Cover Page
Cover Page - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Feb. 15, 2021 | Jun. 30, 2020 | |
Document Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2020 | ||
Current Fiscal Year End Date | --12-31 | ||
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 Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | No | ||
Entity Filer Category | Accelerated Filer | ||
Entity Small Business | true | ||
Entity Emerging Growth Company | false | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 104,445,844 | ||
Entity Common Stock, Shares Outstanding | 41,456,349 | ||
Documents Incorporated by Reference | Portions of the registrant’s definitive proxy statement relating to its 2021 annual meeting of stockholders, to be filed with the U.S. Securities and Exchange Commission within 120 days after the end of the registrant’s fiscal year, are incorporated by reference into Part III of this Annual Report on Form 10-K where indicated. | ||
Document Fiscal Year Focus | 2020 | ||
Document Fiscal Period Focus | FY | ||
Entity Central Index Key | 0001514281 | ||
Amendment Flag | false | ||
Common Stock | |||
Document Information [Line Items] | |||
Title of 12(b) Security | Common Stock, $0.01 par value per share | ||
Trading Symbol | MITT | ||
Security Exchange Name | NYSE | ||
8.25% Series A Cumulative Redeemable Preferred Stock | |||
Document Information [Line Items] | |||
Title of 12(b) Security | 8.25% Series A Cumulative Redeemable Preferred Stock | ||
Trading Symbol | MITT PrA | ||
Security Exchange Name | NYSE | ||
8.00% Series B Cumulative Redeemable Preferred Stock | |||
Document Information [Line Items] | |||
Title of 12(b) Security | 8.00% Series B Cumulative Redeemable Preferred Stock | ||
Trading Symbol | MITT PrB | ||
Security Exchange Name | NYSE | ||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Document Information [Line Items] | |||
Title of 12(b) Security | 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | MITT PrC | ||
Security Exchange Name | NYSE |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Assets | |||
Residential mortgage loans, at fair value - $46,571 and $171,224 pledged as collateral, respectively (1) | [1] | $ 435,441 | $ 417,785 |
Commercial loans, at fair value - $0 and $4,674 pledged as collateral, respectively | 111,549 | 158,686 | |
Commercial loans held for sale, at fair value | 13,959 | 0 | |
Investments in debt and equity of affiliates | 150,667 | 156,311 | |
Excess mortgage servicing rights, at fair value | 3,158 | 17,775 | |
Cash and cash equivalents | 47,926 | 81,692 | |
Restricted cash | 14,392 | 43,677 | |
Other assets | 9,407 | 21,905 | |
Assets held for sale - Single-family rental properties, net | 0 | 154 | |
Total Assets | 1,400,045 | 4,347,817 | |
Liabilities | |||
Financing arrangements | 564,047 | 3,233,468 | |
Securitized debt, at fair value | [1] | 355,159 | 224,348 |
Dividend payable | 1,243 | 14,734 | |
Payable on unsettled trades | 51,136 | 0 | |
Other liabilities | 18,755 | 24,675 | |
Liabilities held for sale - Single-family rental properties, net | 0 | 1,546 | |
Total Liabilities | 990,340 | 3,498,771 | |
Commitments and Contingencies | |||
Stockholders' Equity | |||
Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 41,434 and 32,742 shares issued and outstanding at December 31, 2020 and December 31, 2019, respectively | 414 | 327 | |
Additional paid-in capital | 688,871 | 662,183 | |
Retained earnings/(deficit) | (518,058) | (85,921) | |
Total Stockholders' Equity | 409,705 | 849,046 | |
Total Liabilities & Stockholders' Equity | 1,400,045 | 4,347,817 | |
8.25% Series A Cumulative Redeemable Preferred Stock | |||
Stockholders' Equity | |||
Preferred stock - $0.01 par value; 50,000 shares authorized: | 43,808 | 49,921 | |
8.00% Series B Cumulative Redeemable Preferred Stock | |||
Stockholders' Equity | |||
Preferred stock - $0.01 par value; 50,000 shares authorized: | 100,762 | 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: | 93,908 | 111,243 | |
Agency | |||
Assets | |||
Real estate securities, at fair value: | 518,352 | 2,315,439 | |
Non-Agency | |||
Assets | |||
Real estate securities, at fair value: | [1] | 38,406 | 717,470 |
CMBS | |||
Assets | |||
Real estate securities, at fair value: | $ 56,788 | $ 416,923 | |
[1] | See Notes 3 and 4 for details related to variable interest entities. |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 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) | 41,434,000 | 32,742,000 |
Common stock, shares outstanding (in shares) | 41,434,000 | 32,742,000 |
Agency | ||
Real estate securities, at fair value, pledged as collateral | $ 460,949 | $ 2,234,921 |
Non-Agency | ||
Real estate securities, at fair value, pledged as collateral | 28,653 | 682,828 |
CMBS | ||
Real estate securities, at fair value, pledged as collateral | 42,669 | 413,922 |
Residential Mortgage Loans | ||
Loans pledged as collateral | 46,571 | 171,224 |
Commercial Loans | ||
Loans pledged as collateral | $ 0 | $ 4,674 |
8.25% Series A Cumulative Redeemable Preferred Stock | ||
Dividend percentage | 8.25% | 8.25% |
Preferred stock, shares issued (in shares) | 1,817,000 | 2,070,000 |
Preferred stock, shares outstanding (in shares) | 1,817,000 | 2,070,000 |
Preferred stock, liquidation preference | $ 45,413 | $ 51,750 |
8.00% Series B Cumulative Redeemable Preferred Stock | ||
Dividend percentage | 8.00% | 8.00% |
Preferred stock, shares issued (in shares) | 4,165,000 | 4,600,000 |
Preferred stock, shares outstanding (in shares) | 4,165,000 | 4,600,000 |
Preferred stock, liquidation preference | $ 104,118 | $ 115,000 |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Dividend percentage | 8.00% | 8.00% |
Preferred stock, shares issued (in shares) | 3,883,000 | 4,600,000 |
Preferred stock, shares outstanding (in shares) | 3,883,000 | 4,600,000 |
Preferred stock, liquidation preference | $ 97,079 | $ 115,000 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | ||
Net Interest Income | |||||||||||
Interest income | $ 11,171 | $ 9,717 | $ 13,369 | $ 40,268 | $ 48,534 | $ 40,735 | $ 40,901 | $ 41,490 | $ 74,525 | $ 171,660 | |
Interest expense | 4,004 | 4,357 | 8,613 | 19,971 | 23,097 | 21,887 | 23,030 | 22,094 | 36,945 | 90,108 | |
Total Net Interest Income | 7,167 | 5,360 | 4,756 | 20,297 | 25,437 | 18,848 | 17,871 | 19,396 | 37,580 | 81,552 | |
Other Income/(Loss) | |||||||||||
Net realized gain/(loss) | 661 | (14,431) | (91,609) | (151,143) | 13,403 | (16,132) | (27,510) | (20,583) | (256,522) | (50,822) | |
Net interest component of interest rate swaps | 731 | 7,736 | |||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 25,304 | 19,495 | 109,632 | (313,897) | (17,812) | 11,726 | 43,165 | 46,753 | (159,466) | 83,832 | |
Unrealized gain/(loss) on derivative and other instruments, net | (8,550) | 1,970 | (9,453) | 5,686 | 17,355 | 3,258 | (10,839) | (10,086) | (10,347) | (312) | |
Foreign currency gain/(loss), net | 45 | (10) | (156) | 1,649 | (3,179) | 667 | 0 | 0 | 1,528 | (2,512) | |
Other income | 2 | 0 | 1 | 3 | 342 | 210 | 216 | 414 | 6 | 1,182 | |
Total Other Income/(Loss) | 17,283 | 7,011 | 8,415 | (456,779) | 12,085 | 1,908 | 6,832 | 18,279 | (424,070) | 39,104 | |
Expenses | |||||||||||
Management fee to affiliate | 1,656 | 1,698 | 1,678 | 2,149 | 2,734 | 2,346 | 2,400 | 2,345 | 7,181 | 9,825 | |
Other operating expenses | 3,260 | 5,929 | 4,482 | 842 | 4,988 | 6,062 | 3,807 | 3,781 | 14,513 | 18,638 | |
Restructuring related expenses | 251 | 1,345 | 7,104 | 1,500 | 10,200 | 0 | |||||
Equity based compensation to affiliate | 0 | 0 | 75 | 88 | 74 | 76 | 73 | 126 | 163 | 349 | |
Excise tax | 0 | 0 | 0 | (815) | 67 | 186 | 186 | 92 | (815) | 531 | |
Servicing fees | 539 | 540 | 566 | 579 | 416 | 416 | 416 | 371 | 2,224 | 1,619 | |
Total Expenses | 5,706 | 9,512 | 13,905 | 4,343 | 8,279 | 9,086 | 6,882 | 6,715 | 33,466 | 30,962 | |
Income/(loss) before equity in earnings/(loss) from affiliates | 18,744 | 2,859 | (734) | (440,825) | 29,243 | 11,670 | 17,821 | 30,960 | (419,956) | 89,694 | |
Equity in earnings/(loss) from affiliates | (1,629) | 7,644 | |||||||||
Net Income/(Loss) from Continuing Operations | 40,686 | 20,046 | 2,700 | (485,017) | 36,172 | 11,106 | 19,871 | 30,189 | (421,585) | 97,338 | |
Net Income/(Loss) from Discontinued Operations | 305 | 0 | 361 | 0 | (1,132) | (1,057) | (1,193) | (1,034) | 666 | (4,416) | |
Net Income/(Loss) | 40,991 | 20,046 | 3,061 | (485,017) | 35,040 | 10,049 | 18,678 | 29,155 | (420,919) | 92,922 | |
Gain on Exchange Offers, net (Note 11) | 10,035 | 539 | 0 | 0 | 10,574 | 0 | |||||
Dividends on preferred stock (1) | [1] | (20,549) | (16,122) | ||||||||
Net Income/(Loss) Available to Common Stockholders | $ 47,374 | $ 15,022 | $ (2,606) | $ (490,684) | $ 29,373 | $ 6,329 | $ 15,311 | $ 25,788 | $ (430,894) | $ 76,800 | |
Earnings/(Loss) Per Share - Basic | |||||||||||
Continuing Operations (in dollars per share) | $ 1.15 | $ 0.44 | $ (0.09) | $ (14.98) | $ 0.93 | $ 0.22 | $ 0.50 | $ 0.87 | $ (12.26) | $ 2.52 | |
Discontinued Operations (in dollars per share) | 0.01 | 0 | 0.01 | 0 | (0.03) | (0.03) | (0.03) | (0.03) | 0.02 | (0.13) | |
Total Earnings/(Loss) Per Share of Common Stock (in dollars per share) | 1.16 | 0.44 | (0.08) | (14.98) | 0.90 | 0.19 | 0.47 | 0.84 | (12.24) | 2.39 | |
Earnings/(Loss) Per Share - Diluted | |||||||||||
Continuing Operations (in dollars per share) | 1.15 | 0.44 | (0.09) | (14.98) | 0.93 | 0.22 | 0.50 | 0.87 | (12.26) | 2.52 | |
Discontinued Operations (in dollars per share) | 0.01 | 0 | 0.01 | 0 | (0.03) | (0.03) | (0.03) | (0.03) | 0.02 | (0.13) | |
Total Earnings/(Loss) Per Share of Common Stock (in dollars per share) | $ 1.16 | $ 0.44 | $ (0.08) | $ (14.98) | $ 0.90 | $ 0.19 | $ 0.47 | $ 0.84 | $ (12.24) | $ 2.39 | |
Weighted Average Number of Shares of Common Stock Outstanding | |||||||||||
Basic (in dollars per share) | 35,191 | 32,192 | |||||||||
Diluted (in dollars per share) | 35,191 | 32,203 | |||||||||
[1] | (1) The year ended December 31, 2019 includes cumulative and undeclared dividends of $0.4 million on the Company's 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock as of December 31, 2019. |
Consolidated Statements of Op_2
Consolidated Statements of Operations [Parenthetical] - USD ($) $ in Thousands | Sep. 17, 2019 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | |
Dividends on preferred stock | [1] | $ 20,549 | $ 16,122 | |||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||
Dividends on preferred stock | $ 5,600 | $ 5,700 | $ 400 | $ 400 | $ 400 | |||
Dividend percentage | 8.00% | 8.00% | 8.00% | |||||
[1] | (1) The year ended December 31, 2019 includes cumulative and undeclared dividends of $0.4 million on the Company's 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock as of December 31, 2019. |
Consolidated Statements of Stoc
Consolidated Statements of Stockholders’ Equity - USD ($) $ in Thousands | Total | Common Stock | Preferred 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 | $ 0 | |||||||
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 | $ 111,243 | 66,023 | 111,243 | |||||||||
Grant of restricted stock and amortization of equity based compensation (in shares) | 45,000 | |||||||||||||
Grant of restricted stock and amortization of equity based compensation | 748 | 748 | ||||||||||||
Common dividends declared | (62,172) | (62,172) | $ (4,269) | $ (4,269) | $ (9,200) | $ (9,200) | $ (2,300) | $ (2,300) | ||||||
Net Income/(Loss) | 92,922 | 92,922 | ||||||||||||
Ending balance (in shares) at Dec. 31, 2019 | 32,742,000 | |||||||||||||
Ending 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) | 3,449,000 | |||||||||||||
Net proceeds from issuance of common stock | 11,333 | $ 35 | 11,298 | |||||||||||
Grant of restricted stock and amortization of equity based compensation (in shares) | 147,000 | |||||||||||||
Grant of restricted stock and amortization of equity based compensation | 582 | $ 1 | 581 | |||||||||||
Common dividends declared | (1,243) | (1,243) | $ (3,877) | $ (3,877) | $ (8,547) | $ (8,547) | $ (8,125) | $ (8,125) | ||||||
Exchange offers (in shares) | 5,096,000 | |||||||||||||
Exchange offers | (8,545) | $ 51 | 14,809 | 10,574 | (6,113) | (10,531) | (17,335) | |||||||
Net Income/(Loss) | (420,919) | (420,919) | ||||||||||||
Ending balance (in shares) at Dec. 31, 2020 | 41,434,000 | |||||||||||||
Ending balance at Dec. 31, 2020 | $ 409,705 | $ 414 | $ 688,871 | $ (518,058) | $ 43,808 | $ 100,762 | $ 93,908 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Cash Flows from Operating Activities | ||
Net Income/(Loss) | $ (420,919) | $ 92,922 |
Net Income/(Loss) from Discontinued Operations | (666) | 4,416 |
Net income/(loss) from continuing operations | (421,585) | 97,338 |
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: | ||
Net amortization of premium | (5,212) | (4,673) |
Net realized (gain)/loss | 256,522 | 50,822 |
Unrealized (gain)/loss on real estate securities and loans, net | 159,466 | (83,832) |
Unrealized (gain)/loss on derivative and other instruments, net | 10,347 | 312 |
Foreign currency (loss) gain, net | (1,528) | 2,512 |
Equity based compensation to affiliate | 163 | 349 |
Equity based compensation expense | 419 | 399 |
(Income) loss from equity method investments, net of distributions received | 11,057 | 6,045 |
Change in operating assets/liabilities: | ||
Other assets | 8,872 | (1,886) |
Other liabilities | (13,639) | 87 |
Net cash provided by (used in) continuing operating activities | 4,882 | 67,473 |
Net cash provided by (used in) discontinued operating activities | (726) | (2,235) |
Net cash provided by (used in) operating activities | 4,156 | 65,238 |
Cash Flows from Investing Activities | ||
Purchase of real estate securities | (502,801) | (2,090,705) |
Purchase of residential mortgage loans | (541,823) | (263,997) |
Purchase of commercial loans | (10,560) | (31,173) |
Origination of commercial loans | (22,694) | (71,446) |
Purchase of U.S. treasury securities | 0 | (81,917) |
Investments in debt and equity of affiliates | (46,363) | (93,606) |
Proceeds from sale of real estate securities | 2,731,163 | 1,240,701 |
Proceeds from sale of residential mortgage loans | 393,950 | 12,780 |
Proceeds from sale of commercial loans | 36,935 | 0 |
Proceeds from sale of excess mortgage servicing rights | 8,038 | 0 |
Proceeds from sales of U.S. treasury securities | 0 | 82,048 |
Distributions received in excess of income from investments in debt and equity of affiliates | 30,614 | 16,143 |
Principal repayments on real estate securities | 111,703 | 385,865 |
Principal repayments on excess mortgage servicing rights | 2,818 | 4,015 |
Principal repayments on residential mortgage loans | 63,882 | 29,370 |
Principal repayments on commercial loans | 6,369 | 43,217 |
Net proceeds from (payment made on) reverse repurchase agreements | 0 | 11,499 |
Net proceeds from (payment made on) sales of securities borrowed under reverse repurchase agreements | 30 | (11,479) |
Net settlement of interest rate swaps and other instruments | (72,484) | (63,996) |
Net settlement of TBAs | 4,610 | 1,261 |
Cash flows provided by (used in) other investing activities | 68 | (1,027) |
Net cash provided by (used in) continuing investing activities | 2,193,455 | (882,447) |
Net cash provided by (used in) discontinued investing activities | 0 | 135,484 |
Net cash provided by (used in) investing activities | 2,193,455 | (746,963) |
Cash Flows from Financing Activities | ||
Net proceeds from issuance of common stock | 7,018 | 66,063 |
Net proceeds from issuance of preferred stock | 0 | 111,243 |
Cash paid on Exchange Offers | (8,007) | 0 |
Borrowings under financing arrangements | 14,689,972 | 47,397,506 |
Repayments of financing arrangements | (17,014,635) | (46,887,803) |
Borrowings under secured debt | 20,000 | 0 |
Repayments of secured debt | (10,000) | 0 |
Proceeds from issuance of securitized debt | 166,487 | 224,923 |
Principal repayments on securitized debt | (29,312) | (6,901) |
Net collateral received from (paid to) derivative counterparty | 0 | (1,465) |
Net collateral received from (paid to) repurchase counterparty | (46,740) | (293) |
Dividends paid on common stock | (14,734) | (61,809) |
Dividends paid on preferred stock | (20,549) | (15,769) |
Net cash provided by continuing financing activities | (2,260,500) | 825,695 |
Net cash provided by discontinued financing activities | 0 | (103,000) |
Net cash provided by (used in) financing activities | (2,260,500) | 722,695 |
Net change in cash and cash equivalents, and restricted cash | (62,889) | 40,970 |
Cash and cash equivalents, and restricted cash, Beginning of Year | 125,369 | 84,358 |
Effect of exchange rate changes on cash | (162) | 41 |
Cash and cash equivalents, and restricted cash, End of Year | 62,318 | 125,369 |
Supplemental disclosure of cash flow information: | ||
Cash paid for interest on financing arrangements | 46,322 | 94,989 |
Cash paid for income tax | 1,051 | 1,483 |
Supplemental disclosure of non-cash financing and investing activities: | ||
Payable on unsettled trades | 51,136 | 0 |
Common stock dividends declared but not paid | 1,243 | 14,734 |
Exchange Offers (Note 11) | 33,979 | 0 |
Holdback receivable on sale of excess MSRs | 422 | 0 |
Management fees paid using Common Stock in lieu of cash | 4,315 | 0 |
Decrease of securitized debt | 7,091 | 3,617 |
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 | 3,856 | 2,883 |
Transfer from investments in debt and equity of affiliates to CMBS | $ 11,769 | $ 0 |
Consolidated Statements of Ca_2
Consolidated Statements of Cash Flows (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Statement of Cash Flows [Abstract] | |||
Cash and cash equivalents | $ 47,926 | $ 81,692 | |
Restricted cash | 14,392 | 43,677 | |
Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows | $ 62,318 | $ 125,369 | $ 84,358 |
Organization
Organization | 12 Months Ended |
Dec. 31, 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, which contain the asset classes further described 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. 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. Single-Asset/Single-Borrower securities are CMBS which securitize a single loan that is backed by a single asset (usually a large commercial property) or by a pool of cross collateralized mortgage obligations to a single borrower or related borrowers. Conduit CMBS are CMBS that are collateralized by multiple commercial loans and multiple borrowers. The Company’s Non-Agency RMBS and CMBS 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, CMBS asset types as "real estate securities" or "securities." Residential mortgage loans refer to performing, re-performing and non-performing loans collateralized 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 collateralized 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 held by a U.S. government agency or GSE ("Agency Excess MSR"). Agency investments include Agency RMBS and Agency Excess MSRs, and credit investments include Non-Agency RMBS, CMBS, and loans. 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 13 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, implemented additional measures, such as shelter-in-place and stay-at-home orders. Many businesses 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 were relaxed over the summer and early fall of 2020, these conditions, or some level thereof, are expected to continue over the near term and may continue throughout 2021, depending on state and local outbreaks and the success of availability of an effective vaccine. Beginning in mid-March 2020, 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 MBS markets. The illiquidity was exacerbated by inadequate demand for MBS among primary dealers due to balance sheet constraints. Refer to Note 2 "Financing arrangements" for further details related to the impact to the Company as a result of these economic conditions. |
Summary of significant accounti
Summary of significant accounting policies | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Summary of significant accounting policies | Summary of significant accounting policies The accompanying 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"). Certain reclassifications have been made to the prior year's consolidated financial statements to conform to the current period presentation, primarily the inclusion of additional detail on certain asset classes within the real estate securities portfolio given the Company's reduction in portfolio size. In the opinion of management, all adjustments considered necessary for a fair presentation for the annual period of the Company’s financial position, results of operations and cash flows have been included and are of a normal and recurring nature. 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. Cash and cash equivalents are carried at cost, which approximates fair value. As of December 31, 2020, the Company held $47.9 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 minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of "Cash and cash equivalents" on the consolidated balance sheets. Any cash held by the Company as collateral is included in the "Other liabilities" line item on the consolidated balance sheets and in cash flows from financing activities on the consolidated statement of cash flows. 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, as well as restricted cash deposited into accounts held at certain consolidated trusts. 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. Offering costs The Company has incurred offering costs in connection with common stock offerings, registration statements, preferred stock offerings and exchanges. 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. Exchange costs in connection with the Company's preferred stock exchanges have been accounted for as a reduction to the Company's retained earnings. 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. 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 third-party 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. The Company does not believe the pricing services’ ability to determine fair values has been 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." 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. 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". 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 previous 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. As the Company measures its debt securities and loans at fair value with any changes recognized through net income and updates its estimate of the cash flows expected to be collected on these asset classes on at least a quarterly basis recognizing changes in cash flows in interest income prospectively through an adjustment of an asset’s yield over its remaining life, the adoption of the standard did not have a material impact to the Company’s consolidated financial statements. 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 loans Investments in loans are recorded in accordance with ASC 310-10, "Receivables." The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. 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 loan activities will be recorded in a similar manner. As such, 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 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. Residential Mortgage Loans At purchase, the Company may aggregate its residential mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. 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. Refer to the "Recent Accounting Pronouncements" section below for more information on impairment recognition prior to the adoption of ASU 2016-13. Commercial Loans Commercial loans are classified as held for sale upon the Company determining that it intends to sell or liquidate the loan in the short-term and certain criteria have been met. Commercial loans meeting all criteria for reclassification are presented separately on the consolidated balance sheets in the "Commercial Loans Held for Sale" line item. Estimated costs incurred to sell a loan are included within the fair value of the loan. 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, loans and its interest in AG Arc LLC. 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 and retains the mortgage servicing rights associated with the loans it originates. Arc Home is led by an external management team. The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary. As a result, income or losses recognized by the Company from its investment in AG Arc are recorded in "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations net of income taxes. 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 Consumer Finance Protection Bureau. Non-QM Loans are not eligible for delivery to Fannie Mae, Freddie Mac, or Ginnie Mae. MATT made an election to be treated as a real estate investment trust beginning with the 2018 tax year. 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"). 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 and the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations (in thousands). December 31, 2020 December 31, 2019 Assets Liabilities Equity Net Income/(Loss) Assets Liabilities Equity Net Income/(Loss) Non-QM Loans (1) $ 153,200 $ (111,135) $ 42,065 $ (26,511) $ 254,276 $ (200,257) $ 54,019 $ 6,024 Land Related Financing 22,824 — 22,824 2,620 16,979 — 16,979 844 Other (2) 41,940 (5,588) 36,352 (998) 101,871 (56,811) 45,060 10,426 Real Estate Securities and Loans, at fair value $ 217,964 $ (116,723) $ 101,241 $ (24,889) $ 373,126 $ (257,068) $ 116,058 $ 17,294 AG Arc, at fair value 45,341 — 45,341 23,260 28,546 — 28,546 (9,650) Cash and Other assets/(liabilities) 5,279 (1,194) 4,085 — 12,953 (1,246) 11,707 — Investments in debt and equity of affiliates $ 268,584 $ (117,917) $ 150,667 $ (1,629) $ 414,625 $ (258,314) $ 156,311 $ 7,644 (1) As of December 31, 2020, Non-QM Loans excluded loans with an unpaid principal balance of $17.3 million whereby an affiliate of MATT has the right, but not the obligation, to repurchase loans from a trust that are 90 days or more delinquent at its discretion. These loans, which are eligible to be repurchased, would be recorded on the balance sheet of MATT, an unconsolidated equity method investee of the Company, with a corresponding and offsetting liability. (2) Certain loans held in securitized form are presented net of non-recourse securitized debt. 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. 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. 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. The transferred assets were recorded as a secured borrowing. The Company has chosen to make a fair value election pursuant to ASC 825 for its secured borrowings. As of December 31, 2020, the Company did not hold any interest in the December 2014 VIE. In connection with the deconsolidation that occurred during the current period, 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 the third quarter of 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 determined that the August 2018 VIE should be consolidated. As of December 31, 2020, the Company did not hold any interest in the August 2018 VIE. In connection with the deconsolidation that occurred during the current period 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 securitization transactions of certain of its re-performing residential mortgage loans, which resulted in the Company consolidating the respective VIEs that were created to facilitate these transactions and to which the underlying assets in connection with these securitizations were transferred (the "August 2019 VIE" and the "September 2020 VIE"). Based on the evaluations of each VIE, the Company concluded that the VIEs should be consolidated and, as a result, transferred assets of these VIEs were determined to be secured borrowings. Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the August 2019 VIE and September 2020 VIE. 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 activities will be recorded in a similar manner. 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 and September 2020 VIE are 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 and September 2020 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 VIEs. See Note 4 for more detail regarding these VIEs. Refer to Note 5 related to the Company's determination of fair value for the assets and liabilities included within these VIEs. 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 securit |
Real Estate Securities
Real Estate Securities | 12 Months Ended |
Dec. 31, 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 December 31, 2020 and December 31, 2019 ($ in thousands). The gross unrealized gains/(losses) stated in the tables below represent inception to date unrealized gains/(losses). December 31, 2020 Gross Unrealized Weighted Average Current Face Premium / Amortized Gains Losses Fair Value Coupon (1) Yield Agency RMBS: 30 Year Fixed Rate $ 494,307 $ 22,368 $ 516,675 $ 1,794 $ (117) $ 518,352 2.10 % 1.17 % Credit Investments: Residential Investments Prime 15,093 (7,081) 8,012 663 (10) 8,665 3.68 % 8.97 % Alt-A/Subprime 16,287 (9,377) 6,910 4,586 — 11,496 4.25 % 12.52 % Credit Risk Transfer 13,880 — 13,880 15 (587) 13,308 4.71 % 4.70 % Non-U.S. RMBS 2,435 706 3,141 51 (92) 3,100 6.45 % 6.41 % Non-Agency RMBS Interest Only (2) 157,590 (157,513) 77 207 (48) 236 0.53 % NM Re/Non-Performing Securities 1,690 (238) 1,452 149 — 1,601 5.25 % 14.05 % Total Residential Investments: 206,975 (173,503) 33,472 5,671 (737) 38,406 2.01 % 8.50 % Commercial Investments Conduit 4,925 (1,024) 3,901 — (606) 3,295 4.62 % 11.89 % Single-Asset/Single-Borrower 50,480 (1,494) 48,986 668 (9,464) 40,190 4.15 % 4.81 % Freddie Mac K-Series CMBS 22,572 (12,062) 10,510 47 (1,557) 9,000 3.83 % 9.00 % CMBS Interest Only (3) 687,077 (682,961) 4,116 256 (69) 4,303 0.10 % 6.93 % Total Commercial Investments: 765,054 (697,541) 67,513 971 (11,696) 56,788 0.44 % 6.04 % Total Credit Investments: 972,029 (871,044) 100,985 6,642 (12,433) 95,194 0.65 % 7.04 % Total $ 1,466,336 $ (848,676) $ 617,660 $ 8,436 $ (12,550) $ 613,546 1.18 % 2.08 % (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. (3) Comprised of Freddie Mac K-Series interest-only bonds. December 31, 2019 Gross Unrealized Weighted Average Current Face Premium / Amortized 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: Residential Investments Prime 297,932 (84,876) 213,056 29,052 (221) 241,887 4.92 % 7.44 % Alt-A/Subprime 141,464 (30,859) 110,605 12,234 (127) 122,712 4.40 % 6.89 % Credit Risk Transfer 270,397 591 270,988 8,972 (5) 279,955 5.17 % 5.27 % Non-U.S. RMBS 44,867 9,473 54,340 3,391 — 57,731 3.21 % 3.58 % Non-Agency RMBS Interest Only 209,362 (207,948) 1,414 — (340) 1,074 0.77 % 5.96 % Re/Non-Performing Securities 5,966 (1,965) 4,001 1,180 — 5,181 5.18 % 19.20 % Land Related Financing 8,628 (212) 8,416 514 — 8,930 7.75 % 8.26 % Total Residential Investments: 978,616 (315,796) 662,820 55,343 (693) 717,470 4.40 % 6.28 % Commercial Investments Conduit 72,318 (9,181) 63,137 811 (602) 63,346 4.24 % 5.57 % Single-Asset/Single-Borrower 204,702 (5,606) 199,096 879 (304) 199,671 5.09 % 5.57 % Freddie Mac K-Series CMBS 208,693 (119,809) 88,884 17,030 — 105,914 5.70 % 11.54 % CMBS Interest Only (2) 3,427,025 (3,382,273) 44,752 3,486 (246) 47,992 0.24 % 6.68 % Total Commercial Investments: 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. (2) Comprised of Freddie Mac K-Series interest-only bonds. 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. For the year ended December 31, 2019, the Company recognized an OTTI charge of $14.6 million on its securities, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. None of this amount was recognized on securities in which the Company demonstrated an intent to sell. The Company recorded $14.6 million of OTTI due to an adverse change in cash flows on certain securities, where the fair values of the securities were less than their carrying amounts. Of the $14.6 million of OTTI recorded, $3.4 million related to securities where OTTI was not recognized in a prior year. The following tables detail the weighted average life of our real estate securities as of December 31, 2020 and December 31, 2019 ($ in thousands): December 31, 2020 Agency RMBS Credit Investments Weighted Average Life (1) Fair Value Amortized Weighted Fair Value Amortized Weighted Less than or equal to 1 year $ — $ — — % $ 31,166 $ 39,588 1.81 % Greater than one year and less than or equal to five years 181,947 181,209 2.29 % 20,131 21,634 0.33 % Greater than five years and less than or equal to ten years 336,405 335,466 2.00 % 20,310 20,808 0.36 % Greater than ten years — — — 23,587 18,955 4.18 % Total $ 518,352 $ 516,675 2.10 % $ 95,194 $ 100,985 0.65 % (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. December 31, 2019 Agency RMBS Credit Investments Weighted Average Life (1) Fair Value Amortized Cost Weighted Fair Value Amortized Cost Weighted 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 year ended December 31, 2020, the Company sold 343 securities for total proceeds of $2.7 billion, recording realized gains of $54.5 million and realized losses of $180.4 million. For the year ended December 31, 2019, the Company sold 90 securities for total proceeds of $1.2 billion, recording realized gains of $34.6 million and realized losses of $4.7 million. Variable interest entities 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 December 31, 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, had no recourse to the general credit of the Company and the Company had 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 were not restricted and could have been used to settle any obligations of the Company as of December 31, 2019. The liabilities of the August 2018 VIE were recourse to the Company and could be satisfied with assets of the Company as of December 31, 2019. As the Company does not hold any interest in the August 2018 VIE as of December 31, 2020, the liabilities of the August 2018 VIE are no longer recourse to 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 | 12 Months Ended |
Dec. 31, 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. In September 2020, the Company purchased a residential mortgage loan portfolio with a gross aggregate unpaid principal balance and a gross acquisition fair value of $71.7 million and $60.2 million, respectively. This loan portfolio was simultaneously securitized and is included within the September 2020 VIE. For the year ended December 31, 2020, the Company sold 2,412 loans for total proceeds of $397.9 million, recording realized gains of $1.9 million and realized losses of $59.3 million. For the year ended December 31, 2019, the Company sold 79 loans for total proceeds of $12.8 million, recording realized gains of $1.0 million and realized losses of $0.2 million. The table below details information regarding the Company’s residential mortgage loan portfolio as of December 31, 2020 and December 31, 2019 ($ in thousands). The gross unrealized gains/(losses) stated in the tables below represents inception to date unrealized gains/(losses). Gross Unrealized Weighted Average As of Unpaid Principal Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life December 31, 2020 (2) $ 500,980 $ (69,007) $ 431,973 $ 13,640 $ (10,172) $ 435,441 3.58 % 5.69 % 6.67 December 31, 2019 (3) 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. (2) As of December 31, 2020, the Company’s residential mortgage loan portfolio was comprised of 3,273 conventional loans with original loan balances between $5.6 thousand and $3.4 million. Additionally, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $37.1 million. (3) As of December 31, 2019, the Company’s residential mortgage loan portfolio was comprised of 3,413 conventional loans with original loan balances between $3.8 thousand and $3.4 million. Additionally, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $35.6 million. The table below details information regarding the Company’s re-performing and non-performing residential mortgage loans as of December 31, 2020 and December 31, 2019 (in thousands): December 31, 2020 December 31, 2019 Fair Value Unpaid Principal Fair Value Unpaid Principal Re-Performing $ 312,733 $ 347,359 $ 330,234 $ 357,678 Non-Performing 113,976 134,129 87,551 106,363 Other (1) 8,732 19,492 — — $ 435,441 $ 500,980 $ 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. Please refer to Note 2 for the Company's treatment of OTTI. For the year ended December 31, 2019, the Company recognized $0.2 million of OTTI on certain loan pools, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The Company recorded the $0.2 million of OTTI where the fair values of the loan pools were less than their carrying amounts. The $0.2 million related to a loan pool with an unpaid principal balance of $153.2 million, a fair value of $144.8 million and an average fair value of $74.8 million for the year ended December 31, 2019. The Company recognized $1.5 million of interest income on the loan pools where OTTI was taken during the year ended December 31, 2019. 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 December 31, 2020 and December 31, 2019, excluding any loans classified as Other above: Geographic Concentration of Credit Risk December 31, 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 17 % 19 % Florida 11 % 11 % New York 10 % 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 years ended December 31, 2020 and December 31, 2019 (in thousands): Year Ended December 31, 2020 December 31, 2019 Beginning Balance $ 168,877 $ 79,610 Additions 160,132 108,275 Accretion (27,683) (16,169) Reclassifications from/(to) non-accretable difference (10,295) 2,411 Disposals (120,740) (5,250) Ending Balance $ 170,291 $ 168,877 Variable interest entities The following table details certain information related to the assets and liabilities of the August 2019 VIE and September 2020 VIE, as further described in Note 2, as of December 31, 2020 and December 31, 2019 (in thousands): December 31, 2020 December 31, 2019 Assets Residential mortgage loans, at fair value $ 426,604 $ 255,171 Restricted cash 2,110 — Other assets 3,705 898 Total assets $ 432,419 $ 256,069 Liabilities Financing arrangements $ 25,590 $ 24,584 Securitized debt, at fair value 355,159 217,118 Other liabilities 519 596 Total liabilities $ 381,268 $ 242,298 The following table details additional information regarding loans and securitized debt related to the August 2019 VIE and September 2020 VIE as of December 31, 2020 and December 31, 2019 ($ in thousands): Weighted Average As of: Current Unpaid Principal Balance Fair Value Coupon Yield Life (Years) (1) December 31, 2020 August 2019 VIE Residential mortgage loans $ 238,487 $ 222,282 3.79 % 5.44 % 6.86 Securitized debt 197,955 196,338 2.97 % 3.01 % 5.20 September 2020 VIE Residential mortgage loans $ 242,859 $ 204,322 3.37 % 5.80 % 6.70 Securitized debt 158,676 158,821 2.98 % 2.98 % 2.17 December 31, 2019 August 2019 VIE Residential mortgage loans $ 263,956 $ 255,171 3.96 % 5.11 % 7.66 Securitized debt 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. 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 and September 2020 VIE. Commercial loans For the year ended December 31, 2020, the Company sold two commercial loans, for total proceeds of $36.9 million, recording realized losses of $6.5 million. For the year ended December 31, 2019, the Company did not sell any commercial loans. Refer to Note 16 for more information on sales subsequent to year end. During the fourth quarter of 2020, the Company and the borrower of Loan L entered into a modification agreement to, among other things, require the borrower to pay previously deferred interest in full, defer interest for the following 12-month period and require funding of capital reserves by the borrower. The loan was placed on non-accrual status upon modification. As a result of the modification, the loan is classified as a troubled debt restructuring under GAAP. The following tables present detail on the Company’s commercial loan portfolio as of December 31, 2020 and December 31, 2019 ($ in thousands). The gross unrealized gains/(losses) columns in the tables below represent inception to date unrealized gains/(losses). December 31, 2020 Weighted Average Loan (1)(2) Current Face Premium Amortized Cost Gross Unrealized Losses Fair Value (3) Coupon (4) Yield (5) Life Extended Location Collateral Type Commercial Loans, at fair value Loan G (8)(9) $ 59,451 $ — $ 59,451 $ (3,940) $ 55,511 5.27 % 5.27 % 1.54 July 9, 2022 CA Condo, Retail, Hotel Loan K (10) 15,787 — 15,787 (1,100) 14,687 10.00 % 10.83 % 1.27 February 9, 2024 NY Hotel, Retail Loan L (10) 51,000 (337) 50,663 (9,312) 41,351 N/A N/A 3.61 July 22, 2024 IL Hotel, Retail 126,238 (337) 125,901 (14,352) 111,549 3.73 % 4.05 % 2.34 Commercial Loans Held for Sale, at fair value Loan I (11)(12) 15,929 (175) 15,754 (1,795) 13,959 11.50 % 12.23 % 2.22 February 9, 2023 MN Office, Retail Total $ 142,167 $ (512) $ 141,655 $ (16,147) $ 125,508 4.60 % 4.96 % 2.33 (1) The Company has the contractual right to receive a balloon payment for each loan. (2) Refer to Note 12 "Commitments and Contingencies" for details on the Company's commitments on its Commercial Loans as of December 31, 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 is a first mortgage loan. (9) Loan G has been amended and has been extended to its extended maturity date upon reaching its initial maturity of July 9, 2020. Subsequent to year end, the Company sold Loan G. Refer to Note 16 for more information. (10) Loan K and Loan L are comprised of first mortgage and mezzanine loans. (11) Loan I is a mezzanine loan. (12) During the fourth quarter, the Company and the borrower of Loan I entered into a modification agreement to, among other things, extend the term of the Loan, allow for a portion of the interest to be deferred and increase the capital commitment amount by $6.0 million. This loan was classified as held for sale during the fourth quarter in accordance with the Company's accounting policy as detailed in Note 2. Subsequent to year end, the Company sold Loan I. Refer to Note 16 for more information. December 31, 2019 Weighted Average Loan (1) Current Face Premium Amortized Cost Gross Unrealized Gains Fair Value Coupon (2) Yield (3) Life Extended Location Collateral Type Loan G (6) $ 45,856 $ — $ 45,856 $ — $ 45,856 6.46 % 6.46 % 0.53 July 9, 2022 CA Condo, Retail, Hotel Loan H (6) 36,000 — 36,000 — 36,000 5.49 % 5.49 % 0.19 June 9, 2020 AZ Office Loan I (7) 11,992 (184) 11,808 184 11,992 12.21 % 14.51 % 1.04 February 9, 2023 MN Office, Retail Loan J (6) 4,674 — 4,674 — 4,674 6.36 % 6.36 % 2.12 January 1, 2024 NY Hotel, Retail Loan K (8) 9,164 — 9,164 — 9,164 10.71 % 11.86 % 1.72 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, 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. |
Fair value measurements
Fair value measurements | 12 Months Ended |
Dec. 31, 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, management determines fair value using third-party 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 and derivatives are based upon prices obtained from third-party pricing services, which are indicative of market activity. 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 7 for more information. In determining the fair value of the Company's mortgage loans and securitized debt relating to the August 2019 VIE and the September 2020 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, loss severity, loan-to-value ratios, and recovery rates. 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. Management may also base its valuation on prices obtained from a third-party pricing service provider 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 third-party pricing 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 may 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 December 31, 2020 (in thousands): Fair Value at December 31, 2020 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ — $ 518,352 $ — $ 518,352 Credit Investments: Non-Agency RMBS (1) — 35,070 3,100 38,170 Non-Agency RMBS Interest Only — 236 — 236 CMBS (2) — 52,485 — 52,485 CMBS Interest Only — 4,303 — 4,303 Residential mortgage loans — 2,134 433,307 435,441 Commercial loans — — 125,508 125,508 Excess mortgage servicing rights — — 3,158 3,158 AG Arc (3) — — 45,341 45,341 Total Assets Measured at Fair Value $ — $ 612,580 $ 610,414 $ 1,222,994 Liabilities: Securitized debt $ — $ — $ (355,159) $ (355,159) Derivative liabilities — (68) — (68) Total Liabilities Measured at Fair Value $ — $ (68) $ (355,159) $ (355,227) (1) Non-Agency RMBS is comprised of Prime, Alt-A/Subprime, Non-US RMBS, and Re/Non-Performing Securities. (2) CMBS is comprised of Conduit, Single-Asset/Single-Borrower and Freddie Mac K-Series CMBS. (3) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents, if applicable, and AG Arc. The table above includes the Company's investment in AG Arc, which is included in its Investments in Debt and Equity of Affiliates line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825. 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 (1) — 86,281 630,115 716,396 Non-Agency RMBS Interest Only — — 1,074 1,074 CMBS (2) — 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 (3) 53,243 — — 53,243 Derivative assets — 2,282 — 2,282 AG Arc (3) — — 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) Non-Agency RMBS is comprised of Prime, Alt-A/Subprime, Non-US RMBS, Re/Non-Performing Securities and Land Related Financing. (2) CMBS is comprised of Conduit, Single-Asset/Single-Borrower and Freddie Mac K-Series CMBS. (3) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents, if applicable, and AG Arc. The table above includes the Company's investment in AG Arc, which is included in its Investments in Debt and Equity of Affiliates line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825. The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the years ended December 31, 2020 and December 31, 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, 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: Year Ended December 31, 2020 (in thousands) Non-Agency Non-Agency CMBS CMBS Residential Commercial Excess AG Arc Securitized 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) (22,055) — — — — 7,230 Purchases/Reclassifications 1,559 — 3,540 — 536,710 33,254 20 — — Issuances of Securitized Debt — — — — — — — — (166,487) Capital distributions — — — — — — — (6,466) — Proceeds from sales/redemptions (362,199) — (148,111) (21,995) (393,876) (36,924) (8,460) — — Proceeds from settlement (12,636) — (9,367) — (63,882) (6,369) — — 29,312 Total net gains/(losses) (2) Included in net income (43,030) — (41,812) (3,942) (63,430) (23,139) (6,177) 23,261 (866) Ending Balance $ 3,100 $ — $ — $ — $ 433,307 $ 125,508 $ 3,158 $ 45,341 $ (355,159) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2020 (3) $ (106) $ — $ — $ — $ (6,593) $ (16,669) $ (2,564) $ 23,261 $ (866) (1) Transfers are assumed to occur at the beginning of the period. For the year ended December 31, 2020, the Company transferred 50 Non-Agency RMBS securities, 2 Non-Agency 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. For the year ended December 31, 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 $ (59,812) Unrealized gain/(loss) on derivative and other instruments, net (3,254) Net realized gain/(loss) (119,330) Equity in earnings/(loss) from affiliates 23,261 Total $ (159,135) (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 $ (23,368) Unrealized gain/(loss) on derivative and other instruments, net (3,430) Equity in earnings/(loss) from affiliates 23,261 Total $ (3,537) Year Ended December 31, 2019 (in thousands) Non-Agency Non-Agency ABS CMBS CMBS Interest Residential Commercial Excess AG Arc Securitized 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 87,070 — — — — — — — — — Transfers out of level 3 (57,140) — — (5,280) — — — — — — Purchases/Reclassifications 261,847 — 1,632 208,871 5,123 263,110 102,619 — — — Issuances of Securitized Debt — — — — — — — — — (65,171) Capital contributions — — — — — — — — 17,836 — Proceeds from sales/redemptions (115,616) — (14,183) (25,792) (2,632) (12,780) — — — — Proceeds from settlement (59,274) — (9,446) (38,162) — (30,422) (43,217) — — 3,618 Total net gains/(losses) (2) Included in net income 21,674 (2,025) 837 15,875 (4,830) 11,781 710 (8,875) (9,650) (4) Ending Balance $ 630,115 $ 1,074 $ — $ 366,566 $ 47,992 $ 417,785 $ 158,686 $ 17,775 $ 28,546 $ (72,415) Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2019 (3) $ 11,984 $ (529) $ — $ 12,430 $ (4,704) $ 10,689 $ 710 $ (6,240) $ (9,650) $ (4) (1) Transfers are assumed to occur at the beginning of the period. For the year ended December 31, 2019, the Company transferred 14 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 6 Non-Agency RMBS securities and 2 CMBS security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 33,256 Unrealized gain/(loss) on derivative and other instruments, net (8,879) Net realized gain/(loss) 10,766 Equity in earnings/(loss) from affiliates (9,650) Total $ 25,493 (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 $ 30,580 Unrealized gain/(loss) on derivative and other instruments, net (6,244) Equity in earnings/(loss) from affiliates (9,650) Total $ 14,686 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 December 31, 2020 (in thousands) Valuation Technique Unobservable Input Range Yield 8.05% - 8.05% (8.05%) Non-Agency RMBS $ 1,601 Discounted Cash Flow Projected Collateral Prepayments 5.46% - 5.46% (5.46%) Projected Collateral Losses 5.37% - 5.37% (5.37%) Projected Collateral Severities ' -20.89% - -20.89% (-20.89%) $ 1,499 Consensus Pricing Offered Quotes 91.59 - 91.59 (91.59) Yield 4.50% - 10.00% (5.01%) Residential Mortgage Loans $ 426,709 Discounted Cash Flow Projected Collateral Prepayments 4.30% - 9.31% (7.28%) Projected Collateral Losses 1.66% - 5.75% (2.58%) Projected Collateral Severities -9.29% - 49.43% (15.68%) $ 6,598 Consensus Pricing Offered Quotes 82.03 - 106.29 (99.96) Yield 10.95% - 39.54% (14.09%) Commercial Loans $ 125,508 Discounted Cash Flow Credit Spread 1001 bps - 3304 bps (1279 bps) Recovery Percentage (2) 100.00% - 100.00% (100.00%) Loan-to-Value 43.60% - 97.50% (62.04%) Yield 9.00% - 9.70% (9.08%) Excess Mortgage Servicing Rights $ 3,073 Discounted Cash Flow Projected Collateral Prepayments 11.11% - 15.51% (12.49%) $ 85 Consensus Pricing Offered Quotes 0.25 - 0.25 (0.25) AG Arc $ 45,341 Comparable Multiple Book Value Multiple 1.05x - 1.05x (1.05x) Liability Class Fair Value at December 31, 2020 (in thousands) Valuation Technique Unobservable Input Range Yield 2.45% - 5.50% (2.98%) Securitized debt $ (355,159) Discounted Cash Flow Projected Collateral Prepayments 5.90% - 8.20% (7.17%) Projected Collateral Losses 1.94% - 3.46% (2.62%) Projected Collateral Severities 12.70% - 20.03% (16.75%) (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, 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 yields, 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, valuation analyses from third-party pricing 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. The valuations of commercial loans 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 |
Financing arrangements
Financing arrangements | 12 Months Ended |
Dec. 31, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | |
Financing arrangements | Financing arrangements The following table presents a summary of the Company's financing arrangements as of December 31, 2020 and December 31, 2019 ($ in thousands). December 31, 2020 December 31, 2019 Weighted Average Collateral (1)(2) Carrying Value Stated Maturity Funding Cost Life (Years) Amortized Cost Basis Fair Value Carrying Value Repurchase Agreements Agency RMBS $ 435,893 Jan 2021 0.21 % 0.04 $ 459,684 $ 460,949 $ 2,109,278 Non-Agency RMBS 14,550 Jan 2021 - Apr 2021 2.34 % 0.08 24,009 28,653 565,450 CMBS 24,881 Jan 2021 - Feb 2021 2.66 % 0.04 51,961 42,669 312,627 Residential Mortgage Loans 25,590 Mar 2021 2.38 % 0.21 44,520 46,571 131,594 Commercial Loans — N/A — — — — 3,017 Total Repurchase Agreements $ 500,914 0.51 % 0.05 $ 580,174 $ 578,842 $ 3,121,966 Revolving Facilities (3)(4) Commercial Loans (5)(6)(7) $ 63,133 Aug 2023 2.79 % 2.60 $ 110,114 $ 96,862 $ 89,956 Residential Mortgage Loans (8) — N/A — — — — 21,546 Total Revolving Facilities $ 63,133 2.79 % 2.60 $ 110,114 $ 96,862 111,502 Total Financing Arrangements $ 564,047 0.76 % 0.33 $ 690,288 $ 675,704 $ 3,233,468 (1) The Company also had $1.4 million of cash pledged under repurchase agreements as of December 31, 2020. (2) The amounts pledged as collateral under Residential Mortgage Loans represent certain of the Company's retained interests in securitizations. Refer to Note 4 for more information on the August 2019 VIE and September 2020 VIE. (3) All revolving facilities listed above are interest only until maturity. (4) 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. (5) Increasing the Company's borrowing capacity under this facility requires consent of the lender. (6) The funding cost on this facility is inclusive of the impact of deferred financing costs. The stated rate was 2.30% as of December 31, 2020. (7) The borrowing capacity on the commercial loan revolving facility is $100 million. (8) During the second quarter of 2020, this facility was paid off. The following table presents contractual maturity information about the Company's borrowings under repurchase agreements and revolving facilities at December 31, 2020 (in thousands). Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Over 12 Months Total Repurchase Agreements Agency RMBS $ 435,893 $ — $ — $ — $ 435,893 Non-Agency RMBS 9,166 4,340 1,044 — 14,550 CMBS 18,534 6,347 — — 24,881 Residential Mortgage Loans — 25,590 — — 25,590 Total Repurchase Agreements $ 463,593 $ 36,277 $ 1,044 $ — $ 500,914 Revolving Facilities Commercial Loans $ — $ — $ — $ 63,133 $ 63,133 Total Financing Arrangements $ 463,593 $ 36,277 $ 1,044 $ 63,133 $ 564,047 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 on its financing arrangements 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. Counterparties 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 5 as of December 31, 2020. The following tables present information at December 31, 2020 and 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). December 31, 2020 Counterparty Stockholders' Equity Weighted Average Percentage of BofA Securities, Inc. $ 28,091 19 6.9 % Credit Suisse AG, Cayman Islands Branch 26,305 35 6.4 % Barclays Capital Inc. 24,890 15 6.1 % December 31, 2019 Counterparty Stockholders' Equity Weighted Average Percentage of Barclays Capital Inc $ 77,334 277 9.1 % Citigroup Global Markets Inc. 50,263 22 5.9 % Financial Covenants 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. As of December 31, 2020, the Company is in compliance with all of its financial covenants. |
Other assets and liabilities
Other assets and liabilities | 12 Months Ended |
Dec. 31, 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 December 31, 2020 and December 31, 2019 (in thousands): December 31, 2020 December 31, 2019 Other assets Interest receivable $ 2,962 $ 13,548 Derivative assets, at fair value — 2,282 Other assets 5,538 4,378 Due from broker 907 1,697 Total Other assets $ 9,407 $ 21,905 Other liabilities Interest payable $ 853 $ 10,941 Derivative liabilities, at fair value 68 411 Due to affiliates (1) 14,041 5,226 Accrued expenses 2,521 6,175 Taxes payable — 815 Due to broker 1,272 1,107 Total Other liabilities $ 18,755 $ 24,675 (1) Refer to Note 10 for more information related to the secured debt and other outstanding payables to affiliates. 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. The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location at December 31, 2020 and December 31, 2019 (in thousands). Derivatives and Other Instruments Designation Balance Sheet Location December 31, 2020 December 31, 2019 Pay Fix/Receive Float Interest Rate Swap Agreements (1) Non-Hedge Other assets $ — $ 199 Pay Fix/Receive Float Interest Rate Swap Agreements (1) Non-Hedge Other liabilities (68) (411) Payer Swaptions Non-Hedge Other assets — 2,083 (1) As of December 31, 2020, the Company applied a reduction in fair value of $1.4 million and $0.2 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively. 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 with a corresponding increase or decrease in restricted cash, respectively. The following table summarizes information related to derivatives and other instruments (in thousands): Notional amount of non-hedge derivatives and other instruments: Notional Currency December 31, 2020 December 31, 2019 Pay Fix/Receive Float Interest Rate Swap Agreements USD $ 417,000 $ 1,848,750 Payer Swaptions USD — 650,000 Short positions on British Pound Futures (1) GBP 3,313 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. Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of December 31, 2020 and December 31, 2019. The Company has not offset or netted any derivatives or other instruments with any financial instruments or cash collateral posted or received. 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, 2020, the Company pledged cash of $10.8 million as collateral against certain derivatives. Of the $10.8 million of cash pledged as collateral against certain derivatives, $1.1 million represents amounts related to variation margin. 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, $8.5 million represents amounts related to variation margin. The Company’s counterparties posted a de minimis amount of cash as collateral against certain derivatives as of December 31, 2019. Interest rate swaps To help mitigate exposure to increases in interest rates, the Company may use currently-paying and forward-starting, one- or three-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements. This arrangement hedges the Company's exposure to higher interest rates because the variable-rate payments received on the swap agreements largely offset additional interest accruing on the related borrowings due to the higher interest rate, leaving the fixed-rate payments to be paid on the swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the swap agreements and actual borrowing rates. As of December 31, 2020, the Company’s interest rate swap positions consisted of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of December 31, 2020 ($ in thousands): Maturity Notional Amount Weighted Average Weighted Average Weighted Average 2025 $ 296,000 0.39 % 0.23 % 4.76 2026 20,000 0.45 % 0.24 % 5.01 2030 86,000 0.76 % 0.23 % 9.77 2031 15,000 0.95 % 0.24 % 10.01 Total/Wtd Avg $ 417,000 0.49 % 0.23 % 5.99 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 A to-be-announced security ("TBA") is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS delivered into or received from the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. The Company may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a pair off), net settling the paired off positions for cash, simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a dollar roll. The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to Agency RMBS for settlement in the current month. This difference, or discount, is referred to as the price drop. The price drop is the economic equivalent of net interest carry income on the underlying Agency RMBS over the roll period (interest income less implied financing cost) and is commonly referred to as dollar roll income/(loss). Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing. Dollar roll income is recognized in the consolidated statement of operations in the line item "Unrealized gain/(loss) on derivative and other instruments, net." The following tables present information about the Company’s TBAs for the years ended December 31, 2020 and December 31, 2019 (in thousands): For the Year Ended December 31, 2020 Beginning Buys or Covers Sales or Shorts Ending Net Net Fair Value Net Receivable/(Payable) Derivative Derivative TBAs - Long $ — $ 728,000 $ (728,000) $ — $ — $ — $ — $ — For the Year Ended December 31, 2019 Beginning Buys or Covers Sales or Shorts Ending Net Net Fair Value Net Receivable/(Payable) Derivative Derivative TBAs - Long $ — $ 1,994,500 $ (1,994,500) $ — $ — $ — $ — $ — TBAs - Short $ — $ 485,000 $ (485,000) $ — $ — $ — $ — $ — Gains/(losses) related to derivatives and other instruments The following table summarizes gains/(losses) related to derivatives and other instruments (in thousands): Year Ended December 31, 2020 December 31, 2019 Included within Unrealized gain/(loss) on derivative and other instruments, net Interest Rate Swaps $ (10,276) $ (641) Eurodollar Futures — 1,001 Swaptions 354 1,325 U.S. Treasury Futures — (145) British Pound Futures 38 (102) Euro Futures 20 (20) U.S. Treasuries — 82 (9,864) 1,500 Included within Net realized gain/(loss) Interest Rate Swaps (65,368) (62,147) Eurodollar Futures — (1,122) Swaptions (2,437) (1,514) U.S. Treasury Futures — (31) British Pound Futures 259 (605) Euro Futures 68 (7) TBAs (1) 4,610 1,262 U.S. Treasuries 31 (18) (62,837) (64,182) Total income/(loss) $ (72,701) $ (62,682) (1) For the year ended December 31, 2020, gains and losses from purchases and sales of TBAs consisted of $0.3 million of net TBA dollar roll net interest income and net gains of $4.3 million due to price changes. For the year ended December 31, 2019, gains and losses from purchases and sales of TBAs consisted of $1.0 million of net TBA dollar roll net interest income and net gains of $0.3 million due to price changes. |
Earnings per share
Earnings per share | 12 Months Ended |
Dec. 31, 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. The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the years ended December 31, 2020 and December 31, 2019 (in thousands, except per share data): Year Ended December 31, 2020 Year Ended December 31, 2019 Numerator: Net Income/(Loss) from Continuing Operations $ (421,585) $ 97,338 Gain on Exchange Offers, net (Note 11) 10,574 — Dividends on preferred stock (20,549) (16,122) Net income/(loss) from continuing operations available to common stockholders (431,560) 81,216 Net Income/(Loss) from Discontinued Operations 666 (4,416) Net Income/(Loss) available to common stockholders $ (430,894) $ 76,800 Denominator: Basic weighted average common shares outstanding 35,191 32,192 Dilutive effect of restricted stock units — 11 Diluted weighted average common shares outstanding 35,191 32,203 Earnings/(Loss) Per Share - Basic Continuing Operations $ (12.26) $ 2.52 Discontinued Operations 0.02 (0.13) Basic Earnings/(Loss) Per Share of Common Stock: $ (12.24) $ 2.39 Earnings/(Loss) Per Share - Diluted Continuing Operations $ (12.26) $ 2.52 Discontinued Operations 0.02 (0.13) Diluted Earnings/(Loss) Per Share of Common Stock: $ (12.24) $ 2.39 The Company had no unvested restricted stock units as of December 31, 2020 and 20 thousand unvested restricted outstanding stock units as of December 31, 2019. Restricted stock units issued 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 tables detail the Company's common stock dividends during the years ended December 31, 2020 and December 31, 2019: 2020 Declaration Date Record Date Payment Date Dividend Per Share 12/22/2020 12/31/2020 1/29/2021 $ 0.03 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 9/6/2019 9/30/2019 10/31/2019 0.45 12/13/2019 12/31/2019 1/31/2020 0.45 Total $ 1.90 The following tables detail our preferred stock dividends during the years ended December 31, 2020 and December 31, 2019: 2020 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 11/6/2020 11/30/2020 12/17/2020 1.54689 1.50 1.50 Total $ 2.06252 $ 2.00 $ 2.00 2019 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25% Series A 8.00% Series B 8.000% Series C 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 — 8/16/2019 8/30/2019 9/17/2019 0.51563 0.50 — 11/15/2019 11/29/2019 12/17/2019 0.51563 0.50 0.50 Total $ 2.06252 $ 2.00 $ 0.50 |
Income taxes
Income taxes | 12 Months Ended |
Dec. 31, 2020 | |
Income Tax Disclosure [Abstract] | |
Income taxes | Income taxes As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders, and 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 year ended December 31, 2019, the Company elected to satisfy the REIT distribution requirements in part with a dividend paid in 2020. 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. For the years ended December 31, 2020 and December 31, 2019, the Company recorded excise tax expense of $(0.8) million and $0.5 million, respectively. The reversal of the previously accrued excise tax expense during the current year is a result of losses resulting from market conditions associated with the COVID-19 pandemic. In conjunction with the payment due as of December 31, 2019, the Company accrued an excise tax payable of $0.8 million, which as included in the "Other liabilities" line item on the consolidated balance sheet. 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. 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. For the year ended December 31, 2020, all distributions were in the form of preferred dividends and were characterized as return of capital. For the year ended December 31, 2019, all income distributed was in the form of common and preferred dividends and was characterized as ordinary income. 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 December 31, 2020 and December 31, 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 | 12 Months Ended |
Dec. 31, 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 December 31, 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 years ended December 31, 2020 and December 31, 2019, the Company incurred management fees of $7.2 million and $9.8 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 the first quarter of 2020 through September 30, 2020. On September 24, 2020, the Company and the Manager executed another amendment (the "Second Management Agreement Amendment") to the management agreement, pursuant to which the Manager agreed to receive a portion of the accrued base management fee owed to it in shares of common stock. Pursuant to the Second Management Agreement Amendment, the Manager agreed to accept (i) 1,215,370 shares of common stock in full satisfaction of the deferred base management fee of $3.8 million payable by the Company in respect to the first and second quarters of 2020 and (ii) 154,500 shares of common stock in satisfaction of $0.5 million of the base management fee payable by the Company in respect to the third quarter of 2020. The shares of common stock issued to the Manager were valued at $3.15 per share based on the midpoint of the estimated range of the Company’s book value per share as of August 31, 2020. The remaining third quarter 2020 management fee was paid in the normal course of business. 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 December 31, 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 $14.5 million and $18.6 million of Other operating expenses for years ended December 31, 2020 and December 31, 2019, the Company has incurred $7.4 million and $7.5 million, respectively, representing a reimbursement of expenses. The Manager did not waive any expense reimbursements for the years ended December 31, 2020 and December 31, 2019. 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 Note and accrued interest on the Note are included within the due to affiliates amount, which is included within the "Other Liabilities" line item in the consolidated balance sheets. See Note 7 for a breakout of the "Other liabilities" line item. 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 December 31, 2020, 1,879,680 shares of common stock were available to be awarded under the Equity Incentive Plan. Since its IPO, the Company has granted an aggregate of 226,114 and 120,320 shares of restricted common stock to its independent directors under its equity incentive plans, dated July 6, 2011 (the "2011 Equity Incentive Plans") and its 2020 Equity Incentive Plan, respectively. As of December 31, 2020, all the shares of restricted common stock granted to its independent directors have vested. Further, since its IPO, the Company has issued 40,250 shares of restricted common stock and 120,000 restricted stock units to its Manager under its 2011 equity incentive plans. The following table presents information with respect to the Company’s restricted stock and restricted stock units for the years ended December 31, 2020 and December 31, 2019: Year Ended December 31, 2020 Year Ended December 31, 2019 Shares of Restricted Stock and Restricted Stock Units Weighted Average Grant Date Fair Value Shares of Restricted Stock and Restricted Stock Units Weighted Average Grant Date Fair Value Outstanding at beginning of year 113,656 $ 18.91 108,624 $ 19.52 Granted (1) 126,785 3.56 25,030 15.97 Canceled/forfeited — — — — Unrestricted (20,009) 18.53 (19,998) 18.53 Outstanding at end of year 220,432 $ 10.85 113,656 $ 18.91 Unvested at end of year — $ — 20,009 $ 18.53 (1) The grant date fair value of restricted stock awards was established as the average of the high and low prices of the Company's common stock at the grant date. The grant date fair value of restricted stock units is based on the closing market price of the Company's common stock at the grant date. During the years ended December 31, 2020 and December 31, 2019, 146,794 and 45,028 shares of total restricted stock and restricted stock units vested, respectively. On December 31, 2020, the Company had no unrecognized compensation expense related to restricted stock units. The total fair value of restricted shares and units vested was approximately $0.8 million for the years ended December 31, 2020 and December 31, 2019 based on the closing price of the stock on the vesting date and grant date, respectively. Equity based compensation expense of $0.6 million and $0.7 million was capitalized during the years ended December 31, 2020 and December 31, 2019, respectively, associated with the amortization of restricted stock and restricted stock units. Director compensation The Company pays 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. Beginning January 1, 2021, the annual base director's fee for each independent director decreased to $150,000, $70,000 of which is payable on a quarterly basis in cash and $80,000 of which is payable on a quarterly basis in shares of 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 and June 19, 2020, the Company's Board of Directors decreased from 5 independent directors to 4 independent directors and from 4 independent directors to 3 independent directors, respectively. On December 1, 2020, the Company's Board of Directors increased from 3 independent directors to 4 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 December 31, 2020 and December 31, 2019. 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 December 31, 2020 and December 31, 2019. 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 December 31, 2020 and December 31, 2019, these Excess MSRs had fair value of approximately $3.5 million and $18.2 million, respectively. See below "Transactions with affiliates" for details regarding the sale of a portion of the Company's Excess MSRs during the third quarter of 2020. During 2020, Arc Home began selling Non-QM Loans to a private fund under the management of Angelo Gordon. Arc Home sold $57.4 million of unpaid principal balance of Non-QM Loans to this affiliate of the Manager during 2020. 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 as described below and the previously mentioned commitment was removed. The Company has an approximate 44.6% interest in MATH. 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. The Restructured Financing Arrangement was amended subsequent to quarter end. Refer to Note 16 for further details. The Company's investment in LOTS require it to fund various commitments in connection with the origination of Land Related Financing. Refer to Note 12 for additional information. The Company has an approximate 47.5% and 50% interest in LOTS I and LOTS II, respectively. 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 engages 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"), a related party 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 years ended December 31, 2020 and December 31, 2019, the fees paid by the Company to the Asset Manager totaled $2.7 million and $0.9 million, respectively. In connection with the Company’s investments in Excess MSRs purchased through Arc Home, the Company pays an administrative fee to Arc Home. For years ended December 31, 2020 and December 31, 2019, the administrative fees paid by the Company to Arc Home totaled $0.2 million and $0.3 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 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. In July 2020, in accordance with the Company’s Affiliated Transactions Policy, the Company sold certain real estate securities to an affiliate of the Manager (the "July 2020 Acquiring Affiliate"). As of the date of the trade, the real estate securities sold to the July 2020 Acquiring Affiliate had a total fair value of $1.9 million. The July 2020 Acquiring Affiliate purchased the real estate securities through a BWIC. Prior to the submission of the BWIC by the Company, the July 2020 Acquiring Affiliate submitted its bid for real estate securities to the Company. The July 2020 Acquiring Affiliate’s pre-submission of its bid allowed the Company to confirm third-party market pricing and best execution. In August 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 $226.0 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 $24.3 million as of September 30, 2020. The Company has a 44.6% interest in the retained subordinate tranches. In August 2020, the Company, alongside private funds under the management of Angelo Gordon, sold its Ginnie Mae Excess MSR portfolio to Arc Home for total proceeds of $18.9 million. The portfolio had a total unpaid principal balance of $3.5 billion. The Company's share of the total proceeds approximated $8.5 million, representing its approximate 45% ownership interest. Arc Home subsequently sold its Ginnie Mae MSR portfolio to a third-party. In October 2020, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities and Excess MSRs from an affiliate of the Manager (the "October 2020 Selling Affiliate"). As of the date of the trade, the real estate securities and Excess MSRs acquired from the October 2020 Selling Affiliate had a total fair value of $0.5 million and $20.0 thousand, respectively. 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 third-party pricing vendors. The third-party pricing vendors allowed the Company to confirm third-party market pricing and best execution. |
Equity
Equity | 12 Months Ended |
Dec. 31, 2020 | |
Stockholders' Equity Note [Abstract] | |
Equity | Equity Stock repurchase program 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 years ended December 31, 2020 and December 31, 2019 and approximately $14.6 million of common stock remained authorized for future share repurchases under the Repurchase Program. Equity distribution agreements 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, described below. For the year ended December 31, 2020, the Company sold 2.1 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $7.1 million. For the year ended December 31, 2019, the Company sold 503.7 thousand shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $8.6 million. Since inception of the program, the Company has sold approximately 3.6 million shares of common stock under the Equity Distribution Agreements for gross proceeds of $34.7 million. Shelf registration statement 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"). The 2018 Registration Statement became effective on May 18, 2018 and will expire on May 18, 2021. Common stock offering 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. 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 Preferred Stock, Series B Preferred Stock, 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 Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock are convertible to shares of the Company’s common stock. Holders of the Company’s Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock have no voting rights, except under limited conditions, and holders are entitled to receive cumulative cash dividends at 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 Preferred Stock 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 then three-month LIBOR plus a spread of 6.476% per annum. Shares of the Company’s Series A Preferred Stock 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 its 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 Preferred Stock, Series B Preferred Stock, 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 Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock voting together as a single class with the holders of all other classes or series of its 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 Preferred Stock, Series B Preferred Stock, 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 Preferred Stock, Series B Preferred Stock, 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 Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock whose terms are being changed. Dividends 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. Under the terms of the Company's charter governing its series of preferred stock, the Company cannot pay cash dividends with respect to its common stock if dividends on its preferred stock are in arrears. On December 17, 2020, the Company paid its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock dividends that were in arrears as well as the full dividends payable on the preferred stock for the fourth quarter of 2020 in the amount of $1.54689, $1.50 and $1.50 per share, respectively. On December 22, 2020, the Company's Board of Directors declared a dividend of $0.03 per common share for the fourth quarter 2020. The dividend is payable on January 29, 2021 to shareholders of record at the close of business on December 31, 2020. Refer to Note 8 for more information on dividends paid during the period. Exchange offers On August 14, 2020, the Company announced the commencement of an offer to exchange newly issued shares of common stock for up to 250,470 shares of its Series A Preferred Stock, up to 556,600 shares of its Series B Preferred Stock, and up to 556,600 shares of its Series C Preferred Stock. This offer had an expiration date of September 11, 2020. Based on the final count provided by the Exchange Agent, American Stock Transfer & Trust Company, LLC, a total of 42,820 shares of Series A Preferred Stock, 31,085 Series B Preferred Stock and 29,355 Series C Preferred Stock were validly tendered and not properly withdrawn prior to the expiration of the offer. The Company accepted all such 103,260 validly tendered shares of preferred stock, and issued in exchange a total of 516,300 shares of common stock in reliance upon the exemption from registration provided under Section 3(a)(9) of the Securities Act of 1933, as amended. After settlement, the company had outstanding 2,027,180 shares of Series A Preferred Stock, 4,568,915 shares of Series B Preferred Stock, and 4,570,645 shares of Series C Preferred Stock. On September 30, 2020, the Company agreed to issue an aggregate of 3,679,634 shares of its common stock and agreed to pay aggregate cash consideration of $6.3 million in exchange for 210,662 shares of Series A Preferred Stock, 404,187 shares of Series B Preferred Stock, and 427,467 shares of Series C Preferred Stock, pursuant to a privately negotiated exchange agreement entered into on September 30, 2020 with existing holders of the preferred stock. After the transaction closed, the Series C Preferred Stock exchanged pursuant to the exchange agreement were reclassified as authorized but unissued shares of preferred stock without designation as to class or series. On October 2, 2020, the Company agreed to issue an aggregate of 900,000 shares of its common stock and agreed to pay aggregate cash consideration of $1.7 million in exchange for 260,000 shares of Series C Preferred Stock, pursuant to a privately negotiated exchange agreement entered into on October 2, 2020 with existing holders of the Series C Preferred Stock. After the transaction closed, the Series C Preferred Stock exchanged pursuant to the exchange agreement were reclassified as authorized but unissued shares of preferred stock without designation as to class or series. After the settlement of all three exchanges, the Company had outstanding 1,816,518 shares of Series A Preferred Stock, 4,164,728 shares of Series B Preferred Stock and 3,883,178 shares of Series C Preferred Stock. Common stock issuance to the Manager |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 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 December 31, 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 December 31, 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 December 31, 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 August 2020, the Company resolved and settled all deficiency claims with lenders. The below table details the Company's outstanding commitments as of December 31, 2020 (in thousands): Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment Commercial loan G (a)(b) July 26, 2018 $ 78,806 $ 60,111 $ 18,695 Commercial loan I (a)(c) January 23, 2019 26,000 15,929 10,071 Commercial loan K (a) February 22, 2019 20,000 15,787 4,213 LOTS (d) Various 34,153 21,247 12,906 Total $ 158,959 $ 113,074 $ 45,885 (a) The Company entered into commitments on commercial loans relating to construction projects. See Note 4 for further details. (b) Paydowns of $5.7 million on Commercial loan G during the year decreased the total commitment from $84.5 million to $78.8 million. Subsequent to year end, the Company sold Commercial loan G to an unrelated third-party. See Note 16 for additional information. (c) During the fourth quarter, the Company and the borrower of Commercial loan I entered into a modification agreement to, among other things, extend the term of the Loan, allow for a portion of the interest to be deferred and increase the capital commitment amount by $6.0 million. Subsequent to year end, the Company sold Commercial loan I to an unrelated third-party. See Note 16 for additional information. (d) Refer to Note 10 "Related Party Transactions" for more information regarding LOTS. |
Discontinued Operations and Ass
Discontinued Operations and Assets and Liabilities Held for Sale | 12 Months Ended |
Dec. 31, 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. The Company held assets of $0.2 million and liabilities of $1.5 million related to discontinued operations as of December 31, 2019. The Company did not hold any assets or liabilities related to discontinued operations as of December 31, 2020. The table below presents the Company's results of operations for the years ended December 31, 2020 and December 31, 2019, respectively, 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). In 2020, the Company reversed certain previously accrued expenses related to discontinued operations. Year Ended December 31, 2020 December 31, 2019 Interest expense $ — $ 5,187 Other Income/(Loss) Rental income — 11,209 Net realized gain/(loss) — 150 Other income — 258 Total Other Income/(Loss) — 11,617 Expenses Other operating expenses (80) 180 Property depreciation and amortization — 4,110 Property operating expenses (586) 6,556 Total Expenses (666) 10,846 Net Income/(Loss) from Discontinued Operations $ 666 $ (4,416) |
Investments in unconsolidated e
Investments in unconsolidated equity method affiliates | 12 Months Ended |
Dec. 31, 2020 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Investments in unconsolidated equity method affiliates | Investments in unconsolidated equity method affiliates The Company has determined that AG Arc and MATH are significant subsidiaries as a result of having met certain thresholds on an individual basis during the year ended December 31, 2020. The Company has provided a summary of financial information on its unconsolidated equity method affiliates, including separate financial information related to these significant subsidiaries, as detailed below. The following table details the summarized balance sheets for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method as of December 31, 2020 and December 31, 2019 (in thousands): December 31, 2020 December 31, 2019 Arc Home (1) MATH (2) Other Total Assets Real estate securities and loans, at fair value $ 293,710 $ 343,576 $ 294,357 $ 931,643 $ 1,539,217 Mortgage servicing rights and excess mortgage servicing rights, at fair value 56,481 — 933 57,414 113,155 Cash and cash equivalents 41,781 754 11,438 53,973 39,390 Other assets (3) 86,687 3,838 3,112 93,637 192,477 Total Assets $ 478,659 $ 348,168 $ 309,840 $ 1,136,667 $ 1,884,239 Liabilities Financing arrangements $ 290,009 $ 249,237 $ 35,774 $ 575,020 $ 807,902 Securitized debt, at fair value — — 96,579 96,579 144,810 Other liabilities (3) 88,650 1,109 301 90,060 217,301 Total Liabilities 378,659 250,346 132,654 761,659 1,170,013 Total Members' Equity Members' equity (1) 97,938 97,822 177,186 372,946 711,285 Noncontrolling preferred interests 2,062 — — 2,062 2,941 Total Member's equity 100,000 97,822 177,186 375,008 714,226 Total Liabilities & Members' Equity $ 478,659 $ 348,168 $ 309,840 $ 1,136,667 $ 1,884,239 The Company's Investments in debt and equity of affiliates $ 45,341 $ 43,619 $ 61,707 $ 150,667 $ 156,311 (1) The Company has an approximate 44.6% interest in AG Arc. Arc Home is a wholly owned subsidiary of AG Arc. The Company's investment in AG Arc of $45.3 million includes its pro-rata allocation of Members' equity disclosed in the table above and additional net assets held at AG Arc of $3.7 million. (2) The Company has an approximate 44.6% interest in MATH. (3) Arc Home, as an issuer, has the unilateral right to repurchase Ginnie Mae pool loans it has previously sold or loans in pools it acquired in an MSR purchase (generally loans that are more than 90 days past due). When Arc Home determines there is more than a trivial benefit to repurchase the loans, it records the loans on its consolidated balance sheets as an asset and a corresponding liability. As of December 31, 2020, $58.7 million of loans eligible to be repurchased are recorded with Other assets and Other liabilities. The following table details the summarized statements of operations for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method as of December 31, 2020 and December 31, 2019 (in thousands): Year Ended December 31, 2020 December 31, 2019 Arc Home (1) MATH (2) Other Total Net Interest Income Interest income $ 6,550 $ 30,113 $ 36,504 $ 73,167 $ 82,810 Interest expense 16,779 24,442 7,969 49,190 51,455 Total Net Interest Income (10,229) 5,671 28,535 23,977 31,355 Other Income Net realized gain/(loss) 119,786 (21,858) (2,660) 95,268 25,478 Net interest component of interest rate swaps — 101 — 101 (872) Unrealized gain (loss) on real estate securities and loans, net (13,171) (15,959) (73,003) (102,133) 30,645 Unrealized gain/(loss) on derivative and other instruments, net (26,003) (25,326) 1,948 (49,381) 264 Other income 40,022 1 12,042 52,065 40,928 Total Other Income 120,634 (63,041) (61,673) (4,080) 96,443 Expenses Other operating expenses 61,494 2,118 15,804 79,416 66,705 Net Income/(Loss) 48,911 (59,488) (48,942) (59,519) 61,093 Net Income/(Loss) Attributable to Noncontrolling Preferred Interests 248 — — 248 (263) Net Income/(Loss) Attributable to Controlling Interest of Unconsolidated Equity Method Investments $ 49,159 $ (59,488) $ (48,942) $ (59,271) $ 60,830 The Company's Equity in earnings/(loss) from affiliates $ 23,260 $ (26,511) $ 1,622 $ (1,629) $ 7,644 (1) The Company has an approximate 44.6% interest in AG Arc. Arc Home is a wholly owned subsidiary of AG Arc. The Company's equity in earnings/(loss) from AG Arc includes its pro-rata share of Net Income/(Loss) disclosed in the table above and additional net income recorded at AG Arc of $3.0 million. (2) The Company has an approximate 44.6% interest in MATH. Refer to Note 2 for more detail on the Company’s investments in unconsolidated equity method affiliates. |
Quarterly results (Unaudited)
Quarterly results (Unaudited) | 12 Months Ended |
Dec. 31, 2020 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly results (Unaudited) | Quarterly results (Unaudited) Summarized quarterly results of operations were as follows (in thousands, except for per share data): Three Months Ended March 31, 2020 June 30, 2020 September 30, 2020 December 31, 2020 Statement of Operations Data: Net Interest Income Interest income $ 40,268 $ 13,369 $ 9,717 $ 11,171 Interest expense 19,971 8,613 4,357 4,004 Total Net Interest Income 20,297 4,756 5,360 7,167 Other Income/(Loss) Net realized gain/(loss) (151,143) (91,609) (14,431) 661 Net interest component of interest rate swaps 923 — (13) (179) Unrealized gain/(loss) on real estate securities and loans, net (313,897) 109,632 19,495 25,304 Unrealized gain/(loss) on derivative and other instruments, net 5,686 (9,453) 1,970 (8,550) Foreign currency gain/(loss), net 1,649 (156) (10) 45 Other income 3 1 — 2 Total Other Income/(Loss) (456,779) 8,415 7,011 17,283 Expenses Management fee to affiliate 2,149 1,678 1,698 1,656 Other operating expenses 842 4,482 5,929 3,260 Restructuring Related Expenses 1,500 7,104 1,345 251 Equity based compensation to affiliate 88 75 — — Excise tax (815) — — — Servicing fees 579 566 540 539 Total Expenses 4,343 13,905 9,512 5,706 Income/(loss) before equity in earnings/(loss) from affiliates (440,825) (734) 2,859 18,744 Equity in earnings/(loss) from affiliates (44,192) 3,434 17,187 21,942 Net Income/(Loss) from Continuing Operations (485,017) 2,700 20,046 40,686 Net Income/(Loss) from Discontinued Operations — 361 — 305 Net Income/(Loss) (485,017) 3,061 20,046 40,991 Gain on Exchange Offers, net (Note 11) — — 539 10,035 Dividends on preferred stock (1) (5,667) (5,667) (5,563) (3,652) Net Income/(Loss) Available to Common Stockholders $ (490,684) $ (2,606) $ 15,022 $ 47,374 Earnings/(Loss) Per Share - Basic Continuing Operations $ (14.98) $ (0.09) $ 0.44 $ 1.15 Discontinued Operations — 0.01 — 0.01 Total Earnings/(Loss) Per Share of Common Stock $ (14.98) $ (0.08) $ 0.44 $ 1.16 Earnings/(Loss) Per Share - Diluted Continuing Operations $ (14.98) $ (0.09) $ 0.44 $ 1.15 Discontinued Operations — 0.01 — 0.01 Total Earnings/(Loss) Per Share of Common Stock $ (14.98) $ (0.08) $ 0.44 $ 1.16 (1) The three months ended September 30, 2020 and June 30, 2020 include cumulative and undeclared dividends of $5.6 million and $5.7 million on the Company's preferred stock as of September 30, 2020 and June 30, 2020, respectively. Three Months Ended March 31, 2019 June 30, 2019 September 30, 2019 December 31, 2019 Statement of Operations Data: Net Interest Income Interest income $ 41,490 $ 40,901 $ 40,735 $ 48,534 Interest expense 22,094 23,030 21,887 23,097 Total Net Interest Income 19,396 17,871 18,848 25,437 Other Income/(Loss) Net realized gain/(loss) (20,583) (27,510) (16,132) 13,403 Net interest component of interest rate swaps 1,781 1,800 2,179 1,976 Unrealized gain/(loss) on real estate securities and loans, net 46,753 43,165 11,726 (17,812) Unrealized gain/(loss) on derivative and other instruments, net (10,086) (10,839) 3,258 17,355 Foreign currency gain/(loss), net — — 667 (3,179) Other income 414 216 210 342 Total Other Income/(Loss) 18,279 6,832 1,908 12,085 Expenses Management fee to affiliate 2,345 2,400 2,346 2,734 Other operating expenses 3,781 3,807 6,062 4,988 Equity based compensation to affiliate 126 73 76 74 Excise tax 92 186 186 67 Servicing fees 371 416 416 416 Total Expenses 6,715 6,882 9,086 8,279 Income/(loss) before equity in earnings/(loss) from affiliates 30,960 17,821 11,670 29,243 Equity in earnings/(loss) from affiliates (771) 2,050 (564) 6,929 Net Income/(Loss) from Continuing Operations 30,189 19,871 11,106 36,172 Net Income/(Loss) from Discontinued Operations (1,034) (1,193) (1,057) (1,132) Net Income/(loss) 29,155 18,678 10,049 35,040 Dividends on preferred stock (1) (3,367) (3,367) (3,720) (5,667) Net Income/(Loss) Available to Common Stockholders $ 25,788 $ 15,311 $ 6,329 $ 29,373 Earnings/(Loss) Per Share - Basic Continuing Operations $ 0.87 $ 0.50 $ 0.22 $ 0.93 Discontinued Operations (0.03) (0.03) (0.03) (0.03) Total Earnings/(Loss) Per Share - Basic $ 0.84 $ 0.47 $ 0.19 $ 0.90 Earnings/(Loss) Per Share - Diluted Continuing Operations $ 0.87 $ 0.50 $ 0.22 $ 0.93 Discontinued Operations (0.03) (0.03) (0.03) (0.03) Total Earnings/(Loss) Per Share - Diluted $ 0.84 $ 0.47 $ 0.19 $ 0.90 (1) The three months ended September 30, 2019 and December 31, 2019 include cumulative and undeclared dividends of $0.4 million on the Company's 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock as of September 30, 2019 and December 31, 2019, respectively. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events On January 29, 2021, the Company, alongside private funds under the management of Angelo Gordon, entered into an amendment with respect to its Restructured Financing Arrangement in MATT. The amendment serves to convert the existing financing to a mark-to-market facility that is recourse to the Company and the private funds managed by Angelo Gordon that invest in MATT. Upon amending the agreement, the Company settled the premium recapture fee with the financing counterparty. On February 4, 2021, the Company sold Commercial Loan G for proceeds of $58.8 million, eliminating future funding commitments of $18.7 million outstanding as of December 31, 2020. On February 12, 2021, the Company sold Commercial Loan I for proceeds of $15.7 million, eliminating future funding commitments of $10.1 million outstanding as of December 31, 2020. |
Summary of significant accoun_2
Summary of significant accounting policies (Policies) | 12 Months Ended |
Dec. 31, 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. Cash and cash equivalents are carried at cost, which approximates fair value. As of December 31, 2020, the Company held $47.9 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 minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of "Cash and cash equivalents" on the consolidated balance sheets. Any cash held by the Company as collateral is included in the "Other liabilities" line item on the consolidated balance |
Restricted cash | Restricted cashRestricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, and financing arrangements, as well as restricted cash deposited into accounts held at certain consolidated trusts. 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. |
Offering costs | Offering costs The Company has incurred offering costs in connection with common stock offerings, registration statements, preferred stock offerings and exchanges. 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. Exchange costs in connection with the Company's preferred stock exchanges have been accounted for as a reduction to the Company's retained earnings. |
Use of estimates | Use of estimates |
Earnings/(Loss) per share | Earnings/(Loss) per shareIn accordance with the provisions of Accounting Standards Codification ("ASC") 260, "Earnings per Share," the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted-average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive. |
Valuation of financial instruments | Valuation of financial instruments The fair value of the financial instruments that the Company records at fair value 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 third-party 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. The Company does not believe the pricing services’ ability to determine fair values has been 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." 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. 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". 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 previous 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. As the Company measures its debt securities and loans at fair value with any changes recognized through net income and updates its estimate of the cash flows expected to be collected on these asset classes on at least a quarterly basis recognizing changes in cash flows in interest income prospectively through an adjustment of an asset’s yield over its remaining life, the adoption of the standard did not have a material impact to the Company’s consolidated financial statements. 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 loans | Accounting for loans Investments in loans are recorded in accordance with ASC 310-10, "Receivables." The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. 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 loan activities will be recorded in a similar manner. As such, 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 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. Residential Mortgage Loans At purchase, the Company may aggregate its residential mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. 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. Refer to the "Recent Accounting Pronouncements" section below for more information on impairment recognition prior to the adoption of ASU 2016-13. Commercial Loans |
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, loans and its interest in AG Arc LLC. 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 and retains the mortgage servicing rights associated with the loans it originates. Arc Home is led by an external management team. The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary. As a result, income or losses recognized by the Company from its investment in AG Arc are recorded in "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations net of income taxes. 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 Consumer Finance Protection Bureau. Non-QM Loans are not eligible for delivery to Fannie Mae, Freddie Mac, or Ginnie Mae. MATT made an election to be treated as a real estate investment trust beginning with the 2018 tax year. 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"). 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 and the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations (in thousands). December 31, 2020 December 31, 2019 Assets Liabilities Equity Net Income/(Loss) Assets Liabilities Equity Net Income/(Loss) Non-QM Loans (1) $ 153,200 $ (111,135) $ 42,065 $ (26,511) $ 254,276 $ (200,257) $ 54,019 $ 6,024 Land Related Financing 22,824 — 22,824 2,620 16,979 — 16,979 844 Other (2) 41,940 (5,588) 36,352 (998) 101,871 (56,811) 45,060 10,426 Real Estate Securities and Loans, at fair value $ 217,964 $ (116,723) $ 101,241 $ (24,889) $ 373,126 $ (257,068) $ 116,058 $ 17,294 AG Arc, at fair value 45,341 — 45,341 23,260 28,546 — 28,546 (9,650) Cash and Other assets/(liabilities) 5,279 (1,194) 4,085 — 12,953 (1,246) 11,707 — Investments in debt and equity of affiliates $ 268,584 $ (117,917) $ 150,667 $ (1,629) $ 414,625 $ (258,314) $ 156,311 $ 7,644 (1) As of December 31, 2020, Non-QM Loans excluded loans with an unpaid principal balance of $17.3 million whereby an affiliate of MATT has the right, but not the obligation, to repurchase loans from a trust that are 90 days or more delinquent at its discretion. These loans, which are eligible to be repurchased, would be recorded on the balance sheet of MATT, an unconsolidated equity method investee of the Company, with a corresponding and offsetting liability. (2) Certain loans held in securitized form are presented net of non-recourse securitized debt. 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. |
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. 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. The transferred assets were recorded as a secured borrowing. The Company has chosen to make a fair value election pursuant to ASC 825 for its secured borrowings. As of December 31, 2020, the Company did not hold any interest in the December 2014 VIE. In connection with the deconsolidation that occurred during the current period, 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 the third quarter of 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 determined that the August 2018 VIE should be consolidated. As of December 31, 2020, the Company did not hold any interest in the August 2018 VIE. In connection with the deconsolidation that occurred during the current period 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 securitization transactions of certain of its re-performing residential mortgage loans, which resulted in the Company consolidating the respective VIEs that were created to facilitate these transactions and to which the underlying assets in connection with these securitizations were transferred (the "August 2019 VIE" and the "September 2020 VIE"). Based on the evaluations of each VIE, the Company concluded that the VIEs should be consolidated and, as a result, transferred assets of these VIEs were determined to be secured borrowings. Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the August 2019 VIE and September 2020 VIE. 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 activities will be recorded in a similar manner. 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 and September 2020 VIE are 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 and September 2020 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 VIEs. See Note 4 for more detail regarding these VIEs. Refer to Note 5 related to the Company's determination of fair value for the assets and liabilities included within these VIEs. 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 and loan portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such securities or loans. 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 and loans accounted for under the fair value option in accordance with ASC 825, "Financial Instruments". As such, premiums and discounts are amortized or accreted into interest income over the lives of the securities or loans 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 retrospectively 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, 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. |
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 revolving facilities. Repurchase agreements and revolving 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. The Company pledges certain securities, loans or properties as collateral under financing arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. The amounts available to be borrowed under repurchase agreements and revolving facilities are dependent upon the fair value of the securities or loans pledged as collateral, which can fluctuate with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. In response to declines in fair value of assets pledged under repurchase agreements and revolving facilities, lenders may require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as margin calls. As of December 31, 2020 and December 31, 2019, the Company had met all margin call requirements. On March 20, 2020, the Company notified its financing counterparties that it did not expect to be in a position to fund the anticipated volume of future margin calls under its financing arrangements in the near term as a result of market disruptions created by the COVID-19 pandemic. During this period of market upheaval, the Company engaged in discussions with its financing counterparties with regard to entering into forbearance agreements pursuant to which each 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. On April 10, 2020, the Company entered into a forbearance agreement for an initial 15 day period, on April 27, 2020, a second forbearance agreement for an extended period ending on June 1, 2020, and a third forbearance agreement on June 1, 2020 for an additional period ending June 15, 2020 (collectively, the "Forbearance Agreement") with certain of its financing counterparties (the "Participating Counterparties"). 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 specified in the Forbearance Agreement (the "Forbearance Period"). 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 (each, a “Bilateral Agreement”) and to reinstate each Bilateral Agreement, as it may be amended by agreement between the Participating Counterparty and the Company. As a result of the termination of the Forbearance Agreement and entry into the Reinstatement Agreement, default interest on the Company’s outstanding borrowings under each Bilateral Agreements has ceased to accrue as of June 10, 2020 and the interest rate was the non-default rate of interest or pricing rate, as set forth in the applicable Bilateral Agreements, all cash margin has been applied to outstanding balances owed by the Company, and the DTC repo tracker coding for each Bilateral Agreement has been reinstated, thereby allowing principal and interest payments on the underlying collateral to flow to and be used by the Company, just as it was before the prior forbearance agreements were put in place. In addition, pursuant to the terms of the Reinstatement Agreement, the security interests granted to Participating Counterparties as additional collateral under the various forbearance agreements have been terminated and released. The Company also agreed to pay the reasonable fees and out-of-pocket expenses of counsel and other professional advisors for the Participating Counterparties and the collateral agent. Additionally, the Reinstatement Agreement provided a set of financial covenants that override and replace the financial covenants in each Bilateral Agreement and sets forth various reporting requirements from the Company to the Participating Counterparties, releases, certain netting obligations and cross-default provisions. In connection with the negotiation and execution of the Reinstatement Agreement, the Company entered into certain amendments to the Bilateral Agreements with certain of the Participating Counterparties to reflect current market terms. In general, the amendments reflect increased haircuts and higher coupons. On June 10, 2020, the Company also entered a separate reinstatement agreement with JPMorgan Chase Bank (the "JPM Reinstatement Agreement") on substantially the same terms as those set forth in the Reinstatement Agreement. The Reinstatement Agreement and the JPM Reinstatement Agreement collectively cover all of the Company’s existing financing arrangements as of the date of this report. |
Dividends on Preferred Stock | Dividends on Preferred Stock Holders of the Company’s Series A Preferred Stock, Series B Preferred Stock and Series C Preferred Stock are entitled to receive cumulative cash dividends at a rate of 8.25%, 8.00% and 8.000% per annum, respectively, of the $25.00 per share liquidation preference for each series. 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 then three-month LIBOR plus a spread of 6.476% per annum. 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. 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 undeclared and 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. See Note 11 for further detail on the Company’s Preferred Stock. |
Accounting for derivative financial instruments | Accounting for derivative financial instruments The Company enters into derivative contracts as a means of mitigating interest rate risk or foreign currency risk rather than to enhance returns. The Company accounts for derivative financial instruments in accordance with ASC 815-10, "Derivatives and Hedging." ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. Additionally, if or when hedge accounting is elected, the fair value adjustments will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a hedge for accounting purposes and, if so, the nature of the hedging activity. As of December 31, 2020 and December 31, 2019, the Company did not have any interest rate derivatives designated as hedges. All derivatives have been recorded at fair value in accordance with ASC 820-10, with corresponding changes in value recognized in the consolidated statement of operations. The Company records derivative asset and liability positions on a gross basis with respect to its counterparties. During the period in which the Company unwinds a derivative, it records a realized gain/(loss) in the "Net realized gain/(loss)" line item in the consolidated statement of operations. The Company may exchange cash "variation margin" with the counterparties to its derivative instruments on a daily basis based upon changes in the fair value of such derivative instruments as measured by the Chicago Mercantile Exchange ("CME") and the London Clearing House ("LCH"), the central clearinghouses ("CCPs") through which those derivatives are cleared. In addition, the CCPs require market participants to deposit and maintain an "initial margin" amount which is determined by the CCPs and is generally intended to be set at a level sufficient to protect the CCPs from the maximum estimated single-day price movement in that market participant’s contracts. Receivables recognized for the right to reclaim cash initial margin posted in respect of derivative instruments are included in the "Restricted cash" line item in the consolidated balance sheets. The daily exchange of variation margin associated with a CCP instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared derivative instruments as a direct reduction to the carrying value of the derivative asset or liability, respectively. The carrying amount of centrally cleared derivative instruments reflected in the Company’s consolidated balance sheets approximates the unsettled fair value of such instruments. As variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments represents the change in fair value that occurred on the last day of the reporting period. Non-exchange traded derivatives were not affected by these legal interpretations and continue to be reported at fair value including accrued interest. |
Manager compensation | Manager compensation |
Income taxes | Income taxes The Company conducts its operations to qualify and be taxed as a REIT. Accordingly, the Company will generally not be subject to federal or state corporate income tax to the extent that the Company makes qualifying distributions to its stockholders, and provided that it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. The dividends paid deduction of a REIT for qualifying dividends to its stockholders is computed using the Company’s taxable income/(loss) as opposed to net income/(loss) reported on the Company’s GAAP financial statements. Taxable income/(loss), generally, will differ from net income/(loss) reported on the financial statements because the determination of taxable income/(loss) is based on tax principles and not financial accounting principles. The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs") and may elect to treat other subsidiaries as TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A domestic TRS may declare dividends to the Company which will be included in the Company’s taxable income/(loss) and necessitate a distribution to stockholders. Conversely, if the Company retains earnings at the domestic TRS level, no distribution is required and the Company can increase book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state and local corporate income taxes. The Company elected to treat one of its foreign subsidiaries as a TRS and, accordingly, taxable income generated by this foreign TRS may not be subject to local income taxation, but generally will be included in the Company’s taxable income on a current basis as Subpart F income, whether or not distributed. The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company believes that it will operate in a manner that will allow it to qualify for taxation as a REIT. As a result of the Company’s expected REIT qualification, it does not generally expect to pay federal or state corporate income tax. Many of the REIT requirements, however, are highly technical and complex. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. |
Deal related performance fees | Deal related performance fees The Company may incur deal related performance fees, payable to Arc Home and third-party operators, on certain of its CMBS, Excess MSRs, and Land Related Financing. The deal related performance fees are based on these investments meeting certain performance hurdles. The fees are accrued and expensed during the period for which they are incurred and are included in the "Other operating expenses" and "Equity in earnings/(loss) from affiliates" line items on the consolidated statement of operations. |
Stock-based compensation | Stock-based compensation The Company applies the provisions of ASC 718, "Compensation—Stock Compensation" with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including stock options, restricted stock plans, performance-based awards, stock appreciation rights and employee stock purchase plans. ASC 718 requires that compensation cost relating to stock-based payment transactions be recognized in the financial statements. Compensation cost related to restricted common shares and restricted stock units issued to the Company’s directors and the Manager are measured at its estimated fair value at the grant date, and is amortized and expensed over the vesting period on a straight-line basis. Restricted stock units issued to the Manager do not entitle the participant the rights of a shareholder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units. The restricted stock units are not considered to be participating shares. Restricted stock units are measured at fair value reduced by the present value of the dividends expected to be paid on the underlying shares during the requisite service period, discounted at an assumed risk free rate. |
Recent accounting pronouncements | Recent accounting pronouncements In June 2016, FASB issued ASU 2016-13, "Financial Instruments – Credit Losses". This 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. As the Company measures its debt securities and loans at fair value with any changes recognized through net income and updates its estimate of the cash flows expected to be collected on these asset classes on at least a quarterly basis recognizing changes in cash flows in interest income prospectively through an adjustment of an asset’s yield over its remaining life, the adoption of the standard did not have a material impact to the Company’s consolidated financial statements. See the "Accounting for real estate securities" and "Interest income recognition" sections above for more detail. In March 2020, FASB issued ASU 2020-04, "Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting." This ASU provides temporary optional guidance intended to ease the burden of reference rate reform on financial reporting. This ASU was effective upon its issuance on March 12, 2020 and applies to all entities that have contracts, hedging relationships and other transactions that reference LIBOR and certain other reference rates that are expected to be discontinued. However, it cannot be applied to contract modifications that occur after December 31, 2022. With certain exceptions, this ASU also cannot be applied to hedging relationships entered into or evaluated after that date. The guidance provides optional expedients and exceptions for applying existing guidance to contract modifications, hedging relationships and other transactions that are expected to be affected by reference rate reform and meet certain scope guidance. The Company is currently evaluating the effect this guidance will have on its consolidated financial statements. |
Summary of significant accoun_3
Summary of significant accounting policies (Tables) | 12 Months Ended |
Dec. 31, 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 and the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations (in thousands). December 31, 2020 December 31, 2019 Assets Liabilities Equity Net Income/(Loss) Assets Liabilities Equity Net Income/(Loss) Non-QM Loans (1) $ 153,200 $ (111,135) $ 42,065 $ (26,511) $ 254,276 $ (200,257) $ 54,019 $ 6,024 Land Related Financing 22,824 — 22,824 2,620 16,979 — 16,979 844 Other (2) 41,940 (5,588) 36,352 (998) 101,871 (56,811) 45,060 10,426 Real Estate Securities and Loans, at fair value $ 217,964 $ (116,723) $ 101,241 $ (24,889) $ 373,126 $ (257,068) $ 116,058 $ 17,294 AG Arc, at fair value 45,341 — 45,341 23,260 28,546 — 28,546 (9,650) Cash and Other assets/(liabilities) 5,279 (1,194) 4,085 — 12,953 (1,246) 11,707 — Investments in debt and equity of affiliates $ 268,584 $ (117,917) $ 150,667 $ (1,629) $ 414,625 $ (258,314) $ 156,311 $ 7,644 (1) As of December 31, 2020, Non-QM Loans excluded loans with an unpaid principal balance of $17.3 million whereby an affiliate of MATT has the right, but not the obligation, to repurchase loans from a trust that are 90 days or more delinquent at its discretion. These loans, which are eligible to be repurchased, would be recorded on the balance sheet of MATT, an unconsolidated equity method investee of the Company, with a corresponding and offsetting liability. (2) Certain loans held in securitized form are presented net of non-recourse securitized debt. |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Real Estate Securities Portfolio | The following tables detail the Company’s real estate securities portfolio as of December 31, 2020 and December 31, 2019 ($ in thousands). The gross unrealized gains/(losses) stated in the tables below represent inception to date unrealized gains/(losses). December 31, 2020 Gross Unrealized Weighted Average Current Face Premium / Amortized Gains Losses Fair Value Coupon (1) Yield Agency RMBS: 30 Year Fixed Rate $ 494,307 $ 22,368 $ 516,675 $ 1,794 $ (117) $ 518,352 2.10 % 1.17 % Credit Investments: Residential Investments Prime 15,093 (7,081) 8,012 663 (10) 8,665 3.68 % 8.97 % Alt-A/Subprime 16,287 (9,377) 6,910 4,586 — 11,496 4.25 % 12.52 % Credit Risk Transfer 13,880 — 13,880 15 (587) 13,308 4.71 % 4.70 % Non-U.S. RMBS 2,435 706 3,141 51 (92) 3,100 6.45 % 6.41 % Non-Agency RMBS Interest Only (2) 157,590 (157,513) 77 207 (48) 236 0.53 % NM Re/Non-Performing Securities 1,690 (238) 1,452 149 — 1,601 5.25 % 14.05 % Total Residential Investments: 206,975 (173,503) 33,472 5,671 (737) 38,406 2.01 % 8.50 % Commercial Investments Conduit 4,925 (1,024) 3,901 — (606) 3,295 4.62 % 11.89 % Single-Asset/Single-Borrower 50,480 (1,494) 48,986 668 (9,464) 40,190 4.15 % 4.81 % Freddie Mac K-Series CMBS 22,572 (12,062) 10,510 47 (1,557) 9,000 3.83 % 9.00 % CMBS Interest Only (3) 687,077 (682,961) 4,116 256 (69) 4,303 0.10 % 6.93 % Total Commercial Investments: 765,054 (697,541) 67,513 971 (11,696) 56,788 0.44 % 6.04 % Total Credit Investments: 972,029 (871,044) 100,985 6,642 (12,433) 95,194 0.65 % 7.04 % Total $ 1,466,336 $ (848,676) $ 617,660 $ 8,436 $ (12,550) $ 613,546 1.18 % 2.08 % (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. (3) Comprised of Freddie Mac K-Series interest-only bonds. December 31, 2019 Gross Unrealized Weighted Average Current Face Premium / Amortized 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: Residential Investments Prime 297,932 (84,876) 213,056 29,052 (221) 241,887 4.92 % 7.44 % Alt-A/Subprime 141,464 (30,859) 110,605 12,234 (127) 122,712 4.40 % 6.89 % Credit Risk Transfer 270,397 591 270,988 8,972 (5) 279,955 5.17 % 5.27 % Non-U.S. RMBS 44,867 9,473 54,340 3,391 — 57,731 3.21 % 3.58 % Non-Agency RMBS Interest Only 209,362 (207,948) 1,414 — (340) 1,074 0.77 % 5.96 % Re/Non-Performing Securities 5,966 (1,965) 4,001 1,180 — 5,181 5.18 % 19.20 % Land Related Financing 8,628 (212) 8,416 514 — 8,930 7.75 % 8.26 % Total Residential Investments: 978,616 (315,796) 662,820 55,343 (693) 717,470 4.40 % 6.28 % Commercial Investments Conduit 72,318 (9,181) 63,137 811 (602) 63,346 4.24 % 5.57 % Single-Asset/Single-Borrower 204,702 (5,606) 199,096 879 (304) 199,671 5.09 % 5.57 % Freddie Mac K-Series CMBS 208,693 (119,809) 88,884 17,030 — 105,914 5.70 % 11.54 % CMBS Interest Only (2) 3,427,025 (3,382,273) 44,752 3,486 (246) 47,992 0.24 % 6.68 % Total Commercial Investments: 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. (2) Comprised of Freddie Mac K-Series interest-only bonds. |
Schedule of Weighted Average Life of Real Estate Securities | The following tables detail the weighted average life of our real estate securities as of December 31, 2020 and December 31, 2019 ($ in thousands): December 31, 2020 Agency RMBS Credit Investments Weighted Average Life (1) Fair Value Amortized Weighted Fair Value Amortized Weighted Less than or equal to 1 year $ — $ — — % $ 31,166 $ 39,588 1.81 % Greater than one year and less than or equal to five years 181,947 181,209 2.29 % 20,131 21,634 0.33 % Greater than five years and less than or equal to ten years 336,405 335,466 2.00 % 20,310 20,808 0.36 % Greater than ten years — — — 23,587 18,955 4.18 % Total $ 518,352 $ 516,675 2.10 % $ 95,194 $ 100,985 0.65 % (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. December 31, 2019 Agency RMBS Credit Investments Weighted Average Life (1) Fair Value Amortized Cost Weighted Fair Value Amortized Cost Weighted 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 December 31, 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 and September 2020 VIE, as further described in Note 2, as of December 31, 2020 and December 31, 2019 (in thousands): December 31, 2020 December 31, 2019 Assets Residential mortgage loans, at fair value $ 426,604 $ 255,171 Restricted cash 2,110 — Other assets 3,705 898 Total assets $ 432,419 $ 256,069 Liabilities Financing arrangements $ 25,590 $ 24,584 Securitized debt, at fair value 355,159 217,118 Other liabilities 519 596 Total liabilities $ 381,268 $ 242,298 The following table details additional information regarding loans and securitized debt related to the August 2019 VIE and September 2020 VIE as of December 31, 2020 and December 31, 2019 ($ in thousands): Weighted Average As of: Current Unpaid Principal Balance Fair Value Coupon Yield Life (Years) (1) December 31, 2020 August 2019 VIE Residential mortgage loans $ 238,487 $ 222,282 3.79 % 5.44 % 6.86 Securitized debt 197,955 196,338 2.97 % 3.01 % 5.20 September 2020 VIE Residential mortgage loans $ 242,859 $ 204,322 3.37 % 5.80 % 6.70 Securitized debt 158,676 158,821 2.98 % 2.98 % 2.17 December 31, 2019 August 2019 VIE Residential mortgage loans $ 263,956 $ 255,171 3.96 % 5.11 % 7.66 Securitized debt 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. |
Loans (Tables)
Loans (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Gain (Loss) on Securities [Line Items] | |
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 December 31, 2020 and December 31, 2019 ($ in thousands). The gross unrealized gains/(losses) stated in the tables below represents inception to date unrealized gains/(losses). Gross Unrealized Weighted Average As of Unpaid Principal Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life December 31, 2020 (2) $ 500,980 $ (69,007) $ 431,973 $ 13,640 $ (10,172) $ 435,441 3.58 % 5.69 % 6.67 December 31, 2019 (3) 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. (2) As of December 31, 2020, the Company’s residential mortgage loan portfolio was comprised of 3,273 conventional loans with original loan balances between $5.6 thousand and $3.4 million. Additionally, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $37.1 million. (3) As of December 31, 2019, the Company’s residential mortgage loan portfolio was comprised of 3,413 conventional loans with original loan balances between $3.8 thousand and $3.4 million. Additionally, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $35.6 million. |
Schedule of Company's Re-Performing and Non-Performing Residential Mortgage Loans | The table below details information regarding the Company’s re-performing and non-performing residential mortgage loans as of December 31, 2020 and December 31, 2019 (in thousands): December 31, 2020 December 31, 2019 Fair Value Unpaid Principal Fair Value Unpaid Principal Re-Performing $ 312,733 $ 347,359 $ 330,234 $ 357,678 Non-Performing 113,976 134,129 87,551 106,363 Other (1) 8,732 19,492 — — $ 435,441 $ 500,980 $ 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 December 31, 2020 and December 31, 2019, excluding any loans classified as Other above: Geographic Concentration of Credit Risk December 31, 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 17 % 19 % Florida 11 % 11 % New York 10 % 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 years ended December 31, 2020 and December 31, 2019 (in thousands): Year Ended December 31, 2020 December 31, 2019 Beginning Balance $ 168,877 $ 79,610 Additions 160,132 108,275 Accretion (27,683) (16,169) Reclassifications from/(to) non-accretable difference (10,295) 2,411 Disposals (120,740) (5,250) Ending Balance $ 170,291 $ 168,877 |
Schedule of Variable Interest Entities | 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 December 31, 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 and September 2020 VIE, as further described in Note 2, as of December 31, 2020 and December 31, 2019 (in thousands): December 31, 2020 December 31, 2019 Assets Residential mortgage loans, at fair value $ 426,604 $ 255,171 Restricted cash 2,110 — Other assets 3,705 898 Total assets $ 432,419 $ 256,069 Liabilities Financing arrangements $ 25,590 $ 24,584 Securitized debt, at fair value 355,159 217,118 Other liabilities 519 596 Total liabilities $ 381,268 $ 242,298 The following table details additional information regarding loans and securitized debt related to the August 2019 VIE and September 2020 VIE as of December 31, 2020 and December 31, 2019 ($ in thousands): Weighted Average As of: Current Unpaid Principal Balance Fair Value Coupon Yield Life (Years) (1) December 31, 2020 August 2019 VIE Residential mortgage loans $ 238,487 $ 222,282 3.79 % 5.44 % 6.86 Securitized debt 197,955 196,338 2.97 % 3.01 % 5.20 September 2020 VIE Residential mortgage loans $ 242,859 $ 204,322 3.37 % 5.80 % 6.70 Securitized debt 158,676 158,821 2.98 % 2.98 % 2.17 December 31, 2019 August 2019 VIE Residential mortgage loans $ 263,956 $ 255,171 3.96 % 5.11 % 7.66 Securitized debt 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. |
Commercial Loans | |
Gain (Loss) on Securities [Line Items] | |
Schedule of Company's Residential Mortgage Loan Portfolio and Commercial Loan Portfolio | The following tables present detail on the Company’s commercial loan portfolio as of December 31, 2020 and December 31, 2019 ($ in thousands). The gross unrealized gains/(losses) columns in the tables below represent inception to date unrealized gains/(losses). December 31, 2020 Weighted Average Loan (1)(2) Current Face Premium Amortized Cost Gross Unrealized Losses Fair Value (3) Coupon (4) Yield (5) Life Extended Location Collateral Type Commercial Loans, at fair value Loan G (8)(9) $ 59,451 $ — $ 59,451 $ (3,940) $ 55,511 5.27 % 5.27 % 1.54 July 9, 2022 CA Condo, Retail, Hotel Loan K (10) 15,787 — 15,787 (1,100) 14,687 10.00 % 10.83 % 1.27 February 9, 2024 NY Hotel, Retail Loan L (10) 51,000 (337) 50,663 (9,312) 41,351 N/A N/A 3.61 July 22, 2024 IL Hotel, Retail 126,238 (337) 125,901 (14,352) 111,549 3.73 % 4.05 % 2.34 Commercial Loans Held for Sale, at fair value Loan I (11)(12) 15,929 (175) 15,754 (1,795) 13,959 11.50 % 12.23 % 2.22 February 9, 2023 MN Office, Retail Total $ 142,167 $ (512) $ 141,655 $ (16,147) $ 125,508 4.60 % 4.96 % 2.33 (1) The Company has the contractual right to receive a balloon payment for each loan. (2) Refer to Note 12 "Commitments and Contingencies" for details on the Company's commitments on its Commercial Loans as of December 31, 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 is a first mortgage loan. (9) Loan G has been amended and has been extended to its extended maturity date upon reaching its initial maturity of July 9, 2020. Subsequent to year end, the Company sold Loan G. Refer to Note 16 for more information. (10) Loan K and Loan L are comprised of first mortgage and mezzanine loans. (11) Loan I is a mezzanine loan. (12) During the fourth quarter, the Company and the borrower of Loan I entered into a modification agreement to, among other things, extend the term of the Loan, allow for a portion of the interest to be deferred and increase the capital commitment amount by $6.0 million. This loan was classified as held for sale during the fourth quarter in accordance with the Company's accounting policy as detailed in Note 2. Subsequent to year end, the Company sold Loan I. Refer to Note 16 for more information. December 31, 2019 Weighted Average Loan (1) Current Face Premium Amortized Cost Gross Unrealized Gains Fair Value Coupon (2) Yield (3) Life Extended Location Collateral Type Loan G (6) $ 45,856 $ — $ 45,856 $ — $ 45,856 6.46 % 6.46 % 0.53 July 9, 2022 CA Condo, Retail, Hotel Loan H (6) 36,000 — 36,000 — 36,000 5.49 % 5.49 % 0.19 June 9, 2020 AZ Office Loan I (7) 11,992 (184) 11,808 184 11,992 12.21 % 14.51 % 1.04 February 9, 2023 MN Office, Retail Loan J (6) 4,674 — 4,674 — 4,674 6.36 % 6.36 % 2.12 January 1, 2024 NY Hotel, Retail Loan K (8) 9,164 — 9,164 — 9,164 10.71 % 11.86 % 1.72 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, 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. |
Fair value measurements (Tables
Fair value measurements (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2020 (in thousands): Fair Value at December 31, 2020 Level 1 Level 2 Level 3 Total Assets: Agency RMBS: 30 Year Fixed Rate $ — $ 518,352 $ — $ 518,352 Credit Investments: Non-Agency RMBS (1) — 35,070 3,100 38,170 Non-Agency RMBS Interest Only — 236 — 236 CMBS (2) — 52,485 — 52,485 CMBS Interest Only — 4,303 — 4,303 Residential mortgage loans — 2,134 433,307 435,441 Commercial loans — — 125,508 125,508 Excess mortgage servicing rights — — 3,158 3,158 AG Arc (3) — — 45,341 45,341 Total Assets Measured at Fair Value $ — $ 612,580 $ 610,414 $ 1,222,994 Liabilities: Securitized debt $ — $ — $ (355,159) $ (355,159) Derivative liabilities — (68) — (68) Total Liabilities Measured at Fair Value $ — $ (68) $ (355,159) $ (355,227) (1) Non-Agency RMBS is comprised of Prime, Alt-A/Subprime, Non-US RMBS, and Re/Non-Performing Securities. (2) CMBS is comprised of Conduit, Single-Asset/Single-Borrower and Freddie Mac K-Series CMBS. (3) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents, if applicable, and AG Arc. The table above includes the Company's investment in AG Arc, which is included in its Investments in Debt and Equity of Affiliates line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825. 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 (1) — 86,281 630,115 716,396 Non-Agency RMBS Interest Only — — 1,074 1,074 CMBS (2) — 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 (3) 53,243 — — 53,243 Derivative assets — 2,282 — 2,282 AG Arc (3) — — 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) Non-Agency RMBS is comprised of Prime, Alt-A/Subprime, Non-US RMBS, Re/Non-Performing Securities and Land Related Financing. (2) CMBS is comprised of Conduit, Single-Asset/Single-Borrower and Freddie Mac K-Series CMBS. (3) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents, if applicable, and AG Arc. The table above includes the Company's investment in AG Arc, which is included in its Investments in Debt and Equity of Affiliates line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825. |
Schedule of Assets and Liabilities Measured on a Recurring Basis | The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: Year Ended December 31, 2020 (in thousands) Non-Agency Non-Agency CMBS CMBS Residential Commercial Excess AG Arc Securitized 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) (22,055) — — — — 7,230 Purchases/Reclassifications 1,559 — 3,540 — 536,710 33,254 20 — — Issuances of Securitized Debt — — — — — — — — (166,487) Capital distributions — — — — — — — (6,466) — Proceeds from sales/redemptions (362,199) — (148,111) (21,995) (393,876) (36,924) (8,460) — — Proceeds from settlement (12,636) — (9,367) — (63,882) (6,369) — — 29,312 Total net gains/(losses) (2) Included in net income (43,030) — (41,812) (3,942) (63,430) (23,139) (6,177) 23,261 (866) Ending Balance $ 3,100 $ — $ — $ — $ 433,307 $ 125,508 $ 3,158 $ 45,341 $ (355,159) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2020 (3) $ (106) $ — $ — $ — $ (6,593) $ (16,669) $ (2,564) $ 23,261 $ (866) (1) Transfers are assumed to occur at the beginning of the period. For the year ended December 31, 2020, the Company transferred 50 Non-Agency RMBS securities, 2 Non-Agency 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. For the year ended December 31, 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 $ (59,812) Unrealized gain/(loss) on derivative and other instruments, net (3,254) Net realized gain/(loss) (119,330) Equity in earnings/(loss) from affiliates 23,261 Total $ (159,135) (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 $ (23,368) Unrealized gain/(loss) on derivative and other instruments, net (3,430) Equity in earnings/(loss) from affiliates 23,261 Total $ (3,537) Year Ended December 31, 2019 (in thousands) Non-Agency Non-Agency ABS CMBS CMBS Interest Residential Commercial Excess AG Arc Securitized 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 87,070 — — — — — — — — — Transfers out of level 3 (57,140) — — (5,280) — — — — — — Purchases/Reclassifications 261,847 — 1,632 208,871 5,123 263,110 102,619 — — — Issuances of Securitized Debt — — — — — — — — — (65,171) Capital contributions — — — — — — — — 17,836 — Proceeds from sales/redemptions (115,616) — (14,183) (25,792) (2,632) (12,780) — — — — Proceeds from settlement (59,274) — (9,446) (38,162) — (30,422) (43,217) — — 3,618 Total net gains/(losses) (2) Included in net income 21,674 (2,025) 837 15,875 (4,830) 11,781 710 (8,875) (9,650) (4) Ending Balance $ 630,115 $ 1,074 $ — $ 366,566 $ 47,992 $ 417,785 $ 158,686 $ 17,775 $ 28,546 $ (72,415) Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2019 (3) $ 11,984 $ (529) $ — $ 12,430 $ (4,704) $ 10,689 $ 710 $ (6,240) $ (9,650) $ (4) (1) Transfers are assumed to occur at the beginning of the period. For the year ended December 31, 2019, the Company transferred 14 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 6 Non-Agency RMBS securities and 2 CMBS security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss) on real estate securities and loans, net $ 33,256 Unrealized gain/(loss) on derivative and other instruments, net (8,879) Net realized gain/(loss) 10,766 Equity in earnings/(loss) from affiliates (9,650) Total $ 25,493 (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 $ 30,580 Unrealized gain/(loss) on derivative and other instruments, net (6,244) Equity in earnings/(loss) from affiliates (9,650) Total $ 14,686 |
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 December 31, 2020 (in thousands) Valuation Technique Unobservable Input Range Yield 8.05% - 8.05% (8.05%) Non-Agency RMBS $ 1,601 Discounted Cash Flow Projected Collateral Prepayments 5.46% - 5.46% (5.46%) Projected Collateral Losses 5.37% - 5.37% (5.37%) Projected Collateral Severities ' -20.89% - -20.89% (-20.89%) $ 1,499 Consensus Pricing Offered Quotes 91.59 - 91.59 (91.59) Yield 4.50% - 10.00% (5.01%) Residential Mortgage Loans $ 426,709 Discounted Cash Flow Projected Collateral Prepayments 4.30% - 9.31% (7.28%) Projected Collateral Losses 1.66% - 5.75% (2.58%) Projected Collateral Severities -9.29% - 49.43% (15.68%) $ 6,598 Consensus Pricing Offered Quotes 82.03 - 106.29 (99.96) Yield 10.95% - 39.54% (14.09%) Commercial Loans $ 125,508 Discounted Cash Flow Credit Spread 1001 bps - 3304 bps (1279 bps) Recovery Percentage (2) 100.00% - 100.00% (100.00%) Loan-to-Value 43.60% - 97.50% (62.04%) Yield 9.00% - 9.70% (9.08%) Excess Mortgage Servicing Rights $ 3,073 Discounted Cash Flow Projected Collateral Prepayments 11.11% - 15.51% (12.49%) $ 85 Consensus Pricing Offered Quotes 0.25 - 0.25 (0.25) AG Arc $ 45,341 Comparable Multiple Book Value Multiple 1.05x - 1.05x (1.05x) Liability Class Fair Value at December 31, 2020 (in thousands) Valuation Technique Unobservable Input Range Yield 2.45% - 5.50% (2.98%) Securitized debt $ (355,159) Discounted Cash Flow Projected Collateral Prepayments 5.90% - 8.20% (7.17%) Projected Collateral Losses 1.94% - 3.46% (2.62%) Projected Collateral Severities 12.70% - 20.03% (16.75%) (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, 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) | 12 Months Ended |
Dec. 31, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Financing Arrangements | The following table presents a summary of the Company's financing arrangements as of December 31, 2020 and December 31, 2019 ($ in thousands). December 31, 2020 December 31, 2019 Weighted Average Collateral (1)(2) Carrying Value Stated Maturity Funding Cost Life (Years) Amortized Cost Basis Fair Value Carrying Value Repurchase Agreements Agency RMBS $ 435,893 Jan 2021 0.21 % 0.04 $ 459,684 $ 460,949 $ 2,109,278 Non-Agency RMBS 14,550 Jan 2021 - Apr 2021 2.34 % 0.08 24,009 28,653 565,450 CMBS 24,881 Jan 2021 - Feb 2021 2.66 % 0.04 51,961 42,669 312,627 Residential Mortgage Loans 25,590 Mar 2021 2.38 % 0.21 44,520 46,571 131,594 Commercial Loans — N/A — — — — 3,017 Total Repurchase Agreements $ 500,914 0.51 % 0.05 $ 580,174 $ 578,842 $ 3,121,966 Revolving Facilities (3)(4) Commercial Loans (5)(6)(7) $ 63,133 Aug 2023 2.79 % 2.60 $ 110,114 $ 96,862 $ 89,956 Residential Mortgage Loans (8) — N/A — — — — 21,546 Total Revolving Facilities $ 63,133 2.79 % 2.60 $ 110,114 $ 96,862 111,502 Total Financing Arrangements $ 564,047 0.76 % 0.33 $ 690,288 $ 675,704 $ 3,233,468 (1) The Company also had $1.4 million of cash pledged under repurchase agreements as of December 31, 2020. (2) The amounts pledged as collateral under Residential Mortgage Loans represent certain of the Company's retained interests in securitizations. Refer to Note 4 for more information on the August 2019 VIE and September 2020 VIE. (3) All revolving facilities listed above are interest only until maturity. (4) 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. (5) Increasing the Company's borrowing capacity under this facility requires consent of the lender. (6) The funding cost on this facility is inclusive of the impact of deferred financing costs. The stated rate was 2.30% as of December 31, 2020. (7) The borrowing capacity on the commercial loan revolving facility is $100 million. |
Schedule of Total Borrowings Under Repurchase Agreements | The following table presents contractual maturity information about the Company's borrowings under repurchase agreements and revolving facilities at December 31, 2020 (in thousands). Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Over 12 Months Total Repurchase Agreements Agency RMBS $ 435,893 $ — $ — $ — $ 435,893 Non-Agency RMBS 9,166 4,340 1,044 — 14,550 CMBS 18,534 6,347 — — 24,881 Residential Mortgage Loans — 25,590 — — 25,590 Total Repurchase Agreements $ 463,593 $ 36,277 $ 1,044 $ — $ 500,914 Revolving Facilities Commercial Loans $ — $ — $ — $ 63,133 $ 63,133 Total Financing Arrangements $ 463,593 $ 36,277 $ 1,044 $ 63,133 $ 564,047 |
Schedule of Repurchase Agreement Counterparty | The following tables present information at December 31, 2020 and 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). December 31, 2020 Counterparty Stockholders' Equity Weighted Average Percentage of BofA Securities, Inc. $ 28,091 19 6.9 % Credit Suisse AG, Cayman Islands Branch 26,305 35 6.4 % Barclays Capital Inc. 24,890 15 6.1 % December 31, 2019 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) | 12 Months Ended |
Dec. 31, 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 December 31, 2020 and December 31, 2019 (in thousands): December 31, 2020 December 31, 2019 Other assets Interest receivable $ 2,962 $ 13,548 Derivative assets, at fair value — 2,282 Other assets 5,538 4,378 Due from broker 907 1,697 Total Other assets $ 9,407 $ 21,905 Other liabilities Interest payable $ 853 $ 10,941 Derivative liabilities, at fair value 68 411 Due to affiliates (1) 14,041 5,226 Accrued expenses 2,521 6,175 Taxes payable — 815 Due to broker 1,272 1,107 Total Other liabilities $ 18,755 $ 24,675 (1) Refer to Note 10 for more information related to the secured debt and other outstanding payables to affiliates. |
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 December 31, 2020 and December 31, 2019 (in thousands). Derivatives and Other Instruments Designation Balance Sheet Location December 31, 2020 December 31, 2019 Pay Fix/Receive Float Interest Rate Swap Agreements (1) Non-Hedge Other assets $ — $ 199 Pay Fix/Receive Float Interest Rate Swap Agreements (1) Non-Hedge Other liabilities (68) (411) Payer Swaptions Non-Hedge Other assets — 2,083 (1) As of December 31, 2020, the Company applied a reduction in fair value of $1.4 million and $0.2 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively. 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 with a corresponding increase or decrease in restricted cash, respectively. |
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 December 31, 2020 December 31, 2019 Pay Fix/Receive Float Interest Rate Swap Agreements USD $ 417,000 $ 1,848,750 Payer Swaptions USD — 650,000 Short positions on British Pound Futures (1) GBP 3,313 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 Interest Rate Derivatives | As of December 31, 2020, 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, 2020 ($ in thousands): Maturity Notional Amount Weighted Average Weighted Average Weighted Average 2025 $ 296,000 0.39 % 0.23 % 4.76 2026 20,000 0.45 % 0.24 % 5.01 2030 86,000 0.76 % 0.23 % 9.77 2031 15,000 0.95 % 0.24 % 10.01 Total/Wtd Avg $ 417,000 0.49 % 0.23 % 5.99 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 following tables present information about the Company’s TBAs for the years ended December 31, 2020 and December 31, 2019 (in thousands): For the Year Ended December 31, 2020 Beginning Buys or Covers Sales or Shorts Ending Net Net Fair Value Net Receivable/(Payable) Derivative Derivative TBAs - Long $ — $ 728,000 $ (728,000) $ — $ — $ — $ — $ — For the Year Ended December 31, 2019 Beginning Buys or Covers Sales or Shorts Ending Net Net Fair Value Net Receivable/(Payable) Derivative Derivative TBAs - Long $ — $ 1,994,500 $ (1,994,500) $ — $ — $ — $ — $ — TBAs - Short $ — $ 485,000 $ (485,000) $ — $ — $ — $ — $ — |
Schedule of Gains/(Losses) Related to Derivatives and Other Instruments | The following table summarizes gains/(losses) related to derivatives and other instruments (in thousands): Year Ended December 31, 2020 December 31, 2019 Included within Unrealized gain/(loss) on derivative and other instruments, net Interest Rate Swaps $ (10,276) $ (641) Eurodollar Futures — 1,001 Swaptions 354 1,325 U.S. Treasury Futures — (145) British Pound Futures 38 (102) Euro Futures 20 (20) U.S. Treasuries — 82 (9,864) 1,500 Included within Net realized gain/(loss) Interest Rate Swaps (65,368) (62,147) Eurodollar Futures — (1,122) Swaptions (2,437) (1,514) U.S. Treasury Futures — (31) British Pound Futures 259 (605) Euro Futures 68 (7) TBAs (1) 4,610 1,262 U.S. Treasuries 31 (18) (62,837) (64,182) Total income/(loss) $ (72,701) $ (62,682) (1) For the year ended December 31, 2020, gains and losses from purchases and sales of TBAs consisted of $0.3 million of net TBA dollar roll net interest income and net gains of $4.3 million due to price changes. For the year ended December 31, 2019, gains and losses from purchases and sales of TBAs consisted of $1.0 million of net TBA dollar roll net interest income and net gains of $0.3 million due to price changes. |
Earnings per share (Tables)
Earnings per share (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Schedule of Earning Per Share Basic And Diluted [Line Items] | |
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 years ended December 31, 2020 and December 31, 2019 (in thousands, except per share data): Year Ended December 31, 2020 Year Ended December 31, 2019 Numerator: Net Income/(Loss) from Continuing Operations $ (421,585) $ 97,338 Gain on Exchange Offers, net (Note 11) 10,574 — Dividends on preferred stock (20,549) (16,122) Net income/(loss) from continuing operations available to common stockholders (431,560) 81,216 Net Income/(Loss) from Discontinued Operations 666 (4,416) Net Income/(Loss) available to common stockholders $ (430,894) $ 76,800 Denominator: Basic weighted average common shares outstanding 35,191 32,192 Dilutive effect of restricted stock units — 11 Diluted weighted average common shares outstanding 35,191 32,203 Earnings/(Loss) Per Share - Basic Continuing Operations $ (12.26) $ 2.52 Discontinued Operations 0.02 (0.13) Basic Earnings/(Loss) Per Share of Common Stock: $ (12.24) $ 2.39 Earnings/(Loss) Per Share - Diluted Continuing Operations $ (12.26) $ 2.52 Discontinued Operations 0.02 (0.13) Diluted Earnings/(Loss) Per Share of Common Stock: $ (12.24) $ 2.39 |
Common Stock | |
Schedule of Earning Per Share Basic And Diluted [Line Items] | |
Schedule of Basic and Diluted Earnings Per Share | The following tables detail the Company's common stock dividends during the years ended December 31, 2020 and December 31, 2019: 2020 Declaration Date Record Date Payment Date Dividend Per Share 12/22/2020 12/31/2020 1/29/2021 $ 0.03 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 9/6/2019 9/30/2019 10/31/2019 0.45 12/13/2019 12/31/2019 1/31/2020 0.45 Total $ 1.90 |
Preferred Stock | |
Schedule of Earning Per Share Basic And Diluted [Line Items] | |
Schedule of Basic and Diluted Earnings Per Share | The following tables detail our preferred stock dividends during the years ended December 31, 2020 and December 31, 2019: 2020 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 11/6/2020 11/30/2020 12/17/2020 1.54689 1.50 1.50 Total $ 2.06252 $ 2.00 $ 2.00 2019 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25% Series A 8.00% Series B 8.000% Series C 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 — 8/16/2019 8/30/2019 9/17/2019 0.51563 0.50 — 11/15/2019 11/29/2019 12/17/2019 0.51563 0.50 0.50 Total $ 2.06252 $ 2.00 $ 0.50 |
Related party transactions (Tab
Related party transactions (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Related Party Transactions [Abstract] | |
Schedule of Nonvested Restricted Stock and Restricted Stock Units Activity | The following table presents information with respect to the Company’s restricted stock and restricted stock units for the years ended December 31, 2020 and December 31, 2019: Year Ended December 31, 2020 Year Ended December 31, 2019 Shares of Restricted Stock and Restricted Stock Units Weighted Average Grant Date Fair Value Shares of Restricted Stock and Restricted Stock Units Weighted Average Grant Date Fair Value Outstanding at beginning of year 113,656 $ 18.91 108,624 $ 19.52 Granted (1) 126,785 3.56 25,030 15.97 Canceled/forfeited — — — — Unrestricted (20,009) 18.53 (19,998) 18.53 Outstanding at end of year 220,432 $ 10.85 113,656 $ 18.91 Unvested at end of year — $ — 20,009 $ 18.53 (1) The grant date fair value of restricted stock awards was established as the average of the high and low prices of the Company's common stock at the grant date. The grant date fair value of restricted stock units is based on the closing market price of the Company's common stock at the grant date. |
Commitments and Contingencies C
Commitments and Contingencies Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Schedule of Outstanding Commitments | The below table details the Company's outstanding commitments as of December 31, 2020 (in thousands): Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment Commercial loan G (a)(b) July 26, 2018 $ 78,806 $ 60,111 $ 18,695 Commercial loan I (a)(c) January 23, 2019 26,000 15,929 10,071 Commercial loan K (a) February 22, 2019 20,000 15,787 4,213 LOTS (d) Various 34,153 21,247 12,906 Total $ 158,959 $ 113,074 $ 45,885 (a) The Company entered into commitments on commercial loans relating to construction projects. See Note 4 for further details. (b) Paydowns of $5.7 million on Commercial loan G during the year decreased the total commitment from $84.5 million to $78.8 million. Subsequent to year end, the Company sold Commercial loan G to an unrelated third-party. See Note 16 for additional information. (c) During the fourth quarter, the Company and the borrower of Commercial loan I entered into a modification agreement to, among other things, extend the term of the Loan, allow for a portion of the interest to be deferred and increase the capital commitment amount by $6.0 million. Subsequent to year end, the Company sold Commercial loan I to an unrelated third-party. See Note 16 for additional information. (d) Refer to Note 10 "Related Party Transactions" for more information regarding LOTS. |
Discontinued Operations and A_2
Discontinued Operations and Assets and Liabilities Held for Sale (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Discontinued Operations and Disposal Groups [Abstract] | |
Schedule of Single-Family Rental Properties Discontinued Operations | The table below presents the Company's results of operations for the years ended December 31, 2020 and December 31, 2019, respectively, 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). In 2020, the Company reversed certain previously accrued expenses related to discontinued operations. Year Ended December 31, 2020 December 31, 2019 Interest expense $ — $ 5,187 Other Income/(Loss) Rental income — 11,209 Net realized gain/(loss) — 150 Other income — 258 Total Other Income/(Loss) — 11,617 Expenses Other operating expenses (80) 180 Property depreciation and amortization — 4,110 Property operating expenses (586) 6,556 Total Expenses (666) 10,846 Net Income/(Loss) from Discontinued Operations $ 666 $ (4,416) |
Investments in unconsolidated_2
Investments in unconsolidated equity method affiliates (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Schedule of Equity Method Investments | The following table details the summarized balance sheets for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method as of December 31, 2020 and December 31, 2019 (in thousands): December 31, 2020 December 31, 2019 Arc Home (1) MATH (2) Other Total Assets Real estate securities and loans, at fair value $ 293,710 $ 343,576 $ 294,357 $ 931,643 $ 1,539,217 Mortgage servicing rights and excess mortgage servicing rights, at fair value 56,481 — 933 57,414 113,155 Cash and cash equivalents 41,781 754 11,438 53,973 39,390 Other assets (3) 86,687 3,838 3,112 93,637 192,477 Total Assets $ 478,659 $ 348,168 $ 309,840 $ 1,136,667 $ 1,884,239 Liabilities Financing arrangements $ 290,009 $ 249,237 $ 35,774 $ 575,020 $ 807,902 Securitized debt, at fair value — — 96,579 96,579 144,810 Other liabilities (3) 88,650 1,109 301 90,060 217,301 Total Liabilities 378,659 250,346 132,654 761,659 1,170,013 Total Members' Equity Members' equity (1) 97,938 97,822 177,186 372,946 711,285 Noncontrolling preferred interests 2,062 — — 2,062 2,941 Total Member's equity 100,000 97,822 177,186 375,008 714,226 Total Liabilities & Members' Equity $ 478,659 $ 348,168 $ 309,840 $ 1,136,667 $ 1,884,239 The Company's Investments in debt and equity of affiliates $ 45,341 $ 43,619 $ 61,707 $ 150,667 $ 156,311 (1) The Company has an approximate 44.6% interest in AG Arc. Arc Home is a wholly owned subsidiary of AG Arc. The Company's investment in AG Arc of $45.3 million includes its pro-rata allocation of Members' equity disclosed in the table above and additional net assets held at AG Arc of $3.7 million. (2) The Company has an approximate 44.6% interest in MATH. (3) Arc Home, as an issuer, has the unilateral right to repurchase Ginnie Mae pool loans it has previously sold or loans in pools it acquired in an MSR purchase (generally loans that are more than 90 days past due). When Arc Home determines there is more than a trivial benefit to repurchase the loans, it records the loans on its consolidated balance sheets as an asset and a corresponding liability. As of December 31, 2020, $58.7 million of loans eligible to be repurchased are recorded with Other assets and Other liabilities. The following table details the summarized statements of operations for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method as of December 31, 2020 and December 31, 2019 (in thousands): Year Ended December 31, 2020 December 31, 2019 Arc Home (1) MATH (2) Other Total Net Interest Income Interest income $ 6,550 $ 30,113 $ 36,504 $ 73,167 $ 82,810 Interest expense 16,779 24,442 7,969 49,190 51,455 Total Net Interest Income (10,229) 5,671 28,535 23,977 31,355 Other Income Net realized gain/(loss) 119,786 (21,858) (2,660) 95,268 25,478 Net interest component of interest rate swaps — 101 — 101 (872) Unrealized gain (loss) on real estate securities and loans, net (13,171) (15,959) (73,003) (102,133) 30,645 Unrealized gain/(loss) on derivative and other instruments, net (26,003) (25,326) 1,948 (49,381) 264 Other income 40,022 1 12,042 52,065 40,928 Total Other Income 120,634 (63,041) (61,673) (4,080) 96,443 Expenses Other operating expenses 61,494 2,118 15,804 79,416 66,705 Net Income/(Loss) 48,911 (59,488) (48,942) (59,519) 61,093 Net Income/(Loss) Attributable to Noncontrolling Preferred Interests 248 — — 248 (263) Net Income/(Loss) Attributable to Controlling Interest of Unconsolidated Equity Method Investments $ 49,159 $ (59,488) $ (48,942) $ (59,271) $ 60,830 The Company's Equity in earnings/(loss) from affiliates $ 23,260 $ (26,511) $ 1,622 $ (1,629) $ 7,644 (1) The Company has an approximate 44.6% interest in AG Arc. Arc Home is a wholly owned subsidiary of AG Arc. The Company's equity in earnings/(loss) from AG Arc includes its pro-rata share of Net Income/(Loss) disclosed in the table above and additional net income recorded at AG Arc of $3.0 million. |
Quarterly results (Unaudited) (
Quarterly results (Unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Quarterly Financial Information Disclosure [Abstract] | |
Schedule of Quarterly Financial Information | Summarized quarterly results of operations were as follows (in thousands, except for per share data): Three Months Ended March 31, 2020 June 30, 2020 September 30, 2020 December 31, 2020 Statement of Operations Data: Net Interest Income Interest income $ 40,268 $ 13,369 $ 9,717 $ 11,171 Interest expense 19,971 8,613 4,357 4,004 Total Net Interest Income 20,297 4,756 5,360 7,167 Other Income/(Loss) Net realized gain/(loss) (151,143) (91,609) (14,431) 661 Net interest component of interest rate swaps 923 — (13) (179) Unrealized gain/(loss) on real estate securities and loans, net (313,897) 109,632 19,495 25,304 Unrealized gain/(loss) on derivative and other instruments, net 5,686 (9,453) 1,970 (8,550) Foreign currency gain/(loss), net 1,649 (156) (10) 45 Other income 3 1 — 2 Total Other Income/(Loss) (456,779) 8,415 7,011 17,283 Expenses Management fee to affiliate 2,149 1,678 1,698 1,656 Other operating expenses 842 4,482 5,929 3,260 Restructuring Related Expenses 1,500 7,104 1,345 251 Equity based compensation to affiliate 88 75 — — Excise tax (815) — — — Servicing fees 579 566 540 539 Total Expenses 4,343 13,905 9,512 5,706 Income/(loss) before equity in earnings/(loss) from affiliates (440,825) (734) 2,859 18,744 Equity in earnings/(loss) from affiliates (44,192) 3,434 17,187 21,942 Net Income/(Loss) from Continuing Operations (485,017) 2,700 20,046 40,686 Net Income/(Loss) from Discontinued Operations — 361 — 305 Net Income/(Loss) (485,017) 3,061 20,046 40,991 Gain on Exchange Offers, net (Note 11) — — 539 10,035 Dividends on preferred stock (1) (5,667) (5,667) (5,563) (3,652) Net Income/(Loss) Available to Common Stockholders $ (490,684) $ (2,606) $ 15,022 $ 47,374 Earnings/(Loss) Per Share - Basic Continuing Operations $ (14.98) $ (0.09) $ 0.44 $ 1.15 Discontinued Operations — 0.01 — 0.01 Total Earnings/(Loss) Per Share of Common Stock $ (14.98) $ (0.08) $ 0.44 $ 1.16 Earnings/(Loss) Per Share - Diluted Continuing Operations $ (14.98) $ (0.09) $ 0.44 $ 1.15 Discontinued Operations — 0.01 — 0.01 Total Earnings/(Loss) Per Share of Common Stock $ (14.98) $ (0.08) $ 0.44 $ 1.16 (1) The three months ended September 30, 2020 and June 30, 2020 include cumulative and undeclared dividends of $5.6 million and $5.7 million on the Company's preferred stock as of September 30, 2020 and June 30, 2020, respectively. Three Months Ended March 31, 2019 June 30, 2019 September 30, 2019 December 31, 2019 Statement of Operations Data: Net Interest Income Interest income $ 41,490 $ 40,901 $ 40,735 $ 48,534 Interest expense 22,094 23,030 21,887 23,097 Total Net Interest Income 19,396 17,871 18,848 25,437 Other Income/(Loss) Net realized gain/(loss) (20,583) (27,510) (16,132) 13,403 Net interest component of interest rate swaps 1,781 1,800 2,179 1,976 Unrealized gain/(loss) on real estate securities and loans, net 46,753 43,165 11,726 (17,812) Unrealized gain/(loss) on derivative and other instruments, net (10,086) (10,839) 3,258 17,355 Foreign currency gain/(loss), net — — 667 (3,179) Other income 414 216 210 342 Total Other Income/(Loss) 18,279 6,832 1,908 12,085 Expenses Management fee to affiliate 2,345 2,400 2,346 2,734 Other operating expenses 3,781 3,807 6,062 4,988 Equity based compensation to affiliate 126 73 76 74 Excise tax 92 186 186 67 Servicing fees 371 416 416 416 Total Expenses 6,715 6,882 9,086 8,279 Income/(loss) before equity in earnings/(loss) from affiliates 30,960 17,821 11,670 29,243 Equity in earnings/(loss) from affiliates (771) 2,050 (564) 6,929 Net Income/(Loss) from Continuing Operations 30,189 19,871 11,106 36,172 Net Income/(Loss) from Discontinued Operations (1,034) (1,193) (1,057) (1,132) Net Income/(loss) 29,155 18,678 10,049 35,040 Dividends on preferred stock (1) (3,367) (3,367) (3,720) (5,667) Net Income/(Loss) Available to Common Stockholders $ 25,788 $ 15,311 $ 6,329 $ 29,373 Earnings/(Loss) Per Share - Basic Continuing Operations $ 0.87 $ 0.50 $ 0.22 $ 0.93 Discontinued Operations (0.03) (0.03) (0.03) (0.03) Total Earnings/(Loss) Per Share - Basic $ 0.84 $ 0.47 $ 0.19 $ 0.90 Earnings/(Loss) Per Share - Diluted Continuing Operations $ 0.87 $ 0.50 $ 0.22 $ 0.93 Discontinued Operations (0.03) (0.03) (0.03) (0.03) Total Earnings/(Loss) Per Share - Diluted $ 0.84 $ 0.47 $ 0.19 $ 0.90 (1) The three months ended September 30, 2019 and December 31, 2019 include cumulative and undeclared dividends of $0.4 million on the Company's 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock as of September 30, 2019 and December 31, 2019, respectively. |
Summary of significant accoun_4
Summary of significant accounting policies - Narrative (Details) - USD ($) | Sep. 17, 2019 | Dec. 31, 2020 | Dec. 31, 2019 |
Significant Accounting Policies Disclosure [Line Items] | |||
Cash and cash equivalents | $ 47,926,000 | $ 81,692,000 | |
Cash equivalents | $ 0 | $ 53,200,000 | |
8.25% Series A Cumulative Redeemable Preferred Stock | |||
Significant Accounting Policies Disclosure [Line Items] | |||
Dividend percentage | 8.25% | 8.25% | |
Preferred sock, liquidation preference per share (in dollars per share) | $ 25 | ||
8.00% Series B Cumulative Redeemable Preferred Stock | |||
Significant Accounting Policies Disclosure [Line Items] | |||
Dividend percentage | 8.00% | 8.00% | |
Preferred sock, liquidation preference per share (in dollars per share) | $ 25 | ||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Significant Accounting Policies Disclosure [Line Items] | |||
Dividend percentage | 8.00% | 8.00% | 8.00% |
Preferred sock, liquidation preference per share (in dollars per share) | $ 25 | $ 25 | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | London Interbank Offered Rate (LIBOR) | |||
Significant Accounting Policies Disclosure [Line Items] | |||
Dividend percentage | 6.476% | 6.476% | |
December 2014 VIE | |||
Significant Accounting Policies Disclosure [Line Items] | |||
Deconsolidation gain (loss) | $ 2,100,000 | ||
August 2018 VIE | |||
Significant Accounting Policies Disclosure [Line Items] | |||
Deconsolidation gain (loss) | $ (8,300,000) |
Summary of significant accoun_5
Summary of significant accounting policies - Schedule of investments in debt and equity of affiliates (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Investments in and Advances to Affiliates [Line Items] | ||
Investments in debt and equity of affiliates | $ 150,667 | $ 156,311 |
Equity in earnings/(loss) from affiliates | (1,629) | 7,644 |
Real Estate Securities | ||
Investments in and Advances to Affiliates [Line Items] | ||
Equity in earnings/(loss) from affiliates | (24,889) | 17,294 |
Non-Qualified Mortgage Loans | ||
Investments in and Advances to Affiliates [Line Items] | ||
Equity in earnings/(loss) from affiliates | (26,511) | 6,024 |
Non-Qualified Mortgage Loans | Residential and Commercial Real Estates Assets | ||
Investments in and Advances to Affiliates [Line Items] | ||
Principal amount outstanding of loans excluded from portfolio | 17,300 | |
Land Related Financing | ||
Investments in and Advances to Affiliates [Line Items] | ||
Equity in earnings/(loss) from affiliates | 2,620 | 844 |
Other Loans | ||
Investments in and Advances to Affiliates [Line Items] | ||
Equity in earnings/(loss) from affiliates | (998) | 10,426 |
ARC Home LLC | ||
Investments in and Advances to Affiliates [Line Items] | ||
Equity in earnings/(loss) from affiliates | 23,260 | (9,650) |
Assets | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments in debt and equity of affiliates | 268,584 | 414,625 |
Cash and Other assets/(liabilities) | 5,279 | 12,953 |
Assets | Real Estate Securities | ||
Investments in and Advances to Affiliates [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 217,964 | 373,126 |
Assets | Non-Qualified Mortgage Loans | ||
Investments in and Advances to Affiliates [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 153,200 | 254,276 |
Assets | Land Related Financing | ||
Investments in and Advances to Affiliates [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 22,824 | 16,979 |
Assets | Other Loans | ||
Investments in and Advances to Affiliates [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 41,940 | 101,871 |
Assets | ARC Home LLC | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments in debt and equity of affiliates | 45,341 | 28,546 |
Liabilities | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments in debt and equity of affiliates | 117,917 | 258,314 |
Cash and Other assets/(liabilities) | 1,194 | 1,246 |
Liabilities | Real Estate Securities | ||
Investments in and Advances to Affiliates [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 116,723 | 257,068 |
Liabilities | Non-Qualified Mortgage Loans | ||
Investments in and Advances to Affiliates [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 111,135 | 200,257 |
Liabilities | Land Related Financing | ||
Investments in and Advances to Affiliates [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 0 | 0 |
Liabilities | Other Loans | ||
Investments in and Advances to Affiliates [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 5,588 | 56,811 |
Liabilities | ARC Home LLC | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments in debt and equity of affiliates | 0 | 0 |
Stockholders' Equity | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments in debt and equity of affiliates | 150,667 | 156,311 |
Cash and Other assets/(liabilities) | 4,085 | 11,707 |
Stockholders' Equity | Real Estate Securities | ||
Investments in and Advances to Affiliates [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 101,241 | 116,058 |
Stockholders' Equity | Non-Qualified Mortgage Loans | ||
Investments in and Advances to Affiliates [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 42,065 | 54,019 |
Stockholders' Equity | Land Related Financing | ||
Investments in and Advances to Affiliates [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 22,824 | 16,979 |
Stockholders' Equity | Other Loans | ||
Investments in and Advances to Affiliates [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | $ 36,352 | 45,060 |
Stockholders' Equity | ARC Home LLC | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments in debt and equity of affiliates | $ 28,546 |
Real Estate Securities - Summar
Real Estate Securities - Summary of real estate securities portfolio (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020USD ($)investment | Dec. 31, 2019USD ($) | |
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 1,466,336 | $ 7,492,613 |
Premium / (Discount) | (848,676) | (4,176,790) |
Amortized Cost | 617,660 | 3,315,823 |
Gross Unrealized Gains | 8,436 | 137,283 |
Gross Unrealized Losses | (12,550) | (3,274) |
Fair Value | $ 613,546 | $ 3,449,832 |
Weighted Average Coupon | 1.18% | 2.20% |
Weighted Average Yield | 2.08% | 4.37% |
Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 206,975 | $ 978,616 |
Premium / (Discount) | (173,503) | (315,796) |
Amortized Cost | 33,472 | 662,820 |
Gross Unrealized Gains | 5,671 | 55,343 |
Gross Unrealized Losses | (737) | (693) |
Fair Value | $ 38,406 | $ 717,470 |
Weighted Average Coupon | 2.01% | 4.40% |
Weighted Average Yield | 8.50% | 6.28% |
Commercial Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 765,054 | $ 3,912,738 |
Premium / (Discount) | (697,541) | (3,516,869) |
Amortized Cost | 67,513 | 395,869 |
Gross Unrealized Gains | 971 | 22,206 |
Gross Unrealized Losses | (11,696) | (1,152) |
Fair Value | $ 56,788 | $ 416,923 |
Weighted Average Coupon | 0.44% | 0.60% |
Weighted Average Yield | 6.04% | 7.21% |
Agency RMBS: 30 Year Fixed Rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 494,307 | $ 2,125,067 |
Premium / (Discount) | 22,368 | 59,123 |
Amortized Cost | 516,675 | 2,184,190 |
Gross Unrealized Gains | 1,794 | 57,404 |
Gross Unrealized Losses | (117) | (296) |
Fair Value | $ 518,352 | $ 2,241,298 |
Weighted Average Coupon | 2.10% | 3.73% |
Weighted Average Yield | 1.17% | 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 RMBS | ||
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% | |
Non Agency, Prime | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 15,093 | $ 297,932 |
Premium / (Discount) | (7,081) | (84,876) |
Amortized Cost | 8,012 | 213,056 |
Gross Unrealized Gains | 663 | 29,052 |
Gross Unrealized Losses | (10) | (221) |
Fair Value | $ 8,665 | $ 241,887 |
Weighted Average Coupon | 3.68% | 4.92% |
Weighted Average Yield | 8.97% | 7.44% |
Non Agency, Alt-A/Subprime | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 16,287 | $ 141,464 |
Premium / (Discount) | (9,377) | (30,859) |
Amortized Cost | 6,910 | 110,605 |
Gross Unrealized Gains | 4,586 | 12,234 |
Gross Unrealized Losses | 0 | (127) |
Fair Value | $ 11,496 | $ 122,712 |
Weighted Average Coupon | 4.25% | 4.40% |
Weighted Average Yield | 12.52% | 6.89% |
Non Agency, Credit Risk Transfer | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 13,880 | $ 270,397 |
Premium / (Discount) | 0 | 591 |
Amortized Cost | 13,880 | 270,988 |
Gross Unrealized Gains | 15 | 8,972 |
Gross Unrealized Losses | (587) | (5) |
Fair Value | $ 13,308 | $ 279,955 |
Weighted Average Coupon | 4.71% | 5.17% |
Weighted Average Yield | 4.70% | 5.27% |
Non Agency, Non US RMBS | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 2,435 | $ 44,867 |
Premium / (Discount) | 706 | 9,473 |
Amortized Cost | 3,141 | 54,340 |
Gross Unrealized Gains | 51 | 3,391 |
Gross Unrealized Losses | (92) | 0 |
Fair Value | $ 3,100 | $ 57,731 |
Weighted Average Coupon | 6.45% | 3.21% |
Weighted Average Yield | 6.41% | 3.58% |
Non Agency, RMBS Interest Only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investments included in portfolio | investment | 2 | |
Non Agency, RMBS Interest Only | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 1,690 | $ 209,362 |
Premium / (Discount) | (238) | (207,948) |
Amortized Cost | 1,452 | 1,414 |
Gross Unrealized Gains | 149 | 0 |
Gross Unrealized Losses | 0 | (340) |
Fair Value | $ 1,601 | $ 1,074 |
Weighted Average Coupon | 5.25% | 0.77% |
Weighted Average Yield | 14.05% | 5.96% |
Non Agency, Re/Non-Performing Securities | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 157,590 | $ 5,966 |
Premium / (Discount) | (157,513) | (1,965) |
Amortized Cost | 77 | 4,001 |
Gross Unrealized Gains | 207 | 1,180 |
Gross Unrealized Losses | (48) | 0 |
Fair Value | $ 236 | $ 5,181 |
Weighted Average Coupon | 0.53% | 5.18% |
Weighted Average Yield | 19.20% | |
Non-Agency, Land Related Financing | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 8,628 | |
Premium / (Discount) | (212) | |
Amortized Cost | 8,416 | |
Gross Unrealized Gains | 514 | |
Gross Unrealized Losses | 0 | |
Fair Value | $ 8,930 | |
Weighted Average Coupon | 7.75% | |
Weighted Average Yield | 8.26% | |
Conduit | Commercial Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 4,925 | $ 72,318 |
Premium / (Discount) | (1,024) | (9,181) |
Amortized Cost | 3,901 | 63,137 |
Gross Unrealized Gains | 0 | 811 |
Gross Unrealized Losses | (606) | (602) |
Fair Value | $ 3,295 | $ 63,346 |
Weighted Average Coupon | 4.62% | 4.24% |
Weighted Average Yield | 11.89% | 5.57% |
Single Asset Single Borrower | Commercial Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 50,480 | $ 204,702 |
Premium / (Discount) | (1,494) | (5,606) |
Amortized Cost | 48,986 | 199,096 |
Gross Unrealized Gains | 668 | 879 |
Gross Unrealized Losses | (9,464) | (304) |
Fair Value | $ 40,190 | $ 199,671 |
Weighted Average Coupon | 4.15% | 5.09% |
Weighted Average Yield | 4.81% | 5.57% |
Freddie Mac K-Series CMBS | Commercial Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 22,572 | $ 208,693 |
Premium / (Discount) | (12,062) | (119,809) |
Amortized Cost | 10,510 | 88,884 |
Gross Unrealized Gains | 47 | 17,030 |
Gross Unrealized Losses | (1,557) | 0 |
Fair Value | $ 9,000 | $ 105,914 |
Weighted Average Coupon | 3.83% | 5.70% |
Weighted Average Yield | 9.00% | 11.54% |
CMBS Interest Only | Commercial Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 687,077 | $ 3,427,025 |
Premium / (Discount) | (682,961) | (3,382,273) |
Amortized Cost | 4,116 | 44,752 |
Gross Unrealized Gains | 256 | 3,486 |
Gross Unrealized Losses | (69) | (246) |
Fair Value | $ 4,303 | $ 47,992 |
Weighted Average Coupon | 0.10% | 0.24% |
Weighted Average Yield | 6.93% | 6.68% |
Total Credit Investments | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 972,029 | $ 4,891,354 |
Premium / (Discount) | (871,044) | (3,832,665) |
Amortized Cost | 100,985 | 1,058,689 |
Gross Unrealized Gains | 6,642 | 77,549 |
Gross Unrealized Losses | (12,433) | (1,845) |
Fair Value | $ 95,194 | $ 1,134,393 |
Weighted Average Coupon | 0.65% | 1.31% |
Weighted Average Yield | 7.04% | 6.62% |
Real Estate Securities - Narrat
Real Estate Securities - Narrative (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020USD ($)security | Dec. 31, 2019USD ($)security | |
Debt Securities, Available-for-sale [Line Items] | ||
Other than temporary impairment charge on securities | $ 14,600 | |
Proceeds from sale of real estate securities | $ 2,731,163 | $ 1,240,701 |
Settled Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Number of securities sold | security | 343 | 90 |
Proceeds from sale of real estate securities | $ 2,700,000 | $ 1,200,000 |
Securities, gross realized gains | 54,500 | 34,600 |
Securities, gross realized losses | $ 180,400 | 4,700 |
Fair Values of Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Other than temporary impairment charge on securities | $ 3,400 |
Real Estate Securities - Summ_2
Real Estate Securities - Summary of weighted average life of real estate securities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Agency RMBS | ||
Fair Value | ||
Less than or equal to 1 year | $ 0 | $ 0 |
Greater than one year and less than or equal to five years | 181,947 | 313,855 |
Greater than five years and less than or equal to ten years | 336,405 | 2,001,584 |
Greater than ten years | 0 | 0 |
Total | 518,352 | 2,315,439 |
Amortized Cost | ||
Less than or equal to 1 year | 0 | 0 |
Greater than one year and less than or equal to five years | 181,209 | 302,520 |
Greater than five years and less than or equal to ten years | 335,466 | 1,954,614 |
Greater than ten years | 0 | 0 |
Total | $ 516,675 | $ 2,257,134 |
Weighted Average Coupon | ||
Less than or equal to 1 year | 0.00% | 0.00% |
Greater than one year and less than or equal to five years | 2.29% | 4.01% |
Greater than five years and less than or equal to ten years | 2.00% | 3.71% |
Greater than ten years | 0.00% | 0.00% |
Total | 2.10% | 3.77% |
Non-Agency RMBS | ||
Fair Value | ||
Less than or equal to 1 year | $ 31,166 | $ 82,474 |
Greater than one year and less than or equal to five years | 20,131 | 525,192 |
Greater than five years and less than or equal to ten years | 20,310 | 296,665 |
Greater than ten years | 23,587 | 230,062 |
Total | 95,194 | 1,134,393 |
Amortized Cost | ||
Less than or equal to 1 year | 39,588 | 82,273 |
Greater than one year and less than or equal to five years | 21,634 | 508,038 |
Greater than five years and less than or equal to ten years | 20,808 | 263,300 |
Greater than ten years | 18,955 | 205,078 |
Total | $ 100,985 | $ 1,058,689 |
Weighted Average Coupon | ||
Less than or equal to 1 year | 1.81% | 0.56% |
Greater than one year and less than or equal to five years | 0.33% | 1.29% |
Greater than five years and less than or equal to ten years | 0.36% | 1.06% |
Greater than ten years | 4.18% | 5.46% |
Total | 0.65% | 1.31% |
Real Estate Securities - Summ_3
Real Estate Securities - Summary of Company's consolidated VIE B (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Real estate securities, at fair value: | |||
Other assets | $ 9,407 | $ 21,905 | |
Total Assets | 1,400,045 | 4,347,817 | |
Liabilities | |||
Financing arrangements | 564,047 | 3,233,468 | |
Securitized debt, at fair value | [1] | 355,159 | 224,348 |
Other liabilities | 18,755 | 24,675 | |
Total Liabilities | 990,340 | 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 | [1] | 38,406 | 717,470 |
Non-Agency | Variable Interest Entity, Primary Beneficiary | |||
Real estate securities, at fair value: | |||
Real estate securities | 13,838 | ||
CMBS | |||
Real estate securities, at fair value: | |||
Real estate securities | $ 56,788 | 416,923 | |
CMBS | Variable Interest Entity, Primary Beneficiary | |||
Real estate securities, at fair value: | |||
Real estate securities | $ 94,500 | ||
[1] | See Notes 3 and 4 for details related to variable interest entities. |
Real Estate Securities - Summ_4
Real Estate Securities - Summary of Company's consolidated VIE A (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2019 | Dec. 31, 2020 | |
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 7,492,613 | $ 1,466,336 |
Weighted Average Coupon | 2.20% | 1.18% |
Weighted Average Yield | 4.37% | 2.08% |
Resecuritized Asset | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 15,055 | |
Real estate securities, at fair value: | $ 13,838 | |
Weighted Average Coupon | 4.46% | |
Weighted Average Yield | 10.81% | |
Weighted Average Life (Years) | 4 years 11 months 1 day | |
Resecuritized Asset | Consolidated tranche | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 7,204 | |
Real estate securities, at fair value: | $ 7,230 | |
Weighted Average Coupon | 3.46% | |
Weighted Average Yield | 4.11% | |
Weighted Average Life (Years) | 1 year 11 months 15 days | |
Securitized debt, at fair value | $ 7,200 | |
Resecuritized Asset | Retained tranche | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | 7,851 | |
Real estate securities, at 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) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | Sep. 01, 2020USD ($) | Jan. 31, 2020USD ($) | |
Gain (Loss) on Securities [Line Items] | ||||
Fair market value | $ 435,441 | $ 417,785 | ||
Proceeds from sale of loans | 397,900 | 12,800 | ||
Realized gains | 1,900 | 1,000 | ||
Realized loss on sale of loan | 59,300 | 200 | ||
Residential Portfolio Segment | ||||
Gain (Loss) on Securities [Line Items] | ||||
Loan balances | 500,980 | 464,041 | $ 71,700 | $ 481,700 |
Fair market value | $ 435,441 | $ 417,785 | $ 60,200 | $ 450,300 |
Commercial Portfolio Segment | ||||
Gain (Loss) on Securities [Line Items] | ||||
Number of loans sold | loan | 2 | 0 | ||
Proceeds from sale of loans | $ 36,900 | |||
Realized loss on sale of loan | $ 6,500 | |||
Nonperforming Financial Instruments | ||||
Gain (Loss) on Securities [Line Items] | ||||
Fair market value | $ 74,800 | |||
Unpaid principal balance | 153,200 | |||
Interest income | 1,500 | |||
Loans | ||||
Gain (Loss) on Securities [Line Items] | ||||
Other than temporary impairment losses recognized | $ 200 | |||
Residential Mortgage Loans | ||||
Gain (Loss) on Securities [Line Items] | ||||
Number of loans sold | loan | 2,412 | 79 | ||
Loans Pools | ||||
Gain (Loss) on Securities [Line Items] | ||||
Other than temporary impairment losses recognized | $ 200 | |||
Estimate of Fair Value Measurement | Nonperforming Financial Instruments | ||||
Gain (Loss) on Securities [Line Items] | ||||
Fair market value | $ 144,800 |
Loans - Summary of Company's re
Loans - Summary of Company's residential mortgage loan portfolio (Details) | 12 Months Ended | |||
Dec. 31, 2020USD ($)loan | Dec. 31, 2019USD ($)loan | Sep. 01, 2020USD ($) | Jan. 31, 2020USD ($) | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost | $ 111,549,000 | $ 158,686,000 | ||
Fair Value | 435,441,000 | 417,785,000 | ||
Residential Portfolio Segment | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | 500,980,000 | 464,041,000 | $ 71,700,000 | $ 481,700,000 |
Premium (Discount) | (69,007,000) | (55,219,000) | ||
Amortized Cost | 431,973,000 | 408,822,000 | ||
Gross Unrealized Gains | 13,640,000 | 9,065,000 | ||
Gross Unrealized Losses | (10,172,000) | (102,000) | ||
Fair Value | $ 435,441,000 | $ 417,785,000 | $ 60,200,000 | $ 450,300,000 |
Weighted Average Coupon | 3.58% | 4.09% | ||
Weighted Average Yield | 5.69% | 5.72% | ||
Weighted Average Life (Years) | 6 years 8 months 1 day | 7 years 4 months 9 days | ||
Number of conventional loans with balances | loan | 3,273 | 3,413 | ||
Mortgage loans in process of foreclosure | $ 37,100,000 | $ 35,600,000 | ||
Minimum | Residential Portfolio Segment | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | 5,600 | 3,800 | ||
Maximum | Residential Portfolio Segment | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance | $ 3,400,000 | $ 3,400,000 |
Loans - Summary of Company's _2
Loans - Summary of Company's re-performing and non-performing residential mortgage loans (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Sep. 01, 2020 | Jan. 31, 2020 | Dec. 31, 2019 |
Debt Instrument [Line Items] | ||||
Fair Value | $ 435,441 | $ 417,785 | ||
Residential Portfolio Segment | ||||
Debt Instrument [Line Items] | ||||
Fair Value | 435,441 | $ 60,200 | $ 450,300 | 417,785 |
Unpaid Principal Balance | 500,980 | $ 71,700 | $ 481,700 | 464,041 |
Re-Performing | Residential Portfolio Segment | ||||
Debt Instrument [Line Items] | ||||
Fair Value | 312,733 | 330,234 | ||
Unpaid Principal Balance | 347,359 | 357,678 | ||
Non-Performing | Residential Portfolio Segment | ||||
Debt Instrument [Line Items] | ||||
Fair Value | 113,976 | 87,551 | ||
Unpaid Principal Balance | 134,129 | 106,363 | ||
Other | Residential Portfolio Segment | ||||
Debt Instrument [Line Items] | ||||
Fair Value | 8,732 | 0 | ||
Unpaid Principal Balance | $ 19,492 | $ 0 |
Loans - Summary of concentratio
Loans - Summary of concentrations of credit risk (Details) - Geographic Concentration Risk - Accounts Receivable | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
California | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 17.00% | 19.00% |
Florida | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 11.00% | 11.00% |
New York | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 10.00% | 9.00% |
New Jersey | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 6.00% | 6.00% |
Loans - Summary of changes in t
Loans - Summary of changes in the accretable portion of discounts (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Changes in the accretable portion | ||
Beginning Balance | $ 168,877 | $ 79,610 |
Additions | 160,132 | 108,275 |
Accretion | (27,683) | (16,169) |
Reclassifications from/(to) non-accretable difference | (10,295) | 2,411 |
Disposals | (120,740) | (5,250) |
Ending Balance | $ 170,291 | $ 168,877 |
Loans - Summary of assets and l
Loans - Summary of assets and liabilities related to August 2019 and September 2020 VIE (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Residential mortgage loans, at fair value | [1] | $ 435,441 | $ 417,785 |
Other assets | 9,407 | 21,905 | |
Total Assets | 1,400,045 | 4,347,817 | |
Financing arrangements | 564,047 | 3,233,468 | |
Securitized debt, at fair value | [1] | 355,159 | 224,348 |
Other liabilities | 18,755 | 24,675 | |
Total Liabilities | 990,340 | 3,498,771 | |
Variable Interest Entity, Primary Beneficiary | |||
Accounts, Notes, Loans and Financing Receivable [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 | ||
August 2019 And September 2020 VIE | Variable Interest Entity, Primary Beneficiary | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Residential mortgage loans, at fair value | 426,604 | 255,171 | |
Restricted cash | 2,110 | 0 | |
Other assets | 3,705 | 898 | |
Total Assets | 432,419 | 256,069 | |
Financing arrangements | 25,590 | 24,584 | |
Securitized debt, at fair value | 355,159 | 217,118 | |
Other liabilities | 519 | 596 | |
Total Liabilities | $ 381,268 | $ 242,298 | |
[1] | See Notes 3 and 4 for details related to variable interest entities. |
Loans - Summary of certain info
Loans - Summary of certain information related to August 2019 and September 2020 VIE (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Sep. 01, 2020 | Jan. 31, 2020 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Fair market value | $ 435,441 | $ 417,785 | ||
Debt instrument fair value | $ 355,159 | $ 224,348 | ||
Variable Interest Entity, Primary Beneficiary | Variable Interest Entity August 2019 | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Weighted average coupon rate | 2.97% | 2.92% | ||
Weighted average yield | 3.01% | 2.86% | ||
Weighted average useful life | 5 years 2 months 12 days | 5 years | ||
Variable Interest Entity, Primary Beneficiary | Variable Interest Entity September 2020 | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Weighted average coupon rate | 2.98% | |||
Weighted average yield | 2.98% | |||
Weighted average useful life | 2 years 2 months 1 day | |||
Residential Portfolio Segment | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Fair market value | $ 435,441 | $ 417,785 | $ 60,200 | $ 450,300 |
Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | Variable Interest Entity August 2019 | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Weighted average coupon rate | 3.79% | 3.96% | ||
Weighted average yield | 5.44% | 5.11% | ||
Weighted average useful life | 6 years 10 months 9 days | 7 years 7 months 28 days | ||
Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | Variable Interest Entity September 2020 | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Weighted average coupon rate | 3.37% | |||
Weighted average yield | 5.80% | |||
Weighted average useful life | 6 years 8 months 12 days | |||
Current Unpaid Principal Balance | Variable Interest Entity, Primary Beneficiary | Variable Interest Entity August 2019 | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Debt instrument fair value | $ 197,955 | $ 217,455 | ||
Current Unpaid Principal Balance | Variable Interest Entity, Primary Beneficiary | Variable Interest Entity September 2020 | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Debt instrument fair value | 158,676 | |||
Current Unpaid Principal Balance | Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | Variable Interest Entity August 2019 | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Fair market value | 238,487 | 263,956 | ||
Current Unpaid Principal Balance | Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | Variable Interest Entity September 2020 | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Fair market value | 242,859 | |||
Fair Value | Variable Interest Entity, Primary Beneficiary | Variable Interest Entity August 2019 | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Debt instrument fair value | 196,338 | 217,118 | ||
Fair Value | Variable Interest Entity, Primary Beneficiary | Variable Interest Entity September 2020 | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Debt instrument fair value | 158,821 | |||
Fair Value | Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | Variable Interest Entity August 2019 | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Fair market value | 222,282 | $ 255,171 | ||
Fair Value | Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | Variable Interest Entity September 2020 | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Fair market value | $ 204,322 |
Loans - Summary of Company's co
Loans - Summary of Company's commercial loan portfolio (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Commercial Loans, at fair value | ||
Amortized Cost | $ 111,549 | $ 158,686 |
Commercial Loans Held for Sale, at fair value | ||
Fair Value (3) | 13,959 | 0 |
Commercial Loans | Commercial Portfolio Segment | ||
Commercial Loans, at fair value | ||
Current Face | 126,238 | 158,686 |
Premium (Discount) | (337) | (686) |
Amortized Cost | 125,901 | 158,000 |
Gross Unrealized Losses | (14,352) | |
Gross Unrealized Gains | 686 | |
Fair Value (3) | $ 111,549 | $ 158,686 |
Weighted Average Coupon | 3.73% | 6.82% |
Weighted Average Yield | 4.05% | 7.17% |
Weighted Average Life (in years) | 2 years 4 months 2 days | 1 year 11 months 1 day |
Commercial Loans Held for Sale, at fair value | ||
Current Face | $ 142,167 | |
Premium (Discount) | (512) | |
Amortized Cost | 141,655 | |
Gross Unrealized Losses | (16,147) | |
Fair Value (3) | $ 125,508 | |
Weighted Average Coupon Rate | 4.60% | |
Weighted Average Yield | 4.96% | |
Weighted Average Life | 2 years 3 months 29 days | |
Loan G | Commercial Portfolio Segment | ||
Commercial Loans, at fair value | ||
Current Face | $ 59,451 | $ 45,856 |
Premium (Discount) | 0 | 0 |
Amortized Cost | 59,451 | 45,856 |
Gross Unrealized Losses | (3,940) | |
Gross Unrealized Gains | 0 | |
Fair Value (3) | $ 55,511 | $ 45,856 |
Weighted Average Coupon | 5.27% | 6.46% |
Weighted Average Yield | 5.27% | 6.46% |
Weighted Average Life (in years) | 1 year 6 months 14 days | 6 months 10 days |
Loan K | Commercial Portfolio Segment | ||
Commercial Loans, at fair value | ||
Current Face | $ 15,787 | $ 9,164 |
Premium (Discount) | 0 | 0 |
Amortized Cost | 15,787 | 9,164 |
Gross Unrealized Losses | (1,100) | |
Gross Unrealized Gains | 0 | |
Fair Value (3) | $ 14,687 | $ 9,164 |
Weighted Average Coupon | 10.00% | 10.71% |
Weighted Average Yield | 10.83% | 11.86% |
Weighted Average Life (in years) | 1 year 3 months 7 days | 1 year 8 months 19 days |
Loan L | Commercial Portfolio Segment | ||
Commercial Loans, at fair value | ||
Current Face | $ 51,000 | $ 51,000 |
Premium (Discount) | (337) | (502) |
Amortized Cost | 50,663 | 50,498 |
Gross Unrealized Losses | (9,312) | |
Gross Unrealized Gains | 502 | |
Fair Value (3) | $ 41,351 | $ 51,000 |
Weighted Average Coupon | 6.16% | |
Weighted Average Yield | 6.50% | |
Weighted Average Life (in years) | 3 years 7 months 9 days | 4 years 7 months 17 days |
Loan I | Commercial Portfolio Segment | ||
Commercial Loans, at fair value | ||
Current Face | $ 11,992 | |
Premium (Discount) | (184) | |
Amortized Cost | 11,808 | |
Gross Unrealized Gains | 184 | |
Fair Value (3) | $ 11,992 | |
Weighted Average Coupon | 12.21% | |
Weighted Average Yield | 14.51% | |
Weighted Average Life (in years) | 1 year 14 days | |
Commercial Loans Held for Sale, at fair value | ||
Commercial loans held for sale, at fair value | $ 15,929 | |
Premium (Discount) | (175) | |
Amortized Cost | 15,754 | |
Gross Unrealized Losses | (1,795) | |
Fair Value (3) | $ 13,959 | |
Weighted Average Coupon Rate | 11.50% | |
Weighted Average Yield | 12.23% | |
Weighted Average Useful Life | 2 years 2 months 19 days | |
Increase in capital commitment | $ 6,000 | |
Loan H | Commercial Portfolio Segment | ||
Commercial Loans, at fair value | ||
Current Face | $ 36,000 | |
Premium (Discount) | 0 | |
Amortized Cost | 36,000 | |
Gross Unrealized Gains | 0 | |
Fair Value (3) | $ 36,000 | |
Weighted Average Coupon | 5.49% | |
Weighted Average Yield | 5.49% | |
Weighted Average Life (in years) | 2 months 8 days | |
Loan J | Commercial Portfolio Segment | ||
Commercial Loans, at fair value | ||
Current Face | $ 4,674 | |
Premium (Discount) | 0 | |
Amortized Cost | 4,674 | |
Gross Unrealized Gains | 0 | |
Fair Value (3) | $ 4,674 | |
Weighted Average Coupon | 6.36% | |
Weighted Average Yield | 6.36% | |
Weighted Average Life (in years) | 2 years 1 month 13 days |
Fair value measurements - Summa
Fair value measurements - Summary of financial instruments measured at fair value (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Assets: | ||
Residential mortgage loans | $ 435,441 | $ 417,785 |
Commercial loans | 125,508 | 158,686 |
Excess mortgage servicing rights | 3,158 | 17,775 |
Cash equivalents | 53,243 | |
Derivative assets, at fair value | 0 | 2,282 |
AG Arc | 45,341 | 28,546 |
Total Assets Measured at Fair Value | 1,222,994 | 4,128,149 |
Liabilities: | ||
Securitized debt | (355,159) | (224,348) |
Derivative liabilities | (68) | (411) |
Total Liabilities Measured at Fair Value | (355,227) | (224,759) |
Agency RMBS: 30 Year Fixed Rate | ||
Assets: | ||
Debt securities, available for sale | 518,352 | 2,241,298 |
Agency RMBS: Interest Only | ||
Assets: | ||
Debt securities, available for sale | 74,141 | |
Non-Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 38,170 | 716,396 |
Non Agency, RMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 236 | 1,074 |
CMBS | ||
Assets: | ||
Debt securities, available for sale | 52,485 | 368,931 |
CMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 4,303 | 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, at fair value | 0 | |
AG Arc | 0 | 0 |
Total Assets Measured at Fair Value | 0 | 53,243 |
Liabilities: | ||
Securitized debt | 0 | 0 |
Derivative liabilities | 0 | (122) |
Total Liabilities Measured at Fair Value | 0 | (122) |
Level 1 | Agency RMBS: 30 Year Fixed Rate | ||
Assets: | ||
Debt securities, available for sale | 0 | 0 |
Level 1 | Agency RMBS: Interest Only | ||
Assets: | ||
Debt securities, available for sale | 0 | |
Level 1 | Non-Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 0 | 0 |
Level 1 | Non Agency, RMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 0 | 0 |
Level 1 | CMBS | ||
Assets: | ||
Debt securities, available for sale | 0 | 0 |
Level 1 | CMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 0 | 0 |
Level 2 | ||
Assets: | ||
Residential mortgage loans | 2,134 | 0 |
Commercial loans | 0 | 0 |
Excess mortgage servicing rights | 0 | 0 |
Cash equivalents | 0 | |
Derivative assets, at fair value | 2,282 | |
AG Arc | 0 | 0 |
Total Assets Measured at Fair Value | 612,580 | 2,406,367 |
Liabilities: | ||
Securitized debt | 0 | (151,933) |
Derivative liabilities | (68) | (289) |
Total Liabilities Measured at Fair Value | (68) | (152,222) |
Level 2 | Agency RMBS: 30 Year Fixed Rate | ||
Assets: | ||
Debt securities, available for sale | 518,352 | 2,241,298 |
Level 2 | Agency RMBS: Interest Only | ||
Assets: | ||
Debt securities, available for sale | 74,141 | |
Level 2 | Non-Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 35,070 | 86,281 |
Level 2 | Non Agency, RMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 236 | 0 |
Level 2 | CMBS | ||
Assets: | ||
Debt securities, available for sale | 52,485 | 2,365 |
Level 2 | CMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 4,303 | 0 |
Level 3 | ||
Assets: | ||
Residential mortgage loans | 433,307 | 417,785 |
Commercial loans | 125,508 | 158,686 |
Excess mortgage servicing rights | 3,158 | 17,775 |
Cash equivalents | 0 | |
Derivative assets, at fair value | 0 | |
AG Arc | 45,341 | 28,546 |
Total Assets Measured at Fair Value | 610,414 | 1,668,539 |
Liabilities: | ||
Securitized debt | (355,159) | (72,415) |
Derivative liabilities | 0 | 0 |
Total Liabilities Measured at Fair Value | (355,159) | (72,415) |
Level 3 | Agency RMBS: 30 Year Fixed Rate | ||
Assets: | ||
Debt securities, available for sale | 0 | 0 |
Level 3 | Agency RMBS: Interest Only | ||
Assets: | ||
Debt securities, available for sale | 0 | |
Level 3 | Non-Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 3,100 | 630,115 |
Level 3 | Non Agency, RMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 0 | 1,074 |
Level 3 | CMBS | ||
Assets: | ||
Debt securities, available for sale | 0 | 366,566 |
Level 3 | CMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | $ 0 | $ 47,992 |
Fair value measurements - Sum_2
Fair value measurements - Summary of assets and liabilities measured on a recurring basis (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020USD ($)security | Dec. 31, 2019USD ($)security | |
Total net gains/(losses) | ||
Included in net income | $ (159,135) | $ 25,493 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (3,537) | 14,686 |
Level 3 | Non-Agency RMBS | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 630,115 | 491,554 |
Transfers: | ||
Transfers into level 3 | 0 | 87,070 |
Transfers out of level 3 | (210,709) | (57,140) |
Purchases/Reclassifications | 1,559 | 261,847 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | |
Capital contributions | 0 | |
Proceeds from sales/redemptions | (362,199) | (115,616) |
Proceeds from settlement | (12,636) | (59,274) |
Total net gains/(losses) | ||
Included in net income | (43,030) | 21,674 |
Ending Balance | 3,100 | 630,115 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (106) | $ 11,984 |
Number of securities transferred | security | 14 | |
Level 3 | Non Agency, RMBS Interest Only | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 1,074 | $ 3,099 |
Transfers: | ||
Transfers into level 3 | 0 | 0 |
Transfers out of level 3 | (1,074) | 0 |
Purchases/Reclassifications | 0 | 0 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | |
Capital contributions | 0 | |
Proceeds from sales/redemptions | 0 | 0 |
Proceeds from settlement | 0 | 0 |
Total net gains/(losses) | ||
Included in net income | 0 | (2,025) |
Ending Balance | 0 | 1,074 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | (529) |
Level 3 | ABS | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 0 | 21,160 |
Transfers: | ||
Transfers into level 3 | 0 | |
Transfers out of level 3 | 0 | |
Purchases/Reclassifications | 1,632 | |
Issuances of Securitized Debt | 0 | |
Capital contributions | 0 | |
Proceeds from sales/redemptions | (14,183) | |
Proceeds from settlement | (9,446) | |
Total net gains/(losses) | ||
Included in net income | 837 | |
Ending Balance | 0 | |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | |
Level 3 | CMBS | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 366,566 | 211,054 |
Transfers: | ||
Transfers into level 3 | 0 | 0 |
Transfers out of level 3 | (170,816) | (5,280) |
Purchases/Reclassifications | 3,540 | 208,871 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | |
Capital contributions | 0 | |
Proceeds from sales/redemptions | (148,111) | (25,792) |
Proceeds from settlement | (9,367) | (38,162) |
Total net gains/(losses) | ||
Included in net income | (41,812) | 15,875 |
Ending Balance | 0 | 366,566 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 12,430 |
Level 3 | CMBS Interest Only | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 47,992 | 50,331 |
Transfers: | ||
Transfers into level 3 | 0 | 0 |
Transfers out of level 3 | (22,055) | 0 |
Purchases/Reclassifications | 0 | 5,123 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | |
Capital contributions | 0 | |
Proceeds from sales/redemptions | (21,995) | (2,632) |
Proceeds from settlement | 0 | 0 |
Total net gains/(losses) | ||
Included in net income | (3,942) | (4,830) |
Ending Balance | 0 | 47,992 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | (4,704) |
Level 3 | Residential Mortgage Loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 417,785 | 186,096 |
Transfers: | ||
Transfers into level 3 | 0 | 0 |
Transfers out of level 3 | 0 | 0 |
Purchases/Reclassifications | 536,710 | 263,110 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | |
Capital contributions | 0 | |
Proceeds from sales/redemptions | (393,876) | (12,780) |
Proceeds from settlement | (63,882) | (30,422) |
Total net gains/(losses) | ||
Included in net income | (63,430) | 11,781 |
Ending Balance | 433,307 | 417,785 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (6,593) | 10,689 |
Level 3 | Commercial Loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 158,686 | 98,574 |
Transfers: | ||
Transfers into level 3 | 0 | 0 |
Transfers out of level 3 | 0 | 0 |
Purchases/Reclassifications | 33,254 | 102,619 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | |
Capital contributions | 0 | |
Proceeds from sales/redemptions | (36,924) | 0 |
Proceeds from settlement | (6,369) | (43,217) |
Total net gains/(losses) | ||
Included in net income | (23,139) | 710 |
Ending Balance | 125,508 | 158,686 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (16,669) | 710 |
Level 3 | Excess Mortgage Servicing Rights | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 17,775 | 26,650 |
Transfers: | ||
Transfers into level 3 | 0 | 0 |
Transfers out of level 3 | 0 | 0 |
Purchases/Reclassifications | 20 | 0 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | |
Capital contributions | 0 | |
Proceeds from sales/redemptions | (8,460) | 0 |
Proceeds from settlement | 0 | 0 |
Total net gains/(losses) | ||
Included in net income | (6,177) | (8,875) |
Ending Balance | 3,158 | 17,775 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (2,564) | (6,240) |
Level 3 | AG Arc | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 28,546 | 20,360 |
Transfers: | ||
Transfers into level 3 | 0 | 0 |
Transfers out of level 3 | 0 | 0 |
Purchases/Reclassifications | 0 | 0 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | (6,466) | |
Capital contributions | 17,836 | |
Proceeds from sales/redemptions | 0 | 0 |
Proceeds from settlement | 0 | 0 |
Total net gains/(losses) | ||
Included in net income | 23,261 | (9,650) |
Ending Balance | 45,341 | 28,546 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 23,261 | (9,650) |
Level 3 | Securitized Debt | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | (72,415) | (10,858) |
Transfers: | ||
Transfers into level 3 | (151,933) | 0 |
Transfers out of level 3 | 7,230 | 0 |
Purchases/Reclassifications | 0 | 0 |
Issuances of Securitized Debt | (166,487) | (65,171) |
Capital distributions | 0 | |
Capital contributions | 0 | |
Proceeds from sales/redemptions | 0 | 0 |
Proceeds from settlement | 29,312 | 3,618 |
Total net gains/(losses) | ||
Included in net income | (866) | (4) |
Ending Balance | (355,159) | (72,415) |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ (866) | $ (4) |
Number of securities transferred | security | 1 | |
Level 2 | Non-Agency RMBS | ||
Total net gains/(losses) | ||
Number of securities transferred | security | 50 | 6 |
Level 2 | Non Agency, RMBS Interest Only | ||
Total net gains/(losses) | ||
Number of securities transferred | security | 2 | |
Level 2 | CMBS | ||
Total net gains/(losses) | ||
Number of securities transferred | security | 32 | 2 |
Level 2 | CMBS Interest Only | ||
Total net gains/(losses) | ||
Number of securities transferred | security | 15 | |
Level 2 | Securitized Debt | ||
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 | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Condensed Income Statements, Captions [Line Items] | ||
Gains/(losses) recorded in the consolidated statement of operations | $ (159,135) | $ 25,493 |
Unrealized gains/(losses) recorded in the consolidated statement of operations | (3,537) | 14,686 |
Debt Securities, Unrealized Gain (Loss) | ||
Condensed Income Statements, Captions [Line Items] | ||
Gains/(losses) recorded in the consolidated statement of operations | (59,812) | 33,256 |
Unrealized gains/(losses) recorded in the consolidated statement of operations | (23,368) | 30,580 |
Gain (Loss) on Derivative Instruments | ||
Condensed Income Statements, Captions [Line Items] | ||
Gains/(losses) recorded in the consolidated statement of operations | (3,254) | (8,879) |
Unrealized gains/(losses) recorded in the consolidated statement of operations | (3,430) | (6,244) |
Debt Securities, Realized Gain (Loss) | ||
Condensed Income Statements, Captions [Line Items] | ||
Gains/(losses) recorded in the consolidated statement of operations | (119,330) | 10,766 |
Interest Income | ||
Condensed Income Statements, Captions [Line Items] | ||
Gains/(losses) recorded in the consolidated statement of operations | 23,261 | (9,650) |
Unrealized gains/(losses) recorded in the consolidated statement of operations | $ 23,261 | $ (9,650) |
Fair value measurements - Sum_4
Fair value measurements - Summary of valuation techniques (Details) $ in Thousands | Dec. 31, 2020USD ($)$ / shares | Dec. 31, 2019USD ($)$ / shares |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | $ 613,546 | $ 3,449,832 |
Level 3 | Non-Agency RMBS | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | 1,601 | 625,537 |
Level 3 | Non-Agency RMBS | Valuation Technique, Consensus Pricing Model | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | 1,499 | 4,578 |
Level 3 | Non Agency, RMBS Interest Only | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, fair value | 1,074 | |
Level 3 | CMBS | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | 366,566 | |
Level 3 | CMBS Interest Only | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, fair value | 47,992 | |
Level 3 | Residential Mortgage Loans | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | 426,709 | 364,107 |
Level 3 | Residential Mortgage Loans | Valuation Technique, Consensus Pricing Model | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | 6,598 | |
Level 3 | Residential Mortgage Loans | Recent Transaction Price | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | 53,678 | |
Level 3 | Commercial Loans | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | 125,508 | 60,164 |
Level 3 | Commercial Loans | Valuation Technique, Consensus Pricing Model | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | 98,522 | |
Level 3 | Excess Mortgage Servicing Rights | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, fair value | 3,073 | 17,633 |
Level 3 | Excess Mortgage Servicing Rights | Valuation Technique, Consensus Pricing Model | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, fair value | 85 | 142 |
Level 3 | AG Arc | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | 45,341 | 28,546 |
Level 3 | Securitized debt | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, fair value | $ (355,159) | $ (72,415) |
Level 3 | Measurement Input, Discount Rate | Non-Agency RMBS | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0805 | 0.0171 |
Level 3 | Measurement Input, Discount Rate | Non-Agency RMBS | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0805 | 1 |
Level 3 | Measurement Input, Discount Rate | Non-Agency RMBS | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0805 | 0.0599 |
Level 3 | Measurement Input, Discount Rate | Non Agency, RMBS Interest Only | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.2750 | |
Level 3 | Measurement Input, Discount Rate | Non Agency, RMBS Interest Only | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.2750 | |
Level 3 | Measurement Input, Discount Rate | Non Agency, RMBS Interest Only | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.2750 | |
Level 3 | Measurement Input, Discount Rate | CMBS | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Measurement Input, Discount Rate | CMBS | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1389 | |
Level 3 | Measurement Input, Discount Rate | CMBS | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0633 | |
Level 3 | Measurement Input, Discount Rate | CMBS Interest Only | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | (0.0257) | |
Level 3 | Measurement Input, Discount Rate | CMBS Interest Only | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0986 | |
Level 3 | Measurement Input, Discount Rate | CMBS Interest Only | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0419 | |
Level 3 | Measurement Input, Discount Rate | Residential Mortgage Loans | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0450 | 0.0400 |
Level 3 | Measurement Input, Discount Rate | Residential Mortgage Loans | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1000 | 0.0825 |
Level 3 | Measurement Input, Discount Rate | Residential Mortgage Loans | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0501 | 0.0481 |
Level 3 | Measurement Input, Discount Rate | Commercial Loans | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1095 | 0.0616 |
Level 3 | Measurement Input, Discount Rate | Commercial Loans | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.3954 | 0.1076 |
Level 3 | Measurement Input, Discount Rate | Commercial Loans | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1409 | 0.0686 |
Level 3 | Measurement Input, Discount Rate | Excess Mortgage Servicing Rights | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.0900 | 0.0850 |
Level 3 | Measurement Input, Discount Rate | Excess Mortgage Servicing Rights | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.0970 | 0.1160 |
Level 3 | Measurement Input, Discount Rate | Excess Mortgage Servicing Rights | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.0908 | 0.0920 |
Level 3 | Measurement Input, Discount Rate | Securitized debt | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0245 | 0.0298 |
Level 3 | Measurement Input, Discount Rate | Securitized debt | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0550 | 0.0470 |
Level 3 | Measurement Input, Discount Rate | Securitized debt | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0298 | 0.0354 |
Level 3 | Measurement Input, Prepayment Rate | Non-Agency RMBS | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0546 | 0 |
Level 3 | Measurement Input, Prepayment Rate | Non-Agency RMBS | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0546 | 1 |
Level 3 | Measurement Input, Prepayment Rate | Non-Agency RMBS | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0546 | 0.1460 |
Level 3 | Measurement Input, Prepayment Rate | Non Agency, RMBS Interest Only | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1800 | |
Level 3 | Measurement Input, Prepayment Rate | Non Agency, RMBS Interest Only | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1800 | |
Level 3 | Measurement Input, Prepayment Rate | Non Agency, RMBS Interest Only | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1800 | |
Level 3 | Measurement Input, Prepayment Rate | CMBS | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Measurement Input, Prepayment Rate | CMBS | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Measurement Input, Prepayment Rate | CMBS | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Measurement Input, Prepayment Rate | CMBS Interest Only | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.9900 | |
Level 3 | Measurement Input, Prepayment Rate | CMBS Interest Only | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 1 | |
Level 3 | Measurement Input, Prepayment Rate | CMBS Interest Only | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.9993 | |
Level 3 | Measurement Input, Prepayment Rate | Residential Mortgage Loans | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0430 | 0.0481 |
Level 3 | Measurement Input, Prepayment Rate | Residential Mortgage Loans | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0931 | 0.0904 |
Level 3 | Measurement Input, Prepayment Rate | Residential Mortgage Loans | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0728 | 0.0778 |
Level 3 | Measurement Input, Prepayment Rate | Excess Mortgage Servicing Rights | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.1111 | 0.0935 |
Level 3 | Measurement Input, Prepayment Rate | Excess Mortgage Servicing Rights | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.1551 | 0.1690 |
Level 3 | Measurement Input, Prepayment Rate | Excess Mortgage Servicing Rights | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.1249 | 0.1236 |
Level 3 | Measurement Input, Prepayment Rate | Securitized debt | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0590 | 0.1000 |
Level 3 | Measurement Input, Prepayment Rate | Securitized debt | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0820 | 0.1004 |
Level 3 | Measurement Input, Prepayment Rate | Securitized debt | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0717 | 0.1004 |
Level 3 | Measurement Input, Collateral Losses | Non-Agency RMBS | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0537 | 0 |
Level 3 | Measurement Input, Collateral Losses | Non-Agency RMBS | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0537 | 1 |
Level 3 | Measurement Input, Collateral Losses | Non-Agency RMBS | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0537 | 0.0293 |
Level 3 | Measurement Input, Collateral Losses | Non Agency, RMBS Interest Only | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0200 | |
Level 3 | Measurement Input, Collateral Losses | Non Agency, RMBS Interest Only | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0200 | |
Level 3 | Measurement Input, Collateral Losses | Non Agency, RMBS Interest Only | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0200 | |
Level 3 | Measurement Input, Collateral Losses | CMBS | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Measurement Input, Collateral Losses | CMBS | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Measurement Input, Collateral Losses | CMBS | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Measurement Input, Collateral Losses | CMBS Interest Only | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0 | |
Level 3 | Measurement Input, Collateral Losses | CMBS Interest Only | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0 | |
Level 3 | Measurement Input, Collateral Losses | CMBS Interest Only | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0 | |
Level 3 | Measurement Input, Collateral Losses | Residential Mortgage Loans | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0166 | 0.0164 |
Level 3 | Measurement Input, Collateral Losses | Residential Mortgage Loans | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0575 | 0.0494 |
Level 3 | Measurement Input, Collateral Losses | Residential Mortgage Loans | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0258 | 0.0236 |
Level 3 | Measurement Input, Collateral Losses | Securitized debt | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0194 | 0.0204 |
Level 3 | Measurement Input, Collateral Losses | Securitized debt | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0346 | 0.0350 |
Level 3 | Measurement Input, Collateral Losses | Securitized debt | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0262 | 0.0219 |
Level 3 | Measurement Input, Loss Severity | Non-Agency RMBS | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | (0.2089) | 0 |
Level 3 | Measurement Input, Loss Severity | Non-Agency RMBS | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | (0.2089) | 1 |
Level 3 | Measurement Input, Loss Severity | Non-Agency RMBS | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | (0.2089) | 0.2137 |
Level 3 | Measurement Input, Loss Severity | Non Agency, RMBS Interest Only | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.3500 | |
Level 3 | Measurement Input, Loss Severity | Non Agency, RMBS Interest Only | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.3500 | |
Level 3 | Measurement Input, Loss Severity | Non Agency, RMBS Interest Only | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.3500 | |
Level 3 | Measurement Input, Loss Severity | CMBS | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Measurement Input, Loss Severity | CMBS | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Measurement Input, Loss Severity | CMBS | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0 | |
Level 3 | Measurement Input, Loss Severity | CMBS Interest Only | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0 | |
Level 3 | Measurement Input, Loss Severity | CMBS Interest Only | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0 | |
Level 3 | Measurement Input, Loss Severity | CMBS Interest Only | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0 | |
Level 3 | Measurement Input, Loss Severity | Residential Mortgage Loans | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | (0.0929) | (0.0732) |
Level 3 | Measurement Input, Loss Severity | Residential Mortgage Loans | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.4943 | 0.3691 |
Level 3 | Measurement Input, Loss Severity | Residential Mortgage Loans | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1568 | 0.2315 |
Level 3 | Measurement Input, Loss Severity | Securitized debt | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1270 | 0.2013 |
Level 3 | Measurement Input, Loss Severity | Securitized debt | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.2003 | 0.4500 |
Level 3 | Measurement Input, Loss Severity | Securitized debt | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1675 | 0.2261 |
Level 3 | Measurement Input, Offered Price | Non-Agency RMBS | Minimum | Valuation Technique, Consensus Pricing Model | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 91.59 | 100 |
Level 3 | Measurement Input, Offered Price | Non-Agency RMBS | Maximum | Valuation Technique, Consensus Pricing Model | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 91.59 | 100 |
Level 3 | Measurement Input, Offered Price | Non-Agency RMBS | Weighted Average | Valuation Technique, Consensus Pricing Model | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 91.59 | 100 |
Level 3 | Measurement Input, Offered Price | Residential Mortgage Loans | Minimum | Valuation Technique, Consensus Pricing Model | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 82.03 | |
Level 3 | Measurement Input, Offered Price | Residential Mortgage Loans | Maximum | Valuation Technique, Consensus Pricing Model | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 106.29 | |
Level 3 | Measurement Input, Offered Price | Residential Mortgage Loans | Weighted Average | Valuation Technique, Consensus Pricing Model | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 99.96 | |
Level 3 | Measurement Input, Offered Price | Commercial Loans | Minimum | Valuation Technique, Consensus Pricing Model | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 100 | |
Level 3 | Measurement Input, Offered Price | Commercial Loans | Maximum | Valuation Technique, Consensus Pricing Model | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 100 | |
Level 3 | Measurement Input, Offered Price | Commercial Loans | Weighted Average | Valuation Technique, Consensus Pricing Model | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 100 | |
Level 3 | Measurement Input, Offered Price | Excess Mortgage Servicing Rights | Minimum | Valuation Technique, Consensus Pricing Model | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | $ / shares | 0.25 | 0.01 |
Level 3 | Measurement Input, Offered Price | Excess Mortgage Servicing Rights | Maximum | Valuation Technique, Consensus Pricing Model | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | $ / shares | 0.25 | 0.40 |
Level 3 | Measurement Input, Offered Price | Excess Mortgage Servicing Rights | Weighted Average | Valuation Technique, Consensus Pricing Model | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | $ / shares | 0.25 | 0.40 |
Level 3 | Measurement Input, Credit Spread | Commercial Loans | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1001 | 0.0440 |
Level 3 | Measurement Input, Credit Spread | Commercial Loans | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.3304 | 0.0900 |
Level 3 | Measurement Input, Credit Spread | Commercial Loans | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1279 | 0.0510 |
Level 3 | Measurement Input, Recovery Rate | Commercial Loans | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | 1 |
Level 3 | Measurement Input, Recovery Rate | Commercial Loans | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | 1 |
Level 3 | Measurement Input, Recovery Rate | Commercial Loans | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | 1 |
Level 3 | Measurement Input, Loan-To-Value | Commercial Loans | Minimum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.4360 | |
Level 3 | Measurement Input, Loan-To-Value | Commercial Loans | Maximum | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.9750 | |
Level 3 | Measurement Input, Loan-To-Value | Commercial Loans | Weighted Average | Valuation Technique, Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.6204 | |
Level 3 | Measurement Input, Book Value Multiple | AG Arc | Minimum | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1.05 | 1 |
Level 3 | Measurement Input, Book Value Multiple | AG Arc | Maximum | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1.05 | 1 |
Level 3 | Measurement Input, Book Value Multiple | AG Arc | Weighted Average | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1.05 | 1 |
Financing arrangements - Summar
Financing arrangements - Summary of financing arrangements (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Repurchase Agreements | ||
Carrying Value | $ 500,914,000 | $ 3,121,966,000 |
Weighted Average Funding Cost | 0.51% | |
Weighted Average Life | 18 days | |
Collateral, Amortized Cost Basis | $ 580,174,000 | |
Collateral, Fair Value | 578,842,000 | |
Revolving Facilities | ||
Financing arrangements | $ 564,047,000 | 3,233,468,000 |
Weighted Average Funding Cost | 0.76% | |
Weighted Average Life | 3 months 29 days | |
Collateral, Amortized Cost Basis | $ 690,288,000 | |
Collateral, Fair Value | 675,704,000 | |
Cash pledged (i.e., restricted cash) under repurchase agreements | 1,400,000 | |
Agency RMBS | ||
Repurchase Agreements | ||
Carrying Value | $ 435,893,000 | 2,109,278,000 |
Weighted Average Funding Cost | 0.21% | |
Weighted Average Life | 14 days | |
Collateral, Amortized Cost Basis | $ 459,684,000 | |
Collateral, Fair Value | 460,949,000 | |
Non-Agency RMBS | ||
Repurchase Agreements | ||
Carrying Value | $ 14,550,000 | 565,450,000 |
Weighted Average Funding Cost | 2.34% | |
Weighted Average Life | 29 days | |
Collateral, Amortized Cost Basis | $ 24,009,000 | |
Collateral, Fair Value | 28,653,000 | |
CMBS | ||
Repurchase Agreements | ||
Carrying Value | $ 24,881,000 | 312,627,000 |
Weighted Average Funding Cost | 2.66% | |
Weighted Average Life | 14 days | |
Collateral, Amortized Cost Basis | $ 51,961,000 | |
Collateral, Fair Value | 42,669,000 | |
Residential Mortgage Loans | ||
Repurchase Agreements | ||
Carrying Value | $ 25,590,000 | 131,594,000 |
Weighted Average Funding Cost | 2.38% | |
Weighted Average Life | 2 months 15 days | |
Collateral, Amortized Cost Basis | $ 44,520,000 | |
Collateral, Fair Value | 46,571,000 | |
Commercial Loans | ||
Repurchase Agreements | ||
Carrying Value | $ 0 | 3,017,000 |
Weighted Average Funding Cost | 0.00% | |
Weighted Average Life | 0 years | |
Collateral, Amortized Cost Basis | $ 0 | |
Collateral, Fair Value | 0 | |
Revolving Credit Facility | ||
Revolving Facilities | ||
Long-term Debt | $ 63,133,000 | 111,502,000 |
Weighted Average Funding Cost | 2.79% | |
Weighted Average Life | 2 years 7 months 6 days | |
Collateral, Amortized Cost Basis | $ 110,114,000 | |
Collateral, Fair Value | 96,862,000 | |
Revolving Credit Facility | Commercial Loans | ||
Revolving Facilities | ||
Long-term Debt | $ 63,133,000 | 89,956,000 |
Weighted Average Funding Cost | 2.79% | |
Weighted Average Life | 2 years 7 months 6 days | |
Collateral, Amortized Cost Basis | $ 110,114,000 | |
Collateral, Fair Value | $ 96,862,000 | |
Debt interest rate | 2.30% | |
Line of credit facility, maximum borrowing capacity | $ 100,000,000 | |
Revolving Credit Facility | Residential Mortgage Loans | ||
Revolving Facilities | ||
Long-term Debt | $ 0 | $ 21,546,000 |
Weighted Average Funding Cost | 0.00% | |
Weighted Average Life | 0 years | |
Collateral, Amortized Cost Basis | $ 0 | |
Collateral, Fair Value | 0 | |
Revolving Credit Facility | Commercial Loans | ||
Revolving Facilities | ||
Long-term Debt | $ 63,133,000 |
Financing arrangements - Summ_2
Financing arrangements - Summary of repurchase agreements (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 500,914 | $ 3,121,966 |
Financing arrangements | 564,047 | 3,233,468 |
Revolving Credit Facility | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Revolving facilities | 63,133 | 111,502 |
Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 463,593 | |
Financing arrangements | 463,593 | |
Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 36,277 | |
Financing arrangements | 36,277 | |
Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,044 | |
Financing arrangements | 1,044 | |
Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | |
Financing arrangements | 63,133 | |
Agency RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 435,893 | 2,109,278 |
Agency RMBS | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 435,893 | |
Agency RMBS | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | |
Agency RMBS | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | |
Agency RMBS | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | |
Non-Agency RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 14,550 | 565,450 |
Non-Agency RMBS | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 9,166 | |
Non-Agency RMBS | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 4,340 | |
Non-Agency RMBS | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,044 | |
Non-Agency RMBS | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | |
CMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 24,881 | 312,627 |
CMBS | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 18,534 | |
CMBS | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 6,347 | |
CMBS | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | |
CMBS | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | |
Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 25,590 | 131,594 |
Residential Mortgage Loans | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | |
Residential Mortgage Loans | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 25,590 | |
Residential Mortgage Loans | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | |
Residential Mortgage Loans | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | |
Commercial Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | $ 3,017 |
Commercial Loans | Revolving Credit Facility | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Revolving facilities | 63,133 | |
Commercial Loans | Within 30 Days | Revolving Credit Facility | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Revolving facilities | 0 | |
Commercial Loans | Over 30 Days to 3 Months | Revolving Credit Facility | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Revolving facilities | 0 | |
Commercial Loans | Over 3 Months to 12 Months | Revolving Credit Facility | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Revolving facilities | 0 | |
Commercial Loans | Over 12 Months | Revolving Credit Facility | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Revolving facilities | $ 63,133 |
Financing arrangements - Summ_3
Financing arrangements - Summary of repurchase agreement counterparty (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
BofA Securities, Inc. | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 28,091 | |
Weighted Average Maturity (days) | 19 days | |
Percentage of Stockholders' Equity | 6.90% | |
Credit Suisse AG, Cayman Islands Branch | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 26,305 | |
Weighted Average Maturity (days) | 35 days | |
Percentage of Stockholders' Equity | 6.40% | |
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 | $ 24,890 | $ 50,263 |
Weighted Average Maturity (days) | 15 days | 22 days |
Percentage of Stockholders' Equity | 6.10% | 5.90% |
Other assets and liabilities -
Other assets and liabilities - Summary of other assets and liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Other assets | ||
Interest receivable | $ 2,962 | $ 13,548 |
Derivative assets, at fair value | 0 | 2,282 |
Other assets | 5,538 | 4,378 |
Due from broker | 907 | 1,697 |
Total Other assets | 9,407 | 21,905 |
Other liabilities | ||
Interest payable | 853 | 10,941 |
Derivative liabilities, at fair value | 68 | 411 |
Due to affiliates | 14,041 | 5,226 |
Accrued expenses | 2,521 | 6,175 |
Taxes payable | 0 | 815 |
Due to broker | 1,272 | 1,107 |
Total Other liabilities | $ 18,755 | $ 24,675 |
Other assets and liabilities _2
Other assets and liabilities - Summary of Company's derivatives and other instruments and their balance sheet location (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Interest Rate Swap | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | $ 0 | $ 199 |
Derivative liabilities, at fair value | (68) | (411) |
Derivative asset, reduction related to variation margin | 1,400 | 10,800 |
Derivative liability, reduction related to variation margin | 200 | 2,200 |
Swaptions | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | $ 0 | $ 2,083 |
Other assets and liabilities _3
Other assets and liabilities - Summary of information related to derivatives and other instruments (Details) | Dec. 31, 2020USD ($) | Dec. 31, 2020GBP (£) | Dec. 31, 2019USD ($) |
Derivative [Line Items] | |||
Notional Amount | $ 417,000,000 | $ 1,848,750,000 | |
British Pound Futures | |||
Derivative [Line Items] | |||
Notional Amount | £ | £ 62,500 | ||
Euro Future | |||
Derivative [Line Items] | |||
Notional Amount | 125,000 | ||
USD | Long | Interest Rate Swap | |||
Derivative [Line Items] | |||
Notional Amount | 417,000,000 | 1,848,750,000 | |
USD | Notional amount of Swaptions | Long | |||
Derivative [Line Items] | |||
Notional Amount | 0 | 650,000,000 | |
GBP | British Pound Futures | Short | |||
Derivative [Line Items] | |||
Notional Amount | 3,313,000 | 6,563,000 | |
EUR | Euro Future | Short | |||
Derivative [Line Items] | |||
Notional Amount | $ 0 | $ 1,500,000 |
Other assets and liabilities _4
Other assets and liabilities - Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Cash as collateral for certain derivatives | $ 10.8 | $ 32.1 |
Cash pledged as collateral against derivatives related to variation margin | $ 1.1 | 8.5 |
Pledged real estate securities, fair value | $ 3 |
Other assets and liabilities _5
Other assets and liabilities - Summary of interest rate derivatives (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 417,000 | $ 1,848,750 |
Weighted Average Pay-Fixed Rate | 0.49% | 1.60% |
Weighted Average Receive-Variable Rate | 0.23% | 1.91% |
Weighted Average Years to Maturity | 5 years 11 months 26 days | 4 years 3 months 25 days |
2025 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 296,000 | |
Weighted Average Pay-Fixed Rate | 0.39% | |
Weighted Average Receive-Variable Rate | 0.23% | |
Weighted Average Years to Maturity | 4 years 9 months 3 days | |
2026 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 20,000 | $ 180,000 |
Weighted Average Pay-Fixed Rate | 0.45% | 1.50% |
Weighted Average Receive-Variable Rate | 0.24% | 1.89% |
Weighted Average Years to Maturity | 5 years 3 days | 6 years 8 months 12 days |
2030 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 86,000 | |
Weighted Average Pay-Fixed Rate | 0.76% | |
Weighted Average Receive-Variable Rate | 0.23% | |
Weighted Average Years to Maturity | 9 years 9 months 7 days | |
2031 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 15,000 | |
Weighted Average Pay-Fixed Rate | 0.95% | |
Weighted Average Receive-Variable Rate | 0.24% | |
Weighted Average Years to Maturity | 10 years 3 days | |
2020 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 105,000 | |
Weighted Average Pay-Fixed Rate | 1.54% | |
Weighted Average Receive-Variable Rate | 1.91% | |
Weighted Average Years to Maturity | 2 months 12 days | |
2022 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 743,000 | |
Weighted Average Pay-Fixed Rate | 1.64% | |
Weighted Average Receive-Variable Rate | 1.91% | |
Weighted Average Years to Maturity | 2 years 8 months 4 days | |
2023 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 5,750 | |
Weighted Average Pay-Fixed Rate | 3.19% | |
Weighted Average Receive-Variable Rate | 1.91% | |
Weighted Average Years to Maturity | 3 years 10 months 6 days | |
2024 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 650,000 | |
Weighted Average Pay-Fixed Rate | 1.52% | |
Weighted Average Receive-Variable Rate | 1.90% | |
Weighted Average Years to Maturity | 4 years 9 months 18 days | |
2029 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 165,000 | |
Weighted Average Pay-Fixed Rate | 1.77% | |
Weighted Average Receive-Variable Rate | 1.94% | |
Weighted Average Years to Maturity | 9 years 10 months 6 days |
Other assets and liabilities _6
Other assets and liabilities - Summary of TBAs (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
To Be Announced Securities [Roll Forward] | ||
Beginning Notional Amount | $ 1,848,750 | |
Ending Net Notional Amount | 417,000 | $ 1,848,750 |
Net Receivable/(Payable) from/to Broker | (1,272) | (1,107) |
Derivative Asset | 0 | 2,282 |
Derivative liabilities | (68) | (411) |
To Be Announced Securities | Long | ||
To Be Announced Securities [Roll Forward] | ||
Beginning Notional Amount | 0 | 0 |
Buys or Covers | 728,000 | 1,994,500 |
Sales or Shorts | (728,000) | (1,994,500) |
Ending Net Notional Amount | 0 | 0 |
Net Fair Value as of Year End | 0 | 0 |
Net Receivable/(Payable) from/to Broker | 0 | 0 |
Derivative Asset | 0 | 0 |
Derivative liabilities | 0 | 0 |
To Be Announced Securities | Short | ||
To Be Announced Securities [Roll Forward] | ||
Beginning Notional Amount | $ 0 | 0 |
Buys or Covers | 485,000 | |
Sales or Shorts | (485,000) | |
Ending Net Notional Amount | 0 | |
Net Fair Value as of Year End | 0 | |
Net Receivable/(Payable) from/to Broker | 0 | |
Derivative Asset | 0 | |
Derivative liabilities | $ 0 |
Other assets and liabilities _7
Other assets and liabilities - Summary of gains/(losses) related to derivatives and other instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | $ (9,864) | $ 1,500 | ||||||||
Net realized gain/(loss) | (62,837) | (64,182) | ||||||||
Total income/(loss) | (72,701) | (62,682) | ||||||||
Unrealized gain/(loss) on real estate securities and loans, net | $ 25,304 | $ 19,495 | $ 109,632 | $ (313,897) | $ (17,812) | $ 11,726 | $ 43,165 | $ 46,753 | (159,466) | 83,832 |
Interest Rate Swap | ||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (10,276) | (641) | ||||||||
Net realized gain/(loss) | (65,368) | (62,147) | ||||||||
Eurodollar Future | ||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | 0 | 1,001 | ||||||||
Net realized gain/(loss) | 0 | (1,122) | ||||||||
Swaptions, at fair value | ||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | 354 | 1,325 | ||||||||
Net realized gain/(loss) | (2,437) | (1,514) | ||||||||
US Treasury Futures | ||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | 0 | (145) | ||||||||
Net realized gain/(loss) | 0 | (31) | ||||||||
British Pound Futures | ||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | 38 | (102) | ||||||||
Net realized gain/(loss) | 259 | (605) | ||||||||
Euro Future | ||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | 20 | (20) | ||||||||
Net realized gain/(loss) | 68 | (7) | ||||||||
To Be Announced Securities | ||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Net realized gain/(loss) | 4,610 | 1,262 | ||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 300 | 1,000 | ||||||||
Unrealized gain on securities | 4,300 | 300 | ||||||||
US Treasury Securities | ||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | 0 | 82 | ||||||||
Net realized gain/(loss) | $ 31 | $ (18) |
Earnings per share - Summary of
Earnings per share - Summary of earnings per share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | ||
Numerator: | |||||||||||
Net income/(loss) from continuing operations | $ 40,686 | $ 20,046 | $ 2,700 | $ (485,017) | $ 36,172 | $ 11,106 | $ 19,871 | $ 30,189 | $ (421,585) | $ 97,338 | |
Gain on Exchange Offers, net (Note 11) | 10,035 | 539 | 0 | 0 | 10,574 | 0 | |||||
Dividends on preferred stock (1) | [1] | (20,549) | (16,122) | ||||||||
Net income/(loss) from continuing operations available to common stockholders | (431,560) | 81,216 | |||||||||
Net Income/(Loss) from Discontinued Operations | 305 | 0 | 361 | 0 | (1,132) | (1,057) | (1,193) | (1,034) | 666 | (4,416) | |
Net Income/(Loss) Available to Common Stockholders | $ 47,374 | $ 15,022 | $ (2,606) | $ (490,684) | $ 29,373 | $ 6,329 | $ 15,311 | $ 25,788 | $ (430,894) | $ 76,800 | |
Denominator: | |||||||||||
Basic weighted average common shares outstanding (in shares) | 35,191 | 32,192 | |||||||||
Dilutive effect of restricted stock units (in shares) | 0 | 11 | |||||||||
Diluted weighted average common shares outstanding (in shares) | 35,191 | 32,203 | |||||||||
Earnings/(Loss) Per Share - Basic | |||||||||||
Continuing Operations (in dollars per share) | $ 1.15 | $ 0.44 | $ (0.09) | $ (14.98) | $ 0.93 | $ 0.22 | $ 0.50 | $ 0.87 | $ (12.26) | $ 2.52 | |
Discontinued Operations (in dollars per share) | 0.01 | 0 | 0.01 | 0 | (0.03) | (0.03) | (0.03) | (0.03) | 0.02 | (0.13) | |
Basic Earnings/(Loss) Per Share of Common Stock (in dollars per share) | 1.16 | 0.44 | (0.08) | (14.98) | 0.90 | 0.19 | 0.47 | 0.84 | (12.24) | 2.39 | |
Earnings/(Loss) Per Share - Diluted | |||||||||||
Continuing Operations (in dollars per share) | 1.15 | 0.44 | (0.09) | (14.98) | 0.93 | 0.22 | 0.50 | 0.87 | (12.26) | 2.52 | |
Discontinued Operations (in dollars per share) | 0.01 | 0 | 0.01 | 0 | (0.03) | (0.03) | (0.03) | (0.03) | 0.02 | (0.13) | |
Diluted Earnings/(Loss) Per Share of Common Stock (in dollars per share) | $ 1.16 | $ 0.44 | $ (0.08) | $ (14.98) | $ 0.90 | $ 0.19 | $ 0.47 | $ 0.84 | $ (12.24) | $ 2.39 | |
[1] | (1) The year ended December 31, 2019 includes cumulative and undeclared dividends of $0.4 million on the Company's 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock as of December 31, 2019. |
Earnings per share - Narrative
Earnings per share - Narrative (Details) - shares | Dec. 31, 2020 | Dec. 31, 2019 |
Class of Warrant or Right [Line Items] | ||
Unvested restricted stock units previously granted to the manager (in shares) | 41,434,000 | 32,742,000 |
Manager | Restricted Stock Units (RSUs) | ||
Class of Warrant or Right [Line Items] | ||
Unvested restricted stock units previously granted to the manager (in shares) | 0 | 20,000 |
Earnings per share - Summary _2
Earnings per share - Summary of common stock dividends (Details) - $ / shares | Dec. 22, 2020 | Dec. 13, 2019 | Sep. 06, 2019 | Jun. 14, 2019 | Mar. 15, 2019 | Dec. 13, 2019 |
Earnings Per Share [Abstract] | ||||||
Dividend Per Share (in dollars per share) | $ 0.03 | $ 0.45 | $ 0.45 | $ 0.50 | $ 0.50 | $ 1.90 |
Earnings per share - Summary _3
Earnings per share - Summary of preferred stock dividends (Details) - $ / shares | Sep. 17, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 17, 2020 | Nov. 06, 2020 | Feb. 14, 2020 | Nov. 15, 2019 | Aug. 16, 2019 | May 17, 2019 | Feb. 15, 2019 |
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% | 8.25% | ||||||||
Dividend per share (in dollars per share) | $ 2.06252 | $ 2.06252 | $ 1.54689 | $ 1.54689 | $ 0.51563 | $ 0.51563 | $ 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% | 8.00% | ||||||||
Dividend per share (in dollars per share) | $ 2 | $ 2 | 1.50 | 1.50 | 0.50 | 0.50 | 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% | 8.00% | |||||||
Dividend per share (in dollars per share) | $ 2 | $ 0.50 | $ 1.50 | $ 1.50 | $ 0.50 | $ 0.50 | $ 0 | $ 0 | $ 0 |
Income taxes - Narrative (Detai
Income taxes - Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Income Tax Disclosure [Abstract] | ||
Excise tax expenses | $ (0.8) | $ 0.5 |
Excise tax payable | $ 0.8 |
Related party transactions - Na
Related party transactions - Narrative (Details) | Jan. 01, 2021USD ($) | Sep. 24, 2020USD ($)shares | Aug. 31, 2020USD ($)$ / shares | Apr. 15, 2020shares | Aug. 23, 2019USD ($) | Mar. 28, 2019USD ($) | Aug. 29, 2017USD ($) | Dec. 31, 2020USD ($)shares | Sep. 30, 2020USD ($) | Jun. 30, 2020USD ($) | Mar. 31, 2020USD ($) | Dec. 31, 2019USD ($) | Sep. 30, 2019USD ($) | Jun. 30, 2019USD ($) | Mar. 31, 2019USD ($) | Dec. 31, 2020USD ($)shares | Dec. 31, 2019USD ($)shares | Feb. 22, 2021USD ($) | Dec. 01, 2020director | Nov. 30, 2020director | Oct. 31, 2020USD ($) | Jul. 31, 2020USD ($) | Jun. 19, 2020director | Jun. 18, 2020director | Apr. 10, 2020USD ($) | Apr. 03, 2020 | Mar. 25, 2020director | Mar. 24, 2020director | Feb. 29, 2020USD ($) | Nov. 30, 2019USD ($) | Oct. 31, 2019USD ($) | Aug. 31, 2019USD ($) | Jul. 31, 2019USD ($) |
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Management fee percentage | 1.50% | 1.50% | |||||||||||||||||||||||||||||||
Management fee to affiliate | $ 1,656,000 | $ 1,698,000 | $ 1,678,000 | $ 2,149,000 | $ 2,734,000 | $ 2,346,000 | $ 2,400,000 | $ 2,345,000 | $ 7,181,000 | $ 9,825,000 | |||||||||||||||||||||||
Value of shares issued for services (in dollars per share) | $ / shares | $ 3.15 | ||||||||||||||||||||||||||||||||
Other operating expenses | $ 3,260,000 | $ 5,929,000 | $ 4,482,000 | 842,000 | 4,988,000 | 6,062,000 | $ 3,807,000 | $ 3,781,000 | 14,513,000 | 18,638,000 | |||||||||||||||||||||||
Reimbursement of expenses | 7,400,000 | 7,500,000 | |||||||||||||||||||||||||||||||
Reimbursement revenue waived | 0 | 0 | |||||||||||||||||||||||||||||||
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 | director | 4 | 3 | 3 | 4 | 4 | 5 | |||||||||||||||||||||||||||
Loan securitization, ownership interest | 45.00% | 44.60% | 44.60% | 44.60% | 44.60% | ||||||||||||||||||||||||||||
Remaining equity percentage | 35.00% | ||||||||||||||||||||||||||||||||
Fees paid to asset manager | $ 2,700,000 | 900,000 | |||||||||||||||||||||||||||||||
Investments in debt and equity of affiliates | $ 150,667,000 | 156,311,000 | 150,667,000 | 156,311,000 | |||||||||||||||||||||||||||||
Proceeds from sale of excess mortgage servicing rights | 8,038,000 | 0 | |||||||||||||||||||||||||||||||
Subsequent Event | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Director's fee | $ 150,000 | ||||||||||||||||||||||||||||||||
Directors fees paid in cash | 70,000 | ||||||||||||||||||||||||||||||||
Directors fees paid in common stock | $ 80,000 | ||||||||||||||||||||||||||||||||
Agency Excess MSRs | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Proceeds from sale of excess mortgage servicing rights | $ 18,900,000 | ||||||||||||||||||||||||||||||||
Principal amount outstanding of Excess MSRs | 3,500,000,000 | ||||||||||||||||||||||||||||||||
AG Arc LLC | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Excess MSRs, fair value | 3,500,000 | 18,200,000 | 3,500,000 | 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 | 200,000 | 300,000 | |||||||||||||||||||||||||||||||
AG Mortgage Investment Trust, Inc. | Agency Excess MSRs | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Proceeds from sale of excess mortgage servicing rights | 8,500,000 | ||||||||||||||||||||||||||||||||
July 2019 Selling Affiliate | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Investments in debt and equity of affiliates | $ 2,000,000 | ||||||||||||||||||||||||||||||||
October 2019 Selling Affiliates | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Investments in debt and equity of affiliates | $ 2,200,000 | ||||||||||||||||||||||||||||||||
July 2020 Selling Affiliates | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Investments in debt and equity of affiliates | $ 1,900,000 | ||||||||||||||||||||||||||||||||
October 2020 Selling Affiliates | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Investments in debt and equity of affiliates | $ 500,000 | ||||||||||||||||||||||||||||||||
Base Management Fee Q1 & Q2 2020 | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Management fee payable | $ 3,800,000 | ||||||||||||||||||||||||||||||||
Base Management Fee Q3 2020 | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Management fee payable | $ 500,000 | ||||||||||||||||||||||||||||||||
Non-Qualified Mortgage Loans | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Loan securitization, fair value | $ 226,000,000 | $ 408,000,000 | $ 348,200,000 | $ 322,100,000 | $ 415,100,000 | ||||||||||||||||||||||||||||
Non-Qualified Mortgage Loans | Subsequent Event | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Unpaid Principal Balance | $ 73,400,000 | ||||||||||||||||||||||||||||||||
Non-Qualified Mortgage Loans | AG Arc LLC | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Unpaid Principal Balance | 57,400,000 | 57,400,000 | |||||||||||||||||||||||||||||||
Non-Qualified Mortgage Loans | AG Arc LLC | Subsequent Event | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Unpaid Principal Balance | $ 27,800,000 | ||||||||||||||||||||||||||||||||
Senior Tranches | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Loan securitization, fair value | $ 24,300,000 | $ 26,600,000 | $ 21,400,000 | $ 28,700,000 | $ 42,900,000 | 21,400,000 | |||||||||||||||||||||||||||
Excess Mortgage Servicing Rights | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Loan securitization, fair value | $ 20,000 | ||||||||||||||||||||||||||||||||
Restricted Stock | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Unrecognized compensation cost | $ 0 | 0 | |||||||||||||||||||||||||||||||
Fair value of units and shares vested | 800,000 | ||||||||||||||||||||||||||||||||
Capitalized equity based compensation expense | $ 600,000 | $ 700,000 | |||||||||||||||||||||||||||||||
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 | 1,879,680 | 1,879,680 | |||||||||||||||||||||||||||||||
Manager | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 40,250 | ||||||||||||||||||||||||||||||||
Manager | Promissory Note | Senior Notes | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Debt face amount | $ 10,000,000 | ||||||||||||||||||||||||||||||||
Debt interest rate | 6.00% | ||||||||||||||||||||||||||||||||
Manager | Restricted Stock | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 120,000 | ||||||||||||||||||||||||||||||||
Director | 2011 Equity Incentive Plan | Restricted Stock | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 226,114 | ||||||||||||||||||||||||||||||||
Director | 2020 Equity Incentive Plan | Restricted Stock | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 120,320 | ||||||||||||||||||||||||||||||||
Common Stock | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Total restricted stock and restricted stock units vested (in shares) | shares | 146,794 | 45,028 | |||||||||||||||||||||||||||||||
Common Stock | Base Management Fee Q1 & Q2 2020 | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Stock issued for services (in shares) | shares | 1,215,370 | ||||||||||||||||||||||||||||||||
Common Stock | Base Management Fee Q3 2020 | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Stock issued for services (in shares) | shares | 154,500 | ||||||||||||||||||||||||||||||||
Minimum | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Increase in directors' fees | $ 15,000 | ||||||||||||||||||||||||||||||||
Maximum | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Increase in directors' fees | 25,000 | ||||||||||||||||||||||||||||||||
Maximum | Manager Equity Incentive Plan | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Value of shares granted in fiscal year | $ 300,000 | ||||||||||||||||||||||||||||||||
LOTS I | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Loan securitization, ownership interest | 47.50% | 47.50% | |||||||||||||||||||||||||||||||
LOTS II | |||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||
Loan securitization, ownership interest | 50.00% | 50.00% |
Related party transactions - Sc
Related party transactions - Schedule of restricted stock and restricted stock units activity (Details) - Restricted Stock - $ / shares | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Shares of Restricted Stock and Restricted Stock Units | ||
Outstanding at beginning of year (in shares) | 113,656 | 108,624 |
Granted (in shares) | 126,785 | 25,030 |
Cancelled/forfeited (in shares) | 0 | 0 |
Unrestricted (in shares) | (20,009) | (19,998) |
Outstanding at end of year (in shares) | 220,432 | 113,656 |
Unvested at end of year (in shares) | 0 | 20,009 |
Weighted Average Grant Date Fair Value | ||
Outstanding at beginning of year (in dollars per share) | $ 18.91 | $ 19.52 |
Granted (in dollars per share) | 3.56 | 15.97 |
Cancelled/forfeited (in dollars per share) | 0 | 0 |
Unrestricted (in dollars per share) | 18.53 | 18.53 |
Outstanding at end of year (in dollars per share) | 10.85 | 18.91 |
Unvested at end of year (in dollars per share) | $ 0 | $ 18.53 |
Equity - Narrative (Details)
Equity - Narrative (Details) | Dec. 22, 2020$ / shares | Oct. 02, 2020USD ($)shares | Sep. 30, 2020USD ($)shares | Sep. 24, 2020USD ($)shares | Aug. 14, 2020shares | Dec. 13, 2019$ / shares | Sep. 17, 2019USD ($)$ / sharesshares | Sep. 06, 2019$ / shares | Jun. 14, 2019$ / shares | Mar. 15, 2019$ / shares | Feb. 14, 2019USD ($)$ / sharesshares | May 05, 2017USD ($) | Dec. 13, 2019$ / shares | Dec. 31, 2020USD ($)period$ / sharesshares | Dec. 31, 2019USD ($)$ / sharesshares | Dec. 31, 2020USD ($)period$ / sharesshares | Dec. 17, 2020$ / shares | Nov. 06, 2020$ / shares | Aug. 31, 2020$ / shares | Feb. 14, 2020$ / shares | Nov. 15, 2019$ / shares | Aug. 16, 2019$ / shares | May 17, 2019$ / shares | Feb. 15, 2019$ / shares | May 02, 2018USD ($) | Nov. 03, 2015USD ($) |
Class of Stock [Line Items] | ||||||||||||||||||||||||||
Authorized amount for stock repurchase | $ | $ 25,000,000 | |||||||||||||||||||||||||
Shares repurchased (in shares) | 0 | |||||||||||||||||||||||||
Net proceeds from issuance of common stock | $ | $ 11,333,000 | $ 66,063,000 | ||||||||||||||||||||||||
Securities and capital available for issuance | $ | $ 750,000,000 | |||||||||||||||||||||||||
Common stock sold in public offering (in shares) | 3,000,000 | |||||||||||||||||||||||||
Common stock, shares issued (in shares) | 450,000 | |||||||||||||||||||||||||
Share price (in dollars per share) | $ / shares | $ 16.70 | |||||||||||||||||||||||||
Proceeds from offering | $ | $ 57,400,000 | |||||||||||||||||||||||||
Gross proceeds from issuance of preferred and preference stock | $ | $ 115,000,000 | |||||||||||||||||||||||||
Net proceeds from issuance of preferred stock | $ | $ 0 | 111,243,000 | ||||||||||||||||||||||||
Number of quarterly periods required to grant voting rights to preferred stock | period | 6 | 6 | ||||||||||||||||||||||||
Percentage of outstanding votes needed to pass | 6667.00% | 6667.00% | ||||||||||||||||||||||||
Dividend per share (in dollars per share) | $ / shares | $ 0.03 | $ 0.45 | $ 0.45 | $ 0.50 | $ 0.50 | $ 1.90 | ||||||||||||||||||||
Cash consideration | $ | $ 1,700,000 | $ 6,300,000 | ||||||||||||||||||||||||
Value of shares issued for services (in dollars per share) | $ / shares | $ 3.15 | |||||||||||||||||||||||||
Base Management Fee Q1 & Q2 2020 | ||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||
Management fee payable | $ | $ 3,800,000 | |||||||||||||||||||||||||
Base Management Fee Q3 2020 | ||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||
Management fee payable | $ | $ 500,000 | |||||||||||||||||||||||||
Preferred Stock | ||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||
Net proceeds from issuance of common stock | $ | 111,243,000 | |||||||||||||||||||||||||
Exchange offers (in shares) | (103,260) | |||||||||||||||||||||||||
Common Stock | ||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||
Net proceeds from issuance of common stock | $ | $ 35,000 | $ 40,000 | ||||||||||||||||||||||||
Net proceeds from issuance of common stock (in shares) | 3,449,000 | 3,953,000 | ||||||||||||||||||||||||
Exchange offers (in shares) | 900,000 | 3,679,634 | 516,300 | 5,096,000 | ||||||||||||||||||||||
Common Stock | Base Management Fee Q1 & Q2 2020 | ||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||
Stock issued for services (in shares) | 1,215,370 | |||||||||||||||||||||||||
Common Stock | Base Management Fee Q3 2020 | ||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||
Stock issued for services (in shares) | 154,500 | |||||||||||||||||||||||||
Repurchase | ||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||
Common stock remained authorized for future share repurchases (in shares) | 14,600,000 | |||||||||||||||||||||||||
Sale Agents | ||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||
Net proceeds from issuance of common stock | $ | $ 100,000,000 | $ 7,100,000 | $ 8,600,000 | $ 34,700,000 | ||||||||||||||||||||||
Net proceeds from issuance of common stock (in shares) | 2,100,000 | 503,700 | 3,600,000 | |||||||||||||||||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | ||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||
Dividend percentage | 8.25% | 8.25% | ||||||||||||||||||||||||
Preferred sock, liquidation preference per share (in dollars per share) | $ / shares | $ 25 | $ 25 | ||||||||||||||||||||||||
Preferred stock, redemption price (in dollars per share) | $ / shares | 25 | 25 | ||||||||||||||||||||||||
Dividend per share (in dollars per share) | $ / shares | $ 2.06252 | $ 2.06252 | $ 2.06252 | $ 1.54689 | $ 1.54689 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 | ||||||||||||||||
Preferred stock, shares outstanding (in shares) | 1,817,000 | 2,070,000 | 1,817,000 | |||||||||||||||||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | Preferred Stock | ||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||
Number of shares authorized to be exchanged (in shares) | 250,470 | |||||||||||||||||||||||||
Exchange offers (in shares) | 210,662 | (42,820) | ||||||||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 2,027,180 | 1,816,518 | ||||||||||||||||||||||||
8.00% Series B Cumulative Redeemable Preferred Stock | ||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||
Dividend percentage | 8.00% | 8.00% | ||||||||||||||||||||||||
Preferred sock, liquidation preference per share (in dollars per share) | $ / shares | $ 25 | $ 25 | ||||||||||||||||||||||||
Preferred stock, redemption price (in dollars per share) | $ / shares | 25 | 25 | ||||||||||||||||||||||||
Dividend per share (in dollars per share) | $ / shares | $ 2 | $ 2 | $ 2 | 1.50 | 1.50 | 0.50 | 0.50 | 0.50 | 0.50 | 0.50 | ||||||||||||||||
Preferred stock, shares outstanding (in shares) | 4,165,000 | 4,600,000 | 4,165,000 | |||||||||||||||||||||||
8.00% Series B Cumulative Redeemable Preferred Stock | Preferred Stock | ||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||
Number of shares authorized to be exchanged (in shares) | 556,600 | |||||||||||||||||||||||||
Exchange offers (in shares) | 404,187 | (31,085) | ||||||||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 4,568,915 | 4,164,728 | ||||||||||||||||||||||||
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) | 4,000,000 | |||||||||||||||||||||||||
Dividend percentage | 8.00% | 8.00% | 8.00% | |||||||||||||||||||||||
Preferred sock, liquidation preference per share (in dollars per share) | $ / shares | $ 25 | $ 25 | $ 25 | |||||||||||||||||||||||
Net proceeds from issuance of preferred stock | $ | $ 111,200,000 | |||||||||||||||||||||||||
Preferred stock, redemption price (in dollars per share) | $ / shares | 25 | 25 | ||||||||||||||||||||||||
Dividend per share (in dollars per share) | $ / shares | $ 2 | $ 0.50 | $ 2 | $ 1.50 | $ 1.50 | $ 0.50 | $ 0.50 | $ 0 | $ 0 | $ 0 | ||||||||||||||||
Preferred stock, shares outstanding (in shares) | 3,883,000 | 4,600,000 | 3,883,000 | |||||||||||||||||||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Preferred Stock | ||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||
Net proceeds from issuance of common stock | $ | $ 111,243,000 | |||||||||||||||||||||||||
Number of shares authorized to be exchanged (in shares) | 556,600 | |||||||||||||||||||||||||
Exchange offers (in shares) | 260,000 | 427,467 | (29,355) | |||||||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 4,570,645 | 3,883,178 | ||||||||||||||||||||||||
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) | 600,000 | |||||||||||||||||||||||||
London Interbank Offered Rate (LIBOR) | 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||
Dividend percentage | 6.476% | 6.476% |
Commitments and Contingencies -
Commitments and Contingencies - Narrative (Details) - USD ($) $ in Thousands | Mar. 25, 2020 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 |
Long-term Purchase Commitment [Line Items] | |||||||||||
Net realized gain/(loss) | $ 661 | $ (14,431) | $ (91,609) | $ (151,143) | $ 13,403 | $ (16,132) | $ (27,510) | $ (20,583) | $ (256,522) | $ (50,822) | |
Settled Litigation | |||||||||||
Long-term Purchase Commitment [Line Items] | |||||||||||
Net realized gain/(loss) | $ 11,600 | ||||||||||
AG MIT CMO v. RBC (Barbados) Trading Corp | Settled Litigation | |||||||||||
Long-term Purchase Commitment [Line Items] | |||||||||||
Payments for legal settlements | $ 5,000 | ||||||||||
Notes issued | $ 2,000 |
Commitments and Contingencies_2
Commitments and Contingencies - Schedule of Outstanding Commitments (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2020 |
Other Commitments [Line Items] | |||
Total Commitment | $ 158,959 | ||
Funded Commitment | 113,074 | ||
Remaining Commitment | 45,885 | ||
Loan G | Commercial Portfolio Segment | |||
Other Commitments [Line Items] | |||
Total Commitment | $ 78,800 | $ 84,500 | 78,806 |
Funded Commitment | 60,111 | ||
Remaining Commitment | 18,695 | ||
Payments for loans | 5,700 | ||
Loan I | Commercial Portfolio Segment | |||
Other Commitments [Line Items] | |||
Total Commitment | 26,000 | ||
Funded Commitment | 15,929 | ||
Remaining Commitment | 10,071 | ||
Increase in capital commitment | $ 6,000 | 6,000 | |
Loan K | Commercial Portfolio Segment | |||
Other Commitments [Line Items] | |||
Total Commitment | 20,000 | ||
Funded Commitment | 15,787 | ||
Remaining Commitment | 4,213 | ||
Lot Loans | |||
Other Commitments [Line Items] | |||
Total Commitment | 34,153 | ||
Funded Commitment | 21,247 | ||
Remaining Commitment | $ 12,906 |
Discontinued Operations and A_3
Discontinued Operations and Assets and Liabilities Held for Sale - Narrative (Details) - USD ($) | 1 Months Ended | ||
Nov. 30, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | |
Discontinued Operations, Held-for-sale | |||
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | |||
Assets related to discontinued operations | $ 200,000 | $ 0 | |
Liabilities related to discontinued operations | $ 1,500,000 | $ 0 | |
Portfolio Of Single-Family Rental Properties | |||
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | |||
Proceeds from sale of single-family rental properties | $ 137,000,000 | ||
Net realized gain/(loss) | $ 200,000 |
Discontinued Operations and A_4
Discontinued Operations and Assets and Liabilities Held for Sale - Income Statement (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | |
Segment Reporting Information [Line Items] | ||||||||||
Interest expense | $ 4,004 | $ 4,357 | $ 8,613 | $ 19,971 | $ 23,097 | $ 21,887 | $ 23,030 | $ 22,094 | $ 36,945 | $ 90,108 |
Other Income/(Loss) | ||||||||||
Other income | 2 | 0 | 1 | 3 | 342 | 210 | 216 | 414 | 6 | 1,182 |
Total Other Income/(Loss) | 17,283 | 7,011 | 8,415 | (456,779) | 12,085 | 1,908 | 6,832 | 18,279 | (424,070) | 39,104 |
Expenses | ||||||||||
Other operating expenses | 3,260 | 5,929 | 4,482 | 842 | 4,988 | 6,062 | 3,807 | 3,781 | 14,513 | 18,638 |
Total Expenses | 5,706 | 9,512 | 13,905 | 4,343 | 8,279 | 9,086 | 6,882 | 6,715 | 33,466 | 30,962 |
Net Income/(Loss) from Discontinued Operations | $ 305 | $ 0 | $ 361 | $ 0 | $ (1,132) | $ (1,057) | $ (1,193) | $ (1,034) | 666 | (4,416) |
Operating Segments | Single Family Rental Properties Segment | ||||||||||
Segment Reporting Information [Line Items] | ||||||||||
Interest expense | 0 | 5,187 | ||||||||
Other Income/(Loss) | ||||||||||
Rental income | 0 | 11,209 | ||||||||
Net realized gain/(loss) | 0 | 150 | ||||||||
Other income | 0 | 258 | ||||||||
Total Other Income/(Loss) | 0 | 11,617 | ||||||||
Expenses | ||||||||||
Other operating expenses | (80) | 180 | ||||||||
Property depreciation and amortization | 0 | 4,110 | ||||||||
Property operating expenses | (586) | 6,556 | ||||||||
Total Expenses | (666) | 10,846 | ||||||||
Net Income/(Loss) from Discontinued Operations | $ 666 | $ (4,416) |
Investments in unconsolidated_3
Investments in unconsolidated equity method affiliates - Schedule of Equity Method Investments (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Sep. 30, 2020 | Aug. 31, 2020 | Dec. 31, 2019 | Jun. 30, 2019 | Dec. 31, 2018 | |
Assets: | |||||||
Excess mortgage servicing rights, at fair value | $ 3,158 | $ 17,775 | |||||
Cash and cash equivalents | 47,926 | 81,692 | |||||
Other assets | 9,407 | 21,905 | |||||
Total Assets | 1,400,045 | 4,347,817 | |||||
Liabilities: | |||||||
Financing arrangements | 564,047 | 3,233,468 | |||||
Securitized debt, at fair value | [1] | 355,159 | 224,348 | ||||
Other liabilities | 18,755 | 24,675 | |||||
Total Liabilities | 990,340 | 3,498,771 | |||||
Total Members' Equity | |||||||
Members' equity (1) | 409,705 | 849,046 | $ 656,011 | ||||
Total Liabilities & Stockholders' Equity | 1,400,045 | 4,347,817 | |||||
Investments in debt and equity of affiliates | $ 150,667 | 156,311 | |||||
Loan securitization, ownership interest | 44.60% | 44.60% | 45.00% | 44.60% | |||
Carrying Value | $ 500,914 | 3,121,966 | |||||
Arc Home | |||||||
Total Members' Equity | |||||||
Investments in debt and equity of affiliates | 45,341 | ||||||
Net assets | 3,700 | ||||||
MATH | |||||||
Total Members' Equity | |||||||
Investments in debt and equity of affiliates | 43,619 | ||||||
Other Investees | |||||||
Total Members' Equity | |||||||
Investments in debt and equity of affiliates | 61,707 | ||||||
Arc Home | |||||||
Assets: | |||||||
Real estate securities, at fair value: | 293,710 | ||||||
Excess mortgage servicing rights, at fair value | 56,481 | ||||||
Cash and cash equivalents | 41,781 | ||||||
Other assets | 86,687 | ||||||
Total Assets | 478,659 | ||||||
Liabilities: | |||||||
Financing arrangements | 290,009 | ||||||
Securitized debt, at fair value | 0 | ||||||
Other liabilities | 88,650 | ||||||
Total Liabilities | 378,659 | ||||||
Total Members' Equity | |||||||
Members' equity (1) | 97,938 | ||||||
Noncontrolling preferred interests | 2,062 | ||||||
Total Member's equity | 100,000 | ||||||
Total Liabilities & Stockholders' Equity | 478,659 | ||||||
MATH | |||||||
Assets: | |||||||
Real estate securities, at fair value: | 343,576 | ||||||
Excess mortgage servicing rights, at fair value | 0 | ||||||
Cash and cash equivalents | 754 | ||||||
Other assets | 3,838 | ||||||
Total Assets | 348,168 | ||||||
Liabilities: | |||||||
Financing arrangements | 249,237 | ||||||
Securitized debt, at fair value | 0 | ||||||
Other liabilities | 1,109 | ||||||
Total Liabilities | 250,346 | ||||||
Total Members' Equity | |||||||
Members' equity (1) | 97,822 | ||||||
Noncontrolling preferred interests | 0 | ||||||
Total Member's equity | 97,822 | ||||||
Total Liabilities & Stockholders' Equity | 348,168 | ||||||
Other | |||||||
Assets: | |||||||
Real estate securities, at fair value: | 294,357 | ||||||
Excess mortgage servicing rights, at fair value | 933 | ||||||
Cash and cash equivalents | 11,438 | ||||||
Other assets | 3,112 | ||||||
Total Assets | 309,840 | ||||||
Liabilities: | |||||||
Financing arrangements | 35,774 | ||||||
Securitized debt, at fair value | 96,579 | ||||||
Other liabilities | 301 | ||||||
Total Liabilities | 132,654 | ||||||
Total Members' Equity | |||||||
Members' equity (1) | 177,186 | ||||||
Noncontrolling preferred interests | 0 | ||||||
Total Member's equity | 177,186 | ||||||
Total Liabilities & Stockholders' Equity | 309,840 | ||||||
Equity Method Investment, Nonconsolidated Investee or Group of Investees | |||||||
Assets: | |||||||
Real estate securities, at fair value: | 931,643 | 1,539,217 | |||||
Excess mortgage servicing rights, at fair value | 57,414 | 113,155 | |||||
Cash and cash equivalents | 53,973 | 39,390 | |||||
Other assets | 93,637 | 192,477 | |||||
Total Assets | 1,136,667 | 1,884,239 | |||||
Liabilities: | |||||||
Financing arrangements | 575,020 | 807,902 | |||||
Securitized debt, at fair value | 96,579 | 144,810 | |||||
Other liabilities | 90,060 | 217,301 | |||||
Total Liabilities | 761,659 | 1,170,013 | |||||
Total Members' Equity | |||||||
Members' equity (1) | 372,946 | 711,285 | |||||
Noncontrolling preferred interests | 2,062 | 2,941 | |||||
Total Member's equity | 375,008 | 714,226 | |||||
Total Liabilities & Stockholders' Equity | 1,136,667 | $ 1,884,239 | |||||
Carrying Value | $ 58,700 | ||||||
[1] | See Notes 3 and 4 for details related to variable interest entities. |
Investments in unconsolidated_4
Investments in unconsolidated equity method affiliates (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | Aug. 31, 2020 | |
Schedule of Equity Method Investments [Line Items] | |||||||||||
Interest income | $ 11,171 | $ 9,717 | $ 13,369 | $ 40,268 | $ 48,534 | $ 40,735 | $ 40,901 | $ 41,490 | $ 74,525 | $ 171,660 | |
Interest expense | 4,004 | 4,357 | 8,613 | 19,971 | 23,097 | 21,887 | 23,030 | 22,094 | 36,945 | 90,108 | |
Total Net Interest Income | 7,167 | 5,360 | 4,756 | 20,297 | 25,437 | 18,848 | 17,871 | 19,396 | 37,580 | 81,552 | |
Net realized gain/(loss) | 661 | (14,431) | (91,609) | (151,143) | 13,403 | (16,132) | (27,510) | (20,583) | (256,522) | (50,822) | |
Net interest component of interest rate swaps | 731 | 7,736 | |||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 25,304 | 19,495 | 109,632 | (313,897) | (17,812) | 11,726 | 43,165 | 46,753 | (159,466) | 83,832 | |
Unrealized gain/(loss) on derivative and other instruments, net | (8,550) | 1,970 | (9,453) | 5,686 | 17,355 | 3,258 | (10,839) | (10,086) | (10,347) | (312) | |
Other income | 2 | 0 | 1 | 3 | 342 | 210 | 216 | 414 | 6 | 1,182 | |
Total Other Income/(Loss) | 17,283 | 7,011 | 8,415 | (456,779) | 12,085 | 1,908 | 6,832 | 18,279 | (424,070) | 39,104 | |
Other operating expenses | 3,260 | 5,929 | 4,482 | 842 | 4,988 | 6,062 | 3,807 | 3,781 | 14,513 | 18,638 | |
Net Income/(Loss) | $ 40,991 | $ 20,046 | $ 3,061 | $ (485,017) | $ 35,040 | $ 10,049 | $ 18,678 | $ 29,155 | (420,919) | 92,922 | |
Equity in earnings/(loss) from affiliates | $ (1,629) | 7,644 | |||||||||
Loan securitization, ownership interest | 44.60% | 44.60% | 44.60% | 44.60% | 45.00% | ||||||
ARC Home LLC | |||||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||
Net Income/(Loss) | $ 3,000 | ||||||||||
Equity in earnings/(loss) from affiliates | 23,260 | ||||||||||
MATH | |||||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||
Equity in earnings/(loss) from affiliates | (26,511) | ||||||||||
Other Investees | |||||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||
Equity in earnings/(loss) from affiliates | 1,622 | ||||||||||
ARC Home LLC | |||||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||
Interest income | 6,550 | ||||||||||
Interest expense | 16,779 | ||||||||||
Total Net Interest Income | (10,229) | ||||||||||
Net realized gain/(loss) | 119,786 | ||||||||||
Net interest component of interest rate swaps | 0 | ||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | (13,171) | ||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (26,003) | ||||||||||
Other income | 40,022 | ||||||||||
Total Other Income/(Loss) | 120,634 | ||||||||||
Other operating expenses | 61,494 | ||||||||||
Net Income/(Loss) | 48,911 | ||||||||||
Net Income/(Loss) Attributable to Noncontrolling Preferred Interests | 248 | ||||||||||
Net Income/(Loss) | 49,159 | ||||||||||
MATH | |||||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||
Interest income | 30,113 | ||||||||||
Interest expense | 24,442 | ||||||||||
Total Net Interest Income | 5,671 | ||||||||||
Net realized gain/(loss) | (21,858) | ||||||||||
Net interest component of interest rate swaps | 101 | ||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | (15,959) | ||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (25,326) | ||||||||||
Other income | 1 | ||||||||||
Total Other Income/(Loss) | (63,041) | ||||||||||
Other operating expenses | 2,118 | ||||||||||
Net Income/(Loss) | (59,488) | ||||||||||
Net Income/(Loss) Attributable to Noncontrolling Preferred Interests | 0 | ||||||||||
Net Income/(Loss) | (59,488) | ||||||||||
Other | |||||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||
Interest income | 36,504 | ||||||||||
Interest expense | 7,969 | ||||||||||
Total Net Interest Income | 28,535 | ||||||||||
Net realized gain/(loss) | (2,660) | ||||||||||
Net interest component of interest rate swaps | 0 | ||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | (73,003) | ||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | 1,948 | ||||||||||
Other income | 12,042 | ||||||||||
Total Other Income/(Loss) | (61,673) | ||||||||||
Other operating expenses | 15,804 | ||||||||||
Net Income/(Loss) | (48,942) | ||||||||||
Net Income/(Loss) Attributable to Noncontrolling Preferred Interests | 0 | ||||||||||
Net Income/(Loss) | (48,942) | ||||||||||
Equity Method Investment, Nonconsolidated Investee or Group of Investees | |||||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||
Interest income | 73,167 | 82,810 | |||||||||
Interest expense | 49,190 | 51,455 | |||||||||
Total Net Interest Income | 23,977 | 31,355 | |||||||||
Net realized gain/(loss) | 95,268 | 25,478 | |||||||||
Net interest component of interest rate swaps | 101 | (872) | |||||||||
Unrealized gain/(loss) on real estate securities and loans, net | (102,133) | 30,645 | |||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (49,381) | 264 | |||||||||
Other income | 52,065 | 40,928 | |||||||||
Total Other Income/(Loss) | (4,080) | 96,443 | |||||||||
Other operating expenses | 79,416 | 66,705 | |||||||||
Net Income/(Loss) | (59,519) | 61,093 | |||||||||
Net Income/(Loss) Attributable to Noncontrolling Preferred Interests | 248 | (263) | |||||||||
Net Income/(Loss) | $ (59,271) | $ 60,830 |
Quarterly results (Unaudited)_2
Quarterly results (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands | Sep. 17, 2019 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | |
Class of Stock [Line Items] | ||||||||||||
Dividends on preferred stock | [1] | $ 20,549 | $ 16,122 | |||||||||
Net Interest Income | ||||||||||||
Interest income | $ 11,171 | $ 9,717 | $ 13,369 | $ 40,268 | $ 48,534 | $ 40,735 | $ 40,901 | $ 41,490 | 74,525 | 171,660 | ||
Interest expense | 4,004 | 4,357 | 8,613 | 19,971 | 23,097 | 21,887 | 23,030 | 22,094 | 36,945 | 90,108 | ||
Total Net Interest Income | 7,167 | 5,360 | 4,756 | 20,297 | 25,437 | 18,848 | 17,871 | 19,396 | 37,580 | 81,552 | ||
Other Income/(Loss) | ||||||||||||
Net realized gain/(loss) | 661 | (14,431) | (91,609) | (151,143) | 13,403 | (16,132) | (27,510) | (20,583) | (256,522) | (50,822) | ||
Net interest component of interest rate swaps | (179) | (13) | 0 | 923 | 1,976 | 2,179 | 1,800 | 1,781 | ||||
Unrealized gain/(loss) on real estate securities and loans, net | 25,304 | 19,495 | 109,632 | (313,897) | (17,812) | 11,726 | 43,165 | 46,753 | (159,466) | 83,832 | ||
Unrealized gain/(loss) on derivative and other instruments, net | (8,550) | 1,970 | (9,453) | 5,686 | 17,355 | 3,258 | (10,839) | (10,086) | (10,347) | (312) | ||
Foreign currency gain/(loss), net | 45 | (10) | (156) | 1,649 | (3,179) | 667 | 0 | 0 | 1,528 | (2,512) | ||
Other income | 2 | 0 | 1 | 3 | 342 | 210 | 216 | 414 | 6 | 1,182 | ||
Total Other Income/(Loss) | 17,283 | 7,011 | 8,415 | (456,779) | 12,085 | 1,908 | 6,832 | 18,279 | (424,070) | 39,104 | ||
Expenses | ||||||||||||
Management fee to affiliate | 1,656 | 1,698 | 1,678 | 2,149 | 2,734 | 2,346 | 2,400 | 2,345 | 7,181 | 9,825 | ||
Other operating expenses | 3,260 | 5,929 | 4,482 | 842 | 4,988 | 6,062 | 3,807 | 3,781 | 14,513 | 18,638 | ||
Restructuring related expenses | 251 | 1,345 | 7,104 | 1,500 | 10,200 | 0 | ||||||
Equity based compensation to affiliate | 0 | 0 | 75 | 88 | 74 | 76 | 73 | 126 | 163 | 349 | ||
Excise tax | 0 | 0 | 0 | (815) | 67 | 186 | 186 | 92 | (815) | 531 | ||
Servicing fees | 539 | 540 | 566 | 579 | 416 | 416 | 416 | 371 | 2,224 | 1,619 | ||
Total Expenses | 5,706 | 9,512 | 13,905 | 4,343 | 8,279 | 9,086 | 6,882 | 6,715 | 33,466 | 30,962 | ||
Income/(loss) before equity in earnings/(loss) from affiliates | 18,744 | 2,859 | (734) | (440,825) | 29,243 | 11,670 | 17,821 | 30,960 | (419,956) | 89,694 | ||
Equity in earnings/(loss) from affiliates | 21,942 | 17,187 | 3,434 | (44,192) | 6,929 | (564) | 2,050 | (771) | ||||
Net income/(loss) from continuing operations | 40,686 | 20,046 | 2,700 | (485,017) | 36,172 | 11,106 | 19,871 | 30,189 | (421,585) | 97,338 | ||
Net Income/(Loss) from Discontinued Operations | 305 | 0 | 361 | 0 | (1,132) | (1,057) | (1,193) | (1,034) | 666 | (4,416) | ||
Net Income/(Loss) | 40,991 | 20,046 | 3,061 | (485,017) | 35,040 | 10,049 | 18,678 | 29,155 | (420,919) | 92,922 | ||
Gain on Exchange Offers, net (Note 11) | 10,035 | 539 | 0 | 0 | 10,574 | 0 | ||||||
Dividends on preferred stock | (3,652) | (5,563) | (5,667) | (5,667) | (5,667) | (3,720) | (3,367) | (3,367) | ||||
Net Income/(Loss) Available to Common Stockholders | $ 47,374 | $ 15,022 | $ (2,606) | $ (490,684) | $ 29,373 | $ 6,329 | $ 15,311 | $ 25,788 | $ (430,894) | $ 76,800 | ||
Earnings/(Loss) Per Share - Basic | ||||||||||||
Continuing Operations (in dollars per share) | $ 1.15 | $ 0.44 | $ (0.09) | $ (14.98) | $ 0.93 | $ 0.22 | $ 0.50 | $ 0.87 | $ (12.26) | $ 2.52 | ||
Discontinued Operations (in dollars per share) | 0.01 | 0 | 0.01 | 0 | (0.03) | (0.03) | (0.03) | (0.03) | 0.02 | (0.13) | ||
Basic Earnings/(Loss) Per Share of Common Stock (in dollars per share) | 1.16 | 0.44 | (0.08) | (14.98) | 0.90 | 0.19 | 0.47 | 0.84 | (12.24) | 2.39 | ||
Earnings/(Loss) Per Share - Diluted | ||||||||||||
Continuing Operations (in dollars per share) | 1.15 | 0.44 | (0.09) | (14.98) | 0.93 | 0.22 | 0.50 | 0.87 | (12.26) | 2.52 | ||
Discontinued Operations (in dollars per share) | 0.01 | 0 | 0.01 | 0 | (0.03) | (0.03) | (0.03) | (0.03) | 0.02 | (0.13) | ||
Diluted Earnings/(Loss) Per Share of Common Stock (in dollars per share) | $ 1.16 | $ 0.44 | $ (0.08) | $ (14.98) | $ 0.90 | $ 0.19 | $ 0.47 | $ 0.84 | $ (12.24) | $ 2.39 | ||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Dividends on preferred stock | $ 5,600 | $ 5,700 | $ 400 | $ 400 | $ 400 | |||||||
Preferred Stock, Dividend Rate, Percentage | 8.00% | 8.00% | 8.00% | |||||||||
[1] | (1) The year ended December 31, 2019 includes cumulative and undeclared dividends of $0.4 million on the Company's 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock as of December 31, 2019. |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ in Thousands | Feb. 12, 2021 | Feb. 04, 2021 | Feb. 22, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Subsequent Event [Line Items] | |||||
Proceeds from sale of loans | $ 397,900 | $ 12,800 | |||
Remaining commitment | 45,885 | ||||
Non-Qualified Mortgage Loans | AG Arc LLC | |||||
Subsequent Event [Line Items] | |||||
Loan balances | 57,400 | ||||
Commercial Portfolio Segment | |||||
Subsequent Event [Line Items] | |||||
Proceeds from sale of loans | 36,900 | ||||
Loan G | Commercial Portfolio Segment | |||||
Subsequent Event [Line Items] | |||||
Remaining commitment | 18,695 | ||||
Loan I | Commercial Portfolio Segment | |||||
Subsequent Event [Line Items] | |||||
Remaining commitment | $ 10,071 | ||||
Subsequent Event | Non-Qualified Mortgage Loans | |||||
Subsequent Event [Line Items] | |||||
Loan balances | $ 73,400 | ||||
Advance rate | 85.00% | ||||
Subsequent Event | Non-Qualified Mortgage Loans | AG Arc LLC | |||||
Subsequent Event [Line Items] | |||||
Loan balances | $ 27,800 | ||||
Subsequent Event | Loan G | Commercial Portfolio Segment | |||||
Subsequent Event [Line Items] | |||||
Proceeds from sale of loans | $ 58,800 | ||||
Subsequent Event | Loan I | Commercial Portfolio Segment | |||||
Subsequent Event [Line Items] | |||||
Proceeds from sale of loans | $ 15,700 |