [Line Items] | |||||
Securities and capital available for issuance | $ 650,000 | $ 750,000 | |||
Authorized amount for stock repurchase | $ 25,000 | ||||
Shares repurchased (in shares) | 0 | 0 | |||
Net proceeds from issuance of common stock | $ 9,282 | $ 8,719 | |||
Repurchase [Member] | |||||
Class of Stock [Line Items] | |||||
Value of common stock remained authorized for future share repurchases | 14,600,000 | ||||
Sale Agents [Member] | |||||
Class of Stock [Line Items] | |||||
Net proceeds from issuance of common stock | $ 100,000 | $ 18,100 | |||
Net proceeds from issuance of common stock (in shares) | 972,700 | ||||
Series A Preferred Stock [Member] | |||||
Class of Stock [Line Items] | |||||
Dividend Percentage | 8.25% | ||||
Preferred sock, liquidation preference per share (in dollars per share) | $ 25 | ||||
Series B Preferred Stock [Member] | |||||
Class of Stock [Line Items] | |||||
Dividend Percentage | 8.00% | ||||
Preferred sock, liquidation preference per share (in dollars per share) | $ 25 | ||||
Private Placement [Member] | |||||
Class of Stock [Line Items] | |||||
Number of units in private placement (in shares) | 3,205,000 | ||||
Private placement price per share (in dollars per share) | $ 20 | ||||
Amount of common stock under warrant | 0.5 | ||||
Private placement warrant exercise price per share (in dollars per share) | $ 20.50 |
Commitments and Contingencies -
Commitments and Contingencies - Narrative (Details) - USD ($) $ in Millions | Sep. 21, 2018 | Jul. 26, 2018 | Jun. 08, 2018 | Mar. 29, 2018 | Aug. 29, 2017 | Apr. 25, 2017 | Feb. 28, 2017 | Dec. 09, 2015 | Sep. 30, 2018 |
Long-term Purchase Commitment [Line Items] | |||||||||
The total amount committed under the long-term purchase commitment for the entity and its affiliates. | $ 10 | $ 30 | |||||||
Commercial Loans [Member] | |||||||||
Long-term Purchase Commitment [Line Items] | |||||||||
Outstanding commitment | $ 20 | $ 59.6 | |||||||
Mezzanine Loan [Member] | |||||||||
Long-term Purchase Commitment [Line Items] | |||||||||
The amount the entity has funded to date out of the amount it has agreed to spend under the long-term purchase commitment. | 10.4 | ||||||||
ABS Note [Member] | |||||||||
Long-term Purchase Commitment [Line Items] | |||||||||
The amount the entity has funded to date out of the amount it has agreed to spend under the long-term purchase commitment. | 5.1 | ||||||||
AG Arc LLC [Member] | |||||||||
Long-term Purchase Commitment [Line Items] | |||||||||
Outstanding commitment | 22.3 | ||||||||
Mortgage Acquisition Trust [Member] | |||||||||
Long-term Purchase Commitment [Line Items] | |||||||||
The total amount committed under the long-term purchase commitment for the entity and its affiliates. | $ 75 | ||||||||
Outstanding commitment | $ 33.4 | 18.9 | |||||||
The amount the entity has funded to date out of the amount it has agreed to spend under the long-term purchase commitment. | 14.5 | ||||||||
Mortgage Acquisition Trust [Member] | Mezzanine Loan [Member] | |||||||||
Long-term Purchase Commitment [Line Items] | |||||||||
The total amount committed under the long-term purchase commitment for the entity and its affiliates. | $ 21.9 | ||||||||
Outstanding commitment | $ 14.6 | 4.2 | |||||||
Mortgage Acquisition Trust [Member] | ABS Note [Member] | |||||||||
Long-term Purchase Commitment [Line Items] | |||||||||
Outstanding commitment | $ 7.1 | 2 | |||||||
Loan G [Member] | Commercial Loans [Member] | |||||||||
Long-term Purchase Commitment [Line Items] | |||||||||
Outstanding commitment | $ 75 | ||||||||
The amount the entity has funded to date out of the amount it has agreed to spend under the long-term purchase commitment. | $ 15.4 | ||||||||
Loan H [Member] | Commercial Loans [Member] | |||||||||
Long-term Purchase Commitment [Line Items] | |||||||||
Outstanding commitment | $ 36 |