Cover Page
Cover Page - shares | 6 Months Ended | |
Jun. 30, 2020 | Aug. 06, 2020 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Jun. 30, 2020 | |
Document Transition Report | false | |
Entity File Number | 001-35151 | |
Entity Registrant Name | AG MORTGAGE INVESTMENT TRUST, INC. | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 27-5254382 | |
Entity Address, Address Line One | 245 Park Avenue | |
Entity Address, Address Line Two | 26th Floor | |
Entity Address, City or Town | New York | |
Entity Address, State or Province | NY | |
Entity Address, Postal Zip Code | 10167 | |
City Area Code | 212 | |
Local Phone Number | 692-2000 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Small Business | true | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 34,234,601 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q2 | |
Entity Central Index Key | 0001514281 | |
Current Fiscal Year End Date | --12-31 | |
Common Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | Common Stock, $0.01 par value per share | |
Trading Symbol | MITT | |
Security Exchange Name | NYSE | |
Series Cumulative Reedmable Preferred Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 8.25% Series A Cumulative Redeemable Preferred Stock | |
Trading Symbol | MITT PrA | |
Security Exchange Name | NYSE | |
Series B Cumulative Reedmable Preferred Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 8.00% Series B Cumulative Redeemable Preferred Stock | |
Trading Symbol | MITT PrB | |
Security Exchange Name | NYSE | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | MITT PrC | |
Security Exchange Name | NYSE |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 | |
Assets | |||
Residential mortgage loans, at fair value - $171,316 and $171,224 pledged as collateral, respectively (2) | [1] | $ 379,822 | $ 417,785 |
Commercial loans, at fair value - $5,441 and $4,674 pledged as collateral, respectively | 127,685 | 158,686 | |
Investments in debt and equity of affiliates | 122,929 | 156,311 | |
Excess mortgage servicing rights, at fair value | 12,294 | 17,775 | |
Cash and cash equivalents | 68,150 | 81,692 | |
Restricted cash | 1,084 | 43,677 | |
Other assets | 11,163 | 21,905 | |
Assets held for sale - Single-family rental properties, net | 0 | 154 | |
Total Assets | 855,598 | 4,347,817 | |
Liabilities | |||
Financing arrangements | 251,098 | 3,233,468 | |
Securitized debt, at fair value | [1],[2] | 198,974 | 224,348 |
Dividend payable | 0 | 14,734 | |
Due to affiliates | 31,396 | 5,226 | |
Other liabilities | 8,446 | 19,449 | |
Liabilities held for sale - Single-family rental properties, net | 306 | 1,546 | |
Total Liabilities | 490,220 | 3,498,771 | |
Commitments and Contingencies (Note 13) | |||
Stockholders’ Equity | |||
Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 33,825 and 32,742 shares issued and outstanding at June 30, 2020 and December 31, 2019, respectively | 338 | 327 | |
Additional paid-in capital | 666,127 | 662,183 | |
Retained earnings/(deficit) | (573,544) | (85,921) | |
Total Stockholders’ Equity | 365,378 | 849,046 | |
Total Liabilities & Stockholders’ Equity | 855,598 | 4,347,817 | |
8.25% Series A Cumulative Redeemable Preferred Stock | |||
Stockholders’ Equity | |||
Preferred stock - $0.01 par value; 50,000 shares authorized: | 49,921 | 49,921 | |
8.00% Series B Cumulative Redeemable Preferred Stock | |||
Stockholders’ Equity | |||
Preferred stock - $0.01 par value; 50,000 shares authorized: | 111,293 | 111,293 | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Stockholders’ Equity | |||
Preferred stock - $0.01 par value; 50,000 shares authorized: | 111,243 | 111,243 | |
Agency | |||
Assets | |||
Real estate securities, at fair value | 0 | 2,315,439 | |
Non-Agency | |||
Assets | |||
Real estate securities, at fair value | [2] | 45,817 | 717,470 |
CMBS | |||
Assets | |||
Real estate securities, at fair value | $ 86,654 | $ 416,923 | |
[1] | See Note 4 for details related to variable interest entities. | ||
[2] | See Note 3 for details related to variable interest entities. |
Consolidated Balance Sheets (_2
Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2020 | Dec. 31, 2019 | |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 50,000,000 | 50,000,000 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 450,000,000 | 450,000,000 |
Common stock, shares issued (in shares) | 33,825,000 | 32,742,000 |
Common stock, shares outstanding (in shares) | 33,825,000 | 32,742,000 |
8.25% Series A Cumulative Redeemable Preferred Stock | ||
Preferred stock dividend percentage | 8.25% | |
Preferred stock, shares issued (in shares) | 2,070,000 | 2,070,000 |
Preferred stock, shares outstanding (in shares) | 2,070,000 | 2,070,000 |
Preferred stock, liquidation preference | $ 52,817 | $ 52,817 |
8.00% Series B Cumulative Redeemable Preferred Stock | ||
Preferred stock dividend percentage | 8.00% | |
Preferred stock, shares issued (in shares) | 4,600,000 | 4,600,000 |
Preferred stock, shares outstanding (in shares) | 4,600,000 | 4,600,000 |
Preferred stock, liquidation preference | $ 117,300 | $ 117,300 |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Preferred stock dividend percentage | 8.00% | |
Preferred stock, shares issued (in shares) | 4,600,000 | 4,600,000 |
Preferred stock, shares outstanding (in shares) | 4,600,000 | 4,600,000 |
Preferred stock, liquidation preference | $ 117,300 | $ 117,300 |
Residential Mortgage | ||
Residential mortgage loans, at fair value, pledged as collateral | 171,316 | 171,224 |
Commercial Loan | ||
Residential mortgage loans, at fair value, pledged as collateral | 5,441 | 4,674 |
Agency | ||
Fair value of investments pledged as collateral under repurchase agreements | 0 | 2,234,921 |
Non-Agency | ||
Fair value of investments pledged as collateral under repurchase agreements | 36,913 | 682,828 |
CMBS | ||
Fair value of investments pledged as collateral under repurchase agreements | $ 73,294 | $ 413,922 |
Consolidated Statements of Oper
Consolidated Statements of Operations (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | ||
Net Interest Income | |||||
Interest income | $ 13,369 | $ 40,901 | $ 53,637 | $ 82,391 | |
Interest expense | 8,613 | 23,030 | 28,584 | 45,124 | |
Total Net Interest Income | 4,756 | 17,871 | 25,053 | 37,267 | |
Other Income/(Loss) | |||||
Net realized gain/(loss) | (91,609) | (27,510) | (242,752) | (48,093) | |
Net interest component of interest rate swaps | 0 | 1,800 | 923 | 3,581 | |
Unrealized gain/(loss) on real estate securities and loans, net | 109,632 | 43,165 | (204,265) | 89,918 | |
Unrealized gain/(loss) on derivative and other instruments, net | (9,453) | (10,839) | (3,767) | (20,925) | |
Foreign currency gain/(loss), net | (156) | 0 | 1,493 | 0 | |
Other income | 1 | 216 | 4 | 630 | |
Total Other Income/(Loss) | 8,415 | 6,832 | (448,364) | 25,111 | |
Expenses | |||||
Management fee to affiliate | 1,678 | 2,400 | 3,827 | 4,745 | |
Other operating expenses | 4,482 | 3,807 | 5,324 | 7,588 | |
Restructuring related expenses | 7,104 | 0 | 8,604 | 0 | |
Equity based compensation to affiliate | 75 | 73 | 163 | 199 | |
Excise tax | 0 | 186 | (815) | 278 | |
Servicing fees | 566 | 416 | 1,145 | 787 | |
Total Expenses | 13,905 | 6,882 | 18,248 | 13,597 | |
Income/(loss) before equity in earnings/(loss) from affiliates | (734) | 17,821 | (441,559) | 48,781 | |
Equity in earnings/(loss) from affiliates | 3,434 | 2,050 | (40,758) | 1,279 | |
Net Income/(Loss) from Continuing Operations | 2,700 | 19,871 | (482,317) | 50,060 | |
Net Income/(Loss) from Discontinued Operations | 361 | (1,193) | 361 | (2,227) | |
Net Income/(Loss) | 3,061 | 18,678 | (481,956) | 47,833 | |
Dividends on preferred stock (1) | [1] | 5,667 | 3,367 | 11,334 | 6,734 |
Net Income/(Loss) Available to Common Stockholders | $ (2,606) | $ 15,311 | $ (493,290) | $ 41,099 | |
Earnings/(Loss) Per Share - Basic | |||||
Continuing Operations (in dollars per share) | $ (0.09) | $ 0.50 | $ (15.05) | $ 1.37 | |
Discontinued Operations (in dollars per share) | 0.01 | (0.03) | 0.01 | (0.07) | |
Earnings Per Share, Basic, Total | (0.08) | 0.47 | (15.04) | 1.30 | |
Earnings/(Loss) Per Share - Diluted | |||||
Continuing Operations (in dollars per share) | (0.09) | 0.50 | (15.05) | 1.37 | |
Discontinued Operations (in dollars per share) | 0.01 | (0.03) | 0.01 | (0.07) | |
Earnings Per Share, Diluted, Total | $ (0.08) | $ 0.47 | $ (15.04) | $ 1.30 | |
Weighted Average Number of Shares of Common Stock Outstanding | |||||
Basic (in shares) | 32,859 | 32,709 | 32,804 | 31,636 | |
Diluted (in shares) | 32,859 | 32,737 | 32,804 | 31,664 | |
[1] | The three and six months ended June 30, 2020 include cumulative and undeclared dividends of $5,667 on the Company's Preferred Stock as of June 30, 2020. |
Consolidated Statements of Op_2
Consolidated Statements of Operations (Unaudited) (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended |
Jun. 30, 2020 | Jun. 30, 2020 | |
Income Statement [Abstract] | ||
Amount of Preferred Dividend in Arrears | $ 5,667 | $ 5,667 |
Consolidated Statements of Stoc
Consolidated Statements of Stockholders’ Equity (Unaudited) - USD ($) $ in Thousands | Total | Common Stock | Additional Paid-in Capital | Retained Earnings/(Deficit) | 8.25 % Series A Cumulative Redeemable Preferred Stock | 8.25 % Series A Cumulative Redeemable Preferred StockPreferred Stock | 8.25 % Series A Cumulative Redeemable Preferred StockRetained Earnings/(Deficit) | 8.00 % Series B Cumulative Redeemable Preferred Stock | 8.00 % Series B Cumulative Redeemable Preferred StockPreferred Stock | 8.00 % Series B Cumulative Redeemable Preferred StockRetained Earnings/(Deficit) | 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred StockPreferred Stock | 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred StockRetained Earnings/(Deficit) |
Beginning Balance (in shares) at Dec. 31, 2018 | 28,744,000 | ||||||||||||
Beginning Balance at Dec. 31, 2018 | $ 656,011 | $ 287 | $ 595,412 | $ (100,902) | $ 49,921 | $ 111,293 | |||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||
Net proceeds from issuance of common stock (in shares) | 3,953,000 | ||||||||||||
Net proceeds from issuance of common stock | 66,063 | $ 40 | 66,023 | ||||||||||
Grant of restricted stock and amortization of equity based compensation (in shares) | 12,000 | ||||||||||||
Grant of restricted stock and amortization of equity based compensation | 398 | 398 | |||||||||||
Dividends declared | (32,707) | (32,707) | $ (2,134) | $ (2,134) | $ (4,600) | $ (4,600) | |||||||
Net Income/(Loss) | 47,833 | 47,833 | |||||||||||
Ending Balance (in shares) at Jun. 30, 2019 | 32,709,000 | ||||||||||||
Ending Balance at Jun. 30, 2019 | 730,864 | $ 327 | 661,833 | (92,510) | 49,921 | 111,293 | |||||||
Beginning Balance (in shares) at Mar. 31, 2019 | 32,703,000 | ||||||||||||
Beginning Balance at Mar. 31, 2019 | 731,636 | $ 327 | 661,561 | (91,466) | 49,921 | 111,293 | |||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||
Net proceeds from issuance of common stock | 99 | 99 | |||||||||||
Grant of restricted stock and amortization of equity based compensation (in shares) | 6,000 | ||||||||||||
Grant of restricted stock and amortization of equity based compensation | 173 | 173 | |||||||||||
Dividends declared | (16,355) | (16,355) | (1,067) | (1,067) | (2,300) | (2,300) | |||||||
Net Income/(Loss) | 18,678 | 18,678 | |||||||||||
Ending Balance (in shares) at Jun. 30, 2019 | 32,709,000 | ||||||||||||
Ending Balance at Jun. 30, 2019 | 730,864 | $ 327 | 661,833 | (92,510) | 49,921 | 111,293 | |||||||
Beginning Balance (in shares) at Dec. 31, 2019 | 32,742,000 | ||||||||||||
Beginning Balance at Dec. 31, 2019 | 849,046 | $ 327 | 662,183 | (85,921) | 49,921 | 111,293 | $ 111,243 | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||
Net proceeds from issuance of common stock (in shares) | 1,002,000 | ||||||||||||
Net proceeds from issuance of common stock | 3,499 | $ 10 | 3,489 | ||||||||||
Grant of restricted stock and amortization of equity based compensation (in shares) | 81,000 | ||||||||||||
Grant of restricted stock and amortization of equity based compensation | 456 | $ 1 | 455 | ||||||||||
Dividends declared | $ (1,067) | $ (1,067) | $ (2,300) | $ (2,300) | $ (2,300) | $ (2,300) | |||||||
Net Income/(Loss) | (481,956) | (481,956) | |||||||||||
Ending Balance (in shares) at Jun. 30, 2020 | 33,825,000 | ||||||||||||
Ending Balance at Jun. 30, 2020 | 365,378 | $ 338 | 666,127 | (573,544) | 49,921 | 111,293 | 111,243 | ||||||
Beginning Balance (in shares) at Mar. 31, 2020 | 32,749,000 | ||||||||||||
Beginning Balance at Mar. 31, 2020 | 358,665 | $ 327 | 662,486 | (576,605) | 49,921 | 111,293 | 111,243 | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||||
Net proceeds from issuance of common stock (in shares) | 1,002,000 | ||||||||||||
Net proceeds from issuance of common stock | 3,499 | $ 10 | 3,489 | ||||||||||
Grant of restricted stock and amortization of equity based compensation (in shares) | 74,000 | ||||||||||||
Grant of restricted stock and amortization of equity based compensation | 153 | $ 1 | 152 | ||||||||||
Net Income/(Loss) | 3,061 | 3,061 | |||||||||||
Ending Balance (in shares) at Jun. 30, 2020 | 33,825,000 | ||||||||||||
Ending Balance at Jun. 30, 2020 | $ 365,378 | $ 338 | $ 666,127 | $ (573,544) | $ 49,921 | $ 111,293 | $ 111,243 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2020 | Jun. 30, 2019 | |
Cash Flows from Operating Activities | ||
Net income/(loss) | $ (481,956) | $ 47,833 |
Net (income)/loss from discontinued operations | (361) | (2,227) |
Net income/(loss) from continuing operations | (482,317) | 50,060 |
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: | ||
Net amortization of premium/(discount) | (3,926) | (1,393) |
Net realized (gain)/loss | 242,752 | 48,093 |
Unrealized (gain)/loss on real estate securities and loans, net | 204,265 | (89,918) |
Unrealized (gain)/loss on derivative and other instruments, net | 3,767 | 20,925 |
Foreign currency (gain)/loss, net | (1,493) | 0 |
Equity based compensation to affiliate | 163 | 199 |
Equity based compensation expense | 293 | 199 |
(Income)/Loss from investments in debt and equity of affiliates in excess of distributions received | 42,037 | 5,640 |
Change in operating assets/liabilities: | ||
Other assets | 6,442 | (5,229) |
Other liabilities | (10,416) | (6,208) |
Net cash provided by (used in) continuing operating activities | 1,567 | 22,368 |
Net cash provided by (used in) discontinued operating activities | (726) | (1,285) |
Net cash provided by (used in) operating activities | 841 | 21,083 |
Cash Flows from Investing Activities | ||
Purchase of real estate securities | (29,599) | (707,330) |
Purchase of residential mortgage loans | (481,470) | (25,996) |
Origination of commercial loans | (6,729) | (13,473) |
Purchase of commercial loans | (12,471) | (16,175) |
Purchase of U.S. Treasury securities | 0 | (60,615) |
Investments in debt and equity of affiliates | (43,208) | (32,880) |
Proceeds from sales of real estate securities | 2,683,595 | 446,089 |
Proceeds from sales of residential mortgage loans | 387,408 | 12,780 |
Proceeds from sales of commercial loans | 34,200 | 0 |
Proceeds from sales of U.S. Treasury securities | 0 | 60,498 |
Principal repayments on real estate securities | 102,895 | 151,918 |
Principal repayments on excess MSRs | 1,942 | 1,983 |
Principal repayments on commercial loans | 0 | 10,471 |
Principal repayments on residential mortgage loans | 37,390 | 7,743 |
Distributions received in excess of income from investments in debt and equity of affiliates | 24,212 | 12,179 |
Net proceeds from (payments made on) reverse repurchase agreements | 0 | 11,499 |
Net proceeds from (payments made on) sales of securities borrowed under reverse repurchase agreements | 0 | (11,478) |
Net settlement of interest rate swaps and other instruments | (73,295) | (58,594) |
Net settlement of TBAs | 4,610 | 1,600 |
Cash flows provided by (used in) other investing activities | (1,056) | (710) |
Net cash provided by (used in) continuing investing activities | 2,628,424 | (210,491) |
Net cash provided by (used in) discontinued investing activities | 0 | 245 |
Net cash provided by (used in) investing activities | 2,628,424 | (210,246) |
Cash Flows from Financing Activities | ||
Net proceeds from issuance of common stock | 3,499 | 66,063 |
Borrowings under financing arrangements | 12,701,999 | 20,785,055 |
Repayments of financing arrangements | (15,339,611) | (20,614,328) |
Borrowings under secured debt | 20,000 | 0 |
Proceeds from issuance of securitized debt | 3,000 | 0 |
Principal repayments on securitized debt | (9,223) | 0 |
Net collateral received from (paid to) derivative counterparty | 0 | (1,465) |
Net collateral received from (paid to) repurchase counterparty | (44,413) | (113) |
Dividends paid on common stock | (14,734) | (30,723) |
Dividends paid on preferred stock | (5,667) | (6,734) |
Net cash provided by continuing financing activities | (2,685,150) | 197,755 |
Net cash provided by (used in) financing activities | (2,685,150) | 197,755 |
Net change in cash, cash equivalents and restricted cash | (55,885) | 8,592 |
Cash, cash equivalents, and restricted cash, Beginning of Period | 125,369 | 84,358 |
Effect of exchange rate changes on cash | (250) | 0 |
Cash, cash equivalents, and restricted cash, End of Period | 69,234 | 92,950 |
Supplemental disclosure of cash flow information: | ||
Cash paid for interest on financing arrangements | 38,778 | 49,651 |
Cash paid for excise and income taxes | 1,010 | 1,407 |
Supplemental disclosure of non-cash financing and investing activities: | ||
Payable on unsettled trades | 0 | 23,944 |
Common stock dividends declared but not paid | 0 | 16,355 |
Decrease in securitized debt | 7,091 | 2,215 |
Transfer of real estate securities in satisfaction of repurchase agreements | 345,066 | 0 |
Change in repurchase agreements from transfer of real estate securities | 344,685 | 0 |
Transfer from residential mortgage loans to other assets | 793 | 1,466 |
Transfer from investments in debt and equity of affiliates to CMBS | $ 11,769 | $ 0 |
Consolidated Statements of Ca_2
Consolidated Statements of Cash Flows (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2020 | Jun. 30, 2019 |
Statement of Cash Flows [Abstract] | ||
Cash and cash equivalents | $ 68,150 | $ 60,097 |
Restricted cash | 1,084 | 27,847 |
Restricted cash included assets held for sale - Single-family rental properties, net | 0 | 5,006 |
Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows | $ 69,234 | $ 92,950 |
Organization
Organization | 6 Months Ended |
Jun. 30, 2020 | |
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 a hybrid mortgage REIT that opportunistically invests in a diversified risk adjusted portfolio of agency investments and credit investments. Historically, agency investments have included Agency RMBS and Agency Excess MSRs, and credit investments have included Non-Agency RMBS, ABS, CMBS, loans, and Credit Excess MSRs, as defined below. Residential mortgage-backed securities ("RMBS") include 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 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"). 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. 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, or that are collateralized by non-U.S. mortgages, 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 or are non-U.S. mortgages. Non-Agency RMBS also includes securities issued by companies whose primary assets are land and real estate. 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. The Company’s Non-Agency RMBS, CMBS and ABS portfolios are generally not issued or guaranteed by Fannie Mae, Freddie Mac or any agency of the U.S. Government, or are collateralized by non-U.S. mortgages and are therefore subject to credit risk. Collectively, the Company refers to Agency RMBS, Non-Agency RMBS, ABS and CMBS asset types as "real estate securities" or "securities." 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. 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. The Company refers to its residential and commercial mortgage loans as "mortgage loans" or "loans." Excess MSRs refer to the excess servicing spread related to mortgage servicing rights, whose underlying collateral is securitized in a trust either held by a U.S. government agency or GSE ("Agency Excess MSR") or not held by a U.S. government agency or GSE ("Credit Excess MSR"). Prior to December 31, 2019, the Company conducted its business through the following segments; (i) Securities and Loans and (ii) Single-Family Rental Properties. On November 15, 2019, the Company sold its portfolio of single-family rental properties ("SFR portfolio") to a third party and no longer separated its business into segments. The sale of the Company's SFR portfolio has met the criteria for discontinued operations. Accordingly, for all current and prior periods presented, the related assets and liabilities are presented as assets and liabilities held for sale on the consolidated balance sheets and the related operating results are presented as income/(loss) from discontinued operations on the consolidated statement of operations. See Note 14 for further details. 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. COVID-19 Impact On March 11, 2020, the World Health Organization declared the outbreak of the novel coronavirus ("COVID-19") a pandemic. On March 13, 2020, the U.S. declared a national emergency concerning the COVID-19 pandemic, and several states and municipalities have subsequently declared public health emergencies. These conditions have caused, and continue to cause, a significant disruption in the U.S. and world economies. To slow the spread of COVID-19, many countries, including the U.S., have implemented social distancing measures, which have substantially prohibited large gatherings, including at sporting events, religious services and schools. Further, many regions, including the majority of U.S. states, have implemented additional measures, such as shelter-in-place and stay-at-home orders. Many businesses have moved to a remote working environment, temporarily suspended operations, laid off a significant percentage of their workforce and/or shut down completely. Moreover, the COVID-19 pandemic and certain of the actions taken to reduce its spread have resulted in lost business revenue, rapid and significant increases in unemployment, changes in consumer behavior and significant reductions in liquidity and the fair value of many assets, including those in which the Company invests. Although many of the government restrictions are in the process of being relaxed, these conditions, or some level thereof, are expected to continue over the near term and may prevail throughout 2020. Beginning in mid-March, the global pandemic associated with COVID-19 and related economic conditions caused financial and mortgage-related asset markets to come under extreme duress, resulting in credit spread widening, a sharp decrease in interest rates and unprecedented illiquidity in repurchase agreement financing and mortgage-backed securities ("MBS") markets. The illiquidity was exacerbated by inadequate demand for MBS among primary dealers due to balance sheet constraints. These events, in turn, resulted in declines in the value of our assets and margin calls from our repurchase agreement financing counterparties. In order to satisfy the margin calls, the Company sold a significant portion of its investments resulting in a material adverse impact on book value, earnings and financial position. The Company's book value decreased from $17.61 at December 31, 2019 to $2.75 at June 30, 2020. In an effort to manage the Company's portfolio through this unprecedented turmoil in the financial markets and improve liquidity, the Company executed the following measures during the six months ended June 30, 2020: • The Company reduced its investment portfolio from $4.0 billion at December 31, 2019 to $652.3 million at June 30, 2020 through sales, directly or as a result of financing counterparty seizures. • The Company terminated its entire portfolio of pay-fixed, receive-variable interest rate swaps, recognizing net realized losses of $(65.4) million. • The Company reduced its outstanding financing arrangements from $3.2 billion at December 31, 2019 to $251.1 million at June 30, 2020, resulting in a decline of its overall leverage ratio from 4.1x to 1.3x. The full impact of COVID-19 on the mortgage REIT industry, the credit markets and consequently on the Company’s financial condition and results of operations is uncertain and cannot be predicted at the current time as it depends on several factors beyond the control of the Company including, but not limited to (i) the uncertainty around the severity, duration and spread of the outbreak, (ii) the effectiveness of the United States public health response, (iii) the pandemic’s impact on the U.S. and global economies, (iv) the timing, scope and effectiveness of additional governmental responses to the pandemic, including the availability of a treatment or vaccination for COVID-19, (v) the impact of government interventions, and (vi) the negative impact on our borrowers, asset values and cost of capital. In March 2020, the Company's Manager transitioned to a fully remote work force, to protect the safety and well-being of the Company's personnel. The Company's Manager’s prior investments in technology, business continuity planning and cyber-security protocols have enabled us to continue working with limited operational impact. |
Summary of significant accounti
Summary of significant accounting policies | 6 Months Ended |
Jun. 30, 2020 | |
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. 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. Certain reclassifications have been made to the prior year's consolidated financial statements to conform to the three months ended June 30, 2020 presentation, primarily in the Consolidated Statement of Operations and all related notes in which prior periods have been retrospectively adjusted to reflect the classification of the operations of the Company's SFR portfolio to discontinued operations. The accompanying unaudited consolidated financial statements and related notes have been prepared assuming that the Company will continue as a going concern. The Company continues to conduct extensive going concern analyses as a result of market volatility from the COVID-19 pandemic. A going concern analysis has a look-forward period of one year from the financial statement issuance date. The Company expects its current cash resources, operating cash flows, positive equity on its remaining assets, and its ability to obtain financing will be sufficient to sustain operations for a period greater than one year after the issuance of the date of this report. Management believes that the Company will have sufficient liquidity to meet its obligations, as they become due, for the next twelve months. To the extent that actual available cash differs materially from the current cash flow forecast, management has the ability to consider certain asset sales to increase the amount of available cash. The global impact of the COVID-19 pandemic continues to evolve as state and local governments adopt a number of emergency measures and recommendations in response to the outbreak, including imposing travel bans, "shelter in place" restrictions, curfews, canceling events, banning large gatherings, closing non-essential businesses and generally promoting social distancing. Although certain states and localities have recently begun easing some of these new measures and providing recommendations regarding recommencing economic activity, renewed outbreaks of COVID-19 may continue to occur and result in additional or different policy action at the federal, state and local level in the near future. The COVID-19 pandemic and resulting emergency measures has led (and may continue to lead) to significant disruptions in the global supply chain, global capital markets, the economy of the U.S. and the economies of other countries impacted by COVID-19. The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of COVID-19 on economic and market conditions. The Company believes the estimates and assumptions underlying our condensed consolidated financial statements are reasonable and supportable based on the information available as of June 30, 2020; however, uncertainty over the ultimate impact COVID-19 will have on the global economy generally, and our business in particular, makes any estimates and assumptions as of June 30, 2020 inherently less certain than they would be absent the current and potential impacts of COVID-19. Accordingly, it is reasonably possible that actual conditions could be different than anticipated in those estimates, which could materially impact the Company’s results of operations and its financial condition and therefore the going concern analysis. 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 June 30, 2020, the Company held $68.2 million of cash and cash equivalents, none of which were cash equivalents. As of December 31, 2019, the Company held $81.7 million of cash and cash equivalents, of which $53.2 million were cash equivalents. The Company places its cash with high credit quality institutions to reduce 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 "Other liabilities" line item on the consolidated balance sheets and in cash flows from financing activities on the consolidated statement of cash flows. Due to broker, which is included in the "Other liabilities" line item on the consolidated balance sheets, does not include variation margin received on centrally cleared derivatives. See Note 8 for more detail. Any cash due to the Company in the form of principal payments is included in the "Other assets" 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, and financing arrangements. Prior to the disposition of the Company's SFR portfolio, restricted cash also included cash deposited into accounts related to rent deposits and collections, security deposits, property taxes, insurance premiums, interest expenses, property management fees and capital expenditures. Restricted cash is not available to the Company for general corporate purposes. 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 8 for more detail. Offering costs The Company has incurred offering costs in connection with common stock offerings, registration statements and preferred stock offerings. 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. Offering costs in connection with preferred stock offerings have been accounted for as a reduction of their respective gross proceeds. 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. See Note 1 under " COVID-19 Impact " for more detail. 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. See Note 9 for aggregate amounts of arrearages in cumulative preferred dividends and Note 12 for further detail on the Company’s common and preferred stock. Valuation of financial instruments The fair value of the financial instruments that the Company records at fair value is 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. At the beginning of the first quarter of 2020, the Manager completed a data collection and analysis effort, which supported an update to its Leveling policy under ASC 820. Among the data collected and analyzed were: (i) reports from TRACE, FINRA’s Trade Reporting and Compliance Engine, that reports over-the-counter secondary market transactions in eligible fixed income securities, (ii) information from pricing vendors regarding valuation approaches and observability of market color, (iii) data points collected from discussions with industry sources, including peer firms and audit firms, and (iv) its own data from back testing vendor pricing against its own trades. After analyzing this data, the Manager concluded that there was sufficient observability of market inputs used by its third-party pricing services for certain RMBS and CMBS positions previously categorized as Level 3 to meet the criteria for a Level 2 classification. The Company considered whether the volatile market conditions related to the COVID-19 pandemic would have an impact on its Leveling policy under ASC 820, as amended on January 1, 2020. Based on due diligence, there have been no significant changes in any of the pricing services’ fair value methodologies or processes as a result of COVID-19. Additionally, despite increased price volatility and widening of bid-ask spreads, the Company does not believe the pricing services’ ability to determine fair values was adversely impacted. As a result, the Company concluded there was no migration from Level 2 to Level 3 as a result of COVID-19. 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 value on the consolidated balance sheets and the periodic change in fair 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. Purchases and sales of real estate securities are recorded on the trade date. 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. The Company recognizes certain upfront costs and fees relating to securities for which the fair value option has been elected in current period earnings as incurred and does not defer those costs, which is in accordance with ASC 825-10-25. 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. In June 2016, FASB issued ASU 2016-13, "Financial Instruments – Credit Losses" ("ASU 2016-13"). This new guidance significantly changes how entities will measure credit losses for most financial assets, including loans, that are not measured at fair value with changes in fair value recognized through net income. The Company adopted the new guidance as of January 1, 2020. The new guidance specifically excludes available-for-sale securities and loans measured at fair value, with changes in fair value recognized through net income. Accordingly, the impact of the new guidance on accounting for the Company's debt securities and loans is limited to recognition of effective yield which was historically impacted by other than temporary impairment recorded under current standards. As the new guidance eliminates the accounting for other than temporary impairment, this guidance has impacted the Company's unrealized and realized gain/(loss) amounts. Depending on the fair value and projected cash flows as of a given reporting date, the impact of this guidance could be material. Prior to the adoption of ASU 2016-13, the Company accounted for its securities under ASC 310 and ASC 325 and evaluated securities for other-than-temporary impairment ("OTTI") on at least a quarterly basis. The determination of whether a security was other-than-temporarily impaired involved judgments and assumptions based on subjective and objective factors. When the fair value of a real estate security was less than its amortized cost at the balance sheet date, the security was considered impaired, and the impairment was designated as either "temporary" or "other-than-temporary." When a real estate security was impaired, an OTTI was considered to have occurred if (i) the Company intended to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it was more likely than not that the Company was required to sell the security before recovery of its amortized cost basis. If the Company intended to sell the security or if it was more likely than not that the Company was required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, was recognized in earnings as a realized loss and the cost basis of the security was adjusted to its fair value. Additionally, for securities accounted for under ASC 325-40 an OTTI was deemed to have occurred when there was an adverse change in the expected cash flows to be received and the fair value of the security was 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), was compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflected those a "market participant" would use and included 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 were discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments were reflected in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The determination as to whether an OTTI existed was subjective, given that such determination was 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 constituted an accounting estimate that could change materially over time. Increases in interest income could have been recognized on a security on which the Company previously recorded an OTTI charge if the performance of such security subsequently improved. 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 ("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 value on the consolidated balance sheets and any periodic change in fair 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." The Company recognizes certain upfront costs and fees relating to loans for which the fair value option has been elected in current period earnings as incurred and does not defer those costs, which is in accordance with ASC 825-10-25. Purchases and sales of mortgage loans are recorded on the settlement date, concurrent with the completion of due diligence and the removal of any contingencies. Prior to the settlement date, the Company will include commitments to purchase loans within the Commitments and Contingencies footnote to the financial statements. 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 the Manager, 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. Prior to the adoption of ASU 2016-13, decreases in cash flows expected to be collected from previously projected cash flows, which included 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, could have been recognized as impairment. Increases in interest income could have been recognized on a loan on which the Company previously recorded an OTTI charge if the performance of such loan subsequently improved. As previously stated, the Company adopted ASU 2016-13 as of January 1, 2020. The new guidance specifically excludes available-for-sale securities and loans measured at fair value with changes in fair value recognized through net income. Accordingly, the impact of the new guidance on accounting for the Company's debt securities and loans is limited to recognition of effective yield which was previously impacted by other than temporary impairment recorded under previous standards. As the new guidance eliminates the accounting for other than temporary impairment, this guidance has impacted the Company's recorded unrealized and realized gain/(loss) amounts. Depending on the fair value and projected cash flows as of a given reporting date, the impact of this guidance could be material. 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, loans, and certain derivatives. These types of investments may also be held directly by the Company. These entities have chosen to make a fair value election on their financial instruments and certain financing arrangements pursuant to ASC 825; as such, the Company will treat these financial instruments and financing arrangements consistently with this election. On December 9, 2015, the Company, alongside private funds managed by Angelo Gordon, through AG Arc LLC, one of the Company’s indirect subsidiaries ("AG Arc"), formed Arc Home LLC ("Arc Home"). 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, Non-QM, 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. The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. On August 29, 2017, the Company, alongside private funds managed by Angelo Gordon, formed Mortgage Acquisition Holding I LLC ("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-QM" loans, which are residential mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the CFPB. Non-QM loans are not eligible for delivery to Fannie Mae, Freddie Mac, or Ginnie Mae. MATT has made an election to be treated as a real estate investment trust beginning with the 2018 tax year. On April 3, 2020, the Company, alongside private funds under the management of Angelo Gordon, restructured its financing arrangements in MATT ("Restructured Financing Arrangement"). The Restructured Financing Arrangement requires all principal and interest on the underlying assets in MATT be used to pay down principal and interest on the outstanding financing arrangement. As of April 3, 2020, the Restructured Financing Arrangement is no longer a mark-to-market facility with respect to margin calls and is non-recourse to the Company. The Restructured Financing Arrangement provides for a termination date of October 1, 2021. At the earlier of the termination date or the securitization or sale by the Company of the remaining assets subject to the Restructured Financing Arrangement, the financing counterparty (which is a non-affiliate) will be entitled to 35% of the remaining equity in the assets. The Company evaluated this restructuring and concluded it was an extinguishment of debt. MATT has chosen to make a fair value election on this financing arrangement, and the Company will treat this arrangement consistently with this election. On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by Angelo Gordon, formed LOT SP I LLC and LOT SP II LLC, respectively, (collectively, "LOTS"). LOTS were formed to originate first mortgage loans to third party land developers and home builders for the acquisition and horizontal development of land ("Land Related Financing"). During Q3 2018, the Company transferred certain of its CMBS from certain of its non-wholly owned subsidiaries accounted for as an equity method investment 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 of 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 of affiliates" line item to the "CMBS" line item on its consolidated statements of cash flows. The below table reconciles the fair value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheet (in thousands). June 30, 2020 December 31, 2019 Assets Liabilities Equity Assets Liabilities Equity Real Estate Securities, Excess MSRs and Loans, at fair value (1)(2) $ 307,130 $ (217,856) $ 89,274 $ 373,126 $ (257,068) $ 116,058 AG Arc, at fair value 28,030 — 28,030 28,546 — 28,546 Cash and Other assets/(liabilities) 9,276 (3,651) 5,625 12,953 (1,246) 11,707 Investments in debt and equity of affiliates $ 344,436 $ (221,507) $ 122,929 $ 414,625 $ (258,314) $ 156,311 (1) Certain loans held in securitized form are presented net of non-recourse securitized debt. (2) Within Real Estate Securities, Excess MSRs and Loans is $243.7 million and $254.3 million of fair value of Non-QM loans held in MATT at June 30, 2020 and December 31, 2019, respectively. Additionally, there is $23.8 million and $17.0 million of fair value of Land Related Financing held in LOTS at June 30, 2020 and December 31, 2019, respectively. The Company’s investments in debt and equity of affiliates are recorded at fair value on the consolidated balance sheets in the "Investments in debt and equity of affiliates" line item and periodic changes in fair 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 value on the consolidated balance sheets and any periodic change in fair 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. 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. Prior to the adoption of ASU 2016-13, decreases in cash flows expected to be collected from previously projected cash flows, which included 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, could have been recognized as impairment. Increases in interest income could have been recognized on an Excess MSR on which the Company previously recorded an OTTI charge if the performance of such Excess MSR subsequently improved. As previously stated, the Company adopted ASU 2016-13 as of January 1, 2020. The new guidance specifically excludes available-for-sale securities, loans and Excess MSRs measured at fair value with changes in fair value recognized through net income. Accordingly, the impact of the new guidance on accounting for the Company's debt securities and loans is limited to recognition of effective yield which was previously impacted by other than temporary impairment recorded under current standards. As the new guidance eliminates the accounting for other than temporary impairment, this guidance has impacted the Company's recorded unrealized and realized gain/(loss) amounts. Depending on the fair value and projected cash flows as of a given reporting date, the impact of this guidance could be material. 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 is 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 |
Real Estate Securities
Real Estate Securities | 6 Months Ended |
Jun. 30, 2020 | |
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 June 30, 2020 and December 31, 2019. The gross unrealized gains/(losses) stated in the tables below represent inception to date unrealized gains/(losses). The following table details the Company’s real estate securities portfolio as of June 30, 2020 ($ in thousands): Gross Unrealized Weighted Average Current Face Premium / (Discount) Amortized Cost Gains Losses Fair Value Coupon (1) Yield Credit Investments: Non-Agency RMBS $ 63,228 $ (16,880) $ 46,348 $ 3,736 $ (4,593) $ 45,491 4.95 % 8.43 % Non-Agency RMBS Interest Only (2) 183,667 (183,590) 77 301 (52) 326 0.59 % NM Total Non-Agency: 246,895 (200,470) 46,425 4,037 (4,645) 45,817 2.40 % 8.43 % CMBS 121,193 (17,692) 103,501 1,584 (22,664) 82,421 4.06 % 5.63 % CMBS Interest Only 687,447 (683,134) 4,313 87 (167) 4,233 0.10 % 7.02 % Total CMBS: 808,640 (700,826) 107,814 1,671 (22,831) 86,654 0.63 % 5.70 % Total Credit Investments: $ 1,055,535 $ (901,296) $ 154,239 $ 5,708 $ (27,476) $ 132,471 0.89 % 6.64 % (1) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. (2) Non-Agency RMBS Interest Only includes only two investments. The overall impact of the investments' yields on the Company's portfolio is immaterial. The following table details the Company’s real estate securities portfolio as of December 31, 2019 ($ in thousands): Gross Unrealized Weighted Average Current Face Premium / (Discount) Amortized Cost Gains Losses Fair Value Coupon (1) Yield Agency RMBS: 30 Year Fixed Rate $ 2,125,067 $ 59,123 $ 2,184,190 $ 57,404 $ (296) $ 2,241,298 3.73 % 3.17 % Interest Only 476,192 (403,248) 72,944 2,330 (1,133) 74,141 3.93 % 5.87 % Total Agency RMBS: 2,601,259 (344,125) 2,257,134 59,734 (1,429) 2,315,439 3.77 % 3.26 % Credit Investments: Non-Agency RMBS 769,254 (107,848) 661,406 55,343 (353) 716,396 4.84 % 6.28 % Non-Agency RMBS Interest Only 209,362 (207,948) 1,414 — (340) 1,074 0.77 % 5.96 % Total Non-Agency: 978,616 (315,796) 662,820 55,343 (693) 717,470 4.40 % 6.28 % CMBS 485,713 (134,596) 351,117 18,720 (906) 368,931 4.91 % 7.28 % CMBS Interest Only 3,427,025 (3,382,273) 44,752 3,486 (246) 47,992 0.24 % 6.68 % Total CMBS: 3,912,738 (3,516,869) 395,869 22,206 (1,152) 416,923 0.60 % 7.21 % Total Credit Investments: 4,891,354 (3,832,665) 1,058,689 77,549 (1,845) 1,134,393 1.31 % 6.62 % Total $ 7,492,613 $ (4,176,790) $ 3,315,823 $ 137,283 $ (3,274) $ 3,449,832 2.20 % 4.37 % (1) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. As described in Note 2, prior to the adoption of ASU 2016-13, the Company evaluated securities for OTTI on at least a quarterly basis. The determination of whether a security was other-than-temporarily impaired involved judgments and assumptions based on subjective and objective factors. When the fair value of a real estate security was less than its amortized cost at the balance sheet date, the security was considered impaired, and the impairment was designated as either "temporary" or "other-than-temporary." For the three months ended June 30, 2019, the Company recognized an OTTI charge of $8.7 million on its securities, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The Company recorded $8.7 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 $8.7 million of OTTI recorded, $0.9 million related to securities where OTTI was not recognized in a prior year. For the six months ended June 30, 2019, the Company recognized an OTTI charge of $11.1 million on its securities, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The Company recorded $11.1 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 $11.1 million of OTTI recorded, $1.2 million related to securities where OTTI was not recognized in a prior year. As of December 31, 2019, the unrealized losses on the remaining real estate securities were solely due to market conditions and not the credit quality of the assets. The investments in any remaining unrealized loss positions were not considered other than temporarily impaired because the Company had the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments and the Company was not required to sell the investments for regulatory or other reasons. The following table details the weighted average life of our real estate securities as of June 30, 2020 ($ in thousands): Credit Investments Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (2) Less than or equal to 1 year $ 21,836 $ 29,004 1.55 % Greater than one year and less than or equal to five years 43,984 56,366 0.64 % Greater than five years and less than or equal to ten years 29,651 31,077 0.53 % Greater than ten years 37,000 37,792 4.32 % Total $ 132,471 $ 154,239 0.89 % (1) This is based on projected life. Typically, actual maturities of mortgage-backed securities are 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) 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 and Credit Investments as of December 31, 2019 ($ in thousands): Agency RMBS Credit Investments Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon (2) Less than or equal to 1 year $ — $ — — % $ 82,474 $ 82,273 0.56 % Greater than one year and less than or equal to five years 313,855 302,520 4.01 % 525,192 508,038 1.29 % Greater than five years and less than or equal to ten years 2,001,584 1,954,614 3.71 % 296,665 263,300 1.06 % Greater than ten years — — — 230,062 205,078 5.46 % Total $ 2,315,439 $ 2,257,134 3.77 % $ 1,134,393 $ 1,058,689 1.31 % (1) This is based on projected life. Typically, actual maturities of mortgage-backed securities are 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) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. For the three months ended June 30, 2020, the Company sold, directly or as a result of financing counterparty seizures, 87 securities for total proceeds of $234.5 million, recording realized gains of $9.3 million and realized losses of $45.6 million. For the six months ended June 30, 2020, the Company sold, directly or as a result of financing counterparty seizures, 316 securities for total proceeds of $2.7 billion, recording realized gains of $53.2 million and realized losses of $175.8 million. For the three months ended June 30, 2019, the Company sold 15 securities for total proceeds of $233.1 million, recording realized gains of $3.8 million and realized losses of $0.1 million. For the six months ended June 30, 2019, the Company sold 46 securities for total proceeds of $446.1 million, recording realized gains of $8.1 million and realized losses of $2.3 million. See Notes 4 and 8 for amounts realized on sales of loans and the settlement of certain derivatives, respectively. The following table details certain information related to the December 2014 VIE and August 2018 VIE as further described in Note 2 as of December 31, 2019 (in thousands). As of June 30, 2020, the Company did not hold any interest in these VIEs. December 31, 2019 Assets Real estate securities, at fair value: Non-Agency $ 13,838 CMBS 94,500 Other assets 808 Total assets $ 109,146 Liabilities Financing arrangements $ 70,712 Securitized debt, at fair value 7,230 Other liabilities 3,553 Total liabilities $ 81,495 The holders of the consolidated tranche of the December 2014 VIE, shown within the Non-Agency line item above, have no recourse to the general credit of the Company and the Company has no obligation to provide any other explicit or implicit support to the December 2014 VIE. Except for restricted cash, shown within the Other assets line item above, assets held by the August 2018 VIE are not restricted and can be used to settle any obligations of the Company. The liabilities of the August 2018 VIE are recourse to the Company and can be satisfied with assets of the Company. The following table details certain information related to the December 2014 VIE as of December 31, 2019 ($ in thousands): Weighted Average Current Face Fair Value Coupon Yield Life (Years) (1) Consolidated tranche (2) $ 7,204 $ 7,230 3.46 % 4.11 % 1.96 Retained tranche 7,851 6,608 5.37 % 18.14 % 7.64 Total resecuritized asset (3) $ 15,055 $ 13,838 4.46 % 10.81 % 4.92 (1) This is based on projected life. Typically, actual maturities of investments and loans are 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, 2019, the Company has recorded secured financing of $7.2 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. (3) As of December 31, 2019, the fair market value of the total resecuritized asset is included in the Company’s consolidated balance sheets as "Non-Agency." |
Loans
Loans | 6 Months Ended |
Jun. 30, 2020 | |
Receivables [Abstract] | |
Loans | Loans Residential mortgage loans In January 2020, the Company purchased a residential mortgage loan portfolio with a gross aggregate unpaid principal balance and a gross acquisition fair value of $481.7 million and $450.3 million, respectively. For the three months ended June 30, 2020, the Company sold 2,357 loans for total proceeds of $382.8 million, recording realized gains of $1.4 million and realized losses of $55.5 million. For the six months ended June 30, 2020, the Company sold 2,358 loans for total proceeds of $391.5 million, recording realized gains of $1.4 million and realized losses of $58.6 million. For the three months ended June 30, 2019, the Company sold 78 loans for total proceeds of $12.7 million, recording realized gains of $1.0 million and realized losses of $0.2 million. For the six months ended June 30, 2019, the Company sold 79 loans for total proceeds of $12.8 million, recording realized gains of $1.0 million and realized losses of $0.2 million. The Company has chosen to make a fair value election pursuant to ASC 825 for its residential mortgage loan portfolio. Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on real estate securities and loans, net" line item. The gross unrealized gains/(losses) stated in the tables below represents inception to date unrealized gains/(losses). The table below details information regarding the Company’s residential mortgage loan portfolio as of June 30, 2020 and December 31, 2019 ($ in thousands): Gross Unrealized Weighted Average As of Unpaid Principal Balance Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life June 30, 2020 $ 471,458 $ (65,122) $ 406,336 $ 829 $ (27,343) $ 379,822 3.52 % 5.25 % 6.45 December 31, 2019 464,041 (55,219) 408,822 9,065 (102) 417,785 4.09 % 5.72 % 7.36 (1) This is based on projected life. Typically, actual maturities of residential mortgage loans are 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 residential mortgage loans as of June 30, 2020 and December 31, 2019 (in thousands): June 30, 2020 December 31, 2019 Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance Re-Performing $ 292,102 $ 348,003 $ 330,234 $ 357,678 Non-Performing 78,251 101,375 87,551 106,363 Other (1) 9,469 22,080 — — $ 379,822 $ 471,458 $ 417,785 $ 464,041 (1) Represents residual positions where the Company consolidates a securitization and the positions are recorded on the Company's books as residential mortgage loans. There may be limited data available regarding the underlying collateral of such securitizations. As described in Note 2, prior to the adoption of ASU 2016-13, the Company evaluated loans for OTTI on at least a quarterly basis. The determination of whether a loan was other-than-temporarily impaired involved judgments and assumptions based on subjective and objective factors. When the fair value of a loan was less than its amortized cost at the balance sheet date, the loan was considered impaired, and the impairment was designated as either "temporary" or "other-than-temporary." No OTTI was recorded for the three and six months ended June 30, 2019 on the Company’s residential mortgage loans. As of June 30, 2020 and December 31, 2019, the Company had residential mortgage loans with a fair value of $33.7 million and $35.6 million, respectively, that were in the process of foreclosure, excluding any loans classified as Other above. The Company’s mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the United States. The following is a summary of the geographic concentration of credit risk within the Company’s mortgage loan portfolio as of June 30, 2020 and December 31, 2019, excluding any loans classified as Other above: Geographic Concentration of Credit Risk June 30, 2020 December 31, 2019 Percentage of fair value of mortgage loans secured by properties in the following states representing 5% or more of fair value: California 18 % 19 % Florida 10 % 11 % New York 9 % 9 % New Jersey 6 % 6 % The Company records interest income on an effective interest 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 six months ended June 30, 2020 and June 30, 2019, respectively (in thousands): Three Months Ended Six Months Ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Beginning Balance $ 263,111 $ 99,504 $ 168,877 $ 79,610 Additions — 505 129,017 20,236 Accretion (8,037) (3,438) (16,465) (6,701) Reclassifications from/(to) non-accretable difference 1,335 (2,245) (24,677) 1,604 Disposals (118,248) (4,811) (118,591) (5,234) Ending Balance $ 138,161 $ 89,515 $ 138,161 $ 89,515 As of June 30, 2020, the Company’s residential mortgage loan portfolio was comprised of 3,239 conventional loans with individual original loan balances between $5.6 thousand and $3.4 million, excluding loans classified as Other above. As of December 31, 2019, the Company’s residential mortgage loan portfolio was comprised of 3,413 conventional loans with individual original loan balances between $3.8 thousand and $3.4 million. The Company entered into a securitization transaction of certain of its residential mortgage loans in August 2019 (the "August 2019 VIE"). The Company concluded that the SPE created to facilitate this transaction was a VIE and also determined that the August 2019 VIE should be consolidated by the Company. The transferred assets were recorded as a secured borrowing, based on the Company’s involvement in the August 2019 VIE, including the design and purpose of the SPE, and whether the Company’s involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of the August 2019 VIE. Upon consolidation, the Company elected the fair value option for the assets and liabilities of the August 2019 VIE in order to avoid an accounting mismatch between its assets and its liabilities and to more accurately represent the economics of its interest in the entity. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations. The Company applied the guidance under ASU 2014-13, "Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity," whereby the Company determines whether the fair value of the assets or liabilities of the August 2019 VIE is more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the liabilities of the August 2019 VIE are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIE. The following table details certain information related to the assets and liabilities of the August 2019 VIE as of June 30, 2020 and December 31, 2019 ($ in thousands): June 30, 2020 December 31, 2019 Assets Residential mortgage loans, at fair value $ 223,119 $ 255,171 Other assets 766 898 Total assets $ 223,885 $ 256,069 Liabilities Financing arrangements $ 9,392 $ 24,584 Securitized debt, at fair value 198,974 217,118 Other liabilities 534 596 Total liabilities $ 208,900 $ 242,298 The following table details additional information regarding loans and securitized debt related to the August 2019 VIE as of June 30, 2020 and December 31, 2019 ($ in thousands): Weighted Average As of: Current Unpaid Principal Balance Fair Value Coupon Yield Life (Years) (1) June 30, 2020 Residential mortgage loans (2) $ 254,936 $ 223,119 3.51 % 4.81 % 6.85 Securitized debt (3) 213,233 198,974 2.95 % 2.95 % 5.19 December 31, 2019 Residential mortgage loans (2) 263,956 255,171 3.96 % 5.11 % 7.66 Securitized debt (3) 217,455 217,118 2.92 % 2.86 % 5.00 (1) This is based on projected life. Typically, actual maturities of investments and loans are 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) This represents all loans contributed to the August 2019 VIE. (3) As of June 30, 2020 and December 31, 2019, the Company has recorded secured financing of $199.0 million and $217.1 million, respectively, 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 securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the August 2019 VIE. Commercial loans The Company has chosen to make a fair value election pursuant to ASC 825 for its commercial 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 gains/(losses) columns in the tables below represent inception to date unrealized gains/(losses). For the three and six months ended June 30, 2020, the Company sold 1 commercial loan for total proceeds of $34.2 million, recording realized losses of $1.7 million. For the three and six months ended June 30, 2019, the Company did not sell any commercial loans. The following table presents detail on the Company’s commercial loan portfolio on June 30, 2020 ($ in thousands). Weighted Average Loan Current Face Premium (Discount) Amortized Cost Gross Unrealized Losses Fair Value (3) Coupon Yield (5) Life Initial Stated Extended Location Collateral Type Loan G (8)(9) $ 56,710 $ — $ 56,710 $ (4,225) $ 52,485 5.27 % 5.27 % 1.55 July 9, 2020 July 9, 2022 CA Condo, Retail, Hotel Loan I (10) 15,212 (211) 15,001 (789) 14,212 11.50 % 12.26 % 1.80 February 9, 2021 February 9, 2023 MN Office, Retail Loan J (8) 6,291 — 6,291 (4,051) 2,240 5.65 % 5.65 % 2.12 January 1, 2023 January 1, 2024 NY Hotel, Retail Loan K (11) 12,673 — 12,673 (1,100) 11,573 10.00 % 11.22 % 1.27 May 22, 2021 February 22, 2024 NY Hotel, Retail Loan L (11) 51,000 (344) 50,656 (3,481) 47,175 5.40 % 5.66 % 4.12 July 22, 2022 July 22, 2024 IL Hotel, Retail $ 141,886 $ (555) $ 141,331 $ (13,646) $ 127,685 6.42 % 6.74 % 2.50 (1) The Company has the contractual right to receive a balloon payment for each loan. (2) Refer to Note 13 "Commitments and Contingencies" for details on the Company's commitments on its Commercial Loans as of June 30, 2020. (3) Pricing is reflective of marks on unfunded commitments. (4) Each commercial loan investment has a variable coupon rate. (5) Yield includes any exit fees. (6) Actual maturities of commercial mortgage loans may be shorter or longer than stated contractual maturities. Maturities are affected by prepayments of principal. (7) Represents the maturity date of the last possible extension option. (8) Loan G and Loan J are first mortgage loans. (9) Loan G matured on July 9, 2020. Discussions are ongoing between the borrower and the lenders related to the extension of the loan. However, there can be no guaranty that an agreement will be reached with respect to any such discussions. (10) Loan I is a mezzanine loan. (11) Loan K and Loan L are comprised of first mortgage and mezzanine loans. The following table presents detail on the Company’s commercial loan portfolio on December 31, 2019 ($ in thousands). Weighted Average Loan (1) Current Face Premium Amortized Cost Gross Fair Value Coupon Yield (3) Life Initial Stated Extended Location Collateral Type Loan G (6) $ 45,856 $ — $ 45,856 $ — $ 45,856 6.46 % 6.46 % 0.53 July 9, 2020 July 9, 2022 CA Condo, Retail, Hotel Loan H (6) 36,000 — 36,000 — 36,000 5.49 % 5.49 % 0.19 March 9, 2019 June 9, 2020 AZ Office Loan I (7) 11,992 (184) 11,808 184 11,992 12.21 % 14.51 % 1.04 February 9, 2021 February 9, 2023 MN Office, Retail Loan J (6) 4,674 — 4,674 — 4,674 6.36 % 6.36 % 2.12 January 1, 2023 January 1, 2024 NY Hotel, Retail Loan K (8) 9,164 — 9,164 — 9,164 10.71 % 11.86 % 1.72 May 22, 2021 February 22, 2024 NY Hotel, Retail Loan L (8) 51,000 (502) 50,498 502 51,000 6.16 % 6.50 % 4.63 July 22, 2022 July 22, 2024 IL Hotel, Retail $ 158,686 $ (686) $ 158,000 $ 686 $ 158,686 6.82 % 7.17 % 1.92 (1) The Company has the contractual right to receive a balloon payment for each loan. (2) Each commercial loan investment has a variable coupon rate. (3) Yield includes any exit fees. (4) Actual maturities of commercial mortgage loans may be shorter or longer than stated contractual maturities. Maturities are affected by prepayments of principal. (5) Represents the maturity date of the last possible extension option. (6) Loan G, Loan H, and Loan J are first mortgage loans. (7) Loan I is a mezzanine loan. (8) Loan K and Loan L are comprised of first mortgage and mezzanine loans. |
Excess MSRs
Excess MSRs | 6 Months Ended |
Jun. 30, 2020 | |
Disclosure of Excess MSRs [Abstract] | |
Excess MSRs | Excess MSRs 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 gains/(losses) columns below represent inception to date unrealized gains/(losses). The following table presents detail on the Company’s Excess MSR portfolio on June 30, 2020 ($ in thousands). Gross Unrealized Weighted Average Unpaid Principal Amortized Gains Losses Fair Value Yield Life Agency Excess MSRs $ 2,327,265 $ 17,619 $ 8 $ (5,435) $ 12,192 4.68 % 6.41 Credit Excess MSRs 31,508 172 — (70) 102 23.60 % 7.29 Total Excess MSRs $ 2,358,773 $ 17,791 $ 8 $ (5,505) $ 12,294 4.84 % 6.42 (1) This is based on projected life. 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, 2019 ($ in thousands). Gross Unrealized Weighted Average Unpaid Principal Amortized Gains Losses Fair Value Yield Life Agency Excess MSRs $ 2,910,735 $ 19,570 $ 93 $ (2,031) $ 17,632 8.32 % 5.58 Credit Excess MSRs 34,753 178 2 (37) 143 21.38 % 5.25 Total Excess MSRs $ 2,945,488 $ 19,748 $ 95 $ (2,068) $ 17,775 8.42 % 5.58 (1) This is based on projected life. Actual maturities of Excess MSRs may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. As described in Note 2, prior to the adoption of ASU 2016-13, the Company evaluated Excess MSRs for OTTI on at least a quarterly basis. For the three months ended June 30, 2019, the Company recognized an OTTI charge of $1.6 million on its Excess MSRs, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. Of the $1.6 million of OTTI recorded for the three months ended June 30, 2019, $0.4 million was related to Excess MSRs where OTTI was not recognized in a prior year. For the six months ended June 30, 2019, the Company recognized an OTTI charge of $2.2 million on its Excess MSRs, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. Of the $2.2 million of OTTI recorded for the six months ended June 30, 2019, $0.5 million was related to Excess MSRs where OTTI was not recognized in a prior year. |
Fair value measurements
Fair value measurements | 6 Months Ended |
Jun. 30, 2020 | |
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 is 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 of the December 2014 VIE, 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 ("CCCH") 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"). The daily exchange of variation margin associated with a CCCH centrally cleared derivative instrument is legally characterized as the daily settlement of the derivative instrument itself. Accordingly, 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. 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 8 for more information. In determining the fair value of the Company's mortgage loans and securitized debt relating to the August 2019 VIE, the Company 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. 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 and the Company's investment in Arc Home 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. Refer to Note 2 for more information on changes regarding the Company's leveling policy. The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of June 30, 2020 (in thousands): Fair Value at June 30, 2020 Level 1 Level 2 Level 3 Total Assets: Credit Investments: Non-Agency RMBS $ — $ 40,995 $ 4,496 $ 45,491 Non-Agency RMBS Interest Only — 326 — 326 CMBS — 82,421 — 82,421 CMBS Interest Only — 4,233 — 4,233 Residential mortgage loans — — 379,822 379,822 Commercial loans — — 127,685 127,685 Excess mortgage servicing rights — — 12,294 12,294 Derivative assets 84 — — 84 AG Arc (1) — — 28,030 28,030 Total Assets Measured at Fair Value $ 84 $ 127,975 $ 552,327 $ 680,386 Liabilities: Securitized debt $ — $ — $ (198,974) $ (198,974) Total Liabilities Measured at Fair Value $ — $ — $ (198,974) $ (198,974) (1) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents, if applicable, and AG Arc. The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2019 (in thousands): Fair value at December 31, 2019 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ — $ 2,241,298 $ — $ 2,241,298 Interest Only — 74,141 — 74,141 Credit Investments: Non-Agency RMBS — 86,281 630,115 716,396 Non-Agency RMBS Interest Only — — 1,074 1,074 CMBS — 2,365 366,566 368,931 CMBS Interest Only — — 47,992 47,992 Residential mortgage loans — — 417,785 417,785 Commercial loans — — 158,686 158,686 Excess mortgage servicing rights — — 17,775 17,775 Cash equivalents (1) 53,243 — — 53,243 Derivative assets — 2,282 — 2,282 AG Arc (1) — — 28,546 28,546 Total Assets Measured at Fair Value $ 53,243 $ 2,406,367 $ 1,668,539 $ 4,128,149 Liabilities: Securitized debt $ — $ (151,933) $ (72,415) $ (224,348) Derivative liabilities (122) (289) — (411) Total Liabilities Measured at Fair Value $ (122) $ (152,222) $ (72,415) $ (224,759) (1) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents and AG Arc. 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 six months ended June 30, 2020 and June 30, 2019. 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 and updates to the Company's leveling policy, which are detailed in Note 2. 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 June 30, 2020 (in thousands) Non-Agency RMBS Residential Commercial Loans Excess Mortgage AG Arc Securitized debt Beginning balance $ 5,533 $ 766,960 $ 158,051 $ 14,066 $ 18,519 $ (191,346) Purchases/Transfers — — 7,759 — — — Issuances of Securitized Debt — — — — — (3,000) Proceeds from sales of assets (68) (378,729) (34,200) — — — Proceeds from settlement (1,159) (14,716) — — — 3,517 Total net gains/(losses) (1) Included in net income 190 6,307 (3,925) (1,772) 9,511 (8,145) Ending Balance $ 4,496 $ 379,822 $ 127,685 $ 12,294 $ 28,030 $ (198,974) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2020 (2) $ 4 $ 60,434 $ (2,134) $ (1,780) $ 9,511 $ (8,145) (1) 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 $ 58,302 Unrealized gain/(loss) on derivative and other instruments, net (9,917) Net realized gain/(loss) (55,730) Equity in earnings/(loss) from affiliates 9,511 Total $ 2,166 (2) 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 $ 58,304 Unrealized gain/(loss) on derivative and other instruments, net (9,925) Equity in earnings/(loss) from affiliates 9,511 Total $ 57,890 Three Months Ended June 30, 2019 (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 $ 506,103 $ 2,501 $ 20,199 $ 212,904 $ 49,397 $ 202,047 $ 110,223 $ 24,301 $ 23,775 $ (10,515) Transfers (1): Transfers into level 3 24,194 — — — — — — — — — Purchases/Transfers 61,496 — 819 23,656 — 6,250 8,132 — — — Proceeds from sales/redemptions (14,606) — — (14,097) (1,714) (12,704) — — — — Proceeds from settlement (22,573) — (634) (7,570) — (4,152) — — — 1,898 Total net gains/(losses) (2) Included in net income 6,531 (667) 187 5,332 (847) 8,529 (350) (3,408) (5,058) (13) Ending Balance $ 561,145 $ 1,834 $ 20,571 $ 220,225 $ 46,836 $ 199,970 $ 118,005 $ 20,893 $ 18,717 $ (8,630) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2019 (3) $ 5,108 $ (386) $ 187 $ 5,329 $ (772) $ 7,847 $ (350) $ (1,803) $ (5,058) $ (13) (1) Transfers are assumed to occur at the beginning of the period. During the three months ended June 30, 2019, the Company transferred 3 Non-Agency RMBS securities 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 $ 18,332 Unrealized gain/(loss) on derivative and other instruments, net (3,421) Net realized gain/(loss) 383 Equity in earnings/(loss) from affiliates (5,058) Total $ 10,236 (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 $ 16,963 Unrealized gain/(loss) on derivative and other instruments, net (1,816) Equity in earnings/(loss) from affiliates (5,058) Total $ 10,089 Six Months Ended June 30, 2020 (in thousands) Non-Agency RMBS Non-Agency RMBS Interest Only CMBS CMBS Interest Only Residential Mortgage Loans Commercial Loans Excess Mortgage Servicing Rights AG Arc Securitized debt Beginning balance $ 630,115 $ 1,074 $ 366,566 $ 47,992 $ 417,785 $ 158,686 $ 17,775 $ 28,546 $ (72,415) Transfers (1): Transfers into level 3 — — — — — — — — (151,933) Transfers out of level 3 (210,709) (1,074) (170,816) (22,054) — — — — 7,230 Purchases/Transfers 1,559 — 3,540 — 479,195 19,200 — — — Issuances of Securitized Debt — — — — — — — — (3,000) Proceeds from sales of assets and seizures of assets (362,199) — (148,111) (21,996) (387,408) (34,200) — — — Proceeds from settlement (10,869) — (9,367) — (37,390) — — — 9,223 Total net gains/(losses) (2) Included in net income (43,401) — (41,812) (3,942) (92,360) (16,001) (5,481) (516) 11,921 Ending Balance $ 4,496 $ — $ — $ — $ 379,822 $ 127,685 $ 12,294 $ 28,030 $ (198,974) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2020 (3) $ (550) $ — $ — $ — $ (35,221) $ (14,210) $ (5,481) $ (516) $ 11,921 (1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2020, the Company transferred 50 Non-Agency RMBS securities, 2 Non-Agency RMBS Interest Only securities, 32 CMBS securities, 15 CMBS Interest Only securities and 1 securitized debt security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. During the six months ended June 30, 2020, the Company transferred 1 securitized debt security into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820. Refer to Note 2 for more information on changes regarding the Company's leveling policy. (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 $ (87,515) Unrealized gain/(loss) on derivative and other instruments, net 6,440 Net realized gain/(loss) (110,001) Equity in earnings/(loss) from affiliates (516) Total $ (191,592) (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 $ (49,981) Unrealized gain/(loss) on derivative and other instruments, net 6,440 Equity in earnings/(loss) from affiliates (516) Total $ (44,057) Six Months Ended June 30, 2019 (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 $ 491,554 $ 3,099 $ 21,160 $ 211,054 $ 50,331 $ 186,096 $ 98,574 $ 26,650 $ 20,360 $ (10,858) Transfers (1): Transfers into level 3 55,174 — — — — — — — — — Transfers out of level 3 (61,531) — — (5,279) — — — — — — Purchases/Transfers 140,562 — 1,158 43,445 — 25,995 29,648 — — — Capital Contributions — — — — — — — — 6,689 — Proceeds from sales/redemptions (49,242) — (1,283) (20,165) (1,714) (12,780) — — — — Proceeds from settlement (27,873) — (1,183) (22,934) — (8,189) (10,417) — — 2,215 Total net gains/(losses) (2) Included in net income 12,501 (1,265) 719 14,104 (1,781) 8,848 200 (5,757) (8,332) 13 Ending Balance $ 561,145 $ 1,834 $ 20,571 $ 220,225 $ 46,836 $ 199,970 $ 118,005 $ 20,893 $ 18,717 $ (8,630) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2019 (3) $ 10,087 $ (984) $ 654 $ 10,733 $ (1,706) $ 7,992 $ 200 $ (3,539) $ (8,332) $ 13 (1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2019, the Company transferred 7 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 6 Non-Agency RMBS and 2 CMBS 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 $ 29,745 Unrealized gain/(loss) on derivative and other instruments, net (5,744) Net realized gain/(loss) 3,581 Equity in earnings/(loss) from affiliates (8,332) Total $ 19,250 (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 $ 26,976 Unrealized gain/(loss) on derivative and other instruments, net (3,526) Equity in earnings/(loss) from affiliates (8,332) Total $ 15,118 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 June 30, 2020 (in thousands) Valuation Technique Unobservable Input Range Yield 6.50% - 8.29% (8.00%) Non-Agency RMBS $ 3,204 Discounted Cash Flow Projected Collateral Prepayments 5.82% - 5.95% (5.84%) Projected Collateral Losses 3.70% - 5.74% (5.41%) Projected Collateral Severities -3.70% - 19.66% (0.17%) $ 1,292 Consensus Pricing Offered Quotes 86.99 - 86.99 (86.99) Yield 5.50% - 10.00% (6.67%) Residential Mortgage Loans $ 370,353 Discounted Cash Flow Projected Collateral Prepayments 5.94% - 10.10% (8.16%) Projected Collateral Losses 2.04% - 5.39% (3.01%) Projected Collateral Severities -9.12% - 59.16% (23.43%) $ 9,469 Consensus Pricing Offered Quotes 13.93 - 103.20 (79.57) Yield 8.04% - 17.60% (10.89%) Commercial Loans $ 127,685 Discounted Cash Flow Credit Spread 738 bps - 1,586 bps (995 bps) Recovery Percentage (2) 100.00% - 100.00% (100.00%) Excess Mortgage Servicing Rights Discounted Cash Flow Yield 8.50% - 11.81% (9.26%) $ 12,192 Projected Collateral Prepayments 11.27% - 16.93% (14.06%) $ 102 Consensus Pricing Offered Quotes 0.00 - 0.32 (0.32) AG Arc $ 28,030 Comparable Multiple Book Value Multiple 1.0x - 1.0x (1.0x) Liability Class Fair Value at June 30, 2020 (in thousands) Valuation Technique Unobservable Input Range Yield 3.50% - 7.00% (4.20%) Securitized debt $ (198,974) Discounted Cash Flow Projected Collateral Prepayments 8.87% - 8.87% (8.87%) Projected Collateral Losses 2.41% - 2.41% (2.41%) Projected Collateral Severities 23.34% - 23.34% (23.34%) (1) Amounts are weighted based on fair values. (2) Represents the proportion of the principal expected to be collected relative to the loan balances as of June 30, 2020. Asset Class Fair Value at December 31, 2019 (in thousands) Valuation Technique Unobservable Input Range Yield 1.71% - 100.00% (5.99%) Non-Agency RMBS $ 625,537 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 100.00% (14.60%) Projected Collateral Losses 0.00% - 100.00% (2.93%) Projected Collateral Severities 0.00% - 100.00% (21.37%) $ 4,578 Consensus Pricing Offered Quotes 100.00 - 100.00 (100.00) Yield 27.50% - 27.50% (27.50%) Non-Agency RMBS Interest Only $ 1,074 Discounted Cash Flow Projected Collateral Prepayments 18.00% - 18.00% (18.00%) Projected Collateral Losses 2.00% - 2.00% (2.00%) Projected Collateral Severities 35.00% - 35.00% (35.00%) Yield 0.00% - 13.89% (6.33%) CMBS $ 366,566 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%) Yield -2.57% - 9.86% (4.19%) CMBS Interest Only $ 47,992 Discounted Cash Flow Projected Collateral Prepayments 99.00% - 100.00% (99.93%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 4.00% - 8.25% (4.81%) Residential Mortgage Loans $ 364,107 Discounted Cash Flow Projected Collateral Prepayments 4.81% - 9.04% (7.78%) Projected Collateral Losses 1.64% - 4.94% (2.36%) Projected Collateral Severities -7.32% - 36.91% (23.15%) $ 53,678 Recent Transaction Cost N/A Yield 6.16% - 10.76% (6.86%) Commercial Loans $ 60,164 Discounted Cash Flow Credit Spread 440 bps - 900 bps (510 bps) Recovery Percentage (2) 100.00% - 100.00% (100.00%) $ 98,522 Consensus Pricing Offered Quotes 100.00 - 100.00 (100.00) Excess Mortgage Servicing Rights Yield 8.50% - 11.60% (9.20%) $ 17,633 Discounted Cash Flow Projected Collateral Prepayments 9.35% - 16.90% (12.36%) $ 142 Consensus Pricing Offered Quotes 0.01 - 0.40 (0.40) AG Arc $ 28,546 Comparable Multiple Book Value Multiple 1.0x - 1.0x (1.0x) Liability Class Fair Value at December 31, 2019 (in thousands) Valuation Technique Unobservable Input Range Yield 2.98% - 4.70% (3.54%) Securitized debt $ (72,415) Discounted Cash Flow Projected Collateral Prepayments 10.00% - 10.04% (10.04%) Projected Collateral Losses 2.04% - 3.50% (2.19%) Projected Collateral Severities 20.13% - 45.00% (22.61%) (1) Amounts are weighted based on fair values. (2) Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2019. As further described above, fair 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 |
Financing arrangements
Financing arrangements | 6 Months Ended |
Jun. 30, 2020 | |
Debt Disclosure [Abstract] | |
Financing arrangements | Financing arrangements The following table presents a summary of the Company's financing arrangements as of June 30, 2020 and December 31, 2019 (in thousands). June 30, 2020 December 31, 2019 Repurchase agreements $ 188,286 $ 3,121,966 Revolving facilities (1) 62,812 111,502 Financing arrangements, net $ 251,098 $ 3,233,468 (1) Increasing the Company's borrowing capacity under the Company's revolving facilities requires consent of the lenders. During the six months ended June 30, 2020, the Company completed the sale of its 30 Year Fixed Rate Agency securities and sold additional assets in an effort to satisfy outstanding financial obligations, to weather the economic and market instability and to reduce its exposure to various financing counterparties. In March 2020, the Company began engaging in discussions with its financing counterparties with regard to entering into forbearance agreements pursuant to which each participating counterparty would agree to forbear from exercising its rights and remedies with respect to an event of default under the applicable financing arrangement for an agreed-upon period. Pursuant to the terms of the Forbearance Agreement, the Participating Counterparties agreed to forbear from exercising any of their rights and remedies in respect of events of default and any and all other defaults under the applicable financing arrangement with the Company for the duration of the Forbearance Period. As of March 31, 2020, the Company had received notifications from several of its financing counterparties of alleged events of default under their repurchase agreements, and of those counterparties' intentions to accelerate the Company's performance obligations under the relevant agreements due to the Company's inability to meet certain margin calls as a result of market disruptions created by the COVID-19 pandemic. As discussed above, until a formal agreement was reached, the Company negotiated with its financing counterparties regarding the lenders' forbearance from exercising their rights and remedies under their applicable repurchase agreements. While as of March 31, 2020 certain lenders had accelerated the Company's obligations under their applicable repurchase agreements, upon execution of the Reinstatement Agreement, the terms of the Bilateral Agreements were reinstated, including the maturity dates of the repurchase agreements. As described above, on June 10, 2020, the Company and the Participating Counterparties entered into a Reinstatement Agreement, pursuant to which the parties agreed to terminate the Forbearance Agreement and each Participating Counterparty agreed to permanently waive all existing and prior events of default under its financing agreements with the Company and to reinstate each Bilateral Agreement, as it may be amended by agreement between the Participating Counterparty and the Company. As of June 30, 2020, the Company had met all margin calls related to its repurchase agreements. Refer to Note 13 for more information on outstanding deficiencies. For additional information related to the Forbearance Agreement and the Reinstatement Agreement, see Note 2 under "Financing Arrangements." Repurchase agreements A vast majority of the Company's financing arrangements have historically been effectuated 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 the equity on each borrowing by the current fair value of each investment. Repurchase agreements 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 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. If the fair value of pledged assets increases due to changes in market conditions, counterparties may be required to return collateral to us in the form of securities or cash or post additional collateral to us. The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding real estate securities pledged as collateral as of June 30, 2020 ($ in thousands): Repurchase Agreements Real Estate Securities Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Rate Weighted Average Haircut Fair Value Pledged Amortized Cost Accrued Interest 30 days or less $ 55,658 3.43 % 46.9 % $ 107,533 $ 125,911 $ 570 61-90 days 1,704 4.50 % 35.0 % 2,674 2,553 2 Total / Weighted Average $ 57,362 3.46 % 46.5 % $ 110,207 $ 128,464 $ 572 The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding real estate securities pledged as collateral as of December 31, 2019 ($ in thousands): Repurchase Agreements Real Estate Securities Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Rate Weighted Average Haircut Fair Value Pledged Amortized Cost Accrued Interest 30 days or less $ 1,550,508 2.33 % 9.0 % $ 1,728,837 $ 1,660,649 $ 5,402 31-60 days 1,362,121 2.13 % 7.0 % 1,501,850 1,453,257 5,191 61-90 days 71,753 2.99 % 23.5 % 93,957 92,901 245 Greater than 180 days 2,973 3.79 % 23.7 % 4,039 3,690 3 Total / Weighted Average $ 2,987,355 2.25 % 8.5 % $ 3,328,683 $ 3,210,497 $ 10,841 The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding residential mortgage loans pledged as collateral as of June 30, 2020 ($ in thousands): Repurchase Agreements Residential Mortgage Loans Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Rate Weighted Average Funding Cost Weighted Average Haircut Fair Value Pledged Amortized Cost Accrued Interest 61-90 days $ 9,392 4.65 % 4.65 % 61.2 % $ 24,206 $ 23,441 $ 766 Greater than 180 days 118,072 3.68 % 4.10 % 19.4 % 147,110 164,348 477 Total / Weighted Average $ 127,464 3.76 % 4.14 % 22.4 % $ 171,316 $ 187,789 $ 1,243 The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding residential mortgage loans pledged as collateral as of December 31, 2019 ($ in thousands): Repurchase Agreements Residential Mortgage Loans Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Rate Weighted Average Funding Cost Weighted Average Haircut Fair Value Pledged Amortized Cost Accrued Interest 31-60 days $ 24,584 3.14 % 3.14 % 33.7 % $ 37,546 $ 25,192 $ 377 Greater than 180 days 107,010 3.61 % 3.80 % 19.3 % 133,678 135,409 443 Total / Weighted Average $ 131,594 3.53 % 3.68 % 22.0 % $ 171,224 $ 160,601 $ 820 The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding commercial loans pledged as collateral as of June 30, 2020 ($ in thousands): Repurchase Agreements Commercial Loans Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Rate Weighted Average Funding Cost Weighted Average Haircut Fair Value Pledged Amortized Cost Accrued Interest Greater than 180 days $ 3,460 4.75 % 6.00 % 36.4 % $ 5,441 $ 6,291 $ 30 The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding commercial loans pledged as collateral as of December 31, 2019 ($ in thousands): Repurchase Agreements Commercial Loans Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Rate Weighted Average Funding Cost Weighted Average Haircut Fair Value Pledged Amortized Cost Accrued Interest Greater than 180 days $ 3,017 4.46 % 5.89 % 35.4 % $ 4,674 $ 4,674 $ 26 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 8 for details on collateral posted/received against certain derivatives. As of June 30, 2020, the Company pledged cash of $1.0 million as collateral for clearing trades. The following table presents information with respect to the Company’s posting of collateral under repurchase agreements on June 30, 2020 and December 31, 2019, broken out by investment type (in thousands): June 30, 2020 December 31, 2019 Fair Value of investments pledged as collateral under repurchase agreements Agency RMBS $ — $ 2,231,933 Non-Agency RMBS 36,913 682,828 CMBS 73,294 413,922 Residential Mortgage Loans 171,316 171,224 Commercial Loans 5,441 4,674 Cash pledged (i.e., restricted cash) under repurchase agreements 48 11,565 Total collateral pledged under repurchase agreements $ 287,012 $ 3,516,146 As of June 30, 2020, the Company had no investments posted to it under repurchase agreements. As of December 31, 2019, the Company had fair value of $1.1 million of U.S. Treasury Securities posted to it under repurchase agreements. The following table presents information with respect to the Company’s total borrowings under repurchase agreements on June 30, 2020 and December 31, 2019, broken out by investment type (in thousands): June 30, 2020 December 31, 2019 Repurchase agreements secured by investments: Agency RMBS $ — $ 2,109,278 Non-Agency RMBS 20,498 565,450 CMBS 36,864 312,627 Residential Mortgage Loans 127,464 131,594 Commercial Loans 3,460 3,017 Gross Liability for repurchase agreements $ 188,286 $ 3,121,966 The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of June 30, 2020 and December 31, 2019 (in thousands): Gross Amounts Not Offset in the Consolidated Balance Sheets As of 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 June 30, 2020 $ 188,286 $ — $ 188,286 $ 188,286 $ — $ — December 31, 2019 3,121,966 — 3,121,966 3,121,966 — — Revolving facilities The following table presents information regarding the Company's revolving facilities, excluding facilities within investments in debt and equity of affiliates, as of June 30, 2020 and December 31, 2019 ($ in thousands). June 30, 2020 December 31, 2019 Facility (1)(2)(3) Investment Maturity Date Rate Funding Cost Balance Net Carrying Value of Assets Pledged as Collateral Maximum Aggregate Borrowing Capacity Rate Funding Cost Balance Net Carrying Value of Assets Pledged as Collateral Revolving facility B Residential mortgage loans June 28, 2021 — % — % $ — $ — $ — 3.80 % 3.80 % $ 21,546 $ 27,476 Revolving facility C Commercial loans August 10, 2023 2.33 % 2.68 % 62,812 99,660 100,000 3.85 % 4.01 % 89,956 132,856 Total revolving facilities $ 62,812 $ 99,660 $ 100,000 $ 111,502 $ 160,332 (1) All revolving facilities listed above are interest only until maturity. (2) Under the terms of the Company’s financing agreements, the Company's financial counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. (3) Increasing the Company's borrowing capacity under this facility requires consent of the lender. In June 2018, AG MIT WFB1 2014 LLC ("AG MIT WFB1"), a subsidiary of the Company, entered into Amendments 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. In July 2019, AG MIT WFB1 entered into the Third Amended and Restated Fee and Pricing Letter, which provides for a funding period ending June 26, 2020 and a facility termination date of June 28, 2021. During the second quarter of 2020, Revolving facility B was paid off. 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") to finance certain commercial loans. The JPM Repurchase Agreement contains representations, warranties, covenants, including financial covenants, events of default and indemnities that are customary for agreements of this type. Financing arrangements The Company continues to take steps to manage and de-lever its portfolio. Through asset sales and related repurchase financing paydowns and pay-offs, the Company has reduced its exposure to various counterparties, bringing the total number of counterparties with debt outstanding down from 30 as of December 31, 2019 to 6 as of June 30, 2020. The following table presents information at June 30, 2020 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 ($ in thousands). Counterparty Stockholders’ Equity Weighted Average Percentage of Credit Suisse AG, Cayman Islands Branch $ 50,756 24 13.9 % Barclays Bank PLC 28,966 329 7.9 % The following table presents information at December 31, 2019 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 ($ in thousands). Counterparty Stockholders’ Equity Weighted Average Percentage of Barclays Capital Inc. $ 77,334 277 9.1 % Citigroup Global Markets Inc. 50,263 22 5.9 % 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. |
Other assets and liabilities
Other assets and liabilities | 6 Months Ended |
Jun. 30, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Other assets and liabilities | Other assets and liabilities The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of June 30, 2020 and December 31, 2019 (in thousands): June 30, 2020 December 31, 2019 Other assets Interest receivable $ 2,815 $ 13,548 Derivative assets, at fair value 84 2,282 Other assets 4,149 4,378 Due from broker 4,115 1,697 Total Other assets $ 11,163 $ 21,905 Other liabilities Interest payable $ 810 $ 10,941 Derivative liabilities, at fair value — 411 Accrued expenses 2,734 6,175 Deficiencies payable (1) 2,200 — Taxes payable — 815 Due to broker 2,702 1,107 Total Other liabilities $ 8,446 $ 19,449 (1) Refer to Note 13 for more information. Derivative assets and liabilities The Company’s derivatives may include interest rate swaps ("swaps"), TBAs, and swaption contracts. They may also include Eurodollar Futures, U.S. Treasury Futures, British Pound Futures, and Euro Futures (collectively, "Futures"). Derivatives have not been designated as hedging instruments. The Company uses these derivatives and may also utilize other instruments to manage interest rate risk, including long and short positions in U.S. Treasury securities. The Company uses foreign currency forward contracts to manage foreign currency risk and to protect the value or to fix the amount of certain investments or cash flows in terms of U.S. dollars. During the six months ended June 30, 2020, in an effort to prudently manage its portfolio through unprecedented market volatility resulting from the COVID-19 pandemic and preserve long-term stockholder value, the Company sold its 30 Year Fixed Rate Agency securities, its most interest rate sensitive assets. The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location at June 30, 2020 and December 31, 2019 (in thousands). Derivatives and Other Instruments (1) Designation Balance Sheet June 30, 2020 December 31, 2019 Pay Fix/Receive Float Interest Rate Swap Agreements (2) Non-Hedge Other assets $ — $ 199 Pay Fix/Receive Float Interest Rate Swap Agreements (2) Non-Hedge Other liabilities — (411) Payer Swaptions Non-Hedge Other assets — 2,083 Short positions on British Pound Futures Non-Hedge Other assets 84 — (1) As of June 30, 2020, the Company did not apply a fair value reduction on its assets or liabilities related to variation margin. As of December 31, 2019, the Company applied a fair value reduction of $19.7 thousand and $0.1 million to its Euro Futures liabilities and British Pound Futures liabilities, respectively, related to variation margin. (2) The Company did not hold any interest rate swap assets or liabilities as of June 30, 2020. As of December 31, 2019, the Company applied a reduction in fair value of $10.8 million and $2.2 million to its interest rate swap assets and liabilities, respectively, related to variation margin. The following table summarizes information related to derivatives and other instruments (in thousands): Notional amount of non-hedge derivatives and other instruments: Notional Currency June 30, 2020 December 31, 2019 Pay Fix/Receive Float Interest Rate Swap Agreements USD $ — $ 1,848,750 Payer Swaptions USD 350,000 650,000 Short positions on British Pound Futures (1) GBP 3,250 6,563 Short positions on Euro Futures (2) EUR — 1,500 (1) Each British Pound Future contract embodies £62,500 of notional value. (2) Each Euro Future contract embodies €125,000 of notional value. The following table summarizes gains/(losses) related to derivatives and other instruments (in thousands): Three Months Ended Six Months Ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Included within Unrealized gain/(loss) on derivative and other instruments, net Interest Rate Swaps $ — $ (9,102) $ (11,588) $ (19,764) Eurodollar Futures — (266) — 768 Swaptions (5) (256) (697) (774) U.S. Treasury Futures — 1 — (144) British Pound Futures 239 — 186 — Euro Futures (28) — 20 — TBAs (392) (452) — 441 U.S. Treasuries — — — 82 (186) (10,075) (12,079) (19,391) Included within Net realized gain/(loss) Interest Rate Swaps — (23,538) (65,368) (41,080) Eurodollar Futures — 11 — (1,229) Swaptions — (227) (1,386) (861) U.S. Treasury Futures — 302 — 371 British Pound Futures (150) — 514 — Euro Futures 66 — 68 — TBAs 392 1,957 4,610 1,601 U.S. Treasuries — (176) — (249) 308 (21,671) (61,562) (41,447) Total income/(loss) $ 122 $ (31,746) $ (73,641) $ (60,838) 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 June 30, 2020 (in thousands): Gross Amounts Not Offset in the Consolidated Balance Sheet Description 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 Derivative Assets British Pound Futures $ 84 $ — $ 84 $ — $ — $ 84 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, 2019 (in thousands): Gross Amounts Not Offset in the Consolidated Balance Sheet Description (1) Gross Amounts of Gross Amounts Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets Financial Cash Collateral Net Amount Derivative Assets (2) Interest Rate Swaps $ 1,980 $ — $ 1,980 $ — $ 1 $ 1,979 Interest Rate Swaptions 2,083 — 2,083 — — 2,083 Total Derivative Assets $ 4,063 $ — $ 4,063 $ — $ 1 $ 4,062 Derivative Liabilities (3) Interest Rate Swaps $ 977 $ — $ 977 $ — $ 1 $ 976 Total Derivative Liabilities $ 977 $ — $ 977 $ — $ 1 $ 976 (1) The Company applied a reduction in fair value of $10.8 million and $2.2 million to its interest rate swap assets and liabilities, respectively, related to variation margin. The Company applied a reduction in fair value of $19.7 thousand and $0.1 million to its Euro Futures liabilities and British Pound Futures liabilities, respectively, related to variation margin. (2) Included in Other assets on the consolidated balance sheet is $4.1 million less accrued interest of $(1.8) million for a total of $2.3 million. (3) Included in Other liabilities on the consolidated balance sheet is $1.0 million less accrued interest of $(1.4) million for a total of $(0.4) million. 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 December 31, 2019, the Company pledged real estate securities with a fair value of $3.0 million and cash of $32.1 million as collateral against certain derivatives. Of the $32.1 million of cash pledged as collateral against certain derivatives, $8.5 million represents amounts related to variation margin. The Company’s counterparties posted a de minimis amount of cash as collateral against certain derivatives. Interest rate swaps To help mitigate exposure to increases in interest rates, the Company may use currently-paying and forward-starting, one- or three-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements. This arrangement hedges the Company's exposure to higher interest rates because the variable-rate payments received on the swap agreements largely offset additional interest accruing on the related borrowings due to the higher interest rate, leaving the fixed-rate payments to be paid on the swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the swap agreements and actual borrowing rates. During the six months ended June 30, 2020, the Company sold its interest rate sensitive assets. As a result, the Company did not hold any interest rate swap positions as of June 30, 2020. As of December 31, 2019, the Company’s interest rate swap positions consisted of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of December 31, 2019 ($ in thousands): Maturity Notional Amount Weighted Average Weighted Average Weighted Average 2020 $ 105,000 1.54 % 1.91 % 0.20 2022 743,000 1.64 % 1.91 % 2.68 2023 5,750 3.19 % 1.91 % 3.85 2024 650,000 1.52 % 1.90 % 4.80 2026 180,000 1.50 % 1.89 % 6.70 2029 165,000 1.77 % 1.94 % 9.85 Total/Wtd Avg $ 1,848,750 1.60 % 1.91 % 4.32 TBAs The Company did not hold any TBA positions for the three months ended June 30, 2020. The following tables present information about the Company’s TBAs for the three months ended June 30, 2019 and six months ended June 30, 2020 and June 30, 2019 (in thousands): For the Three Months Ended: Beginning Notional Amount Buys or Covers Sales or Shorts Ending Net Notional Amount Net Fair Value as of Period End Net Receivable/(Payable) from/to Broker Derivative Asset Derivative Liability June 30, 2019 TBAs - Long $ 125,000 $ 737,500 $ (737,500) $ 125,000 $ 126,064 $ (125,612) $ 625 $ (173) TBAs - Short $ — $ — $ (100,000) $ (100,000) $ (102,242) $ 102,230 $ — $ (12) For the Six Months Ended: Beginning Notional Amount Buys or Covers Sales or Shorts Ending Net Notional Amount Net Fair Value as of Period End Net Receivable/(Payable) from/to Broker Derivative Asset Derivative Liability June 30, 2020 TBAs - Long $ — $ 728,000 $ (728,000) $ — $ — $ — $ — $ — June 30, 2019 TBAs - Long $ — $ 1,394,500 $ (1,269,500) $ 125,000 $ 126,064 $ (125,612) $ 625 $ (173) TBAs - Short $ — $ 185,000 $ (285,000) $ (100,000) $ (102,242) $ 102,230 $ — $ (12) |
Earnings per share
Earnings per share | 6 Months Ended |
Jun. 30, 2020 | |
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 June 30, 2020 and June 30, 2019, the Company’s unvested restricted stock units were as follows 20.0 thousand and 40.0 thousand, respectively. 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 six months ended June 30, 2020 and June 30, 2019 (in thousands, except per share data): Three Months Ended Six Months Ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Numerator: Net Income/(Loss) from Continuing Operations $ 2,700 $ 19,871 $ (482,317) $ 50,060 Dividends on preferred stock 5,667 3,367 11,334 6,734 Net income/(loss) from continuing operations available to common stockholders $ (2,967) $ 16,504 $ (493,651) $ 43,326 Net Income/(Loss) from Discontinued Operations 361 (1,193) 361 (2,227) Net income/(loss) available to common stockholders $ (2,606) $ 15,311 $ (493,290) $ 41,099 Denominator: Basic weighted average common shares outstanding 32,859 32,709 32,804 31,636 Dilutive effect of restricted stock units (1) — 28 — 28 Diluted weighted average common shares outstanding 32,859 32,737 32,804 31,664 Earnings/(Loss) Per Share - Basic Continuing Operations $ (0.09) $ 0.50 $ (15.05) $ 1.37 Discontinued Operations 0.01 (0.03) 0.01 (0.07) Total Earnings/(Loss) Per Share of Common Stock $ (0.08) $ 0.47 $ (15.04) $ 1.30 Earnings/(Loss) Per Share - Diluted Continuing Operations $ (0.09) $ 0.50 $ (15.05) $ 1.37 Discontinued Operations 0.01 (0.03) 0.01 (0.07) Total Earnings/(Loss) Per Share of Common Stock $ (0.08) $ 0.47 $ (15.04) $ 1.30 (1) Manager restricted stock units of 16.4 thousand and 17.3 thousand were excluded from the computation of diluted earnings per share because its effect would be anti-dilutive for the three and six months ended June 30, 2020, respectively. On March 27, 2020, the Company announced that its Board of Directors approved a suspension of the Company's quarterly dividends on its common stock, 8.25% Series A Cumulative Redeemable Preferred Stock, 8.00% Series B Cumulative Redeemable Preferred Stock, and 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, beginning with the common stock dividend that normally would have been declared in March 2020 and the preferred stock dividend that would have been declared in May 2020, in order to conserve capital and improve its liquidity position during the market volatility due to the COVID-19 pandemic. Based on current conditions for the Company, the Company does not anticipate paying dividends on its common or preferred stock for the foreseeable future. As a result, the Company did not declare or accrue quarterly dividends on its Common or Preferred Stock during the three months ended June 30, 2020. If the Company’s Board of Directors does not declare a dividend in a given period, an accrual is not recorded on the balance sheet. However, undeclared preferred stock dividends are reflected in earnings per share as discussed in ASC 260-10-45-11. Pursuant to their terms, all unpaid dividends on the Company’s preferred stock accrue without interest, and if dividends on the Company's preferred stock are in arrears, the Company cannot pay cash dividends with respect to its Common Stock. Refer to Note 12 for more information on the Company's common and preferred stock. Refer to "Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations - Book value per share" for a discussion of the treatment of accumulated, unpaid, or undeclared preferred dividends on the Company's book value. The following table details the aggregate and per-share amounts of arrearages in cumulative, unpaid, and undeclared preferred dividends as of June 30, 2020 (in thousands, except per share data): Class of Stock Dividend Per Preferred Share in Arrears Amount of Preferred Dividend in Arrears 8.25% Series A $ 0.51563 $ 1,067 8.00% Series B 0.50 2,300 8.000% Series C 0.50 2,300 Total $ 5,667 Preferred stock dividends that are not declared accumulate and are added to the liquidation preference as of the scheduled payment date for the respective series of the preferred stock. The following tables detail the Company's common stock dividends during the six months ended June 30, 2019: 2019 Declaration Date Record Date Payment Date Dividend Per Share 3/15/2019 3/29/2019 4/30/2019 $ 0.50 6/14/2019 6/28/2019 7/31/2019 0.50 Total $ 1.00 The following tables detail the Company's preferred stock dividends during the six months ended June 30, 2020 and June 30, 2019. Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25% Series A 8.00% Series B 8.000% Series C 2/14/2020 2/28/2020 3/17/2020 $ 0.51563 $ 0.50 $ 0.50 2/15/2019 2/28/2019 3/18/2019 0.51563 0.50 — 5/17/2019 5/31/2019 6/17/2019 0.51563 0.50 — |
Income taxes
Income taxes | 6 Months Ended |
Jun. 30, 2020 | |
Income Tax Disclosure [Abstract] | |
Income taxes | Income taxes As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders, and 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 June 30, 2020, the Company did not record any excise tax expense. For the six months ended June 30, 2020, the Company recorded excise tax expense of $(0.8) million. The reversal of the previously accrued excise tax expense is a result of losses resulting from market conditions associated with the COVID-19 pandemic. For the three and six months ended June 30, 2019, the Company recorded excise tax expense of $0.2 million and $0.3 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 its 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 June 30, 2020 or June 30, 2019. 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 | 6 Months Ended |
Jun. 30, 2020 | |
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 June 30, 2020 and December 31, 2019, 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 six months ended June 30, 2020, the Company incurred management fees of approximately $1.7 million and $3.8 million, respectively. For the three and six months ended June 30, 2019, the Company incurred management fees of approximately $2.4 million and $4.7 million, respectively. On April 6, 2020, the Company and the Manager executed an amendment to the management agreement pursuant to which the Manager agreed to defer the Company's payment of the management fee effective Q1 2020 through September 30, 2020, or such other time as the Company and the Manager agree. 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 by the Company 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 June 30, 2020 and December 31, 2019, 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 $4.5 million and $5.3 million of Other operating expenses for the three and six months ended June 30, 2020, respectively, the Company has incurred $1.9 million and $3.9 million, respectively, representing a reimbursement of expenses. Of the $3.8 million and $7.6 million of Other operating expenses for the three and six months ended June 30, 2019, respectively, the Company has incurred $1.9 million and $3.9 million, respectively, representing a reimbursement of expenses. On April 6, 2020, the Company and the Manager executed an amendment to the management agreement pursuant to which the Manager agreed to defer the Company's payment of the reimbursement of expenses effective Q1 2020 through September 30, 2020, or such other time as the Company and the Manager agree. Secured debt On April 10, 2020, in connection with the first Forbearance Agreement, the Company issued a secured promissory note (the "Note") to the Manager evidencing a $10 million loan made by the Manager to the Company. Additionally, on April 27, 2020, in connection with the second Forbearance Agreement, the Company and the Manager entered into an amendment to the Note to reflect an additional $10 million loan by the Manager to the Company. The $10 million loan made by the Manager on April 10, 2020 is payable on March 31, 2021, and the $10 million loan made on April 27, 2020 was repaid in full with interest when it matured on July 27, 2020. The unpaid balance of the Note accrues interest at a rate of 6.0% per annum. Interest on the Note is payable monthly in kind through the addition of such accrued monthly interest to the outstanding principal balance of the Note. The Manager agreed to subordinate the obligations of the Company with respect to the Note and liens held by the Manager for the security of the performance of the Company's obligations under the Note to the Company's obligations to the Participating Counterparties and to the secured promissory note payable to Royal Bank of Canada. The Company's obligations to the Participating Counterparties and to the secured promissory note payable to Royal Bank of Canada were satisfied or released as of June 30, 2020. Restricted stock grants Effective on April 15, 2020 upon the approval of the Company's stockholders at its Annual Meeting, the 2020 Equity Incentive Plan provides for 2,000,000 shares of common stock to be issued. The maximum number of shares of common stock granted during a single fiscal year to any non-employee director, taken together with any cash fees paid to such non-employee director during any fiscal year, shall not exceed $300,000 in total value (calculating the value of any such awards based on the grant date fair value). As of June 30, 2020, 1,925,209 shares of common stock were available to be awarded under the Equity Incentive Plan. Since its IPO, the Company has granted an aggregate of 180,585 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 June 30, 2020, all the shares of restricted common stock granted to the Company’s Manager and independent directors have vested and 99,991 restricted stock units granted to the Company’s Manager have vested. The 20,009 restricted stock units that have not vested as of June 30, 2020 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 when the units vest on 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. Beginning in 2019, the Company increased the annual fee paid to the lead independent director from $15,000 to $25,000. On March 25, 2020, the Company's Board of Directors decreased from 5 independent directors to 4 independent directors. On June 19, 2020, the Company's Board of Directors decreased from 4 independent directors to 3 independent directors. Pursuant to the Forbearance Agreement previously discussed, the Company, among other things, agreed to compensate its independent directors solely with common stock for the quarter ended March 31, 2020. 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. See Note 2 for the gross fair value of the Company's share of these investments as of June 30, 2020 and December 31, 2019. During Q3 2018, the Company transferred certain of its CMBS from certain of its non-wholly owned subsidiaries to a fully consolidated entity. See Note 2 for further detail. The Company’s investment in AG Arc is reflected on the "Investments in debt and equity of affiliates" line item on its consolidated balance sheets. The Company has an approximate 44.6% interest in AG Arc. See Note 2 for the fair value of AG Arc as of June 30, 2020 and December 31, 2019. 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, currently with licenses to conduct business in 50 states, including Washington D.C. Through this subsidiary, Arc Home originates conforming, Government, Jumbo, Non-QM 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. 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, directly or through its subsidiaries, has entered into agreements with Arc Home to purchase rights to receive the excess servicing spread related to certain of Arc Home's MSRs. As of June 30, 2020 and December 31, 2019, these Excess MSRs had fair value of approximately $12.7 million and $18.2 million, respectively. 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. This commitment was increased by $25.0 million to $100.0 million on March 28, 2019 and by $5.0 million to $105.0 million on August 23, 2019 with amendments to the MATH LLC Agreement. On April 3, 2020, the financing arrangements within MATT were restructured and the previously mentioned commitment was removed. Refer to Note 2 for further detail on this restructuring. The Company has an approximate 44.6% interest in MATH. On May 15, 2019 and November 14, 2019, the Company, alongside private funds under the management of Angelo Gordon and a third party, entered into the LOTS I and LOTS II Agreements, respectively (collectively, "LOTS"), which requires the Company to fund various commitments to LOTS in connection with the origination of Land Related Financing. Refer to Note 13 for additional information. Transactions with affiliates In connection with the Company’s investments in residential mortgage loans, residential mortgage loans in securitized form which are issued by an entity in which the Company holds an equity interest in and which are held alongside other private funds under the management of Angelo Gordon (the "Re/Non-Performing Loans") and non-QM loans, the Company may engage asset managers to provide advisory, consultation, asset management and other services. Beginning in November 2015, the Company also engaged Red Creek Asset Management LLC ("Asset Manager"), an affiliate of the Manager and direct subsidiary of Angelo Gordon, as the asset manager for certain of its Re/Non-Performing Loans. Beginning in September 2019, the Company engaged the Asset Manager as the asset manager for its non-QM loans. The Company pays the Asset Manager separate arm’s-length asset management fees as assessed and confirmed periodically by a third party valuation firm for its Re/Non-Performing Loans and non-QM loans. In the third quarter of 2019, the third party assessment of asset management fees resulted in the Company updating the fee amount for its Re/Non-Performing Loans. The Company also utilized the third party valuation firm to establish the fee level for non-QM loans in the third quarter of 2019. For the six months ended June 30, 2020, the fees paid by the Company to the Asset Manager totaled $0.3 million. For the three and six months ended June 30, 2019, the fees paid by the Company to the Asset Manager totaled $0.1 million and $0.3 million, respectively. For the three and six months ended June 30, 2020, the Company deferred $0.3 million and $0.4 million, respectively, of fees owed to the Asset Manager and plans to continue to defer fees through September 30, 2020 or such other time as the Company and the Manager agree. 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 six months ended June 30, 2020, the administrative fees paid by the Company to Arc Home totaled $0.1 million and $0.2 million, respectively. For the three and six months ended June 30, 2019, the administrative fees paid by the Company to Arc Home totaled $0.1 million and $0.2 million, respectively. In March 2019, 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 "March 2019 Selling Affiliate"). As of the date of the trade, the security acquired from the March 2019 Selling Affiliate had a total fair value of $0.9 million. The March 2019 Selling Affiliate sold the real estate security through a BWIC (Bids Wanted in Competition). Prior to the submission of the BWIC by the March 2019 Selling Affiliate, the Company submitted its bid for the real estate security to the March 2019 Selling Affiliate. The pre-submission of the Company's bid allowed the Company to confirm third-party market pricing and best execution. In June 2019, the Company, alongside private funds under the management of Angelo Gordon, participated, through its unconsolidated ownership interest in MATT, in a rated non-QM loan securitization, in which non-QM loans with a fair value of $408.0 million were securitized. Certain senior tranches in the securitization were sold to third parties with the Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $42.9 million as of June 30, 2019. The Company has a 44.6% interest in the retained subordinate tranches. In July 2019, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities from an affiliate of the Manager (the "July 2019 Selling Affiliate"). As of the date of the trade, the real estate securities acquired from the July 2019 Selling Affiliate had a total fair value of $2.0 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 independent third-party pricing vendors. The third-party pricing vendors allowed the Company to confirm third-party market pricing and best execution. In September 2019, the Company, alongside private funds under the management of Angelo Gordon, participated, through its unconsolidated ownership interest in MATT, in a rated non-QM loan securitization, in which non-QM loans with a fair market value of $415.1 million were securitized. Certain senior tranches in the securitization were sold to third parties with the Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair market value of $28.7 million as of September 30, 2019. The Company has a 44.6% interest in the retained subordinate tranches. In October 2019, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities from an affiliate of the Manager (the "October 2019 Selling Affiliate"). As of the date of the trade, the real estate securities acquired from the October 2019 Selling Affiliate had a total fair value of $2.2 million. The October 2019 Selling Affiliate sold the real estate securities through a BWIC. Prior to the submission of the BWIC by the October 2019 Selling Affiliate, the Company submitted its bid for real estate securities to the October 2019 Selling Affiliate. The Company’s pre-submission of its bid allowed the Company to confirm third-party market pricing and best execution. In November 2019, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated non-QM loan securitization, in which non-QM loans with a fair value of $322.1 million were securitized. Certain senior tranches in the securitization were sold to third parties with the Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $21.4 million as of December 31, 2019. The Company has a 44.6% interest in the retained subordinate tranches. In February 2020, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated non-QM loan securitization, in which non-QM loans with a fair value of $348.2 million were securitized. Certain senior tranches in the securitization were sold to third parties with the Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $26.6 million as of March 31, 2020. The Company has a 44.6% interest in the retained subordinate tranches. |
Equity
Equity | 6 Months Ended |
Jun. 30, 2020 | |
Equity [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 June 30, 2020, $591.2 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 completed 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 in 2018 through the expiration date on July 6, 2018. In addition to the Company’s Series A and Series B Preferred Stock, the Company completed a public offering of 4,000,000 shares of 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock with a liquidation preference of $25.00 per share (the "Series C Preferred Stock") on September 17, 2019. The Company subsequently issued 600,000 shares of Series C Preferred Stock pursuant to the underwriters' exercise of their over-allotment option. The Company received total gross proceeds of $115.0 million and net proceeds of approximately $111.2 million, net of underwriting discounts, commissions and expenses. The Company’s Series A, Series B and Series C 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, Series B and Series C Preferred Stock are convertible to shares of the Company’s common stock. Holders of the Company’s Series A, Series B and Series C Preferred Stock have no voting rights, except under limited conditions, and holders are entitled to receive cumulative cash dividends at a the respective stated rate per annum before holders of the common stock are entitled to receive any cash dividends. The dividend rate of the Series A and Series B preferred stock is 8.25% and 8.00% per annum, respectively, of the $25.00 per share liquidation preference. The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, is 8.000% per annum of the $25.00 per share liquidation preference. On and after September 17, 2024, dividends on the Series C Preferred Stock will accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the three-month LIBOR plus a spread of 6.476% per annum. 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. Shares of the Company's Series C Preferred Stock are redeemable at $25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on September 17, 2024, or earlier under certain circumstances intended to preserve our qualification as a REIT for Federal income tax purposes. Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December. The Company's Series A, Series B and Series C Preferred Stock generally do not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, holders of the Company's Series A, Series B and Series C Preferred Stock voting together as a single class with the holders of all other classes or series of our preferred stock upon which like voting rights have been conferred and are exercisable and which are entitled to vote as a class with the Company's Series A, Series B and Series C Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of any series of the Company's Series A, Series B and Series C Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of the series of the Company's Series A, Series B and Series C Preferred Stock whose terms are being changed. As of June 30, 2020, the Company had not declared all required quarterly dividends on the Company’s Series A, Series B and Series C Preferred Stock. On March 27, 2020, the Company announced that its Board of Directors approved a suspension of the Company's quarterly dividends on its 8.25% Series A Cumulative Redeemable Preferred Stock, 8.00% Series B Cumulative Redeemable Preferred Stock and 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, beginning with the preferred dividend that would have been declared in May 2020, in order to conserve capital and improve its liquidity position during the market volatility due to the COVID-19 pandemic as well as a suspension of the quarterly dividend on the Common Stock, beginning with the dividend that normally would have been declared in March 2020. Based on current conditions for the Company, the Company does not anticipate paying dividends on its common or preferred stock for the foreseeable future. Refer to Note 9 for more information on the arrearages related to the Company's preferred stock. Under the terms governing our series of preferred stock, we cannot pay cash dividends with respect to our common stock if dividends on our preferred stock are in arrears. 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 the Company's 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 three and six months ended June 30, 2020 and June 30, 2019, 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 under the Securities Act of 1933. The Equity Distribution Agreements were amended on May 22, 2018 in conjunction with the filing of the Company’s 2018 Registration Statement. For the three and six months ended June 30, 2020, the Company sold 1.0 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $3.5 million. For the three and six months ended June 30, 2019, the Company sold 0.5 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $8.6 million. As of June 30, 2020, the Company has sold approximately 2.5 million shares of common stock under the Equity Distribution Agreements for gross proceeds of $31.1 million, with $68.9 million available to be issued. On February 14, 2019, the Company completed a public offering of 3,000,000 shares of its common stock and subsequently issued an additional 450,000 shares pursuant to the underwriters' exercise of their over-allotment option at a price of $16.70 per share. Net proceeds to the Company from the offering were approximately $57.4 million, after deducting estimated offering expenses. |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2020 | |
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. As of June 30, 2020, other than as set forth below, the Company was not involved in any material legal proceedings. On March 25, 2020, certain of the Company's subsidiaries filed a suit in federal district court in New York seeking to enjoin Royal Bank of Canada and one of its affiliates ("RBC") from selling certain assets that the Company had on repo with RBC and seeking damages ( AG MIT CMO et al. v. RBC (Barbados) Trading Corp. et al . , 20-cv-2547, U.S. District Court, Southern District of New York) . On March 31, 2020, the Company withdrew, as moot, its request for injunctive relief in the complaint based on the court's ruling on March 25, 2020 relating to the sale at issue. As previously disclosed in a Form 8-K filed with the SEC on June 2, 2020, the Company entered into a settlement agreement with RBC on May 28, 2020, pursuant to which the Company and RBC mutually released each other from further claims related to the repurchase agreements at issue. As part of the settlement, and to resolve all claims by either party under the repurchase agreements, the Company paid RBC $5.0 million in cash and issued to RBC a secured promissory note in the principal amount of $2.0 million. On June 11, 2020, the Company repaid the secured promissory note due to RBC in full. The Company has recognized this settlement in the "Net realized gain/(loss)" line item on the consolidated statement of operations. As a result, as of June 30, 2020, the Company has satisfied all of its payment obligations to RBC under the settlement agreement and promissory note, and, as previously reported, the federal lawsuit has been voluntarily dismissed with prejudice. As of June 30, 2020, the Company has also recorded a loss of $11.6 million related to deficiencies asserted by other counterparties. The Company has recognized these losses in the "Net realized gain/(loss)" line item on the consolidated statement of operations. As of the date of issuance of these financial statements, MITT has resolved and settled all deficiency claims with lenders. The below table details the Company's outstanding commitments as of June 30, 2020 (in thousands): Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment Commercial loan G (a) July 26, 2018 $ 84,515 $ 56,710 $ 27,805 Commercial loan I (a) January 23, 2019 20,000 15,212 4,788 Commercial loan J (a) February 11, 2019 30,000 6,291 23,709 Commercial loan K (a) February 22, 2019 20,000 12,673 7,327 LOTS (b) Various 40,819 22,999 17,820 Total $ 195,334 $ 113,885 $ 81,449 (a) The Company entered into commitments on commercial loans relating to construction projects. See Note 4 for further details. (b) Refer to Note 11 "Investments in debt and equity of affiliates" for more information regarding LOTS. |
Discontinued Operations and Ass
Discontinued Operations and Assets and Liabilities Held for Sale | 6 Months Ended |
Jun. 30, 2020 | |
Discontinued Operations and Disposal Groups [Abstract] | |
Discontinued Operations and Assets and Liabilities Held for Sale | Discontinued Operations and Assets and Liabilities Held for Sale In November 2019, the Company signed a purchase and sale agreement whereby it agreed to sell its portfolio of single-family rental properties to a third party at a price of approximately $137 million as the portfolio was under-performing. The Company recognized a gain of $0.2 million as a result of the transaction. The Company reclassified the operating results of its single-family rental properties segment as discontinued operations and excluded it from continuing operations for all periods presented. As of June 30, 2020 and December 31, 2019, the Company has disposed of substantially all of its single-family rental properties segment. The table below presents our results of operations for the three and six months ended June 30, 2020 and June 30, 2019, for the single-family rental properties segment's discontinued operations as reported separately as net income (loss) from discontinued operations, net of tax (in thousands): Three Months Ended Six Months Ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Interest expense $ — $ (1,247) $ — $ (2,494) Other Income/(Loss) Rental income — 3,162 — 6,559 Net realized gain/(loss) — (69) — (96) Other income — 130 — 312 Total Other Income/(Loss) — 3,223 — 6,775 Expenses Other operating expenses (80) 43 (80) 92 Property depreciation and amortization — 1,180 — 2,627 Property operating expenses (281) 1,946 (281) 3,789 Total Expenses (361) 3,169 (361) 6,508 Net Income/(Loss) from Discontinued Operations $ 361 $ (1,193) $ 361 $ (2,227) In the second quarter of 2020, the Company reversed certain previously accrued expenses related to discontinued operations. The table below presents our statement of net position for the years ended June 30, 2020 and December 31, 2019, respectively, for the single-family rental properties segment's discontinued operations as reported separately as assets and liabilities held for sale on our consolidated balance sheets (in thousands): June 30, 2020 December 31, 2019 Assets Other assets $ — $ 154 Total Assets — 154 Liabilities Other liabilities 305 1,546 Total $ 305 $ 1,546 |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events The Company sold 0.4 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $1.2 million, which settled in July. Subsequent to quarter end, the Company sold certain CMBS positions for proceeds of approximately $24.4 million. |
Summary of significant accoun_2
Summary of significant accounting policies (Policies) | 6 Months Ended |
Jun. 30, 2020 | |
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 June 30, 2020, the Company held $68.2 million of cash and cash equivalents, none of which were cash equivalents. As of December 31, 2019, the Company held $81.7 million of cash and cash equivalents, of which $53.2 million were cash equivalents. The Company places its cash with high credit quality institutions to reduce 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 "Other liabilities" line item on the consolidated balance sheets and in cash flows from financing activities on the consolidated statement of cash flows. Due to broker, which is included in the "Other liabilities" line item on the consolidated balance sheets, does not include variation margin received on centrally cleared derivatives. See Note 8 for more detail. Any cash due to the Company in the form of principal payments is included in the "Other assets" 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, and financing arrangements. Prior to the disposition of the Company's SFR portfolio, restricted cash also included cash deposited into accounts related to rent deposits and collections, security deposits, property taxes, insurance premiums, interest expenses, property management fees and capital expenditures. Restricted cash is not available to the Company for general corporate purposes. 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 8 for more detail. |
Offering costs | Offering costs |
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. See Note 1 under " COVID-19 Impact " for more detail. |
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. See Note 9 for aggregate amounts of arrearages in cumulative preferred dividends and Note 12 for further detail on the Company’s common and preferred stock. |
Valuation of financial instruments | Valuation of financial instruments The fair value of the financial instruments that the Company records at fair value is 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. At the beginning of the first quarter of 2020, the Manager completed a data collection and analysis effort, which supported an update to its Leveling policy under ASC 820. Among the data collected and analyzed were: (i) reports from TRACE, FINRA’s Trade Reporting and Compliance Engine, that reports over-the-counter secondary market transactions in eligible fixed income securities, (ii) information from pricing vendors regarding valuation approaches and observability of market color, (iii) data points collected from discussions with industry sources, including peer firms and audit firms, and (iv) its own data from back testing vendor pricing against its own trades. After analyzing this data, the Manager concluded that there was sufficient observability of market inputs used by its third-party pricing services for certain RMBS and CMBS positions previously categorized as Level 3 to meet the criteria for a Level 2 classification. The Company considered whether the volatile market conditions related to the COVID-19 pandemic would have an impact on its Leveling policy under ASC 820, as amended on January 1, 2020. Based on due diligence, there have been no significant changes in any of the pricing services’ fair value methodologies or processes as a result of COVID-19. Additionally, despite increased price volatility and widening of bid-ask spreads, the Company does not believe the pricing services’ ability to determine fair values was adversely impacted. As a result, the Company concluded there was no migration from Level 2 to Level 3 as a result of COVID-19. |
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 value on the consolidated balance sheets and the periodic change in fair 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. Purchases and sales of real estate securities are recorded on the trade date. 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. The Company recognizes certain upfront costs and fees relating to securities for which the fair value option has been elected in current period earnings as incurred and does not defer those costs, which is in accordance with ASC 825-10-25. 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. In June 2016, FASB issued ASU 2016-13, "Financial Instruments – Credit Losses" ("ASU 2016-13"). This new guidance significantly changes how entities will measure credit losses for most financial assets, including loans, that are not measured at fair value with changes in fair value recognized through net income. The Company adopted the new guidance as of January 1, 2020. The new guidance specifically excludes available-for-sale securities and loans measured at fair value, with changes in fair value recognized through net income. Accordingly, the impact of the new guidance on accounting for the Company's debt securities and loans is limited to recognition of effective yield which was historically impacted by other than temporary impairment recorded under current standards. As the new guidance eliminates the accounting for other than temporary impairment, this guidance has impacted the Company's unrealized and realized gain/(loss) amounts. Depending on the fair value and projected cash flows as of a given reporting date, the impact of this guidance could be material. Prior to the adoption of ASU 2016-13, the Company accounted for its securities under ASC 310 and ASC 325 and evaluated securities for other-than-temporary impairment ("OTTI") on at least a quarterly basis. The determination of whether a security was other-than-temporarily impaired involved judgments and assumptions based on subjective and objective factors. When the fair value of a real estate security was less than its amortized cost at the balance sheet date, the security was considered impaired, and the impairment was designated as either "temporary" or "other-than-temporary." When a real estate security was impaired, an OTTI was considered to have occurred if (i) the Company intended to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it was more likely than not that the Company was required to sell the security before recovery of its amortized cost basis. If the Company intended to sell the security or if it was more likely than not that the Company was required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, was recognized in earnings as a realized loss and the cost basis of the security was adjusted to its fair value. Additionally, for securities accounted for under ASC 325-40 an OTTI was deemed to have occurred when there was an adverse change in the expected cash flows to be received and the fair value of the security was 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), was compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflected those a "market participant" would use and included 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 were discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments were reflected in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The determination as to whether an OTTI existed was subjective, given that such determination was 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 constituted an accounting estimate that could change materially over time. Increases in interest income could have been recognized on a security on which the Company previously recorded an OTTI charge if the performance of such security subsequently improved. 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 ("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 value on the consolidated balance sheets and any periodic change in fair 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." The Company recognizes certain upfront costs and fees relating to loans for which the fair value option has been elected in current period earnings as incurred and does not defer those costs, which is in accordance with ASC 825-10-25. Purchases and sales of mortgage loans are recorded on the settlement date, concurrent with the completion of due diligence and the removal of any contingencies. Prior to the settlement date, the Company will include commitments to purchase loans within the Commitments and Contingencies footnote to the financial statements. 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 the Manager, 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 |
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, loans, and certain derivatives. These types of investments may also be held directly by the Company. These entities have chosen to make a fair value election on their financial instruments and certain financing arrangements pursuant to ASC 825; as such, the Company will treat these financial instruments and financing arrangements consistently with this election. On December 9, 2015, the Company, alongside private funds managed by Angelo Gordon, through AG Arc LLC, one of the Company’s indirect subsidiaries ("AG Arc"), formed Arc Home LLC ("Arc Home"). 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, Non-QM, 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. The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. On August 29, 2017, the Company, alongside private funds managed by Angelo Gordon, formed Mortgage Acquisition Holding I LLC ("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-QM" loans, which are residential mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the CFPB. Non-QM loans are not eligible for delivery to Fannie Mae, Freddie Mac, or Ginnie Mae. MATT has made an election to be treated as a real estate investment trust beginning with the 2018 tax year. On April 3, 2020, the Company, alongside private funds under the management of Angelo Gordon, restructured its financing arrangements in MATT ("Restructured Financing Arrangement"). The Restructured Financing Arrangement requires all principal and interest on the underlying assets in MATT be used to pay down principal and interest on the outstanding financing arrangement. As of April 3, 2020, the Restructured Financing Arrangement is no longer a mark-to-market facility with respect to margin calls and is non-recourse to the Company. The Restructured Financing Arrangement provides for a termination date of October 1, 2021. At the earlier of the termination date or the securitization or sale by the Company of the remaining assets subject to the Restructured Financing Arrangement, the financing counterparty (which is a non-affiliate) will be entitled to 35% of the remaining equity in the assets. The Company evaluated this restructuring and concluded it was an extinguishment of debt. MATT has chosen to make a fair value election on this financing arrangement, and the Company will treat this arrangement consistently with this election. On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by Angelo Gordon, formed LOT SP I LLC and LOT SP II LLC, respectively, (collectively, "LOTS"). LOTS were formed to originate first mortgage loans to third party land developers and home builders for the acquisition and horizontal development of land ("Land Related Financing"). During Q3 2018, the Company transferred certain of its CMBS from certain of its non-wholly owned subsidiaries accounted for as an equity method investment 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 of 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 of affiliates" line item to the "CMBS" line item on its consolidated statements of cash flows. The below table reconciles the fair value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheet (in thousands). June 30, 2020 December 31, 2019 Assets Liabilities Equity Assets Liabilities Equity Real Estate Securities, Excess MSRs and Loans, at fair value (1)(2) $ 307,130 $ (217,856) $ 89,274 $ 373,126 $ (257,068) $ 116,058 AG Arc, at fair value 28,030 — 28,030 28,546 — 28,546 Cash and Other assets/(liabilities) 9,276 (3,651) 5,625 12,953 (1,246) 11,707 Investments in debt and equity of affiliates $ 344,436 $ (221,507) $ 122,929 $ 414,625 $ (258,314) $ 156,311 (1) Certain loans held in securitized form are presented net of non-recourse securitized debt. (2) Within Real Estate Securities, Excess MSRs and Loans is $243.7 million and $254.3 million of fair value of Non-QM loans held in MATT at June 30, 2020 and December 31, 2019, respectively. Additionally, there is $23.8 million and $17.0 million of fair value of Land Related Financing held in LOTS at June 30, 2020 and December 31, 2019, respectively. The Company’s investments in debt and equity of affiliates are recorded at fair value on the consolidated balance sheets in the "Investments in debt and equity of affiliates" line item and periodic changes in fair 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 value on the consolidated balance sheets and any periodic change in fair 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. 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. Prior to the adoption of ASU 2016-13, decreases in cash flows expected to be collected from previously projected cash flows, which included 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, could have been recognized as impairment. Increases in interest income could have been recognized on an Excess MSR on which the Company previously recorded an OTTI charge if the performance of such Excess MSR subsequently improved. |
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 is 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. If the Company determines that consolidation is not required, it will then assess whether the transfer of the underlying assets would qualify as a sale, should be accounted for as secured financings under GAAP, or should be accounted for as an equity method investment, depending on the circumstances. See Note 3 and Note 4 for more detail. 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 an 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. The Company entered into a resecuritization transaction in 2014 (the "December 2014 VIE") 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. The transferred assets were recorded as a secured borrowing, based on the Company’s involvement in the December 2014 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 December 2014 VIE. The Company has chosen to make a fair value election pursuant to ASC 825 for its secured borrowings. As of June 30, 2020, the Company did not hold any interest in the December 2014 VIE. In connection with the deconsolidation, the Company recorded a realized gain of $2.1 million. 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 wholly owned entity so the Company could obtain financing on these real estate securities (the "August 2018 VIE"). The Company evaluated whether this newly formed entity was a VIE and, whether it should be consolidated. The Company determined that the August 2018 VIE should be consolidated by the Company based on the Company’s 100% equity ownership in the August 2018 VIE (despite a profit participation interest held by an unaffiliated third party in the August 2018 VIE), the Company's involvement in the August 2018 VIE, 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 the August 2018 VIE. As of June 30, 2020, the Company did not hold any interest in the August 2018 VIE. In connection with the deconsolidation, the Company recorded a loss of $8.3 million. See Note 3 below as well as the "Investments in debt and equity of affiliates" section above for more detail. The Company entered into a securitization transaction of certain of its re-performing residential mortgage loans in Q3 2019, 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 securitization were transferred. In determining the accounting treatment to be applied to this securitization 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 and, as a result, transferred assets of the VIE were determined to be secured borrowings. The Company has chosen to make a fair value election pursuant to ASC 825 for its secured borrowings. See Note 4 below for more detail. From time to time the Company purchases residual positions where it consolidates the securitization and the positions are recorded on the Company's books as residential mortgage loans. There may be limited data available regarding the underlying collateral of such securitizations. 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. 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 "residential mortgage loans" 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 is reflected as an adjustment to interest income in the consolidated statement of operations. |
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 revolving facilities. Repurchase agreements and financing facilities are treated as collateralized financing transactions and carried at 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. |
Recent accounting pronouncements | Recent accounting pronouncementsIn June 2016, FASB issued ASU 2016-13, "Financial Instruments – Credit Losses" ("ASU 2016-13"). This new guidance significantly changes how entities will measure credit losses for most financial assets, including loans, that are not measured at fair value with changes in fair value recognized through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost. It requires entities to record credit allowances for available-for-sale debt securities rather than reduce the carrying amount, as it currently is under the other-than temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans. The Company adopted the new guidance as of January 1, 2020. The new guidance specifically excludes available-for-sale securities and loans measured at fair value with changes in fair value recognized through net income. Accordingly, the impact of the new guidance on accounting for the Company's debt securities and loans is limited to recognition of effective yield which was historically impacted by other than temporary impairment recorded under previously existing standards. As the new guidance eliminates the accounting for other than temporary impairment, this guidance had an impact on the Company's unrealized and realized gain/(loss) amounts. |
Summary of significant accoun_3
Summary of significant accounting policies (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Accounting Policies [Abstract] | |
Schedule of investments in debt and equity of affiliates | The below table reconciles the fair value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheet (in thousands). June 30, 2020 December 31, 2019 Assets Liabilities Equity Assets Liabilities Equity Real Estate Securities, Excess MSRs and Loans, at fair value (1)(2) $ 307,130 $ (217,856) $ 89,274 $ 373,126 $ (257,068) $ 116,058 AG Arc, at fair value 28,030 — 28,030 28,546 — 28,546 Cash and Other assets/(liabilities) 9,276 (3,651) 5,625 12,953 (1,246) 11,707 Investments in debt and equity of affiliates $ 344,436 $ (221,507) $ 122,929 $ 414,625 $ (258,314) $ 156,311 (1) Certain loans held in securitized form are presented net of non-recourse securitized debt. (2) Within Real Estate Securities, Excess MSRs and Loans is $243.7 million and $254.3 million of fair value of Non-QM loans held in MATT at June 30, 2020 and December 31, 2019, respectively. Additionally, there is $23.8 million and $17.0 million of fair value of Land Related Financing held in LOTS at June 30, 2020 and December 31, 2019, respectively. |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of real estate securities portfolio | The following table details the Company’s real estate securities portfolio as of June 30, 2020 ($ in thousands): Gross Unrealized Weighted Average Current Face Premium / (Discount) Amortized Cost Gains Losses Fair Value Coupon (1) Yield Credit Investments: Non-Agency RMBS $ 63,228 $ (16,880) $ 46,348 $ 3,736 $ (4,593) $ 45,491 4.95 % 8.43 % Non-Agency RMBS Interest Only (2) 183,667 (183,590) 77 301 (52) 326 0.59 % NM Total Non-Agency: 246,895 (200,470) 46,425 4,037 (4,645) 45,817 2.40 % 8.43 % CMBS 121,193 (17,692) 103,501 1,584 (22,664) 82,421 4.06 % 5.63 % CMBS Interest Only 687,447 (683,134) 4,313 87 (167) 4,233 0.10 % 7.02 % Total CMBS: 808,640 (700,826) 107,814 1,671 (22,831) 86,654 0.63 % 5.70 % Total Credit Investments: $ 1,055,535 $ (901,296) $ 154,239 $ 5,708 $ (27,476) $ 132,471 0.89 % 6.64 % (1) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. (2) Non-Agency RMBS Interest Only includes only two investments. The overall impact of the investments' yields on the Company's portfolio is immaterial. The following table details the Company’s real estate securities portfolio as of December 31, 2019 ($ in thousands): Gross Unrealized Weighted Average Current Face Premium / (Discount) Amortized Cost Gains Losses Fair Value Coupon (1) Yield Agency RMBS: 30 Year Fixed Rate $ 2,125,067 $ 59,123 $ 2,184,190 $ 57,404 $ (296) $ 2,241,298 3.73 % 3.17 % Interest Only 476,192 (403,248) 72,944 2,330 (1,133) 74,141 3.93 % 5.87 % Total Agency RMBS: 2,601,259 (344,125) 2,257,134 59,734 (1,429) 2,315,439 3.77 % 3.26 % Credit Investments: Non-Agency RMBS 769,254 (107,848) 661,406 55,343 (353) 716,396 4.84 % 6.28 % Non-Agency RMBS Interest Only 209,362 (207,948) 1,414 — (340) 1,074 0.77 % 5.96 % Total Non-Agency: 978,616 (315,796) 662,820 55,343 (693) 717,470 4.40 % 6.28 % CMBS 485,713 (134,596) 351,117 18,720 (906) 368,931 4.91 % 7.28 % CMBS Interest Only 3,427,025 (3,382,273) 44,752 3,486 (246) 47,992 0.24 % 6.68 % Total CMBS: 3,912,738 (3,516,869) 395,869 22,206 (1,152) 416,923 0.60 % 7.21 % Total Credit Investments: 4,891,354 (3,832,665) 1,058,689 77,549 (1,845) 1,134,393 1.31 % 6.62 % Total $ 7,492,613 $ (4,176,790) $ 3,315,823 $ 137,283 $ (3,274) $ 3,449,832 2.20 % 4.37 % (1) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. |
Schedule of weighted average life of real estate securities | The following table details the weighted average life of our real estate securities as of June 30, 2020 ($ in thousands): Credit Investments Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (2) Less than or equal to 1 year $ 21,836 $ 29,004 1.55 % Greater than one year and less than or equal to five years 43,984 56,366 0.64 % Greater than five years and less than or equal to ten years 29,651 31,077 0.53 % Greater than ten years 37,000 37,792 4.32 % Total $ 132,471 $ 154,239 0.89 % (1) This is based on projected life. Typically, actual maturities of mortgage-backed securities are 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) 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 and Credit Investments as of December 31, 2019 ($ in thousands): Agency RMBS Credit Investments Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon (2) Less than or equal to 1 year $ — $ — — % $ 82,474 $ 82,273 0.56 % Greater than one year and less than or equal to five years 313,855 302,520 4.01 % 525,192 508,038 1.29 % Greater than five years and less than or equal to ten years 2,001,584 1,954,614 3.71 % 296,665 263,300 1.06 % Greater than ten years — — — 230,062 205,078 5.46 % Total $ 2,315,439 $ 2,257,134 3.77 % $ 1,134,393 $ 1,058,689 1.31 % (1) This is based on projected life. Typically, actual maturities of mortgage-backed securities are 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) 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 related to the December 2014 VIE and August 2018 VIE as further described in Note 2 as of December 31, 2019 (in thousands). As of June 30, 2020, the Company did not hold any interest in these VIEs. December 31, 2019 Assets Real estate securities, at fair value: Non-Agency $ 13,838 CMBS 94,500 Other assets 808 Total assets $ 109,146 Liabilities Financing arrangements $ 70,712 Securitized debt, at fair value 7,230 Other liabilities 3,553 Total liabilities $ 81,495 The following table details certain information related to the December 2014 VIE as of December 31, 2019 ($ in thousands): Weighted Average Current Face Fair Value Coupon Yield Life (Years) (1) Consolidated tranche (2) $ 7,204 $ 7,230 3.46 % 4.11 % 1.96 Retained tranche 7,851 6,608 5.37 % 18.14 % 7.64 Total resecuritized asset (3) $ 15,055 $ 13,838 4.46 % 10.81 % 4.92 (1) This is based on projected life. Typically, actual maturities of investments and loans are 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, 2019, the Company has recorded secured financing of $7.2 million on the consolidated balance sheets in the "Securitized debt, at fair value" line item. The Company recorded the proceeds from the issuance of the secured financing in the "Cash Flows from Financing Activities" section of the consolidated statement of cash flows at the time of securitization. (3) As of December 31, 2019, the fair market value of the total resecuritized asset is included in the Company’s consolidated balance sheets as "Non-Agency." The following table details certain information related to the assets and liabilities of the August 2019 VIE as of June 30, 2020 and December 31, 2019 ($ in thousands): June 30, 2020 December 31, 2019 Assets Residential mortgage loans, at fair value $ 223,119 $ 255,171 Other assets 766 898 Total assets $ 223,885 $ 256,069 Liabilities Financing arrangements $ 9,392 $ 24,584 Securitized debt, at fair value 198,974 217,118 Other liabilities 534 596 Total liabilities $ 208,900 $ 242,298 The following table details additional information regarding loans and securitized debt related to the August 2019 VIE as of June 30, 2020 and December 31, 2019 ($ in thousands): Weighted Average As of: Current Unpaid Principal Balance Fair Value Coupon Yield Life (Years) (1) June 30, 2020 Residential mortgage loans (2) $ 254,936 $ 223,119 3.51 % 4.81 % 6.85 Securitized debt (3) 213,233 198,974 2.95 % 2.95 % 5.19 December 31, 2019 Residential mortgage loans (2) 263,956 255,171 3.96 % 5.11 % 7.66 Securitized debt (3) 217,455 217,118 2.92 % 2.86 % 5.00 (1) This is based on projected life. Typically, actual maturities of investments and loans are 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) This represents all loans contributed to the August 2019 VIE. (3) As of June 30, 2020 and December 31, 2019, the Company has recorded secured financing of $199.0 million and $217.1 million, respectively, on the consolidated balance sheets in the "Securitized debt, at fair value" line item. The Company recorded the proceeds from the issuance of the secured financing in the "Cash Flows from Financing Activities" section of the consolidated statement of cash flows at the time of securitization. |
Loans (Tables)
Loans (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Receivables [Abstract] | |
Schedule of company's residential mortgage loan portfolio and commercial loan portfolio | The table below details information regarding the Company’s residential mortgage loan portfolio as of June 30, 2020 and December 31, 2019 ($ in thousands): Gross Unrealized Weighted Average As of Unpaid Principal Balance Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life June 30, 2020 $ 471,458 $ (65,122) $ 406,336 $ 829 $ (27,343) $ 379,822 3.52 % 5.25 % 6.45 December 31, 2019 464,041 (55,219) 408,822 9,065 (102) 417,785 4.09 % 5.72 % 7.36 (1) This is based on projected life. Typically, actual maturities of residential mortgage loans are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following table presents detail on the Company’s commercial loan portfolio on June 30, 2020 ($ in thousands). Weighted Average Loan Current Face Premium (Discount) Amortized Cost Gross Unrealized Losses Fair Value (3) Coupon Yield (5) Life Initial Stated Extended Location Collateral Type Loan G (8)(9) $ 56,710 $ — $ 56,710 $ (4,225) $ 52,485 5.27 % 5.27 % 1.55 July 9, 2020 July 9, 2022 CA Condo, Retail, Hotel Loan I (10) 15,212 (211) 15,001 (789) 14,212 11.50 % 12.26 % 1.80 February 9, 2021 February 9, 2023 MN Office, Retail Loan J (8) 6,291 — 6,291 (4,051) 2,240 5.65 % 5.65 % 2.12 January 1, 2023 January 1, 2024 NY Hotel, Retail Loan K (11) 12,673 — 12,673 (1,100) 11,573 10.00 % 11.22 % 1.27 May 22, 2021 February 22, 2024 NY Hotel, Retail Loan L (11) 51,000 (344) 50,656 (3,481) 47,175 5.40 % 5.66 % 4.12 July 22, 2022 July 22, 2024 IL Hotel, Retail $ 141,886 $ (555) $ 141,331 $ (13,646) $ 127,685 6.42 % 6.74 % 2.50 (1) The Company has the contractual right to receive a balloon payment for each loan. (2) Refer to Note 13 "Commitments and Contingencies" for details on the Company's commitments on its Commercial Loans as of June 30, 2020. (3) Pricing is reflective of marks on unfunded commitments. (4) Each commercial loan investment has a variable coupon rate. (5) Yield includes any exit fees. (6) Actual maturities of commercial mortgage loans may be shorter or longer than stated contractual maturities. Maturities are affected by prepayments of principal. (7) Represents the maturity date of the last possible extension option. (8) Loan G and Loan J are first mortgage loans. (9) Loan G matured on July 9, 2020. Discussions are ongoing between the borrower and the lenders related to the extension of the loan. However, there can be no guaranty that an agreement will be reached with respect to any such discussions. (10) Loan I is a mezzanine loan. (11) Loan K and Loan L are comprised of first mortgage and mezzanine loans. The following table presents detail on the Company’s commercial loan portfolio on December 31, 2019 ($ in thousands). Weighted Average Loan (1) Current Face Premium Amortized Cost Gross Fair Value Coupon Yield (3) Life Initial Stated Extended Location Collateral Type Loan G (6) $ 45,856 $ — $ 45,856 $ — $ 45,856 6.46 % 6.46 % 0.53 July 9, 2020 July 9, 2022 CA Condo, Retail, Hotel Loan H (6) 36,000 — 36,000 — 36,000 5.49 % 5.49 % 0.19 March 9, 2019 June 9, 2020 AZ Office Loan I (7) 11,992 (184) 11,808 184 11,992 12.21 % 14.51 % 1.04 February 9, 2021 February 9, 2023 MN Office, Retail Loan J (6) 4,674 — 4,674 — 4,674 6.36 % 6.36 % 2.12 January 1, 2023 January 1, 2024 NY Hotel, Retail Loan K (8) 9,164 — 9,164 — 9,164 10.71 % 11.86 % 1.72 May 22, 2021 February 22, 2024 NY Hotel, Retail Loan L (8) 51,000 (502) 50,498 502 51,000 6.16 % 6.50 % 4.63 July 22, 2022 July 22, 2024 IL Hotel, Retail $ 158,686 $ (686) $ 158,000 $ 686 $ 158,686 6.82 % 7.17 % 1.92 (1) The Company has the contractual right to receive a balloon payment for each loan. (2) Each commercial loan investment has a variable coupon rate. (3) Yield includes any exit fees. (4) Actual maturities of commercial mortgage loans may be shorter or longer than stated contractual maturities. Maturities are affected by prepayments of principal. (5) Represents the maturity date of the last possible extension option. (6) Loan G, Loan H, and Loan J are first mortgage loans. (7) Loan I is a mezzanine loan. (8) Loan K and Loan L are comprised of first mortgage and mezzanine loans. |
Schedule of company's re-performing and non-performing residential mortgage loans | The table below details information regarding the Company’s residential mortgage loans as of June 30, 2020 and December 31, 2019 (in thousands): June 30, 2020 December 31, 2019 Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance Re-Performing $ 292,102 $ 348,003 $ 330,234 $ 357,678 Non-Performing 78,251 101,375 87,551 106,363 Other (1) 9,469 22,080 — — $ 379,822 $ 471,458 $ 417,785 $ 464,041 (1) Represents residual positions where the Company consolidates a securitization and the positions are recorded on the Company's books as residential mortgage loans. There may be limited data available regarding the underlying collateral of such securitizations. |
Schedule of certain concentrations of credit risk within the company's mortgage loan portfolio | The following is a summary of the geographic concentration of credit risk within the Company’s mortgage loan portfolio as of June 30, 2020 and December 31, 2019, excluding any loans classified as Other above: Geographic Concentration of Credit Risk June 30, 2020 December 31, 2019 Percentage of fair value of mortgage loans secured by properties in the following states representing 5% or more of fair value: California 18 % 19 % Florida 10 % 11 % New York 9 % 9 % New Jersey 6 % 6 % |
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 six months ended June 30, 2020 and June 30, 2019, respectively (in thousands): Three Months Ended Six Months Ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Beginning Balance $ 263,111 $ 99,504 $ 168,877 $ 79,610 Additions — 505 129,017 20,236 Accretion (8,037) (3,438) (16,465) (6,701) Reclassifications from/(to) non-accretable difference 1,335 (2,245) (24,677) 1,604 Disposals (118,248) (4,811) (118,591) (5,234) Ending Balance $ 138,161 $ 89,515 $ 138,161 $ 89,515 |
Schedule of certain information related to August 2019 VIE | The following table details certain information related to the December 2014 VIE and August 2018 VIE as further described in Note 2 as of December 31, 2019 (in thousands). As of June 30, 2020, the Company did not hold any interest in these VIEs. December 31, 2019 Assets Real estate securities, at fair value: Non-Agency $ 13,838 CMBS 94,500 Other assets 808 Total assets $ 109,146 Liabilities Financing arrangements $ 70,712 Securitized debt, at fair value 7,230 Other liabilities 3,553 Total liabilities $ 81,495 The following table details certain information related to the December 2014 VIE as of December 31, 2019 ($ in thousands): Weighted Average Current Face Fair Value Coupon Yield Life (Years) (1) Consolidated tranche (2) $ 7,204 $ 7,230 3.46 % 4.11 % 1.96 Retained tranche 7,851 6,608 5.37 % 18.14 % 7.64 Total resecuritized asset (3) $ 15,055 $ 13,838 4.46 % 10.81 % 4.92 (1) This is based on projected life. Typically, actual maturities of investments and loans are 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, 2019, the Company has recorded secured financing of $7.2 million on the consolidated balance sheets in the "Securitized debt, at fair value" line item. The Company recorded the proceeds from the issuance of the secured financing in the "Cash Flows from Financing Activities" section of the consolidated statement of cash flows at the time of securitization. (3) As of December 31, 2019, the fair market value of the total resecuritized asset is included in the Company’s consolidated balance sheets as "Non-Agency." The following table details certain information related to the assets and liabilities of the August 2019 VIE as of June 30, 2020 and December 31, 2019 ($ in thousands): June 30, 2020 December 31, 2019 Assets Residential mortgage loans, at fair value $ 223,119 $ 255,171 Other assets 766 898 Total assets $ 223,885 $ 256,069 Liabilities Financing arrangements $ 9,392 $ 24,584 Securitized debt, at fair value 198,974 217,118 Other liabilities 534 596 Total liabilities $ 208,900 $ 242,298 The following table details additional information regarding loans and securitized debt related to the August 2019 VIE as of June 30, 2020 and December 31, 2019 ($ in thousands): Weighted Average As of: Current Unpaid Principal Balance Fair Value Coupon Yield Life (Years) (1) June 30, 2020 Residential mortgage loans (2) $ 254,936 $ 223,119 3.51 % 4.81 % 6.85 Securitized debt (3) 213,233 198,974 2.95 % 2.95 % 5.19 December 31, 2019 Residential mortgage loans (2) 263,956 255,171 3.96 % 5.11 % 7.66 Securitized debt (3) 217,455 217,118 2.92 % 2.86 % 5.00 (1) This is based on projected life. Typically, actual maturities of investments and loans are 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) This represents all loans contributed to the August 2019 VIE. (3) As of June 30, 2020 and December 31, 2019, the Company has recorded secured financing of $199.0 million and $217.1 million, respectively, on the consolidated balance sheets in the "Securitized debt, at fair value" line item. The Company recorded the proceeds from the issuance of the secured financing in the "Cash Flows from Financing Activities" section of the consolidated statement of cash flows at the time of securitization. |
Excess MSRs (Tables)
Excess MSRs (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Disclosure of Excess MSRs [Abstract] | |
Schedule of Excess MSR Portfolio | The following table presents detail on the Company’s Excess MSR portfolio on June 30, 2020 ($ in thousands). Gross Unrealized Weighted Average Unpaid Principal Amortized Gains Losses Fair Value Yield Life Agency Excess MSRs $ 2,327,265 $ 17,619 $ 8 $ (5,435) $ 12,192 4.68 % 6.41 Credit Excess MSRs 31,508 172 — (70) 102 23.60 % 7.29 Total Excess MSRs $ 2,358,773 $ 17,791 $ 8 $ (5,505) $ 12,294 4.84 % 6.42 (1) This is based on projected life. 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, 2019 ($ in thousands). Gross Unrealized Weighted Average Unpaid Principal Amortized Gains Losses Fair Value Yield Life Agency Excess MSRs $ 2,910,735 $ 19,570 $ 93 $ (2,031) $ 17,632 8.32 % 5.58 Credit Excess MSRs 34,753 178 2 (37) 143 21.38 % 5.25 Total Excess MSRs $ 2,945,488 $ 19,748 $ 95 $ (2,068) $ 17,775 8.42 % 5.58 (1) This is based on projected life. Actual maturities of Excess MSRs may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. |
Fair value measurements (Tables
Fair value measurements (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
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 on a recurring basis as of June 30, 2020 (in thousands): Fair Value at June 30, 2020 Level 1 Level 2 Level 3 Total Assets: Credit Investments: Non-Agency RMBS $ — $ 40,995 $ 4,496 $ 45,491 Non-Agency RMBS Interest Only — 326 — 326 CMBS — 82,421 — 82,421 CMBS Interest Only — 4,233 — 4,233 Residential mortgage loans — — 379,822 379,822 Commercial loans — — 127,685 127,685 Excess mortgage servicing rights — — 12,294 12,294 Derivative assets 84 — — 84 AG Arc (1) — — 28,030 28,030 Total Assets Measured at Fair Value $ 84 $ 127,975 $ 552,327 $ 680,386 Liabilities: Securitized debt $ — $ — $ (198,974) $ (198,974) Total Liabilities Measured at Fair Value $ — $ — $ (198,974) $ (198,974) (1) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents, if applicable, and AG Arc. The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2019 (in thousands): Fair value at December 31, 2019 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ — $ 2,241,298 $ — $ 2,241,298 Interest Only — 74,141 — 74,141 Credit Investments: Non-Agency RMBS — 86,281 630,115 716,396 Non-Agency RMBS Interest Only — — 1,074 1,074 CMBS — 2,365 366,566 368,931 CMBS Interest Only — — 47,992 47,992 Residential mortgage loans — — 417,785 417,785 Commercial loans — — 158,686 158,686 Excess mortgage servicing rights — — 17,775 17,775 Cash equivalents (1) 53,243 — — 53,243 Derivative assets — 2,282 — 2,282 AG Arc (1) — — 28,546 28,546 Total Assets Measured at Fair Value $ 53,243 $ 2,406,367 $ 1,668,539 $ 4,128,149 Liabilities: Securitized debt $ — $ (151,933) $ (72,415) $ (224,348) Derivative liabilities (122) (289) — (411) Total Liabilities Measured at Fair Value $ (122) $ (152,222) $ (72,415) $ (224,759) (1) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents and AG Arc. |
Schedule of assets 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 June 30, 2020 (in thousands) Non-Agency RMBS Residential Commercial Loans Excess Mortgage AG Arc Securitized debt Beginning balance $ 5,533 $ 766,960 $ 158,051 $ 14,066 $ 18,519 $ (191,346) Purchases/Transfers — — 7,759 — — — Issuances of Securitized Debt — — — — — (3,000) Proceeds from sales of assets (68) (378,729) (34,200) — — — Proceeds from settlement (1,159) (14,716) — — — 3,517 Total net gains/(losses) (1) Included in net income 190 6,307 (3,925) (1,772) 9,511 (8,145) Ending Balance $ 4,496 $ 379,822 $ 127,685 $ 12,294 $ 28,030 $ (198,974) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2020 (2) $ 4 $ 60,434 $ (2,134) $ (1,780) $ 9,511 $ (8,145) (1) 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 $ 58,302 Unrealized gain/(loss) on derivative and other instruments, net (9,917) Net realized gain/(loss) (55,730) Equity in earnings/(loss) from affiliates 9,511 Total $ 2,166 (2) 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 $ 58,304 Unrealized gain/(loss) on derivative and other instruments, net (9,925) Equity in earnings/(loss) from affiliates 9,511 Total $ 57,890 Three Months Ended June 30, 2019 (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 $ 506,103 $ 2,501 $ 20,199 $ 212,904 $ 49,397 $ 202,047 $ 110,223 $ 24,301 $ 23,775 $ (10,515) Transfers (1): Transfers into level 3 24,194 — — — — — — — — — Purchases/Transfers 61,496 — 819 23,656 — 6,250 8,132 — — — Proceeds from sales/redemptions (14,606) — — (14,097) (1,714) (12,704) — — — — Proceeds from settlement (22,573) — (634) (7,570) — (4,152) — — — 1,898 Total net gains/(losses) (2) Included in net income 6,531 (667) 187 5,332 (847) 8,529 (350) (3,408) (5,058) (13) Ending Balance $ 561,145 $ 1,834 $ 20,571 $ 220,225 $ 46,836 $ 199,970 $ 118,005 $ 20,893 $ 18,717 $ (8,630) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2019 (3) $ 5,108 $ (386) $ 187 $ 5,329 $ (772) $ 7,847 $ (350) $ (1,803) $ (5,058) $ (13) (1) Transfers are assumed to occur at the beginning of the period. During the three months ended June 30, 2019, the Company transferred 3 Non-Agency RMBS securities 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 $ 18,332 Unrealized gain/(loss) on derivative and other instruments, net (3,421) Net realized gain/(loss) 383 Equity in earnings/(loss) from affiliates (5,058) Total $ 10,236 (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 $ 16,963 Unrealized gain/(loss) on derivative and other instruments, net (1,816) Equity in earnings/(loss) from affiliates (5,058) Total $ 10,089 Six Months Ended June 30, 2020 (in thousands) Non-Agency RMBS Non-Agency RMBS Interest Only CMBS CMBS Interest Only Residential Mortgage Loans Commercial Loans Excess Mortgage Servicing Rights AG Arc Securitized debt Beginning balance $ 630,115 $ 1,074 $ 366,566 $ 47,992 $ 417,785 $ 158,686 $ 17,775 $ 28,546 $ (72,415) Transfers (1): Transfers into level 3 — — — — — — — — (151,933) Transfers out of level 3 (210,709) (1,074) (170,816) (22,054) — — — — 7,230 Purchases/Transfers 1,559 — 3,540 — 479,195 19,200 — — — Issuances of Securitized Debt — — — — — — — — (3,000) Proceeds from sales of assets and seizures of assets (362,199) — (148,111) (21,996) (387,408) (34,200) — — — Proceeds from settlement (10,869) — (9,367) — (37,390) — — — 9,223 Total net gains/(losses) (2) Included in net income (43,401) — (41,812) (3,942) (92,360) (16,001) (5,481) (516) 11,921 Ending Balance $ 4,496 $ — $ — $ — $ 379,822 $ 127,685 $ 12,294 $ 28,030 $ (198,974) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2020 (3) $ (550) $ — $ — $ — $ (35,221) $ (14,210) $ (5,481) $ (516) $ 11,921 (1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2020, the Company transferred 50 Non-Agency RMBS securities, 2 Non-Agency RMBS Interest Only securities, 32 CMBS securities, 15 CMBS Interest Only securities and 1 securitized debt security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. During the six months ended June 30, 2020, the Company transferred 1 securitized debt security into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820. Refer to Note 2 for more information on changes regarding the Company's leveling policy. (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 $ (87,515) Unrealized gain/(loss) on derivative and other instruments, net 6,440 Net realized gain/(loss) (110,001) Equity in earnings/(loss) from affiliates (516) Total $ (191,592) (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 $ (49,981) Unrealized gain/(loss) on derivative and other instruments, net 6,440 Equity in earnings/(loss) from affiliates (516) Total $ (44,057) Six Months Ended June 30, 2019 (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 $ 491,554 $ 3,099 $ 21,160 $ 211,054 $ 50,331 $ 186,096 $ 98,574 $ 26,650 $ 20,360 $ (10,858) Transfers (1): Transfers into level 3 55,174 — — — — — — — — — Transfers out of level 3 (61,531) — — (5,279) — — — — — — Purchases/Transfers 140,562 — 1,158 43,445 — 25,995 29,648 — — — Capital Contributions — — — — — — — — 6,689 — Proceeds from sales/redemptions (49,242) — (1,283) (20,165) (1,714) (12,780) — — — — Proceeds from settlement (27,873) — (1,183) (22,934) — (8,189) (10,417) — — 2,215 Total net gains/(losses) (2) Included in net income 12,501 (1,265) 719 14,104 (1,781) 8,848 200 (5,757) (8,332) 13 Ending Balance $ 561,145 $ 1,834 $ 20,571 $ 220,225 $ 46,836 $ 199,970 $ 118,005 $ 20,893 $ 18,717 $ (8,630) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2019 (3) $ 10,087 $ (984) $ 654 $ 10,733 $ (1,706) $ 7,992 $ 200 $ (3,539) $ (8,332) $ 13 (1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2019, the Company transferred 7 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 6 Non-Agency RMBS and 2 CMBS 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 $ 29,745 Unrealized gain/(loss) on derivative and other instruments, net (5,744) Net realized gain/(loss) 3,581 Equity in earnings/(loss) from affiliates (8,332) Total $ 19,250 (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 $ 26,976 Unrealized gain/(loss) on derivative and other instruments, net (3,526) Equity in earnings/(loss) from affiliates (8,332) Total $ 15,118 |
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 June 30, 2020 (in thousands) Valuation Technique Unobservable Input Range Yield 6.50% - 8.29% (8.00%) Non-Agency RMBS $ 3,204 Discounted Cash Flow Projected Collateral Prepayments 5.82% - 5.95% (5.84%) Projected Collateral Losses 3.70% - 5.74% (5.41%) Projected Collateral Severities -3.70% - 19.66% (0.17%) $ 1,292 Consensus Pricing Offered Quotes 86.99 - 86.99 (86.99) Yield 5.50% - 10.00% (6.67%) Residential Mortgage Loans $ 370,353 Discounted Cash Flow Projected Collateral Prepayments 5.94% - 10.10% (8.16%) Projected Collateral Losses 2.04% - 5.39% (3.01%) Projected Collateral Severities -9.12% - 59.16% (23.43%) $ 9,469 Consensus Pricing Offered Quotes 13.93 - 103.20 (79.57) Yield 8.04% - 17.60% (10.89%) Commercial Loans $ 127,685 Discounted Cash Flow Credit Spread 738 bps - 1,586 bps (995 bps) Recovery Percentage (2) 100.00% - 100.00% (100.00%) Excess Mortgage Servicing Rights Discounted Cash Flow Yield 8.50% - 11.81% (9.26%) $ 12,192 Projected Collateral Prepayments 11.27% - 16.93% (14.06%) $ 102 Consensus Pricing Offered Quotes 0.00 - 0.32 (0.32) AG Arc $ 28,030 Comparable Multiple Book Value Multiple 1.0x - 1.0x (1.0x) Liability Class Fair Value at June 30, 2020 (in thousands) Valuation Technique Unobservable Input Range Yield 3.50% - 7.00% (4.20%) Securitized debt $ (198,974) Discounted Cash Flow Projected Collateral Prepayments 8.87% - 8.87% (8.87%) Projected Collateral Losses 2.41% - 2.41% (2.41%) Projected Collateral Severities 23.34% - 23.34% (23.34%) (1) Amounts are weighted based on fair values. (2) Represents the proportion of the principal expected to be collected relative to the loan balances as of June 30, 2020. Asset Class Fair Value at December 31, 2019 (in thousands) Valuation Technique Unobservable Input Range Yield 1.71% - 100.00% (5.99%) Non-Agency RMBS $ 625,537 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 100.00% (14.60%) Projected Collateral Losses 0.00% - 100.00% (2.93%) Projected Collateral Severities 0.00% - 100.00% (21.37%) $ 4,578 Consensus Pricing Offered Quotes 100.00 - 100.00 (100.00) Yield 27.50% - 27.50% (27.50%) Non-Agency RMBS Interest Only $ 1,074 Discounted Cash Flow Projected Collateral Prepayments 18.00% - 18.00% (18.00%) Projected Collateral Losses 2.00% - 2.00% (2.00%) Projected Collateral Severities 35.00% - 35.00% (35.00%) Yield 0.00% - 13.89% (6.33%) CMBS $ 366,566 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%) Yield -2.57% - 9.86% (4.19%) CMBS Interest Only $ 47,992 Discounted Cash Flow Projected Collateral Prepayments 99.00% - 100.00% (99.93%) Projected Collateral Losses 0.00% - 0.00% (0.00%) Projected Collateral Severities 0.00% - 0.00% (0.00%) Yield 4.00% - 8.25% (4.81%) Residential Mortgage Loans $ 364,107 Discounted Cash Flow Projected Collateral Prepayments 4.81% - 9.04% (7.78%) Projected Collateral Losses 1.64% - 4.94% (2.36%) Projected Collateral Severities -7.32% - 36.91% (23.15%) $ 53,678 Recent Transaction Cost N/A Yield 6.16% - 10.76% (6.86%) Commercial Loans $ 60,164 Discounted Cash Flow Credit Spread 440 bps - 900 bps (510 bps) Recovery Percentage (2) 100.00% - 100.00% (100.00%) $ 98,522 Consensus Pricing Offered Quotes 100.00 - 100.00 (100.00) Excess Mortgage Servicing Rights Yield 8.50% - 11.60% (9.20%) $ 17,633 Discounted Cash Flow Projected Collateral Prepayments 9.35% - 16.90% (12.36%) $ 142 Consensus Pricing Offered Quotes 0.01 - 0.40 (0.40) AG Arc $ 28,546 Comparable Multiple Book Value Multiple 1.0x - 1.0x (1.0x) Liability Class Fair Value at December 31, 2019 (in thousands) Valuation Technique Unobservable Input Range Yield 2.98% - 4.70% (3.54%) Securitized debt $ (72,415) Discounted Cash Flow Projected Collateral Prepayments 10.00% - 10.04% (10.04%) Projected Collateral Losses 2.04% - 3.50% (2.19%) Projected Collateral Severities 20.13% - 45.00% (22.61%) (1) Amounts are weighted based on fair values. (2) Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2019. |
Financing arrangements (Tables)
Financing arrangements (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Debt Disclosure [Abstract] | |
Schedule of repurchase agreements | The following table presents a summary of the Company's financing arrangements as of June 30, 2020 and December 31, 2019 (in thousands). June 30, 2020 December 31, 2019 Repurchase agreements $ 188,286 $ 3,121,966 Revolving facilities (1) 62,812 111,502 Financing arrangements, net $ 251,098 $ 3,233,468 The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding real estate securities pledged as collateral as of June 30, 2020 ($ in thousands): Repurchase Agreements Real Estate Securities Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Rate Weighted Average Haircut Fair Value Pledged Amortized Cost Accrued Interest 30 days or less $ 55,658 3.43 % 46.9 % $ 107,533 $ 125,911 $ 570 61-90 days 1,704 4.50 % 35.0 % 2,674 2,553 2 Total / Weighted Average $ 57,362 3.46 % 46.5 % $ 110,207 $ 128,464 $ 572 The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding real estate securities pledged as collateral as of December 31, 2019 ($ in thousands): Repurchase Agreements Real Estate Securities Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Rate Weighted Average Haircut Fair Value Pledged Amortized Cost Accrued Interest 30 days or less $ 1,550,508 2.33 % 9.0 % $ 1,728,837 $ 1,660,649 $ 5,402 31-60 days 1,362,121 2.13 % 7.0 % 1,501,850 1,453,257 5,191 61-90 days 71,753 2.99 % 23.5 % 93,957 92,901 245 Greater than 180 days 2,973 3.79 % 23.7 % 4,039 3,690 3 Total / Weighted Average $ 2,987,355 2.25 % 8.5 % $ 3,328,683 $ 3,210,497 $ 10,841 The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding residential mortgage loans pledged as collateral as of June 30, 2020 ($ in thousands): Repurchase Agreements Residential Mortgage Loans Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Rate Weighted Average Funding Cost Weighted Average Haircut Fair Value Pledged Amortized Cost Accrued Interest 61-90 days $ 9,392 4.65 % 4.65 % 61.2 % $ 24,206 $ 23,441 $ 766 Greater than 180 days 118,072 3.68 % 4.10 % 19.4 % 147,110 164,348 477 Total / Weighted Average $ 127,464 3.76 % 4.14 % 22.4 % $ 171,316 $ 187,789 $ 1,243 The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding residential mortgage loans pledged as collateral as of December 31, 2019 ($ in thousands): Repurchase Agreements Residential Mortgage Loans Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Rate Weighted Average Funding Cost Weighted Average Haircut Fair Value Pledged Amortized Cost Accrued Interest 31-60 days $ 24,584 3.14 % 3.14 % 33.7 % $ 37,546 $ 25,192 $ 377 Greater than 180 days 107,010 3.61 % 3.80 % 19.3 % 133,678 135,409 443 Total / Weighted Average $ 131,594 3.53 % 3.68 % 22.0 % $ 171,224 $ 160,601 $ 820 The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding commercial loans pledged as collateral as of June 30, 2020 ($ in thousands): Repurchase Agreements Commercial Loans Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Rate Weighted Average Funding Cost Weighted Average Haircut Fair Value Pledged Amortized Cost Accrued Interest Greater than 180 days $ 3,460 4.75 % 6.00 % 36.4 % $ 5,441 $ 6,291 $ 30 The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding commercial loans pledged as collateral as of December 31, 2019 ($ in thousands): Repurchase Agreements Commercial Loans Pledged Repurchase Agreements Maturing Within: Balance Weighted Average Rate Weighted Average Funding Cost Weighted Average Haircut Fair Value Pledged Amortized Cost Accrued Interest Greater than 180 days $ 3,017 4.46 % 5.89 % 35.4 % $ 4,674 $ 4,674 $ 26 |
Schedule of securities collateral information | The following table presents information with respect to the Company’s posting of collateral under repurchase agreements on June 30, 2020 and December 31, 2019, broken out by investment type (in thousands): June 30, 2020 December 31, 2019 Fair Value of investments pledged as collateral under repurchase agreements Agency RMBS $ — $ 2,231,933 Non-Agency RMBS 36,913 682,828 CMBS 73,294 413,922 Residential Mortgage Loans 171,316 171,224 Commercial Loans 5,441 4,674 Cash pledged (i.e., restricted cash) under repurchase agreements 48 11,565 Total collateral pledged under repurchase agreements $ 287,012 $ 3,516,146 |
Schedule of total borrowings under repurchase agreements | The following table presents information with respect to the Company’s total borrowings under repurchase agreements on June 30, 2020 and December 31, 2019, broken out by investment type (in thousands): June 30, 2020 December 31, 2019 Repurchase agreements secured by investments: Agency RMBS $ — $ 2,109,278 Non-Agency RMBS 20,498 565,450 CMBS 36,864 312,627 Residential Mortgage Loans 127,464 131,594 Commercial Loans 3,460 3,017 Gross Liability for repurchase agreements $ 188,286 $ 3,121,966 |
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 June 30, 2020 and December 31, 2019 (in thousands): Gross Amounts Not Offset in the Consolidated Balance Sheets As of 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 June 30, 2020 $ 188,286 $ — $ 188,286 $ 188,286 $ — $ — December 31, 2019 3,121,966 — 3,121,966 3,121,966 — — |
Schedule of term loan and revolving facilities | The following table presents information regarding the Company's revolving facilities, excluding facilities within investments in debt and equity of affiliates, as of June 30, 2020 and December 31, 2019 ($ in thousands). June 30, 2020 December 31, 2019 Facility (1)(2)(3) Investment Maturity Date Rate Funding Cost Balance Net Carrying Value of Assets Pledged as Collateral Maximum Aggregate Borrowing Capacity Rate Funding Cost Balance Net Carrying Value of Assets Pledged as Collateral Revolving facility B Residential mortgage loans June 28, 2021 — % — % $ — $ — $ — 3.80 % 3.80 % $ 21,546 $ 27,476 Revolving facility C Commercial loans August 10, 2023 2.33 % 2.68 % 62,812 99,660 100,000 3.85 % 4.01 % 89,956 132,856 Total revolving facilities $ 62,812 $ 99,660 $ 100,000 $ 111,502 $ 160,332 (1) All revolving facilities listed above are interest only until maturity. (2) Under the terms of the Company’s financing agreements, the Company's financial counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. (3) Increasing the Company's borrowing capacity under this facility requires consent of the lender. |
Schedule of repurchase agreement counterparty | The following table presents information at June 30, 2020 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 ($ in thousands). Counterparty Stockholders’ Equity Weighted Average Percentage of Credit Suisse AG, Cayman Islands Branch $ 50,756 24 13.9 % Barclays Bank PLC 28,966 329 7.9 % The following table presents information at December 31, 2019 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 ($ in thousands). Counterparty Stockholders’ Equity Weighted Average Percentage of Barclays Capital Inc. $ 77,334 277 9.1 % Citigroup Global Markets Inc. 50,263 22 5.9 % |
Other assets and liabilities (T
Other assets and liabilities (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of other assets and other liabilities | The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of June 30, 2020 and December 31, 2019 (in thousands): June 30, 2020 December 31, 2019 Other assets Interest receivable $ 2,815 $ 13,548 Derivative assets, at fair value 84 2,282 Other assets 4,149 4,378 Due from broker 4,115 1,697 Total Other assets $ 11,163 $ 21,905 Other liabilities Interest payable $ 810 $ 10,941 Derivative liabilities, at fair value — 411 Accrued expenses 2,734 6,175 Deficiencies payable (1) 2,200 — Taxes payable — 815 Due to broker 2,702 1,107 Total Other liabilities $ 8,446 $ 19,449 (1) Refer to Note 13 for more information. |
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 June 30, 2020 and December 31, 2019 (in thousands). Derivatives and Other Instruments (1) Designation Balance Sheet June 30, 2020 December 31, 2019 Pay Fix/Receive Float Interest Rate Swap Agreements (2) Non-Hedge Other assets $ — $ 199 Pay Fix/Receive Float Interest Rate Swap Agreements (2) Non-Hedge Other liabilities — (411) Payer Swaptions Non-Hedge Other assets — 2,083 Short positions on British Pound Futures Non-Hedge Other assets 84 — (1) As of June 30, 2020, the Company did not apply a fair value reduction on its assets or liabilities related to variation margin. As of December 31, 2019, the Company applied a fair value reduction of $19.7 thousand and $0.1 million to its Euro Futures liabilities and British Pound Futures liabilities, respectively, related to variation margin. |
Schedule of derivatives and other instruments | The following table summarizes information related to derivatives and other instruments (in thousands): Notional amount of non-hedge derivatives and other instruments: Notional Currency June 30, 2020 December 31, 2019 Pay Fix/Receive Float Interest Rate Swap Agreements USD $ — $ 1,848,750 Payer Swaptions USD 350,000 650,000 Short positions on British Pound Futures (1) GBP 3,250 6,563 Short positions on Euro Futures (2) EUR — 1,500 (1) Each British Pound Future contract embodies £62,500 of notional value. (2) Each Euro Future contract embodies €125,000 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 Six Months Ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Included within Unrealized gain/(loss) on derivative and other instruments, net Interest Rate Swaps $ — $ (9,102) $ (11,588) $ (19,764) Eurodollar Futures — (266) — 768 Swaptions (5) (256) (697) (774) U.S. Treasury Futures — 1 — (144) British Pound Futures 239 — 186 — Euro Futures (28) — 20 — TBAs (392) (452) — 441 U.S. Treasuries — — — 82 (186) (10,075) (12,079) (19,391) Included within Net realized gain/(loss) Interest Rate Swaps — (23,538) (65,368) (41,080) Eurodollar Futures — 11 — (1,229) Swaptions — (227) (1,386) (861) U.S. Treasury Futures — 302 — 371 British Pound Futures (150) — 514 — Euro Futures 66 — 68 — TBAs 392 1,957 4,610 1,601 U.S. Treasuries — (176) — (249) 308 (21,671) (61,562) (41,447) Total income/(loss) $ 122 $ (31,746) $ (73,641) $ (60,838) |
Schedule of gross and net information about derivative assets | 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 June 30, 2020 (in thousands): Gross Amounts Not Offset in the Consolidated Balance Sheet Description 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 Derivative Assets British Pound Futures $ 84 $ — $ 84 $ — $ — $ 84 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, 2019 (in thousands): Gross Amounts Not Offset in the Consolidated Balance Sheet Description (1) Gross Amounts of Gross Amounts Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets Financial Cash Collateral Net Amount Derivative Assets (2) Interest Rate Swaps $ 1,980 $ — $ 1,980 $ — $ 1 $ 1,979 Interest Rate Swaptions 2,083 — 2,083 — — 2,083 Total Derivative Assets $ 4,063 $ — $ 4,063 $ — $ 1 $ 4,062 Derivative Liabilities (3) Interest Rate Swaps $ 977 $ — $ 977 $ — $ 1 $ 976 Total Derivative Liabilities $ 977 $ — $ 977 $ — $ 1 $ 976 (1) The Company applied a reduction in fair value of $10.8 million and $2.2 million to its interest rate swap assets and liabilities, respectively, related to variation margin. The Company applied a reduction in fair value of $19.7 thousand and $0.1 million to its Euro Futures liabilities and British Pound Futures liabilities, respectively, related to variation margin. (2) Included in Other assets on the consolidated balance sheet is $4.1 million less accrued interest of $(1.8) million for a total of $2.3 million. (3) Included in Other liabilities on the consolidated balance sheet is $1.0 million less accrued interest of $(1.4) million for a total of $(0.4) million. |
Schedule of gross and net information about derivative liabilities | 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 June 30, 2020 (in thousands): Gross Amounts Not Offset in the Consolidated Balance Sheet Description 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 Derivative Assets British Pound Futures $ 84 $ — $ 84 $ — $ — $ 84 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, 2019 (in thousands): Gross Amounts Not Offset in the Consolidated Balance Sheet Description (1) Gross Amounts of Gross Amounts Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets Financial Cash Collateral Net Amount Derivative Assets (2) Interest Rate Swaps $ 1,980 $ — $ 1,980 $ — $ 1 $ 1,979 Interest Rate Swaptions 2,083 — 2,083 — — 2,083 Total Derivative Assets $ 4,063 $ — $ 4,063 $ — $ 1 $ 4,062 Derivative Liabilities (3) Interest Rate Swaps $ 977 $ — $ 977 $ — $ 1 $ 976 Total Derivative Liabilities $ 977 $ — $ 977 $ — $ 1 $ 976 (1) The Company applied a reduction in fair value of $10.8 million and $2.2 million to its interest rate swap assets and liabilities, respectively, related to variation margin. The Company applied a reduction in fair value of $19.7 thousand and $0.1 million to its Euro Futures liabilities and British Pound Futures liabilities, respectively, related to variation margin. (2) Included in Other assets on the consolidated balance sheet is $4.1 million less accrued interest of $(1.8) million for a total of $2.3 million. (3) Included in Other liabilities on the consolidated balance sheet is $1.0 million less accrued interest of $(1.4) million for a total of $(0.4) million. |
Schedule of interest rate derivatives | As of December 31, 2019, the Company’s interest rate swap positions consisted of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of December 31, 2019 ($ in thousands): Maturity Notional Amount Weighted Average Weighted Average Weighted Average 2020 $ 105,000 1.54 % 1.91 % 0.20 2022 743,000 1.64 % 1.91 % 2.68 2023 5,750 3.19 % 1.91 % 3.85 2024 650,000 1.52 % 1.90 % 4.80 2026 180,000 1.50 % 1.89 % 6.70 2029 165,000 1.77 % 1.94 % 9.85 Total/Wtd Avg $ 1,848,750 1.60 % 1.91 % 4.32 |
Schedule of to be announced securities activity | The Company did not hold any TBA positions for the three months ended June 30, 2020. The following tables present information about the Company’s TBAs for the three months ended June 30, 2019 and six months ended June 30, 2020 and June 30, 2019 (in thousands): For the Three Months Ended: Beginning Notional Amount Buys or Covers Sales or Shorts Ending Net Notional Amount Net Fair Value as of Period End Net Receivable/(Payable) from/to Broker Derivative Asset Derivative Liability June 30, 2019 TBAs - Long $ 125,000 $ 737,500 $ (737,500) $ 125,000 $ 126,064 $ (125,612) $ 625 $ (173) TBAs - Short $ — $ — $ (100,000) $ (100,000) $ (102,242) $ 102,230 $ — $ (12) For the Six Months Ended: Beginning Notional Amount Buys or Covers Sales or Shorts Ending Net Notional Amount Net Fair Value as of Period End Net Receivable/(Payable) from/to Broker Derivative Asset Derivative Liability June 30, 2020 TBAs - Long $ — $ 728,000 $ (728,000) $ — $ — $ — $ — $ — June 30, 2019 TBAs - Long $ — $ 1,394,500 $ (1,269,500) $ 125,000 $ 126,064 $ (125,612) $ 625 $ (173) TBAs - Short $ — $ 185,000 $ (285,000) $ (100,000) $ (102,242) $ 102,230 $ — $ (12) |
Earnings per share (Tables)
Earnings per share (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Earnings Per Share [Abstract] | |
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 six months ended June 30, 2020 and June 30, 2019 (in thousands, except per share data): Three Months Ended Six Months Ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Numerator: Net Income/(Loss) from Continuing Operations $ 2,700 $ 19,871 $ (482,317) $ 50,060 Dividends on preferred stock 5,667 3,367 11,334 6,734 Net income/(loss) from continuing operations available to common stockholders $ (2,967) $ 16,504 $ (493,651) $ 43,326 Net Income/(Loss) from Discontinued Operations 361 (1,193) 361 (2,227) Net income/(loss) available to common stockholders $ (2,606) $ 15,311 $ (493,290) $ 41,099 Denominator: Basic weighted average common shares outstanding 32,859 32,709 32,804 31,636 Dilutive effect of restricted stock units (1) — 28 — 28 Diluted weighted average common shares outstanding 32,859 32,737 32,804 31,664 Earnings/(Loss) Per Share - Basic Continuing Operations $ (0.09) $ 0.50 $ (15.05) $ 1.37 Discontinued Operations 0.01 (0.03) 0.01 (0.07) Total Earnings/(Loss) Per Share of Common Stock $ (0.08) $ 0.47 $ (15.04) $ 1.30 Earnings/(Loss) Per Share - Diluted Continuing Operations $ (0.09) $ 0.50 $ (15.05) $ 1.37 Discontinued Operations 0.01 (0.03) 0.01 (0.07) Total Earnings/(Loss) Per Share of Common Stock $ (0.08) $ 0.47 $ (15.04) $ 1.30 |
Schedule of dividends declared and paid | The following table details the aggregate and per-share amounts of arrearages in cumulative, unpaid, and undeclared preferred dividends as of June 30, 2020 (in thousands, except per share data): Class of Stock Dividend Per Preferred Share in Arrears Amount of Preferred Dividend in Arrears 8.25% Series A $ 0.51563 $ 1,067 8.00% Series B 0.50 2,300 8.000% Series C 0.50 2,300 Total $ 5,667 The following tables detail the Company's common stock dividends during the six months ended June 30, 2019: 2019 Declaration Date Record Date Payment Date Dividend Per Share 3/15/2019 3/29/2019 4/30/2019 $ 0.50 6/14/2019 6/28/2019 7/31/2019 0.50 Total $ 1.00 The following tables detail the Company's preferred stock dividends during the six months ended June 30, 2020 and June 30, 2019. Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25% Series A 8.00% Series B 8.000% Series C 2/14/2020 2/28/2020 3/17/2020 $ 0.51563 $ 0.50 $ 0.50 2/15/2019 2/28/2019 3/18/2019 0.51563 0.50 — 5/17/2019 5/31/2019 6/17/2019 0.51563 0.50 — |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Schedule of outstanding commitments | The below table details the Company's outstanding commitments as of June 30, 2020 (in thousands): Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment Commercial loan G (a) July 26, 2018 $ 84,515 $ 56,710 $ 27,805 Commercial loan I (a) January 23, 2019 20,000 15,212 4,788 Commercial loan J (a) February 11, 2019 30,000 6,291 23,709 Commercial loan K (a) February 22, 2019 20,000 12,673 7,327 LOTS (b) Various 40,819 22,999 17,820 Total $ 195,334 $ 113,885 $ 81,449 (a) The Company entered into commitments on commercial loans relating to construction projects. See Note 4 for further details. (b) Refer to Note 11 "Investments in debt and equity of affiliates" for more information regarding LOTS. |
Discontinued Operations and A_2
Discontinued Operations and Assets and Liabilities Held for Sale (Tables) | 6 Months Ended |
Jun. 30, 2020 | |
Discontinued Operations and Disposal Groups [Abstract] | |
Schedule of Single-Family Rental Property's Discontinued Operaitons | The table below presents our results of operations for the three and six months ended June 30, 2020 and June 30, 2019, for the single-family rental properties segment's discontinued operations as reported separately as net income (loss) from discontinued operations, net of tax (in thousands): Three Months Ended Six Months Ended June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019 Interest expense $ — $ (1,247) $ — $ (2,494) Other Income/(Loss) Rental income — 3,162 — 6,559 Net realized gain/(loss) — (69) — (96) Other income — 130 — 312 Total Other Income/(Loss) — 3,223 — 6,775 Expenses Other operating expenses (80) 43 (80) 92 Property depreciation and amortization — 1,180 — 2,627 Property operating expenses (281) 1,946 (281) 3,789 Total Expenses (361) 3,169 (361) 6,508 Net Income/(Loss) from Discontinued Operations $ 361 $ (1,193) $ 361 $ (2,227) In the second quarter of 2020, the Company reversed certain previously accrued expenses related to discontinued operations. The table below presents our statement of net position for the years ended June 30, 2020 and December 31, 2019, respectively, for the single-family rental properties segment's discontinued operations as reported separately as assets and liabilities held for sale on our consolidated balance sheets (in thousands): June 30, 2020 December 31, 2019 Assets Other assets $ — $ 154 Total Assets — 154 Liabilities Other liabilities 305 1,546 Total $ 305 $ 1,546 |
Organization - Narrative (Detai
Organization - Narrative (Details) $ / shares in Units, $ in Thousands | 6 Months Ended | |
Jun. 30, 2020USD ($)$ / shares | Dec. 31, 2019USD ($)$ / shares | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||
Common stock book value (in usd per share) | $ / shares | $ 2.75 | $ 17.61 |
Portfolio value | $ 652,300 | $ 4,000,000 |
Gain (loss) on termination of portfolio | (65,400) | |
Financing arrangements | $ 251,098 | $ 3,233,468 |
Leverage ratio | 1.3 | 4.1 |
Summary of significant accoun_4
Summary of significant accounting policies - Narrative (Details) - USD ($) $ / shares in Units, $ in Thousands | Sep. 17, 2019 | Jun. 30, 2020 | Apr. 03, 2020 | Dec. 31, 2019 | Jun. 30, 2019 |
Investments in and Advances to Affiliates [Line Items] | |||||
Cash and cash equivalents | $ 68,150 | $ 81,692 | $ 60,097 | ||
Cash equivalents | 0 | $ 53,200 | |||
Remaining equity percentage | 35.00% | ||||
December 2014 VIE | |||||
Investments in and Advances to Affiliates [Line Items] | |||||
Deconsolidation gain (loss) | 2,100 | ||||
August 2018 VIE | |||||
Investments in and Advances to Affiliates [Line Items] | |||||
Deconsolidation gain (loss) | $ 8,300 | ||||
Variable Interest Entity, Primary Beneficiary | |||||
Investments in and Advances to Affiliates [Line Items] | |||||
Equity ownership percentage | 100.00% | ||||
Series Cumulative Reedmable Preferred Stock | |||||
Investments in and Advances to Affiliates [Line Items] | |||||
Preferred stock dividend percentage | 8.25% | ||||
Liquidation preference (in dollars per share) | $ 25 | ||||
Series B Cumulative Reedmable Preferred Stock | |||||
Investments in and Advances to Affiliates [Line Items] | |||||
Preferred stock dividend percentage | 8.00% | ||||
Liquidation preference (in dollars per share) | $ 25 | ||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||
Investments in and Advances to Affiliates [Line Items] | |||||
Preferred stock dividend percentage | 8.00% | 8.00% | |||
Liquidation preference (in dollars per share) | $ 25 | $ 25 | |||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | LIBOR Floating Rate | |||||
Investments in and Advances to Affiliates [Line Items] | |||||
Preferred stock dividend percentage | 6.476% |
Summary of significant accoun_5
Summary of significant accounting policies - Schedule of investments in debt and equity of affiliates (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Investments in and Advances to Affiliates [Line Items] | ||
Investments in debt and equity of affiliates | $ 122,929 | $ 156,311 |
Residential and Commercial Real Estates Assets | LOTS | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments fair market value | 23,800 | 17,000 |
Residential and Commercial Real Estates Assets | Mortgage Acquisition Trust | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments fair market value | 243,700 | 254,300 |
Assets | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments fair market value | 307,130 | 373,126 |
Investments in debt and equity of affiliates | 344,436 | 414,625 |
Cash and Other assets/(liabilities) | 9,276 | 12,953 |
Assets | ARC Home LLC | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments in debt and equity of affiliates | 28,030 | 28,546 |
Liabilities | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments fair market value | 217,856 | 257,068 |
Investments in debt and equity of affiliates | 221,507 | 258,314 |
Cash and Other assets/(liabilities) | 3,651 | 1,246 |
Liabilities | ARC Home LLC | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments in debt and equity of affiliates | 0 | 0 |
Equity | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments fair market value | 89,274 | 116,058 |
Investments in debt and equity of affiliates | 122,929 | 156,311 |
Cash and Other assets/(liabilities) | 5,625 | 11,707 |
Equity | ARC Home LLC | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments in debt and equity of affiliates | $ 28,030 | $ 28,546 |
Real Estate Securities - Summar
Real Estate Securities - Summary of real estate securities portfolio (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 7,492,613 | |
Premium / (Discount) | (4,176,790) | |
Amortized Cost | 3,315,823 | |
Gross Unrealized Gains | 137,283 | |
Gross Unrealized Losses | (3,274) | |
Fair Value | $ 3,449,832 | |
Weighted Average Coupon | 2.20% | |
Weighted Average Yield | 4.37% | |
Agency RMBS: 30 Year Fixed Rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 2,125,067 | |
Premium / (Discount) | 59,123 | |
Amortized Cost | 2,184,190 | |
Gross Unrealized Gains | 57,404 | |
Gross Unrealized Losses | (296) | |
Fair Value | $ 2,241,298 | |
Weighted Average Coupon | 3.73% | |
Weighted Average Yield | 3.17% | |
Agency RMBS: Interest Only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 476,192 | |
Premium / (Discount) | (403,248) | |
Amortized Cost | 72,944 | |
Gross Unrealized Gains | 2,330 | |
Gross Unrealized Losses | (1,133) | |
Fair Value | $ 74,141 | |
Weighted Average Coupon | 3.93% | |
Weighted Average Yield | 5.87% | |
Total Agency RBMS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 2,601,259 | |
Premium / (Discount) | (344,125) | |
Amortized Cost | 2,257,134 | |
Gross Unrealized Gains | 59,734 | |
Gross Unrealized Losses | (1,429) | |
Fair Value | $ 2,315,439 | |
Weighted Average Coupon | 3.77% | |
Weighted Average Yield | 3.26% | |
Credit Securities: Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 63,228 | $ 769,254 |
Premium / (Discount) | (16,880) | (107,848) |
Amortized Cost | 46,348 | 661,406 |
Gross Unrealized Gains | 3,736 | 55,343 |
Gross Unrealized Losses | (4,593) | (353) |
Fair Value | $ 45,491 | $ 716,396 |
Weighted Average Coupon | 4.95% | 4.84% |
Weighted Average Yield | 8.43% | 6.28% |
Non-Agency RMBS Interest Only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 183,667 | $ 209,362 |
Premium / (Discount) | (183,590) | (207,948) |
Amortized Cost | 77 | 1,414 |
Gross Unrealized Gains | 301 | 0 |
Gross Unrealized Losses | (52) | (340) |
Fair Value | $ 326 | $ 1,074 |
Weighted Average Coupon | 0.59% | 0.77% |
Weighted Average Yield | 5.96% | |
Total Non Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 246,895 | $ 978,616 |
Premium / (Discount) | (200,470) | (315,796) |
Amortized Cost | 46,425 | 662,820 |
Gross Unrealized Gains | 4,037 | 55,343 |
Gross Unrealized Losses | (4,645) | (693) |
Fair Value | $ 45,817 | $ 717,470 |
Weighted Average Coupon | 2.40% | 4.40% |
Weighted Average Yield | 8.43% | 6.28% |
CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 121,193 | $ 485,713 |
Premium / (Discount) | (17,692) | (134,596) |
Amortized Cost | 103,501 | 351,117 |
Gross Unrealized Gains | 1,584 | 18,720 |
Gross Unrealized Losses | (22,664) | (906) |
Fair Value | $ 82,421 | $ 368,931 |
Weighted Average Coupon | 4.06% | 4.91% |
Weighted Average Yield | 5.63% | 7.28% |
CMBS Interest Only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 687,447 | $ 3,427,025 |
Premium / (Discount) | (683,134) | (3,382,273) |
Amortized Cost | 4,313 | 44,752 |
Gross Unrealized Gains | 87 | 3,486 |
Gross Unrealized Losses | (167) | (246) |
Fair Value | $ 4,233 | $ 47,992 |
Weighted Average Coupon | 0.10% | 0.24% |
Weighted Average Yield | 7.02% | 6.68% |
Total CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 808,640 | $ 3,912,738 |
Premium / (Discount) | (700,826) | (3,516,869) |
Amortized Cost | 107,814 | 395,869 |
Gross Unrealized Gains | 1,671 | 22,206 |
Gross Unrealized Losses | (22,831) | (1,152) |
Fair Value | $ 86,654 | $ 416,923 |
Weighted Average Coupon | 0.63% | 0.60% |
Weighted Average Yield | 5.70% | 7.21% |
Total Credit Investments | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 1,055,535 | $ 4,891,354 |
Premium / (Discount) | (901,296) | (3,832,665) |
Amortized Cost | 154,239 | 1,058,689 |
Gross Unrealized Gains | 5,708 | 77,549 |
Gross Unrealized Losses | (27,476) | (1,845) |
Fair Value | $ 132,471 | $ 1,134,393 |
Weighted Average Coupon | 0.89% | 1.31% |
Weighted Average Yield | 6.64% | 6.62% |
Real Estate Securities - Narrat
Real Estate Securities - Narrative (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020USD ($)security | Jun. 30, 2019USD ($)security | Jun. 30, 2020USD ($)security | Jun. 30, 2019USD ($)security | |
Debt Securities, Available-for-sale [Line Items] | ||||
Proceeds from sales of real estate securities | $ 2,683,595 | $ 446,089 | ||
Settled Securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Other than temporary impairment charge on securities | $ 8,700 | $ 11,100 | ||
Number of securities sold | security | 87 | 15 | 316 | 46 |
Proceeds from sales of real estate securities | $ 234,500 | $ 233,100 | $ 2,700,000 | $ 446,100 |
Securities, gross realized gains | 9,300 | 53,200 | ||
Securities, gross realized losses | $ 45,600 | $ 175,800 | ||
Unsettled Securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Securities, gross realized gains | 3,800 | 8,100 | ||
Securities, gross realized losses | 100 | 2,300 | ||
Fair Values of Securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Other than temporary impairment, not recognized in a prior period | $ 900 | $ 1,200 |
Real Estate Securities - Summ_2
Real Estate Securities - Summary of weighted average life of real estate securities (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Agency RMBS | ||
Fair Value | ||
Less than or equal to 1 year | $ 0 | |
Greater than one year and less than or equal to five years | 313,855 | |
Greater than five years and less than or equal to ten years | 2,001,584 | |
Greater than ten years | 0 | |
Total | 2,315,439 | |
Amortized Cost | ||
Less than or equal to 1 year | 0 | |
Greater than one year and less than or equal to five years | 302,520 | |
Greater than five years and less than or equal to ten years | 1,954,614 | |
Greater than ten years | 0 | |
Total | $ 2,257,134 | |
Weighted Average Coupon | ||
Less than or equal to 1 year | 0.00% | |
Greater than one year and less than or equal to five years | 4.01% | |
Greater than five years and less than or equal to ten years | 3.71% | |
Greater than ten years | 0.00% | |
Total | 3.77% | |
Credit Investments | ||
Fair Value | ||
Less than or equal to 1 year | $ 21,836 | $ 82,474 |
Greater than one year and less than or equal to five years | 43,984 | 525,192 |
Greater than five years and less than or equal to ten years | 29,651 | 296,665 |
Greater than ten years | 37,000 | 230,062 |
Total | 132,471 | 1,134,393 |
Amortized Cost | ||
Less than or equal to 1 year | 29,004 | 82,273 |
Greater than one year and less than or equal to five years | 56,366 | 508,038 |
Greater than five years and less than or equal to ten years | 31,077 | 263,300 |
Greater than ten years | 37,792 | 205,078 |
Total | $ 154,239 | $ 1,058,689 |
Weighted Average Coupon | ||
Less than or equal to 1 year | 1.55% | 0.56% |
Greater than one year and less than or equal to five years | 0.64% | 1.29% |
Greater than five years and less than or equal to ten years | 0.53% | 1.06% |
Greater than ten years | 4.32% | 5.46% |
Total | 0.89% | 1.31% |
Real Estate Securities - Summ_3
Real Estate Securities - Summary of Company's consolidated related to the August 2018 VIE (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 | |
Real estate securities, at fair value: | |||
Other assets | $ 11,163 | $ 21,905 | |
Total Assets | 855,598 | 4,347,817 | |
Liabilities | |||
Financing arrangements | 251,098 | 3,233,468 | |
Securitized debt, at fair value | [1],[2] | 198,974 | 224,348 |
Other liabilities | 8,446 | 19,449 | |
Total Liabilities | 490,220 | 3,498,771 | |
Variable Interest Entity, Primary Beneficiary | |||
Real estate securities, at fair value: | |||
Other assets | 808 | ||
Total Assets | 109,146 | ||
Liabilities | |||
Financing arrangements | 70,712 | ||
Securitized debt, at fair value | 7,230 | ||
Other liabilities | 3,553 | ||
Total Liabilities | 81,495 | ||
Non-Agency | |||
Real estate securities, at fair value: | |||
Real estate securities, at fair value | [1] | 45,817 | 717,470 |
Non-Agency | Variable Interest Entity, Primary Beneficiary | |||
Real estate securities, at fair value: | |||
Real estate securities, at fair value | 13,838 | ||
CMBS | |||
Real estate securities, at fair value: | |||
Real estate securities, at fair value | $ 86,654 | 416,923 | |
CMBS | Variable Interest Entity, Primary Beneficiary | |||
Real estate securities, at fair value: | |||
Real estate securities, at fair value | $ 94,500 | ||
[1] | See Note 3 for details related to variable interest entities. | ||
[2] | See Note 4 for details related to variable interest entities. |
Real Estate Securities - Summ_4
Real Estate Securities - Summary of Company's consolidated related to the December 2014 VIE (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2019USD ($) | |
Debt Securities, Available-for-sale [Line Items] | |
Current Face | $ 7,492,613 |
Fair Value | $ 3,449,832 |
Weighted Average Coupon | 2.20% |
Weighted Average Yield | 4.37% |
Securitized debt, at fair value | $ 7,200 |
Resecuritized Asset | |
Debt Securities, Available-for-sale [Line Items] | |
Current Face | 15,055 |
Fair Value | $ 13,838 |
Weighted Average Coupon | 4.46% |
Weighted Average Yield | 10.81% |
Weighted Average Life (Years) | 4 years 11 months 1 day |
Consolidated Tranches | Resecuritized Asset | |
Debt Securities, Available-for-sale [Line Items] | |
Current Face | $ 7,204 |
Fair Value | $ 7,230 |
Weighted Average Coupon | 3.46% |
Weighted Average Yield | 4.11% |
Weighted Average Life (Years) | 1 year 11 months 15 days |
Retained Tranches | Resecuritized Asset | |
Debt Securities, Available-for-sale [Line Items] | |
Current Face | $ 7,851 |
Fair Value | $ 6,608 |
Weighted Average Coupon | 5.37% |
Weighted Average Yield | 18.14% |
Weighted Average Life (Years) | 7 years 7 months 20 days |
Loans - Narrative (Details)
Loans - Narrative (Details) | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2020USD ($)loan | Jun. 30, 2019USD ($)loan | Jun. 30, 2020USD ($)loan | Jun. 30, 2019USD ($)loan | Jan. 31, 2020USD ($) | Dec. 31, 2019USD ($)loan | |
Gain (Loss) on Securities [Line Items] | ||||||
Fair market value | $ 379,822,000 | $ 379,822,000 | $ 417,785,000 | |||
Discount accretion | 163,600 | 129,900 | ||||
Residential Portfolio Segment | ||||||
Gain (Loss) on Securities [Line Items] | ||||||
Loan balances | 471,458,000 | 471,458,000 | $ 481,700,000 | 464,041,000 | ||
Fair market value | $ 379,822,000 | $ 379,822,000 | $ 450,300,000 | 417,785,000 | ||
Number of loans sold | loan | 2,357 | 78 | 2,358 | 79 | ||
Proceeds from sale of loans | $ 382,800,000 | $ 12,700,000 | $ 391,500,000 | $ 12,800,000 | ||
Realized gain on sale of loan | 1,400,000 | 1,000,000 | 1,400,000 | 1,000,000 | ||
Realized loss on sale of loan | 55,500,000 | 200,000 | 58,600,000 | 200,000 | ||
Other than temporary impairment losses recognized | $ 0 | $ 0 | ||||
Mortgage loans in process of foreclosure | $ 33,700,000 | $ 33,700,000 | $ 35,600,000 | |||
Number of conventional loans with balances | loan | 3,239 | 3,239 | 3,413 | |||
Residential Portfolio Segment | Minimum | ||||||
Gain (Loss) on Securities [Line Items] | ||||||
Loan balances | $ 5,600 | $ 5,600 | $ 3,800 | |||
Residential Portfolio Segment | Maximum | ||||||
Gain (Loss) on Securities [Line Items] | ||||||
Loan balances | $ 3,400,000 | $ 3,400,000 | $ 3,400,000 | |||
Commercial Portfolio Segment | ||||||
Gain (Loss) on Securities [Line Items] | ||||||
Number of loans sold | loan | 1 | 1 | ||||
Proceeds from sale of loans | $ 34,200,000 | $ 34,200,000 | ||||
Realized loss on sale of loan | $ 1,700,000 | $ 1,700,000 |
Loans - Summary of company's re
Loans - Summary of company's residential mortgage loan portfolio (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2020 | Dec. 31, 2019 | Jan. 31, 2020 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Fair Value | $ 379,822 | $ 417,785 | |
Residential Portfolio Segment | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Unpaid Principal Balance | 471,458 | 464,041 | $ 481,700 |
Premium (Discount) | (65,122) | (55,219) | |
Amortized Cost | 406,336 | 408,822 | |
Gross Unrealized Gains | 829 | 9,065 | |
Gross Unrealized Losses | (27,343) | (102) | |
Fair Value | $ 379,822 | $ 417,785 | $ 450,300 |
Weighted Average Coupon | 3.52% | 4.09% | |
Weighted Average Yield | 5.25% | 5.72% | |
Weighted Average Life (Years) | 6 years 5 months 12 days | 7 years 4 months 9 days |
Loans - Summary of company's _2
Loans - Summary of company's re-performing and non-performing residential mortgage loans (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Jan. 31, 2020 | Dec. 31, 2019 |
Debt Instrument [Line Items] | |||
Fair Value | $ 379,822 | $ 417,785 | |
Residential Portfolio Segment | |||
Debt Instrument [Line Items] | |||
Fair Value | 379,822 | $ 450,300 | 417,785 |
Unpaid Principal Balance | 471,458 | $ 481,700 | 464,041 |
Residential Portfolio Segment | Re-Performing | |||
Debt Instrument [Line Items] | |||
Fair Value | 292,102 | 330,234 | |
Unpaid Principal Balance | 348,003 | 357,678 | |
Residential Portfolio Segment | Non-Performing | |||
Debt Instrument [Line Items] | |||
Fair Value | 78,251 | 87,551 | |
Unpaid Principal Balance | 101,375 | 106,363 | |
Residential Portfolio Segment | Other | |||
Debt Instrument [Line Items] | |||
Fair Value | 9,469 | 0 | |
Unpaid Principal Balance | $ 22,080 | $ 0 |
Loans - Summary of concentratio
Loans - Summary of concentrations of credit risk (Details) - Residential Portfolio Segment - Geographic Concentration Risk - Accounts Receivable | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Dec. 31, 2019 | |
California | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Geographic Concentration of Credit Risk | 18.00% | 19.00% |
Florida | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Geographic Concentration of Credit Risk | 10.00% | 11.00% |
New York | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Geographic Concentration of Credit Risk | 9.00% | 9.00% |
New Jersey | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Geographic Concentration of Credit Risk | 6.00% | 6.00% |
Loans - Summary of changes in t
Loans - Summary of changes in the accretable portion of discounts (Details) - Residential Portfolio Segment - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Changes in the accretable portion | ||||
Beginning Balance | $ 263,111 | $ 99,504 | $ 168,877 | $ 79,610 |
Additions | 0 | 505 | 129,017 | 20,236 |
Accretion | (8,037) | (3,438) | (16,465) | (6,701) |
Reclassifications from/(to) non-accretable difference | 1,335 | (2,245) | (24,677) | 1,604 |
Disposals | (118,248) | (4,811) | (118,591) | (5,234) |
Ending Balance | $ 138,161 | $ 89,515 | $ 138,161 | $ 89,515 |
Loans - Summary of assets and l
Loans - Summary of assets and liabilities related to August 2019 VIE (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 | |
Variable Interest Entity [Line Items] | |||
Residential mortgage loans, at fair value | [1] | $ 379,822 | $ 417,785 |
Other assets | 11,163 | 21,905 | |
Total Assets | 855,598 | 4,347,817 | |
Financing arrangements | 251,098 | 3,233,468 | |
Securitized debt, at fair value | [1],[2] | 198,974 | 224,348 |
Other liabilities | 8,446 | 19,449 | |
Total Liabilities | 490,220 | 3,498,771 | |
Variable Interest Entity, Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Other assets | 808 | ||
Total Assets | 109,146 | ||
Financing arrangements | 70,712 | ||
Securitized debt, at fair value | 7,230 | ||
Other liabilities | 3,553 | ||
Total Liabilities | 81,495 | ||
Variable Interest Entity, Primary Beneficiary | August 2019 VIE | |||
Variable Interest Entity [Line Items] | |||
Residential mortgage loans, at fair value | 223,119 | 255,171 | |
Other assets | 766 | 898 | |
Total Assets | 223,885 | 256,069 | |
Financing arrangements | 9,392 | 24,584 | |
Securitized debt, at fair value | 198,974 | 217,118 | |
Other liabilities | 534 | 596 | |
Total Liabilities | $ 208,900 | $ 242,298 | |
[1] | See Note 4 for details related to variable interest entities. | ||
[2] | See Note 3 for details related to variable interest entities. |
Loans - Summary of certain info
Loans - Summary of certain information related to August 2019 VIE (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2020 | Dec. 31, 2019 | Jan. 31, 2020 | |
Receivables with Imputed Interest [Line Items] | |||
Residential mortgage loans | $ 379,822 | $ 417,785 | |
Securitized debt | $ 198,974 | $ 224,348 | |
Variable Interest Entity, Primary Beneficiary | August 2019 VIE | |||
Receivables with Imputed Interest [Line Items] | |||
Weighted Average Coupon | 2.95% | 2.92% | |
Weighted Average Yield | 2.95% | 2.86% | |
Weighted Average Useful Life | 5 years 2 months 8 days | 5 years | |
Residential Portfolio Segment | |||
Receivables with Imputed Interest [Line Items] | |||
Residential mortgage loans | $ 379,822 | $ 417,785 | $ 450,300 |
Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | August 2019 VIE | |||
Receivables with Imputed Interest [Line Items] | |||
Weighted Average Coupon | 3.51% | 3.96% | |
Weighted Average Yield | 4.81% | 5.11% | |
Weighted Average Useful Life | 6 years 10 months 6 days | 7 years 7 months 28 days | |
Current Unpaid Principal Balance | Variable Interest Entity, Primary Beneficiary | August 2019 VIE | |||
Receivables with Imputed Interest [Line Items] | |||
Securitized debt | $ 213,233 | $ 217,455 | |
Current Unpaid Principal Balance | Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | August 2019 VIE | |||
Receivables with Imputed Interest [Line Items] | |||
Residential mortgage loans | 254,936 | 263,956 | |
Fair Value | Variable Interest Entity, Primary Beneficiary | August 2019 VIE | |||
Receivables with Imputed Interest [Line Items] | |||
Securitized debt | 198,974 | 217,118 | |
Fair Value | Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | August 2019 VIE | |||
Receivables with Imputed Interest [Line Items] | |||
Residential mortgage loans | $ 223,119 | $ 255,171 |
Loans - Summary of company's co
Loans - Summary of company's commercial loan portfolio (Details) - Commercial Portfolio Segment - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Dec. 31, 2019 | |
Commercial Loan | ||
Gain (Loss) on Securities [Line Items] | ||
Current Face | $ 141,886 | $ 158,686 |
Premium (Discount) | (555) | (686) |
Amortized Cost | 141,331 | 158,000 |
Gross Unrealized Gains | 686 | |
Gross Unrealized Losses | (13,646) | |
Fair Value (3) | $ 127,685 | $ 158,686 |
Weighted Average Coupon Rate | 6.42% | 6.82% |
Weighted Average Yield | 6.74% | 7.17% |
Weighted Average Life (in years) | 2 years 6 months | 1 year 11 months 1 day |
Loan G | ||
Gain (Loss) on Securities [Line Items] | ||
Current Face | $ 56,710 | $ 45,856 |
Premium (Discount) | 0 | 0 |
Amortized Cost | 56,710 | 45,856 |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | (4,225) | |
Fair Value (3) | $ 52,485 | $ 45,856 |
Weighted Average Coupon Rate | 5.27% | 6.46% |
Weighted Average Yield | 5.27% | 6.46% |
Weighted Average Life (in years) | 1 year 6 months 18 days | 6 months 10 days |
Loan H | ||
Gain (Loss) on Securities [Line Items] | ||
Current Face | $ 36,000 | |
Premium (Discount) | 0 | |
Amortized Cost | 36,000 | |
Gross Unrealized Gains | 0 | |
Fair Value (3) | $ 36,000 | |
Weighted Average Coupon Rate | 5.49% | |
Weighted Average Yield | 5.49% | |
Weighted Average Life (in years) | 2 months 8 days | |
Loan I | ||
Gain (Loss) on Securities [Line Items] | ||
Current Face | $ 15,212 | $ 11,992 |
Premium (Discount) | (211) | (184) |
Amortized Cost | 15,001 | 11,808 |
Gross Unrealized Gains | 184 | |
Gross Unrealized Losses | (789) | |
Fair Value (3) | $ 14,212 | $ 11,992 |
Weighted Average Coupon Rate | 11.50% | 12.21% |
Weighted Average Yield | 12.26% | 14.51% |
Weighted Average Life (in years) | 1 year 9 months 18 days | 1 year 14 days |
Loan J | ||
Gain (Loss) on Securities [Line Items] | ||
Current Face | $ 6,291 | $ 4,674 |
Premium (Discount) | 0 | 0 |
Amortized Cost | 6,291 | 4,674 |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | (4,051) | |
Fair Value (3) | $ 2,240 | $ 4,674 |
Weighted Average Coupon Rate | 5.65% | 6.36% |
Weighted Average Yield | 5.65% | 6.36% |
Weighted Average Life (in years) | 2 years 1 month 13 days | 2 years 1 month 13 days |
Loan K | ||
Gain (Loss) on Securities [Line Items] | ||
Current Face | $ 12,673 | $ 9,164 |
Premium (Discount) | 0 | 0 |
Amortized Cost | 12,673 | 9,164 |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | (1,100) | |
Fair Value (3) | $ 11,573 | $ 9,164 |
Weighted Average Coupon Rate | 10.00% | 10.71% |
Weighted Average Yield | 11.22% | 11.86% |
Weighted Average Life (in years) | 1 year 3 months 7 days | 1 year 8 months 19 days |
Loan L | ||
Gain (Loss) on Securities [Line Items] | ||
Current Face | $ 51,000 | $ 51,000 |
Premium (Discount) | (344) | (502) |
Amortized Cost | 50,656 | 50,498 |
Gross Unrealized Gains | 502 | |
Gross Unrealized Losses | (3,481) | |
Fair Value (3) | $ 47,175 | $ 51,000 |
Weighted Average Coupon Rate | 5.40% | 6.16% |
Weighted Average Yield | 5.66% | 6.50% |
Weighted Average Life (in years) | 4 years 1 month 13 days | 4 years 7 months 17 days |
Excess MSRs - Summary of Excess
Excess MSRs - Summary of Excess MSR portfolio (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Dec. 31, 2019 | |
Disclosure of Excess MSRs [Line Items] | ||
Unpaid Principal Balance | $ 2,358,773 | $ 2,945,488 |
Amortized Cost | 17,791 | 19,748 |
Gross Unrealized Gains | 8 | 95 |
Gross Unrealized Losses | (5,505) | (2,068) |
Fair Value | $ 12,294 | $ 17,775 |
Weighted Average Yield | 4.84% | 8.42% |
Weighted Average Life (Years) | 6 years 5 months 1 day | 5 years 6 months 29 days |
Agency Excess MSRs | ||
Disclosure of Excess MSRs [Line Items] | ||
Unpaid Principal Balance | $ 2,327,265 | $ 2,910,735 |
Amortized Cost | 17,619 | 19,570 |
Gross Unrealized Gains | 8 | 93 |
Gross Unrealized Losses | (5,435) | (2,031) |
Fair Value | $ 12,192 | $ 17,632 |
Weighted Average Yield | 4.68% | 8.32% |
Weighted Average Life (Years) | 6 years 4 months 28 days | 5 years 6 months 29 days |
Credit Excess MSRs | ||
Disclosure of Excess MSRs [Line Items] | ||
Unpaid Principal Balance | $ 31,508 | $ 34,753 |
Amortized Cost | 172 | 178 |
Gross Unrealized Gains | 0 | 2 |
Gross Unrealized Losses | (70) | (37) |
Fair Value | $ 102 | $ 143 |
Weighted Average Yield | 23.60% | 21.38% |
Weighted Average Life (Years) | 7 years 3 months 14 days | 5 years 3 months |
Excess MSRs - Narrative (Detail
Excess MSRs - Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended |
Jun. 30, 2019 | Jun. 30, 2019 | |
Disclosure of Excess MSRs [Abstract] | ||
Excess MSR, OTTI | $ 1.6 | $ 2.2 |
Excess MSR, OTTI not recognized in a prior period | $ 0.4 | $ 0.5 |
Fair value measurements - Summa
Fair value measurements - Summary of financial instruments measured at fair value (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Assets: | ||
Agency RMBS and Credit Investments | $ 3,449,832 | |
Residential mortgage loans | $ 379,822 | 417,785 |
Commercial loans | 127,685 | 158,686 |
Excess mortgage servicing rights | 12,294 | 17,775 |
Cash equivalents | 53,243 | |
Derivative assets | 84 | 2,282 |
AG Arc | 28,030 | 28,546 |
Total Assets Measured at Fair Value | 680,386 | 4,128,149 |
Liabilities: | ||
Securitized debt | (198,974) | (224,348) |
Derivative Liability | 0 | (411) |
Total Liabilities Measured at Fair Value | (198,974) | (224,759) |
Agency RMBS: 30 Year Fixed Rate | ||
Assets: | ||
Agency RMBS and Credit Investments | 2,241,298 | |
Agency RMBS: Interest Only | ||
Assets: | ||
Agency RMBS and Credit Investments | 74,141 | |
Non-Agency RMBS | ||
Assets: | ||
Agency RMBS and Credit Investments | 45,491 | 716,396 |
Non-Agency RMBS Interest Only | ||
Assets: | ||
Agency RMBS and Credit Investments | 326 | 1,074 |
CMBS | ||
Assets: | ||
Agency RMBS and Credit Investments | 82,421 | 368,931 |
CMBS Interest Only | ||
Assets: | ||
Agency RMBS and Credit Investments | 4,233 | 47,992 |
Level 1 | ||
Assets: | ||
Residential mortgage loans | 0 | 0 |
Commercial loans | 0 | 0 |
Excess mortgage servicing rights | 0 | 0 |
Cash equivalents | 53,243 | |
Derivative assets | 84 | 0 |
AG Arc | 0 | 0 |
Total Assets Measured at Fair Value | 84 | 53,243 |
Liabilities: | ||
Securitized debt | 0 | 0 |
Derivative Liability | (122) | |
Total Liabilities Measured at Fair Value | 0 | (122) |
Level 1 | Agency RMBS: 30 Year Fixed Rate | ||
Assets: | ||
Agency RMBS and Credit Investments | 0 | |
Level 1 | Agency RMBS: Interest Only | ||
Assets: | ||
Agency RMBS and Credit Investments | 0 | |
Level 1 | Non-Agency RMBS | ||
Assets: | ||
Agency RMBS and Credit Investments | 0 | 0 |
Level 1 | Non-Agency RMBS Interest Only | ||
Assets: | ||
Agency RMBS and Credit Investments | 0 | 0 |
Level 1 | CMBS | ||
Assets: | ||
Agency RMBS and Credit Investments | 0 | 0 |
Level 1 | CMBS Interest Only | ||
Assets: | ||
Agency RMBS and Credit Investments | 0 | 0 |
Level 2 | ||
Assets: | ||
Residential mortgage loans | 0 | 0 |
Commercial loans | 0 | 0 |
Excess mortgage servicing rights | 0 | 0 |
Cash equivalents | 0 | |
Derivative assets | 0 | 2,282 |
AG Arc | 0 | 0 |
Total Assets Measured at Fair Value | 127,975 | 2,406,367 |
Liabilities: | ||
Securitized debt | 0 | (151,933) |
Derivative Liability | (289) | |
Total Liabilities Measured at Fair Value | 0 | (152,222) |
Level 2 | Agency RMBS: 30 Year Fixed Rate | ||
Assets: | ||
Agency RMBS and Credit Investments | 2,241,298 | |
Level 2 | Agency RMBS: Interest Only | ||
Assets: | ||
Agency RMBS and Credit Investments | 74,141 | |
Level 2 | Non-Agency RMBS | ||
Assets: | ||
Agency RMBS and Credit Investments | 40,995 | 86,281 |
Level 2 | Non-Agency RMBS Interest Only | ||
Assets: | ||
Agency RMBS and Credit Investments | 326 | 0 |
Level 2 | CMBS | ||
Assets: | ||
Agency RMBS and Credit Investments | 82,421 | 2,365 |
Level 2 | CMBS Interest Only | ||
Assets: | ||
Agency RMBS and Credit Investments | 4,233 | 0 |
Level 3 | ||
Assets: | ||
Residential mortgage loans | 379,822 | 417,785 |
Commercial loans | 127,685 | 158,686 |
Excess mortgage servicing rights | 12,294 | 17,775 |
Cash equivalents | 0 | |
Derivative assets | 0 | 0 |
AG Arc | 28,030 | 28,546 |
Total Assets Measured at Fair Value | 552,327 | 1,668,539 |
Liabilities: | ||
Securitized debt | (198,974) | (72,415) |
Derivative Liability | 0 | |
Total Liabilities Measured at Fair Value | (198,974) | (72,415) |
Level 3 | Agency RMBS: 30 Year Fixed Rate | ||
Assets: | ||
Agency RMBS and Credit Investments | 0 | |
Level 3 | Agency RMBS: Interest Only | ||
Assets: | ||
Agency RMBS and Credit Investments | 0 | |
Level 3 | Non-Agency RMBS | ||
Assets: | ||
Agency RMBS and Credit Investments | 4,496 | 630,115 |
Level 3 | Non-Agency RMBS Interest Only | ||
Assets: | ||
Agency RMBS and Credit Investments | 0 | 1,074 |
Level 3 | CMBS | ||
Assets: | ||
Agency RMBS and Credit Investments | 0 | 366,566 |
Level 3 | CMBS Interest Only | ||
Assets: | ||
Agency RMBS and Credit Investments | $ 0 | $ 47,992 |
Fair value measurements - Sum_2
Fair value measurements - Summary of assets measured on a recurring basis (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020USD ($) | Jun. 30, 2019USD ($)security | Jun. 30, 2020USD ($)security | Jun. 30, 2019USD ($)security | |
Total net gains/(losses) | ||||
Included in net income | $ 2,166 | $ 10,236 | $ (191,592) | $ 19,250 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 57,890 | 10,089 | (44,057) | 15,118 |
Non-Agency RMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 5,533 | 506,103 | 630,115 | 491,554 |
Transfers: | ||||
Transfers into level 3 | 24,194 | 0 | 55,174 | |
Transfers out of level 3 | (210,709) | (61,531) | ||
Purchases/Transfers | 0 | 61,496 | 1,559 | 140,562 |
Issuances of Securitized Debt | 0 | |||
Capital Contributions | 0 | |||
Proceeds from sales of assets | (68) | (14,606) | (362,199) | (49,242) |
Proceeds from settlement | (1,159) | (22,573) | (10,869) | (27,873) |
Total net gains/(losses) | ||||
Included in net income | 190 | 6,531 | (43,401) | 12,501 |
Ending Balance | 4,496 | 561,145 | 4,496 | 561,145 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 4 | $ 5,108 | $ (550) | $ 10,087 |
Non-Agency RMBS | Level 2 | ||||
Total net gains/(losses) | ||||
Number of securities transferred | security | 50 | 6 | ||
Non-Agency RMBS | Level 3 | ||||
Total net gains/(losses) | ||||
Number of securities transferred | security | 3 | 7 | ||
Non-Agency RMBS Interest Only | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | $ 2,501 | $ 1,074 | $ 3,099 | |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | |
Transfers out of level 3 | (1,074) | 0 | ||
Purchases/Transfers | 0 | 0 | 0 | |
Issuances of Securitized Debt | 0 | |||
Capital Contributions | 0 | |||
Proceeds from sales of assets | 0 | 0 | 0 | |
Proceeds from settlement | 0 | 0 | 0 | |
Total net gains/(losses) | ||||
Included in net income | (667) | 0 | (1,265) | |
Ending Balance | 0 | 1,834 | 0 | 1,834 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (386) | $ 0 | (984) | |
Non-Agency RMBS Interest Only | Level 2 | ||||
Total net gains/(losses) | ||||
Number of securities transferred | security | 2 | |||
ABS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 20,199 | 21,160 | ||
Transfers: | ||||
Transfers into level 3 | 0 | 0 | ||
Transfers out of level 3 | 0 | |||
Purchases/Transfers | 819 | 1,158 | ||
Capital Contributions | 0 | |||
Proceeds from sales of assets | 0 | (1,283) | ||
Proceeds from settlement | (634) | (1,183) | ||
Total net gains/(losses) | ||||
Included in net income | 187 | 719 | ||
Ending Balance | 20,571 | 20,571 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 187 | 654 | ||
CMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 212,904 | $ 366,566 | 211,054 | |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | |
Transfers out of level 3 | (170,816) | (5,279) | ||
Purchases/Transfers | 23,656 | 3,540 | 43,445 | |
Issuances of Securitized Debt | 0 | |||
Capital Contributions | 0 | |||
Proceeds from sales of assets | (14,097) | (148,111) | (20,165) | |
Proceeds from settlement | (7,570) | (9,367) | (22,934) | |
Total net gains/(losses) | ||||
Included in net income | 5,332 | (41,812) | 14,104 | |
Ending Balance | 0 | 220,225 | 0 | 220,225 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 5,329 | $ 0 | $ 10,733 | |
CMBS | Level 2 | ||||
Total net gains/(losses) | ||||
Number of securities transferred | security | 32 | 2 | ||
CMBS Interest Only | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 49,397 | $ 47,992 | $ 50,331 | |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | |
Transfers out of level 3 | (22,054) | 0 | ||
Purchases/Transfers | 0 | 0 | 0 | |
Issuances of Securitized Debt | 0 | |||
Capital Contributions | 0 | |||
Proceeds from sales of assets | (1,714) | (21,996) | (1,714) | |
Proceeds from settlement | 0 | 0 | 0 | |
Total net gains/(losses) | ||||
Included in net income | (847) | (3,942) | (1,781) | |
Ending Balance | 0 | 46,836 | 0 | 46,836 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (772) | $ 0 | (1,706) | |
CMBS Interest Only | Level 2 | ||||
Total net gains/(losses) | ||||
Number of securities transferred | security | 15 | |||
Residential Mortgage | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 766,960 | 202,047 | $ 417,785 | 186,096 |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 0 | 6,250 | 479,195 | 25,995 |
Issuances of Securitized Debt | 0 | |||
Capital Contributions | 0 | |||
Proceeds from sales of assets | (378,729) | (12,704) | (387,408) | (12,780) |
Proceeds from settlement | (14,716) | (4,152) | (37,390) | (8,189) |
Total net gains/(losses) | ||||
Included in net income | 6,307 | 8,529 | (92,360) | 8,848 |
Ending Balance | 379,822 | 199,970 | 379,822 | 199,970 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 60,434 | 7,847 | (35,221) | 7,992 |
Commercial Loan | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 158,051 | 110,223 | 158,686 | 98,574 |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 7,759 | 8,132 | 19,200 | 29,648 |
Issuances of Securitized Debt | 0 | |||
Capital Contributions | 0 | |||
Proceeds from sales of assets | (34,200) | 0 | (34,200) | 0 |
Proceeds from settlement | 0 | 0 | 0 | (10,417) |
Total net gains/(losses) | ||||
Included in net income | (3,925) | (350) | (16,001) | 200 |
Ending Balance | 127,685 | 118,005 | 127,685 | 118,005 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (2,134) | (350) | (14,210) | 200 |
Excess Mortgage Servicing Rights | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 14,066 | 24,301 | 17,775 | 26,650 |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 0 | 0 | 0 | 0 |
Issuances of Securitized Debt | 0 | |||
Capital Contributions | 0 | |||
Proceeds from sales of assets | 0 | 0 | 0 | 0 |
Proceeds from settlement | 0 | 0 | 0 | 0 |
Total net gains/(losses) | ||||
Included in net income | (1,772) | (3,408) | (5,481) | (5,757) |
Ending Balance | 12,294 | 20,893 | 12,294 | 20,893 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (1,780) | (1,803) | (5,481) | (3,539) |
AG Arc | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 18,519 | 23,775 | 28,546 | 20,360 |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 0 | 0 | 0 | 0 |
Issuances of Securitized Debt | 0 | |||
Capital Contributions | 6,689 | |||
Proceeds from sales of assets | 0 | 0 | 0 | 0 |
Proceeds from settlement | 0 | 0 | 0 | 0 |
Total net gains/(losses) | ||||
Included in net income | 9,511 | (5,058) | (516) | (8,332) |
Ending Balance | 28,030 | 18,717 | 28,030 | 18,717 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 9,511 | (5,058) | (516) | (8,332) |
Securitized Debt | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | (191,346) | (10,515) | (72,415) | (10,858) |
Transfers: | ||||
Transfers into level 3 | 0 | (151,933) | 0 | |
Transfers out of level 3 | 7,230 | 0 | ||
Purchases/Transfers | 0 | 0 | 0 | 0 |
Issuances of Securitized Debt | (3,000) | (3,000) | ||
Capital Contributions | 0 | |||
Proceeds from sales of assets | 0 | 0 | 0 | 0 |
Proceeds from settlement | 3,517 | 1,898 | 9,223 | 2,215 |
Total net gains/(losses) | ||||
Included in net income | (8,145) | (13) | 11,921 | 13 |
Ending Balance | (198,974) | (8,630) | (198,974) | (8,630) |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ (8,145) | $ (13) | $ 11,921 | $ 13 |
Securitized Debt | Level 2 | ||||
Total net gains/(losses) | ||||
Number of securities transferred | security | 1 | |||
Securitized Debt | Level 3 | ||||
Total net gains/(losses) | ||||
Number of securities transferred | security | 1 |
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 | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Line Items] | ||||
Included in net income | $ 2,166 | $ 10,236 | $ (191,592) | $ 19,250 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 57,890 | 10,089 | (44,057) | 15,118 |
Unrealized gain/(loss) on real estate securities and loans, net | ||||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Line Items] | ||||
Included in net income | 58,302 | 18,332 | (87,515) | 29,745 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 58,304 | 16,963 | (49,981) | 26,976 |
Unrealized gain/(loss) on derivative and other instruments, net | ||||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Line Items] | ||||
Included in net income | (9,917) | (3,421) | 6,440 | (5,744) |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (9,925) | (1,816) | 6,440 | (3,526) |
Net realized gain/(loss) | ||||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Line Items] | ||||
Included in net income | (55,730) | 383 | (110,001) | 3,581 |
Equity in earnings/(loss) from affiliates | ||||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Line Items] | ||||
Included in net income | 9,511 | (5,058) | (516) | (8,332) |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ 9,511 | $ (5,058) | $ (516) | $ (8,332) |
Fair value measurements - Sum_4
Fair value measurements - Summary of valuation techniques (Details) $ in Thousands | Jun. 30, 2020USD ($)$ / shares | Dec. 31, 2019USD ($)$ / shares |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | $ 3,449,832 | |
Non-Agency RMBS | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | $ 45,491 | 716,396 |
Non-Agency RMBS Interest Only | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | 326 | 1,074 |
CMBS | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | 82,421 | 368,931 |
CMBS Interest Only | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | 4,233 | 47,992 |
Level 3 | Non-Agency RMBS | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | 4,496 | 630,115 |
Level 3 | Non-Agency RMBS Interest Only | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | 0 | 1,074 |
Level 3 | CMBS | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | 0 | 366,566 |
Level 3 | CMBS Interest Only | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | 0 | 47,992 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | $ 3,204 | $ 625,537 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0650 | 0.0171 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0829 | 1 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0800 | 0.0599 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0582 | 0 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0595 | 1 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0584 | 0.1460 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Collateral Losses | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0370 | 0 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Collateral Losses | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0574 | 1 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Collateral Losses | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0541 | 0.0293 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Loss Severity | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | (0.0370) | 0 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Loss Severity | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1966 | 1 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Loss Severity | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0017 | 0.2137 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS Interest Only | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, fair value | $ 1,074 | |
Level 3 | Discounted Cash Flow | Non-Agency RMBS Interest Only | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.2750 | |
Level 3 | Discounted Cash Flow | Non-Agency RMBS Interest Only | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.2750 | |
Level 3 | Discounted Cash Flow | Non-Agency RMBS Interest Only | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.2750 | |
Level 3 | Discounted Cash Flow | Non-Agency RMBS Interest Only | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1800 | |
Level 3 | Discounted Cash Flow | Non-Agency RMBS Interest Only | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1800 | |
Level 3 | Discounted Cash Flow | Non-Agency RMBS Interest Only | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1800 | |
Level 3 | Discounted Cash Flow | Non-Agency RMBS Interest Only | Measurement Input, Collateral Losses | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0200 | |
Level 3 | Discounted Cash Flow | Non-Agency RMBS Interest Only | Measurement Input, Collateral Losses | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0200 | |
Level 3 | Discounted Cash Flow | Non-Agency RMBS Interest Only | Measurement Input, Collateral Losses | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0200 | |
Level 3 | Discounted Cash Flow | Non-Agency RMBS Interest Only | Measurement Input, Loss Severity | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.3500 | |
Level 3 | Discounted Cash Flow | Non-Agency RMBS Interest Only | Measurement Input, Loss Severity | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.3500 | |
Level 3 | Discounted Cash Flow | Non-Agency RMBS Interest Only | Measurement Input, Loss Severity | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.3500 | |
Level 3 | Discounted Cash Flow | CMBS | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | $ 366,566 | |
Level 3 | Discounted Cash Flow | CMBS | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Discounted Cash Flow | CMBS | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1389 | |
Level 3 | Discounted Cash Flow | CMBS | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0633 | |
Level 3 | Discounted Cash Flow | CMBS | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Discounted Cash Flow | CMBS | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Discounted Cash Flow | CMBS | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Discounted Cash Flow | CMBS | Measurement Input, Collateral Losses | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Discounted Cash Flow | CMBS | Measurement Input, Collateral Losses | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Discounted Cash Flow | CMBS | Measurement Input, Collateral Losses | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Discounted Cash Flow | CMBS | Measurement Input, Loss Severity | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Discounted Cash Flow | CMBS | Measurement Input, Loss Severity | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Discounted Cash Flow | CMBS | Measurement Input, Loss Severity | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Discounted Cash Flow | CMBS Interest Only | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, fair value | $ 47,992 | |
Level 3 | Discounted Cash Flow | CMBS Interest Only | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | (0.0257) | |
Level 3 | Discounted Cash Flow | CMBS Interest Only | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0986 | |
Level 3 | Discounted Cash Flow | CMBS Interest Only | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0419 | |
Level 3 | Discounted Cash Flow | CMBS Interest Only | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.9900 | |
Level 3 | Discounted Cash Flow | CMBS Interest Only | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 1 | |
Level 3 | Discounted Cash Flow | CMBS Interest Only | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.9993 | |
Level 3 | Discounted Cash Flow | CMBS Interest Only | Measurement Input, Collateral Losses | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0 | |
Level 3 | Discounted Cash Flow | CMBS Interest Only | Measurement Input, Collateral Losses | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0 | |
Level 3 | Discounted Cash Flow | CMBS Interest Only | Measurement Input, Collateral Losses | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0 | |
Level 3 | Discounted Cash Flow | CMBS Interest Only | Measurement Input, Loss Severity | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0 | |
Level 3 | Discounted Cash Flow | CMBS Interest Only | Measurement Input, Loss Severity | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0 | |
Level 3 | Discounted Cash Flow | CMBS Interest Only | Measurement Input, Loss Severity | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0 | |
Level 3 | Discounted Cash Flow | Residential Mortgage | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 370,353 | $ 364,107 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0550 | 0.0400 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1000 | 0.0825 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0667 | 0.0481 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0594 | 0.0481 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1010 | 0.0904 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0816 | 0.0778 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Collateral Losses | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0204 | 0.0164 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Collateral Losses | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0539 | 0.0494 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Collateral Losses | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0301 | 0.0236 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Loss Severity | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | (0.0912) | (0.0732) |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Loss Severity | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.5916 | 0.3691 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Loss Severity | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.2343 | 0.2315 |
Level 3 | Discounted Cash Flow | Commercial Loan | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 127,685 | $ 60,164 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0804 | 0.0616 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1760 | 0.1076 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1089 | 0.0686 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Credit Spread | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0738 | 0.0440 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Credit Spread | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1586 | 0.0900 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Credit Spread | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0995 | 0.0510 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Recovery Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | 1 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Recovery Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | 1 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Recovery Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | 1 |
Level 3 | Discounted Cash Flow | Excess Mortgage Servicing Rights | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, fair value | $ 12,192 | $ 17,633 |
Level 3 | Discounted Cash Flow | Excess Mortgage Servicing Rights | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.0850 | 0.0850 |
Level 3 | Discounted Cash Flow | Excess Mortgage Servicing Rights | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.1181 | 0.1160 |
Level 3 | Discounted Cash Flow | Excess Mortgage Servicing Rights | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.0926 | 0.0920 |
Level 3 | Discounted Cash Flow | Excess Mortgage Servicing Rights | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.1127 | 0.0935 |
Level 3 | Discounted Cash Flow | Excess Mortgage Servicing Rights | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.1693 | 0.1690 |
Level 3 | Discounted Cash Flow | Excess Mortgage Servicing Rights | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.1406 | 0.1236 |
Level 3 | Discounted Cash Flow | Securitized debt | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, fair value | $ (198,974) | $ (72,415) |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0350 | 0.0298 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0700 | 0.0470 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0420 | 0.0354 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0887 | 0.1000 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0887 | 0.1004 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0887 | 0.1004 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Collateral Losses | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0241 | 0.0204 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Collateral Losses | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0241 | 0.0350 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Collateral Losses | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0241 | 0.0219 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Loss Severity | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.2334 | 0.2013 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Loss Severity | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.2334 | 0.4500 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Loss Severity | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.2334 | 0.2261 |
Level 3 | Recent Transaction | Residential Mortgage | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 53,678 | |
Level 3 | Consensus Pricing | Non-Agency RMBS | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | $ 1,292 | $ 4,578 |
Level 3 | Consensus Pricing | Non-Agency RMBS | Measurement Input, Offered Price | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 86.99 | 100 |
Level 3 | Consensus Pricing | Non-Agency RMBS | Measurement Input, Offered Price | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 86.99 | 100 |
Level 3 | Consensus Pricing | Non-Agency RMBS | Measurement Input, Offered Price | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 86.99 | 100 |
Level 3 | Consensus Pricing | Residential Mortgage | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 9,469 | |
Level 3 | Consensus Pricing | Residential Mortgage | Measurement Input, Offered Price | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 13.93 | |
Level 3 | Consensus Pricing | Residential Mortgage | Measurement Input, Offered Price | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 103.20 | |
Level 3 | Consensus Pricing | Residential Mortgage | Measurement Input, Offered Price | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 79.57 | |
Level 3 | Consensus Pricing | Commercial Loan | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 98,522 | |
Level 3 | Consensus Pricing | Commercial Loan | Measurement Input, Offered Price | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 100 | |
Level 3 | Consensus Pricing | Commercial Loan | Measurement Input, Offered Price | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 100 | |
Level 3 | Consensus Pricing | Commercial Loan | Measurement Input, Offered Price | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 100 | |
Level 3 | Consensus Pricing | Excess Mortgage Servicing Rights | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, fair value | $ 102 | $ 142 |
Level 3 | Consensus Pricing | Excess Mortgage Servicing Rights | Measurement Input, Offered Price | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | $ / shares | 0 | 0.01 |
Level 3 | Consensus Pricing | Excess Mortgage Servicing Rights | Measurement Input, Offered Price | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | $ / shares | 0.32 | 0.40 |
Level 3 | Consensus Pricing | Excess Mortgage Servicing Rights | Measurement Input, Offered Price | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | $ / shares | 0.32 | 0.40 |
Level 3 | Comparable Multiple | AG Arc | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 28,030 | $ 28,546 |
Level 3 | Comparable Multiple | AG Arc | Measurement Input, Book Value Multiple | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | 1 |
Level 3 | Comparable Multiple | AG Arc | Measurement Input, Book Value Multiple | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | 1 |
Level 3 | Comparable Multiple | AG Arc | Measurement Input, Book Value Multiple | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | 1 |
Financing arrangements - Summar
Financing arrangements - Summary of financing arrangements (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Repurchase Agreement Disclosure [Line Items] | ||
Repurchase agreements | $ 188,286 | $ 3,121,966 |
Financing arrangements, net | 251,098 | 3,233,468 |
Revolving facilities | ||
Repurchase Agreement Disclosure [Line Items] | ||
Debt instrument, borrowing capacity, amount | 62,812 | 111,502 |
Net Amounts Of Liabilities Presented In The Consolidated Balance Sheet | ||
Repurchase Agreement Disclosure [Line Items] | ||
Repurchase agreements | $ 188,286 | $ 3,121,966 |
Financing arrangements - Summ_2
Financing arrangements - Summary of repurchase agreements (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 57,362 | $ 2,987,355 |
Weighted Average Rate | 3.46% | 2.25% |
Weighted Average Haircut | 46.50% | 8.50% |
Fair Value Pledged | $ 110,207 | $ 3,328,683 |
Amortized Cost | 128,464 | 3,210,497 |
Accrued Interest | 572 | 10,841 |
Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 127,464 | $ 131,594 |
Weighted Average Rate | 3.76% | 3.53% |
Weighted Average Funding Cost | 4.14% | 3.68% |
Weighted Average Haircut | 22.40% | 22.00% |
Fair Value Pledged | $ 171,316 | $ 171,224 |
Amortized Cost | 187,789 | 160,601 |
Accrued Interest | 1,243 | 820 |
30 days or less | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 55,658 | $ 1,550,508 |
Weighted Average Rate | 3.43% | 2.33% |
Weighted Average Haircut | 46.90% | 9.00% |
Fair Value Pledged | $ 107,533 | $ 1,728,837 |
Amortized Cost | 125,911 | 1,660,649 |
Accrued Interest | 570 | 5,402 |
31-60 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 1,362,121 | |
Weighted Average Rate | 2.13% | |
Weighted Average Haircut | 7.00% | |
Fair Value Pledged | $ 1,501,850 | |
Amortized Cost | 1,453,257 | |
Accrued Interest | 5,191 | |
31-60 days | Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 24,584 | |
Weighted Average Rate | 3.14% | |
Weighted Average Funding Cost | 3.14% | |
Weighted Average Haircut | 33.70% | |
Fair Value Pledged | $ 37,546 | |
Amortized Cost | 25,192 | |
Accrued Interest | 377 | |
61-90 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 1,704 | $ 71,753 |
Weighted Average Rate | 4.50% | 2.99% |
Weighted Average Haircut | 35.00% | 23.50% |
Fair Value Pledged | $ 2,674 | $ 93,957 |
Amortized Cost | 2,553 | 92,901 |
Accrued Interest | 2 | 245 |
61-90 days | Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 9,392 | |
Weighted Average Rate | 4.65% | |
Weighted Average Funding Cost | 4.65% | |
Weighted Average Haircut | 61.20% | |
Fair Value Pledged | $ 24,206 | |
Amortized Cost | 23,441 | |
Accrued Interest | 766 | |
Greater than 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 2,973 | |
Weighted Average Rate | 3.79% | |
Weighted Average Haircut | 23.70% | |
Fair Value Pledged | $ 4,039 | |
Amortized Cost | 3,690 | |
Accrued Interest | 3 | |
Greater than 180 days | Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 118,072 | $ 107,010 |
Weighted Average Rate | 3.68% | 3.61% |
Weighted Average Funding Cost | 4.10% | 3.80% |
Weighted Average Haircut | 19.40% | 19.30% |
Fair Value Pledged | $ 147,110 | $ 133,678 |
Amortized Cost | 164,348 | 135,409 |
Accrued Interest | 477 | 443 |
Greater than 180 days | Commercial Loan | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 3,460 | $ 3,017 |
Weighted Average Rate | 4.75% | 4.46% |
Weighted Average Funding Cost | 6.00% | 5.89% |
Weighted Average Haircut | 36.40% | 35.40% |
Fair Value Pledged | $ 5,441 | $ 4,674 |
Amortized Cost | 6,291 | 4,674 |
Accrued Interest | $ 30 | $ 26 |
Financing arrangements - Summ_3
Financing arrangements - Summary of securities collateral information (Details) - USD ($) | Jun. 30, 2020 | Dec. 31, 2019 |
Fair Value of investments pledged as collateral under repurchase agreements | ||
Cash pledged (i.e., restricted cash) under repurchase agreements | $ 48,000 | $ 11,565,000 |
Total collateral pledged under repurchase agreements | 287,012,000 | 3,516,146,000 |
Collateral Posted Under Repurchase Agreements | 0 | |
Agency RMBS | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Fair Value of investments pledged as collateral under repurchase agreements | 0 | 2,231,933,000 |
Non-Agency RMBS | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Fair Value of investments pledged as collateral under repurchase agreements | 36,913,000 | 682,828,000 |
CMBS | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Fair Value of investments pledged as collateral under repurchase agreements | 73,294,000 | 413,922,000 |
US Treasury Securities | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Collateral Posted Under Repurchase Agreements | 1,100,000 | |
Residential Mortgage Loans | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Fair Value of investments pledged as collateral under repurchase agreements | 171,316,000 | 171,224,000 |
Commercial Loan | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Fair Value of investments pledged as collateral under repurchase agreements | $ 5,441,000 | $ 4,674,000 |
Financing arrangements - Summ_4
Financing arrangements - Summary of total borrowings under repurchase agreements (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | $ 188,286 | $ 3,121,966 |
Agency RMBS | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | 0 | 2,109,278 |
Non-Agency RMBS | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | 20,498 | 565,450 |
CMBS | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | 36,864 | 312,627 |
Residential Mortgage Loans | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | 127,464 | 131,594 |
Commercial Loan | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | 3,460 | 3,017 |
Gross Amounts of Recognized Liabilities | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | $ 188,286 | $ 3,121,966 |
Financing arrangements - Summ_5
Financing arrangements - Summary of gross and net information about repurchase agreements (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Debt Disclosure [Abstract] | ||
Gross Amounts of Recognized Liabilities | $ 188,286 | $ 3,121,966 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheets | 188,286 | 3,121,966 |
Gross Amounts Not Offset in the Consolidated Balance Sheets | ||
Financial Instruments Posted | 188,286 | 3,121,966 |
Cash Collateral Posted | 0 | 0 |
Net Amount | $ 0 | $ 0 |
Financing arrangements - Summ_6
Financing arrangements - Summary of term loan and revolving facilities (Details) - Revolving Credit Facility - USD ($) | Jun. 30, 2020 | Dec. 31, 2019 |
Debt Instrument [Line Items] | ||
Balance | $ 62,812,000 | $ 111,502,000 |
Net Carrying Value of Assets Pledged as Collateral | 99,660,000 | $ 160,332,000 |
Maximum Aggregate Borrowing Capacity | $ 100,000,000 | |
Revolving Credit Facility B | ||
Debt Instrument [Line Items] | ||
Rate | 0.00% | 3.80% |
Funding Cost | 0.00% | 3.80% |
Balance | $ 0 | $ 21,546,000 |
Net Carrying Value of Assets Pledged as Collateral | 0 | $ 27,476,000 |
Maximum Aggregate Borrowing Capacity | $ 0 | |
Revolving Credit Facility C | ||
Debt Instrument [Line Items] | ||
Rate | 2.33% | 3.85% |
Funding Cost | 2.68% | 4.01% |
Balance | $ 62,812,000 | $ 89,956,000 |
Net Carrying Value of Assets Pledged as Collateral | 99,660,000 | $ 132,856,000 |
Maximum Aggregate Borrowing Capacity | $ 100,000,000 |
Financing arrangements - Narrat
Financing arrangements - Narrative (Details) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020USD ($)counterparty | Dec. 31, 2019USD ($)counterparty | |
Debt Disclosure [Abstract] | ||
Number of counterparties with outstanding debt | counterparty | 6 | 30 |
Cash as collateral for certain derivatives | $ | $ 1 | $ 32.1 |
Financing arrangements - Summ_7
Financing arrangements - Summary of repurchase agreement counterparty (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Dec. 31, 2019 | |
Credit Suisse AG, Cayman Islands Branch | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders’ Equity at Risk | $ 50,756 | |
Weighted Average Maturity (days) | 24 days | |
Percentage of Stockholders’ Equity | 13.90% | |
Barclays Bank PLC | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders’ Equity at Risk | $ 28,966 | |
Weighted Average Maturity (days) | 329 days | |
Percentage of Stockholders’ Equity | 7.90% | |
Barclays Capital Inc | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders’ Equity at Risk | $ 77,334 | |
Weighted Average Maturity (days) | 277 days | |
Percentage of Stockholders’ Equity | 9.10% | |
Citigroup Global Markets Inc. | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders’ Equity at Risk | $ 50,263 | |
Weighted Average Maturity (days) | 22 days | |
Percentage of Stockholders’ Equity | 5.90% |
Other assets and liabilities -
Other assets and liabilities - Summary of other assets and liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Other assets | ||
Interest receivable | $ 2,815 | $ 13,548 |
Derivative assets, at fair value | 84 | 2,282 |
Other assets | 4,149 | 4,378 |
Due from broker | 4,115 | 1,697 |
Total Other assets | 11,163 | 21,905 |
Other liabilities | ||
Interest payable | 810 | 10,941 |
Derivative liabilities, at fair value | 0 | 411 |
Accrued expenses | 2,734 | 6,175 |
Deficiencies payable | 2,200 | 0 |
Taxes payable | 0 | 815 |
Due to broker | 2,702 | 1,107 |
Total Other liabilities | $ 8,446 | $ 19,449 |
Other assets and liabilities _2
Other assets and liabilities - Summary of Company's derivatives and other instruments and their balance sheet location (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2019 | Jun. 30, 2020 | |
Interest Rate Swap | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | $ 199,000 | $ 0 |
Derivative liabilities, at fair value | (411,000) | 0 |
Derivative liability, reduction in fair value related to variation margin | 2,200,000 | |
Derivative asset, reduction in fair value related to variation margin | 10,800,000 | |
Swaption | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | 2,083,000 | 0 |
British Pound Futures | ||
Derivatives, Fair Value [Line Items] | ||
Derivative liability, reduction in fair value related to variation margin | 100,000 | |
Derivative asset, reduction in fair value related to variation margin | (100,000) | |
British Pound Futures | Short | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | 0 | $ 84,000 |
Euro Future | ||
Derivatives, Fair Value [Line Items] | ||
Derivative liability, reduction in fair value related to variation margin | 19,700 | |
Derivative asset, reduction in fair value related to variation margin | $ (19,700) |
Other assets and liabilities _3
Other assets and liabilities - Summary of information related to derivatives and other instruments (Details) € in Thousands | Jun. 30, 2020USD ($) | Jun. 30, 2020GBP (£) | Jun. 30, 2020EUR (€) | Dec. 31, 2019USD ($) |
Derivative [Line Items] | ||||
Notional amount | $ 0 | $ 1,848,750,000 | ||
British Pound Futures | ||||
Derivative [Line Items] | ||||
Notional amount | £ | £ 62,500 | |||
Euro Future | ||||
Derivative [Line Items] | ||||
Notional amount | € | € 125 | |||
Long | Interest Rate Swap | United States of America, Dollars | ||||
Derivative [Line Items] | ||||
Notional amount | 0 | 1,848,750,000 | ||
Notional amount of Swaptions | Long | United States of America, Dollars | ||||
Derivative [Line Items] | ||||
Notional amount | 350,000,000 | 650,000,000 | ||
British Pound Futures | Short | United Kingdom, Pounds | ||||
Derivative [Line Items] | ||||
Notional amount | 3,250,000 | 6,563,000 | ||
Euro Future | Short | Euro Member Countries, Euro | ||||
Derivative [Line Items] | ||||
Notional amount | $ 0 | $ 1,500,000 |
Other assets and liabilities _4
Other assets and liabilities - Summary of gains/(losses) related to derivatives and other instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | $ (186) | $ (10,075) | $ (12,079) | $ (19,391) |
Included within Net realized gain/(loss) | 308 | (21,671) | (61,562) | (41,447) |
Total income/(loss) | 122 | (31,746) | (73,641) | (60,838) |
US Treasury Futures | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | 0 | 1 | 0 | (144) |
Included within Net realized gain/(loss) | 0 | 302 | 0 | 371 |
British Pound Futures | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | 239 | 0 | 186 | 0 |
Included within Net realized gain/(loss) | (150) | 0 | 514 | 0 |
TBAs | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | (392) | (452) | 0 | 441 |
Included within Net realized gain/(loss) | 392 | 1,957 | 4,610 | 1,601 |
US Treasury Securities | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | 0 | 0 | 0 | 82 |
Included within Net realized gain/(loss) | 0 | (176) | 0 | (249) |
Euro Future | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | (28) | 0 | 20 | 0 |
Included within Net realized gain/(loss) | 66 | 0 | 68 | 0 |
Swaption | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | (5) | (256) | (697) | (774) |
Included within Net realized gain/(loss) | 0 | (227) | (1,386) | (861) |
Interest Rate Swap | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | 0 | (9,102) | (11,588) | (19,764) |
Included within Net realized gain/(loss) | 0 | (23,538) | (65,368) | (41,080) |
Eurodollar Future | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | 0 | (266) | 0 | 768 |
Included within Net realized gain/(loss) | $ 0 | $ 11 | $ 0 | $ (1,229) |
Other assets and liabilities _5
Other assets and liabilities - Summary of gross and net information about derivatives and other instruments (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2019 | Jun. 30, 2020 | |
Derivative Assets | ||
Gross Amounts of Recognized Assets (Liabilities) | $ 4,063,000 | |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 4,063,000 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet | ||
Financial Instruments (Posted)/Received | 0 | |
Cash Collateral (Posted)/Received | 1,000 | |
Net Amount | 4,062,000 | |
Derivative Liabilities | ||
Gross Amounts of Recognized Assets (Liabilities) | 977,000 | |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 977,000 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet | ||
Financial Instruments (Posted)/Received | 0 | |
Cash Collateral (Posted)/Received | 1,000 | |
Net Amount | 976,000 | |
Derivative assets before accrued interest | 4,100,000 | |
Derivative assets accrued interest | (1,800,000) | |
Derivative assets | 2,282,000 | $ 84,000 |
Derivative liabilities including accrued interest | 1,000,000 | |
Derivative liabilities accrued interest | (1,400,000) | |
Derivative liabilities, at fair value | (411,000) | 0 |
Euro Future | ||
Gross Amounts Not Offset in the Consolidated Balance Sheet | ||
Derivative asset, reduction in fair value related to variation margin | (19,700) | |
Derivative liability, reduction in fair value related to variation margin | 19,700 | |
British Pound Futures | ||
Derivative Assets | ||
Gross Amounts of Recognized Assets (Liabilities) | 84,000 | |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 84,000 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet | ||
Financial Instruments (Posted)/Received | 0 | |
Cash Collateral (Posted)/Received | 0 | |
Net Amount | $ 84,000 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet | ||
Derivative asset, reduction in fair value related to variation margin | (100,000) | |
Derivative liability, reduction in fair value related to variation margin | 100,000 | |
Interest Rate Swap | ||
Gross Amounts Not Offset in the Consolidated Balance Sheet | ||
Derivative asset, reduction in fair value related to variation margin | 10,800,000 | |
Derivative liability, reduction in fair value related to variation margin | 2,200,000 | |
Interest Rate Swap | ||
Derivative Assets | ||
Gross Amounts of Recognized Assets (Liabilities) | 1,980,000 | |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 1,980,000 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet | ||
Financial Instruments (Posted)/Received | 0 | |
Cash Collateral (Posted)/Received | 1,000 | |
Net Amount | 1,979,000 | |
Derivative Liabilities | ||
Gross Amounts of Recognized Assets (Liabilities) | 977,000 | |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 977,000 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet | ||
Financial Instruments (Posted)/Received | 0 | |
Cash Collateral (Posted)/Received | 1,000 | |
Net Amount | 976,000 | |
Interest Rate Swaptions | ||
Derivative Assets | ||
Gross Amounts of Recognized Assets (Liabilities) | 2,083,000 | |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 2,083,000 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet | ||
Financial Instruments (Posted)/Received | 0 | |
Cash Collateral (Posted)/Received | 0 | |
Net Amount | $ 2,083,000 |
Other assets and liabilities _6
Other assets and liabilities - Narrative (Details) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2020 | Dec. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Cash as collateral for certain derivatives | $ 1,000,000 | $ 32,100,000 |
Pledged real estate securities, fair value | 3,000,000 | |
Cash pledged as collateral against derivatives related to variation margin | 8,500,000 | |
Notional amount | $ 0 | $ 1,848,750,000 |
Other assets and liabilities _7
Other assets and liabilities - Summary of interest rate derivatives (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2019 | Jun. 30, 2020 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Derivative, Notional Amount | $ 1,848,750,000 | $ 0 |
Derivative Pay Interest Rate | 1.60% | |
Derivative Receivable Interest Rate | 1.91% | |
Derivative, Remaining Maturity | 4 years 3 months 25 days | |
2020 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Derivative, Notional Amount | $ 105,000,000 | |
Derivative Pay Interest Rate | 1.54% | |
Derivative Receivable Interest Rate | 1.91% | |
Derivative, Remaining Maturity | 2 months 12 days | |
2022 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Derivative, Notional Amount | $ 743,000,000 | |
Derivative Pay Interest Rate | 1.64% | |
Derivative Receivable Interest Rate | 1.91% | |
Derivative, Remaining Maturity | 2 years 8 months 4 days | |
2023 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Derivative, Notional Amount | $ 5,750,000 | |
Derivative Pay Interest Rate | 3.19% | |
Derivative Receivable Interest Rate | 1.91% | |
Derivative, Remaining Maturity | 3 years 10 months 6 days | |
2024 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Derivative, Notional Amount | $ 650,000,000 | |
Derivative Pay Interest Rate | 1.52% | |
Derivative Receivable Interest Rate | 1.90% | |
Derivative, Remaining Maturity | 4 years 9 months 18 days | |
2026 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Derivative, Notional Amount | $ 180,000,000 | |
Derivative Pay Interest Rate | 1.50% | |
Derivative Receivable Interest Rate | 1.89% | |
Derivative, Remaining Maturity | 6 years 8 months 12 days | |
2029 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Derivative, Notional Amount | $ 165,000,000 | |
Derivative Pay Interest Rate | 1.77% | |
Derivative Receivable Interest Rate | 1.94% | |
Derivative, Remaining Maturity | 9 years 10 months 6 days |
Other assets and liabilities _8
Other assets and liabilities - Summary of TBAs (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Dec. 31, 2019 | |
To Be Announced Securities [Roll Forward] | ||||
Beginning Notional Amount | $ 1,848,750,000 | |||
Ending Net Notional Amount | 0 | |||
Net Receivable/(Payable) from/to Broker | 4,115,000 | $ 1,697,000 | ||
Net Receivable/(Payable) from/to Broker | 2,702,000 | 1,107,000 | ||
Derivative Asset | 84,000 | 2,282,000 | ||
Derivative Liability | 0 | $ (411,000) | ||
TBAs | Long | ||||
To Be Announced Securities [Roll Forward] | ||||
Beginning Notional Amount | $ 125,000,000 | 0 | $ 0 | |
Buys or Covers | 737,500,000 | 728,000,000 | 1,394,500,000 | |
Sales or Shorts | (737,500,000) | (728,000,000) | (1,269,500,000) | |
Ending Net Notional Amount | 125,000,000 | 0 | 125,000,000 | |
Net Fair Value as of Period End | 126,064,000 | 0 | 126,064,000 | |
Net Receivable/(Payable) from/to Broker | 0 | |||
Net Receivable/(Payable) from/to Broker | 125,612,000 | 125,612,000 | ||
Derivative Asset | 625,000 | 0 | 625,000 | |
Derivative Liability | (173,000) | $ 0 | (173,000) | |
TBAs | Short | ||||
To Be Announced Securities [Roll Forward] | ||||
Beginning Notional Amount | 0 | 0 | ||
Buys or Covers | 0 | 185,000,000 | ||
Sales or Shorts | (100,000,000) | (285,000,000) | ||
Ending Net Notional Amount | 100,000,000 | 100,000,000 | ||
Net Fair Value as of Period End | (102,242,000) | (102,242,000) | ||
Net Receivable/(Payable) from/to Broker | 102,230,000 | 102,230,000 | ||
Derivative Asset | 0 | 0 | ||
Derivative Liability | $ (12,000) | $ (12,000) |
Earnings per share - Summary of
Earnings per share - Summary of outstanding warrants and unvested restricted stock units (Details) - shares | Jun. 30, 2020 | Dec. 31, 2019 | Jun. 30, 2019 |
Class of Warrant or Right [Line Items] | |||
Unvested restricted stock units previously granted to the Manager (in shares) | 33,825,000 | 32,742,000 | |
Restricted Stock Units (RSUs) | Manager | |||
Class of Warrant or Right [Line Items] | |||
Unvested restricted stock units previously granted to the Manager (in shares) | 20,000 | 40,000 |
Earnings per share - Summary _2
Earnings per share - Summary of earnings per share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | ||
Numerator: | |||||
Income (Loss) from Continuing Operations, Net of Tax, Attributable to Parent | $ 2,700 | $ 19,871 | $ (482,317) | $ 50,060 | |
Dividends on preferred stock (1) | [1] | 5,667 | 3,367 | 11,334 | 6,734 |
Net income/(loss) from continuing operations available to common stockholders | (2,967) | 16,504 | (493,651) | 43,326 | |
Net Income/(Loss) from Discontinued Operations | 361 | (1,193) | 361 | (2,227) | |
Net income/(loss) available to common stockholders | $ (2,606) | $ 15,311 | $ (493,290) | $ 41,099 | |
Denominator: | |||||
Basic weighted average common shares outstanding (in shares) | 32,859,000 | 32,709,000 | 32,804,000 | 31,636,000 | |
Dilutive effect of restricted stock units (in shares) | 0 | 28,000 | 0 | 28,000 | |
Diluted weighted average common shares outstanding (in shares) | 32,859,000 | 32,737,000 | 32,804,000 | 31,664,000 | |
Earnings/(Loss) Per Share - Basic | |||||
Continuing Operations (in dollars per share) | $ (0.09) | $ 0.50 | $ (15.05) | $ 1.37 | |
Discontinued Operations (in dollars per share) | 0.01 | (0.03) | 0.01 | (0.07) | |
Earnings Per Share, Basic, Total | (0.08) | 0.47 | (15.04) | 1.30 | |
Earnings/(Loss) Per Share - Diluted | |||||
Continuing Operations (in dollars per share) | (0.09) | 0.50 | (15.05) | 1.37 | |
Discontinued Operations (in dollars per share) | 0.01 | (0.03) | 0.01 | (0.07) | |
Earnings Per Share, Diluted, Total | $ (0.08) | $ 0.47 | $ (15.04) | $ 1.30 | |
Restricted Stock | |||||
Earnings/(Loss) Per Share - Diluted | |||||
Shares excluded from computation of earnings per share | 16,400 | 17,300 | |||
[1] | The three and six months ended June 30, 2020 include cumulative and undeclared dividends of $5,667 on the Company's Preferred Stock as of June 30, 2020. |
Earnings per share - Narrative
Earnings per share - Narrative (Details) | Sep. 17, 2019 | Jun. 30, 2020 |
8.25% Series A Cumulative Redeemable Preferred Stock | ||
Class of Warrant or Right [Line Items] | ||
Preferred stock dividend percentage | 8.25% | |
8.00% Series B Cumulative Redeemable Preferred Stock | ||
Class of Warrant or Right [Line Items] | ||
Preferred stock dividend percentage | 8.00% | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Class of Warrant or Right [Line Items] | ||
Preferred stock dividend percentage | 8.00% | 8.00% |
Earnings per share - Dividends
Earnings per share - Dividends in Arrears (Details) - USD ($) $ / shares in Units, $ in Thousands | Sep. 17, 2019 | Jun. 30, 2020 | Jun. 30, 2020 |
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||
Amount of Preferred Dividend in Arrears | $ 5,667 | $ 5,667 | |
8.25% Series A Cumulative Redeemable Preferred Stock | |||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||
Dividend percentage | 8.25% | ||
Dividend Per Preferred Share in Arrears | $ 0.51563 | ||
Amount of Preferred Dividend in Arrears | $ 1,067 | ||
8.00% Series B Cumulative Redeemable Preferred Stock | |||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||
Dividend percentage | 8.00% | ||
Dividend Per Preferred Share in Arrears | $ 0.50 | ||
Amount of Preferred Dividend in Arrears | $ 2,300 | ||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||
Dividend percentage | 8.00% | 8.00% | |
Dividend Per Preferred Share in Arrears | $ 0.50 | ||
Amount of Preferred Dividend in Arrears | $ 2,300 |
Earnings per share - Summary _3
Earnings per share - Summary of common stock dividends (Details) - $ / shares | Jun. 14, 2019 | Mar. 15, 2019 | Jun. 14, 2019 |
Earnings Per Share [Abstract] | |||
Dividends Declared Per Share (in dollars per share) | $ 0.50 | $ 0.50 | $ 1 |
Earnings per share - Summary _4
Earnings per share - Summary of preferred stock dividends (Details) - $ / shares | Feb. 14, 2020 | Sep. 17, 2019 | May 17, 2019 | Feb. 15, 2019 | Jun. 30, 2020 |
8.25% Series A Cumulative Redeemable Preferred Stock | |||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||||
Dividend percentage | 8.25% | ||||
Dividends Declared Per Share (in dollars per share) | $ 0.51563 | $ 0.51563 | $ 0.51563 | ||
8.00% Series B Cumulative Redeemable Preferred Stock | |||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||||
Dividend percentage | 8.00% | ||||
Dividends Declared Per Share (in dollars per share) | 0.50 | 0.50 | 0.50 | ||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||||
Dividend percentage | 8.00% | 8.00% | |||
Dividends Declared Per Share (in dollars per share) | $ 0.50 | $ 0 | $ 0 |
Income taxes (Details)
Income taxes (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Income Tax Disclosure [Abstract] | |||
Excise tax expense | $ 0.2 | $ (0.8) | $ 0.3 |
Related party transactions (Det
Related party transactions (Details) | Aug. 23, 2019USD ($) | Mar. 28, 2019USD ($) | Aug. 29, 2017USD ($) | Jul. 01, 2017shares | Jul. 06, 2011shares | Jun. 30, 2020USD ($)securityshares | Mar. 31, 2020USD ($) | Jun. 30, 2019USD ($) | Mar. 31, 2019USD ($) | Jun. 30, 2020USD ($)securityshares | Jun. 30, 2019USD ($) | Jun. 22, 2020numberOfDirectors | Jun. 19, 2020numberOfDirectors | Apr. 10, 2020USD ($) | Mar. 25, 2020numberOfDirectors | Mar. 24, 2020numberOfDirectors | Feb. 29, 2020USD ($) | Dec. 31, 2019USD ($) | Nov. 30, 2019USD ($) | Oct. 31, 2019USD ($) | Sep. 30, 2019USD ($) | Jul. 31, 2019USD ($) |
Related Party Transaction [Line Items] | ||||||||||||||||||||||
Management fee percentage | 1.50% | 1.50% | ||||||||||||||||||||
Management fee to affiliate | $ 1,678,000 | $ 2,400,000 | $ 3,827,000 | $ 4,745,000 | ||||||||||||||||||
Other operating expenses | 4,482,000 | 3,807,000 | 5,324,000 | 7,588,000 | ||||||||||||||||||
Reimbursement of expenses | $ 1,900,000 | $ 1,900,000 | $ 3,900,000 | $ 3,900,000 | ||||||||||||||||||
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% | |||||||||||||||||||||
Number of independent directors | numberOfDirectors | 4 | 3 | 4 | 5 | ||||||||||||||||||
Loan securitization, ownership interest | 44.60% | 44.60% | 44.60% | 44.60% | 44.60% | |||||||||||||||||
Number of states in which entity operates | security | 50 | 50 | ||||||||||||||||||||
Fees paid to asset manager | $ 100,000 | $ 300,000 | $ 300,000 | |||||||||||||||||||
Fees deferred to asset manager | $ 300,000 | 400,000 | ||||||||||||||||||||
Investments in debt and equity of affiliates | 122,929,000 | 122,929,000 | $ 156,311,000 | |||||||||||||||||||
October 2019 Selling Affiliates | ||||||||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||||||||
Investments in debt and equity of affiliates | $ 2,200,000 | |||||||||||||||||||||
March 2019 Selling Affiliate | ||||||||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||||||||
Investments in debt and equity of affiliates | $ 900,000 | |||||||||||||||||||||
July 2019 Selling Affiliate | ||||||||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||||||||
Investments in debt and equity of affiliates | $ 2,000,000 | |||||||||||||||||||||
Non-Qualified Mortgage Loans | ||||||||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||||||||
Loan securitization, fair value | 408,000,000 | 408,000,000 | $ 348,200,000 | $ 322,100,000 | $ 415,100,000 | |||||||||||||||||
Senior Tranches | ||||||||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||||||||
Loan securitization, fair value | $ 26,600,000 | 42,900,000 | 42,900,000 | 21,400,000 | $ 28,700,000 | |||||||||||||||||
AG Arc LLC | ||||||||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||||||||
Excess MSRs, fair value | 12,700,000 | 12,700,000 | $ 18,200,000 | |||||||||||||||||||
Mortgage Acquisition Trust | ||||||||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||||||||
The total amount committed under the long-term purchase commitment for the entity and its affiliates. | $ 105,000,000 | $ 100,000,000 | $ 75,000,000 | |||||||||||||||||||
Increase in amount committed under long term purchase commitment | $ 5,000,000 | $ 25,000,000 | ||||||||||||||||||||
ARC Home LLC | ||||||||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||||||||
Sourcing fees | $ 100,000 | $ 100,000 | $ 200,000 | $ 200,000 | ||||||||||||||||||
Minimum | ||||||||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||||||||
Increase in directors fees | 15,000 | |||||||||||||||||||||
Maximum | ||||||||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||||||||
Increase in directors fees | $ 25,000 | |||||||||||||||||||||
Manager | ||||||||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 40,250 | |||||||||||||||||||||
Manager | Note | Senior Notes | ||||||||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||||||||
Fixed rate debt | $ 10,000,000 | |||||||||||||||||||||
Rate | 6.00% | |||||||||||||||||||||
Restricted Stock | Director | ||||||||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 180,585 | |||||||||||||||||||||
Restricted Stock | Manager | ||||||||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 20,009 | 120,000 | ||||||||||||||||||||
Restricted stock units vested (in shares) | shares | 99,991 | |||||||||||||||||||||
Manager Equity Incentive Plan | ||||||||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||||||||
Shares of common stock company can award (in shares) | shares | 2,000,000 | |||||||||||||||||||||
Shares available to be awarded under equity incentive plans (in shares) | shares | 1,925,209 | 1,925,209 | ||||||||||||||||||||
Manager Equity Incentive Plan | Maximum | ||||||||||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||||||||||
Value of shares granted in fiscal year | $ 300,000 |
Equity (Details)
Equity (Details) | Sep. 17, 2019USD ($)$ / sharesshares | Feb. 14, 2019USD ($)$ / sharesshares | May 05, 2017USD ($) | Jun. 30, 2020USD ($)security$ / sharesshares | Jun. 30, 2019USD ($)shares | Jun. 30, 2020USD ($)security$ / sharesshares | Jun. 30, 2019USD ($)shares | Dec. 31, 2011$ / sharesshares | Jun. 30, 2020USD ($)security$ / sharesshares | May 02, 2018USD ($) | Nov. 03, 2015USD ($) |
Class of Stock [Line Items] | |||||||||||
Securities and capital available for issuance | $ | $ 591,200,000 | $ 591,200,000 | $ 591,200,000 | $ 750,000,000 | |||||||
Number of units in private placement (in shares) | shares | 3,000,000 | ||||||||||
Gross proceeds received from issuance of preferred stock | $ | $ 115,000,000 | ||||||||||
Quarterly periods required to grant preferred stock voting rights | security | 6 | 6 | 6 | ||||||||
Percent of votes needed to pass | 66.67% | 66.67% | 66.67% | ||||||||
Authorized amount for stock repurchase | $ | $ 25,000,000 | ||||||||||
Shares repurchased (in shares) | shares | 0 | 0 | 0 | 0 | |||||||
Net proceeds from issuance of common stock | $ | $ 57,400,000 | $ 3,499,000 | $ 99,000 | $ 3,499,000 | $ 66,063,000 | ||||||
Additional units sold in public offering (in shares) | shares | 450,000 | ||||||||||
Share price (in dollars per share) | $ 16.70 | ||||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Dividend percentage | 8.25% | ||||||||||
Liquidation preference (in dollars per share) | $ 25 | $ 25 | $ 25 | ||||||||
Redemption price (in dollars per share) | 25 | $ 25 | 25 | ||||||||
8.00% Series B Cumulative Redeemable Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Dividend percentage | 8.00% | ||||||||||
Liquidation preference (in dollars per share) | 25 | $ 25 | 25 | ||||||||
Redemption price (in dollars per share) | 25 | $ 25 | 25 | ||||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Number of units in private placement (in shares) | shares | 4,000,000 | ||||||||||
Dividend percentage | 8.00% | 8.00% | |||||||||
Liquidation preference (in dollars per share) | $ 25 | 25 | $ 25 | 25 | |||||||
Net proceeds from issuance of preferred stock | $ | $ 111,200,000 | ||||||||||
Redemption price (in dollars per share) | $ 25 | $ 25 | $ 25 | ||||||||
Repurchase | |||||||||||
Class of Stock [Line Items] | |||||||||||
Value of common stock remained authorized for future share repurchases (in shares) | $ | $ 14,600,000 | $ 14,600,000 | $ 14,600,000 | ||||||||
Sale Agents | |||||||||||
Class of Stock [Line Items] | |||||||||||
Net proceeds from issuance of common stock | $ | $ 100,000,000 | $ 3,500,000 | $ 8,600,000 | $ 3,500,000 | $ 8,600,000 | $ 31,100,000 | |||||
Net proceeds from issuance of common stock (in shares) | shares | 1,000,000 | 500,000 | 1,000,000 | 500,000 | 2,500,000 | ||||||
Remaining Value Of Shares Available To Be Issued | $ | $ 68,900,000 | $ 68,900,000 | $ 68,900,000 | ||||||||
LIBOR Floating Rate | 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Dividend percentage | 6.476% | ||||||||||
Private Placement | |||||||||||
Class of Stock [Line Items] | |||||||||||
Number of units in private placement (in shares) | shares | 3,205,000 | ||||||||||
Private placement price per share (in dollars per share) | $ 20 | ||||||||||
Amount of common stock under warrant (in dollars per share) | shares | 0.50 | ||||||||||
Private placement warrant exercise price per share (in dollars per share) | $ 20.50 | ||||||||||
Over-Allotment Option | 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||||||||
Class of Stock [Line Items] | |||||||||||
Number of units in private placement (in shares) | shares | 600,000 |
Commitments and Contingencies -
Commitments and Contingencies - Narrative (Details) - USD ($) $ in Thousands | Mar. 25, 2020 | Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 |
Long-term Purchase Commitment [Line Items] | |||||
Net realized gain/(loss) | $ (91,609) | $ (27,510) | $ (242,752) | $ (48,093) | |
Settled Litigation | |||||
Long-term Purchase Commitment [Line Items] | |||||
Net realized gain/(loss) | $ 11,600 | ||||
Settled Litigation | AG MIT CMO v. RBC (Barbados) Trading Corp | |||||
Long-term Purchase Commitment [Line Items] | |||||
Payment for accrued deficiencies | $ 5,000 | ||||
Notes issued | $ 2,000 |
Commitments and Contingencies_2
Commitments and Contingencies - Schedule of Outstanding Commitments (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2020USD ($) | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | $ 195,334 |
Funded Commitment | 113,885 |
Remaining Commitment | 81,449 |
Loan G | Commercial Portfolio Segment | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | 84,515 |
Funded Commitment | 56,710 |
Remaining Commitment | 27,805 |
Loan I | Commercial Portfolio Segment | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | 20,000 |
Funded Commitment | 15,212 |
Remaining Commitment | 4,788 |
Loan J | Commercial Portfolio Segment | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | 30,000 |
Funded Commitment | 6,291 |
Remaining Commitment | 23,709 |
Loan K | Commercial Portfolio Segment | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | 20,000 |
Funded Commitment | 12,673 |
Remaining Commitment | 7,327 |
LOTS | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | 40,819 |
Funded Commitment | 22,999 |
Remaining Commitment | $ 17,820 |
Discontinued Operations and A_3
Discontinued Operations and Assets and Liabilities Held for Sale - Narrative (Details) - Portfolio Of Single-Family Rental Properties $ in Millions | 1 Months Ended |
Nov. 30, 2019USD ($) | |
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | |
Proceeds from sale of Single Family Rental Properties | $ 137 |
Net realized gain/(loss) | $ 0.2 |
Discontinued Operations and A_4
Discontinued Operations and Assets and Liabilities Held for Sale - Income Statement (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | |
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | ||||
Interest Expense | $ 8,613 | $ 23,030 | $ 28,584 | $ 45,124 |
Other Income/(Loss) | ||||
Other income | 1 | 216 | 4 | 630 |
Total Other Income/(Loss) | 8,415 | 6,832 | (448,364) | 25,111 |
Expenses | ||||
Other operating expenses | 4,482 | 3,807 | 5,324 | 7,588 |
Total Expenses | 13,905 | 6,882 | 18,248 | 13,597 |
Net Income/(Loss) from Discontinued Operations | 361 | (1,193) | 361 | (2,227) |
Operating Segments | Single-Family Rental Properties | ||||
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | ||||
Interest Expense | 0 | (1,247) | 0 | (2,494) |
Other Income/(Loss) | ||||
Rental income | 0 | 3,162 | 0 | 6,559 |
Net realized gain/(loss) | 0 | (69) | 0 | (96) |
Other income | 0 | 130 | 0 | 312 |
Total Other Income/(Loss) | 0 | 3,223 | 0 | 6,775 |
Expenses | ||||
Other operating expenses | (80) | 43 | (80) | 92 |
Property depreciation and amortization | 0 | 1,180 | 0 | 2,627 |
Property operating expenses | (281) | 1,946 | (281) | 3,789 |
Total Expenses | (361) | 3,169 | (361) | 6,508 |
Net Income/(Loss) from Discontinued Operations | $ 361 | $ (1,193) | $ 361 | $ (2,227) |
Discontinued Operations and A_5
Discontinued Operations and Assets and Liabilities Held for Sale - Balance Sheet (Details) - USD ($) $ in Thousands | Jun. 30, 2020 | Dec. 31, 2019 |
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | ||
Other assets | $ 11,163 | $ 21,905 |
Total Assets | 855,598 | 4,347,817 |
Other liabilities | 8,446 | 19,449 |
Total Liabilities | 490,220 | 3,498,771 |
Operating Segments | Single-Family Rental Properties | ||
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | ||
Other assets | 0 | 154 |
Total Assets | 0 | 154 |
Other liabilities | 305 | 1,546 |
Total Liabilities | $ 305 | $ 1,546 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ in Thousands | Jul. 27, 2020 | Feb. 14, 2019 | May 05, 2017 | Aug. 10, 2020 | Jul. 31, 2020 | Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Feb. 29, 2020 | Nov. 30, 2019 | Sep. 30, 2019 |
Subsequent Event [Line Items] | |||||||||||||
Net proceeds from issuance of common stock | $ 57,400 | $ 3,499 | $ 99 | $ 3,499 | $ 66,063 | ||||||||
Loan securitization, ownership interest | 44.60% | 44.60% | 44.60% | 44.60% | 44.60% | 44.60% | |||||||
Sale Agents | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Stock sold during period (in shares) | 1,000,000 | 500,000 | 1,000,000 | 500,000 | 2,500,000 | ||||||||
Net proceeds from issuance of common stock | $ 100,000 | $ 3,500 | $ 8,600 | $ 3,500 | $ 8,600 | $ 31,100 | |||||||
Non-Qualified Mortgage Loans | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Loan securitization, fair value | $ 408,000 | $ 408,000 | $ 348,200 | $ 322,100 | $ 415,100 | ||||||||
Commercial Portfolio Segment | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Proceeds from sale of loans | $ 34,200 | $ 34,200 | |||||||||||
Subsequent Event | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Loan securitization, ownership interest | 44.60% | ||||||||||||
Subsequent Event | Sale Agents | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Stock sold during period (in shares) | 400,000 | ||||||||||||
Net proceeds from issuance of common stock | $ 1,200 | ||||||||||||
Subsequent Event | Settled Litigation | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Payment for accrued deficiencies | $ 2,200 | ||||||||||||
Subsequent Event | Non-Qualified Mortgage Loans | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Loan securitization, fair value | 221,600 | ||||||||||||
Subsequent Event | Secured Debt | AG REIT Management, LLC | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Repayments of debt | $ 10,000 | ||||||||||||
Subsequent Event | Loan J | Commercial Portfolio Segment | |||||||||||||
Subsequent Event [Line Items] | |||||||||||||
Proceeds from sale of loans | $ 24,400 |