Cover Page
Cover Page - shares | 6 Months Ended | |
Jun. 30, 2021 | Jul. 28, 2021 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Jun. 30, 2021 | |
Document Transition Report | false | |
Entity File Number | 001-35151 | |
Entity Registrant Name | AG MORTGAGE INVESTMENT TRUST, INC. | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 27-5254382 | |
Entity Address, Address Line One | 245 Park Avenue | |
Entity Address, Address Line Two | 26th Floor | |
Entity Address, City or Town | New York | |
Entity Address, State or Province | NY | |
Entity Address, Postal Zip Code | 10167 | |
City Area Code | 212 | |
Local Phone Number | 692-2000 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Small Business | true | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 16,170,312 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q2 | |
Entity Central Index Key | 0001514281 | |
Current Fiscal Year End Date | --12-31 | |
Common Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | Common Stock, $0.01 par value per share | |
Trading Symbol | MITT | |
Security Exchange Name | NYSE | |
8.25% Series A Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 8.25% Series A Cumulative Redeemable Preferred Stock | |
Trading Symbol | MITT PrA | |
Security Exchange Name | NYSE | |
8.00% Series B Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 8.00% Series B Cumulative Redeemable Preferred Stock | |
Trading Symbol | MITT PrB | |
Security Exchange Name | NYSE | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | MITT PrC | |
Security Exchange Name | NYSE |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Assets | |||
Residential mortgage loans, at fair value - XX and $46,571 pledged as collateral, respectively | $ 1,029,244 | $ 435,441 | |
Commercial loans, at fair value | 62,279 | 111,549 | |
Commercial loans held for sale, at fair value | 0 | 13,959 | |
Investments in debt and equity of affiliates | 135,868 | 150,667 | |
Excess mortgage servicing rights, at fair value | 2,608 | 3,158 | |
Cash and cash equivalents | 64,007 | 47,926 | |
Restricted cash | 23,708 | 14,392 | |
Receivable on unsettled trades - $104,772 and $0 pledged as collateral, respectively | 106,247 | 0 | |
Other assets | 12,133 | 9,407 | |
Total Assets | 2,168,290 | 1,400,045 | |
Liabilities | |||
Financing arrangements | 1,207,468 | 564,047 | |
Securitized debt, at fair value | [1] | 482,533 | 355,159 |
Payable on unsettled trades | 0 | 51,136 | |
Dividend payable | 3,394 | 1,243 | |
Other liabilities | 9,018 | 18,755 | |
Total Liabilities | 1,702,413 | 990,340 | |
Commitments and Contingencies (Note 12) | |||
Stockholders’ Equity | |||
Preferred stock - $227,991 and $246,610 aggregate liquidation preference as of June 30, 2021 and December 31, 2020, respectively | 220,472 | 238,478 | |
Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 16,158 and 13,805 shares issued and outstanding at June 30, 2021 and December 31, 2020, respectively | [2] | 162 | 138 |
Additional paid in capital | [2] | 719,940 | 689,147 |
Retained earnings/(deficit) | (474,697) | (518,058) | |
Total Stockholders’ Equity | 465,877 | 409,705 | |
Total Liabilities & Stockholders’ Equity | 2,168,290 | 1,400,045 | |
Asset Pledged as Collateral | |||
Assets | |||
Receivable on unsettled trades - $104,772 and $0 pledged as collateral, respectively | 104,772 | 0 | |
Agency | |||
Assets | |||
Real estate securities, at fair value | 696,704 | 518,352 | |
Non-Agency | |||
Assets | |||
Real estate securities, at fair value | 3,878 | 38,406 | |
CMBS | |||
Assets | |||
Real estate securities, at fair value | $ 31,614 | $ 56,788 | |
[1] | See Note 3 for details related to variable interest entities. | ||
[2] | Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. See Note 2 and Note 11 for additional details. |
Consolidated Balance Sheets (_2
Consolidated Balance Sheets (Unaudited) (Parenthetical) $ in Thousands | Jun. 30, 2021USD ($)$ / sharesshares | Dec. 31, 2020USD ($)$ / sharesshares |
Receivables on unsettled trades | $ 106,247 | $ 0 |
Preferred stock, liquidation preference | $ 227,991 | $ 246,610 |
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | shares | 450,000,000 | 450,000,000 |
Common stock, shares issued (in shares) | shares | 16,164,000 | 13,811,000 |
Common stock, shares outstanding (in shares) | shares | 16,164,000 | 13,811,000 |
Asset Pledged as Collateral | ||
Receivables on unsettled trades | $ 104,772 | $ 0 |
Residential Mortgage | ||
Residential mortgage loans, at fair value, pledged as collateral | 502,956 | 46,571 |
Agency | ||
Fair value of investments pledged as collateral under repurchase agreements | 689,871 | 460,949 |
Non-Agency | ||
Fair value of investments pledged as collateral under repurchase agreements | 3,454 | 28,653 |
CMBS | ||
Fair value of investments pledged as collateral under repurchase agreements | $ 31,614 | $ 42,669 |
Consolidated Statements of Oper
Consolidated Statements of Operations (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | ||
Net Interest Income | |||||
Interest income | $ 14,228 | $ 13,369 | $ 26,347 | $ 53,637 | |
Interest expense | 5,294 | 8,613 | 9,355 | 28,584 | |
Total Net Interest Income | 8,934 | 4,756 | 16,992 | 25,053 | |
Other Income/(Loss) | |||||
Net realized gain/(loss) | 4,374 | (91,609) | 336 | (242,752) | |
Net interest component of interest rate swaps | (1,573) | 0 | (2,314) | 923 | |
Unrealized gain/(loss), net | 9,685 | 100,179 | 29,534 | (208,032) | |
Other income/(loss), net | 0 | (155) | 37 | 1,497 | |
Total Other Income/(Loss) | 12,486 | 8,415 | 27,593 | (448,364) | |
Expenses | |||||
Management fee to affiliate | 1,667 | 1,678 | 3,321 | 3,827 | |
Other operating expenses | 4,866 | 4,557 | 8,849 | 5,487 | |
Restructuring related expenses | 0 | 7,104 | 0 | 8,604 | |
Excise tax | 0 | 0 | 0 | (815) | |
Servicing fees | 672 | 566 | 1,287 | 1,145 | |
Total Expenses | 7,205 | 13,905 | 13,457 | 18,248 | |
Income/(loss) before equity in earnings/(loss) from affiliates | 14,215 | (734) | 31,128 | (441,559) | |
Equity in earnings/(loss) from affiliates | 1,278 | 3,434 | 27,614 | (40,758) | |
Net income/(loss) from continuing operations | 15,493 | 2,700 | 58,742 | (482,317) | |
Net Income/(Loss) from Discontinued Operations | 0 | 361 | 0 | 361 | |
Net Income/(Loss) | 15,493 | 3,061 | 58,742 | (481,956) | |
Gain on Exchange Offers, net (Note 11) | 114 | 0 | 472 | 0 | |
Dividends on preferred stock | [1] | (4,689) | (5,667) | (9,613) | (11,334) |
Net Income/(Loss) Available to Common Stockholders | $ 10,918 | $ (2,606) | $ 49,601 | $ (493,290) | |
Earnings/(Loss) Per Share - Basic | |||||
Continuing Operations (in dollars per share) | [2] | $ 0.70 | $ (0.27) | $ 3.34 | $ (45.14) |
Discontinued Operations (in dollars per share) | [2] | 0 | 0.03 | 0 | 0.03 |
Total Earnings/(Loss) Per Share of Common Stock (in dollars per share) | [2] | 0.70 | (0.24) | 3.34 | (45.11) |
Earnings/(Loss) Per Share - Diluted | |||||
Continuing Operations (in dollars per share) | [2] | 0.70 | (0.27) | 3.34 | (45.14) |
Discontinued Operations (in dollars per share) | [2] | 0 | 0.03 | 0 | 0.03 |
Total Earnings/(Loss) Per Share of Common Stock (in dollars per share) | [2] | $ 0.70 | $ (0.24) | $ 3.34 | $ (45.11) |
Weighted Average Number of Shares of Common Stock Outstanding | |||||
Basic (in shares) | [2] | 15,595 | 10,953 | 14,860 | 10,935 |
Diluted (in shares) | [2] | 15,595 | 10,953 | 14,860 | 10,935 |
[1] | (1) The three and six months ended June 30, 2020 include cumulative and undeclared dividends of $5.7 million on the Company's Preferred Stock as of June 30, 2020. | ||||
[2] | Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. See Note 2 and Note 11 for additional details. |
Consolidated Statements of Op_2
Consolidated Statements of Operations (Unaudited) (Parenthetical) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended |
Jun. 30, 2020 | Jun. 30, 2020 | |
Income Statement [Abstract] | ||
Cumulative and undeclared dividends | $ 5.7 | $ 5.7 |
Consolidated Statements of Stoc
Consolidated Statements of Stockholders’ Equity (Unaudited) - USD ($) shares in Thousands, $ in Thousands | Total | Common Stock | Preferred Stock | Additional Paid-in Capital | [1] | Retained Earnings/(Deficit) | ||
Beginning Balance (in shares) at Dec. 31, 2019 | [1] | 10,913 | ||||||
Beginning Balance at Dec. 31, 2019 | $ 849,046 | $ 109 | [1] | $ 272,457 | $ 662,401 | $ (85,921) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Net proceeds from issuance of common stock (in shares) | [1] | 334 | ||||||
Net proceeds from issuance of common stock | 3,499 | $ 4 | [1] | 3,495 | ||||
Grant of restricted stock and amortization of equity based compensation (in shares) | [1] | 27 | ||||||
Grant of restricted stock and amortization of equity based compensation | 456 | 456 | ||||||
Preferred dividends declared | (5,667) | (5,667) | ||||||
Net Income/(Loss) | (481,956) | (481,956) | ||||||
Ending Balance (in shares) at Jun. 30, 2020 | [1] | 11,274 | ||||||
Ending Balance at Jun. 30, 2020 | 365,378 | $ 113 | [1] | 272,457 | 666,352 | (573,544) | ||
Beginning Balance (in shares) at Mar. 31, 2020 | [1] | 10,915 | ||||||
Beginning Balance at Mar. 31, 2020 | 358,665 | $ 109 | [1] | 272,457 | 662,704 | (576,605) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Net proceeds from issuance of common stock (in shares) | [1] | 334 | ||||||
Net proceeds from issuance of common stock | 3,499 | $ 4 | [1] | 3,495 | ||||
Grant of restricted stock and amortization of equity based compensation (in shares) | [1] | 25 | ||||||
Grant of restricted stock and amortization of equity based compensation | 153 | 153 | ||||||
Net Income/(Loss) | 3,061 | 3,061 | ||||||
Ending Balance (in shares) at Jun. 30, 2020 | [1] | 11,274 | ||||||
Ending Balance at Jun. 30, 2020 | 365,378 | $ 113 | [1] | 272,457 | 666,352 | (573,544) | ||
Beginning Balance (in shares) at Dec. 31, 2020 | [1] | 13,811 | ||||||
Beginning Balance at Dec. 31, 2020 | 409,705 | $ 138 | [1] | 238,478 | 689,147 | (518,058) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Net proceeds from issuance of common stock (in shares) | [1] | 972 | ||||||
Net proceeds from issuance of common stock | 13,133 | $ 10 | [1] | 13,123 | ||||
Grant of restricted stock and amortization of equity based compensation (in shares) | [1] | 13 | ||||||
Grant of restricted stock and amortization of equity based compensation | 160 | 160 | ||||||
Common dividends declared | (6,185) | (6,185) | ||||||
Preferred dividends declared | (9,668) | (9,668) | ||||||
Exchange Offers (in shares) | [1] | 1,368 | ||||||
Exchange Offers | (10) | $ 14 | [1] | (18,006) | 17,510 | 472 | ||
Net Income/(Loss) | 58,742 | 58,742 | ||||||
Ending Balance (in shares) at Jun. 30, 2021 | [1] | 16,164 | ||||||
Ending Balance at Jun. 30, 2021 | 465,877 | $ 162 | [1] | 220,472 | 719,940 | (474,697) | ||
Beginning Balance (in shares) at Mar. 31, 2021 | [1] | 15,500 | ||||||
Beginning Balance at Mar. 31, 2021 | 455,305 | $ 156 | [1] | 226,297 | 711,055 | (482,203) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Net proceeds from issuance of common stock (in shares) | [1] | 227 | ||||||
Net proceeds from issuance of common stock | 3,100 | $ 2 | [1] | 3,098 | ||||
Grant of restricted stock and amortization of equity based compensation (in shares) | [1] | 6 | ||||||
Grant of restricted stock and amortization of equity based compensation | 80 | 80 | ||||||
Common dividends declared | (3,394) | (3,394) | ||||||
Preferred dividends declared | (4,707) | (4,707) | ||||||
Exchange Offers (in shares) | [1] | 431 | ||||||
Exchange Offers | 0 | $ 4 | [1] | (5,825) | 5,707 | 114 | ||
Net Income/(Loss) | 15,493 | 15,493 | ||||||
Ending Balance (in shares) at Jun. 30, 2021 | [1] | 16,164 | ||||||
Ending Balance at Jun. 30, 2021 | $ 465,877 | $ 162 | [1] | $ 220,472 | $ 719,940 | $ (474,697) | ||
[1] | Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. See Note 2 and Note 11 for additional details. |
Consolidated Statements of St_2
Consolidated Statements of Stockholders’ Equity (Unaudited) (Parenthetical) | Jul. 22, 2021 | Jul. 12, 2021 |
Subsequent Event | ||
Reverse stock split ratio | 0.3333 | 0.3333 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2021 | Jun. 30, 2020 | |
Cash Flows from Operating Activities | ||
Net income/(loss) | $ 58,742 | $ (481,956) |
Net Income/(Loss) from Discontinued Operations | 0 | (361) |
Net income/(loss) from continuing operations | 58,742 | (482,317) |
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: | ||
Net amortization of premium/(discount) | 363 | (3,926) |
Net realized (gain)/loss | (336) | 242,752 |
Unrealized (gain)/loss, net | (29,534) | 208,032 |
Foreign currency (gain)/loss, net | (14) | (1,493) |
Equity based compensation to affiliate | 0 | 163 |
Equity based compensation expense | 160 | 293 |
(Income)/Loss from investments in debt and equity of affiliates in excess of distributions received | (18,089) | 42,037 |
Change in operating assets/liabilities: | ||
Other assets | (1,741) | 6,442 |
Other liabilities | 325 | (10,416) |
Net cash provided by (used in) continuing operating activities | 9,876 | 1,567 |
Net cash provided by (used in) discontinued operating activities | 0 | (726) |
Net cash provided by (used in) operating activities | 9,876 | 841 |
Cash Flows from Investing Activities | ||
Purchase of real estate securities | (768,794) | (29,599) |
Purchase of residential mortgage loans | (655,627) | (481,470) |
Origination of commercial loans | (1,881) | (6,729) |
Purchase of commercial loans | (3,377) | (12,471) |
Investments in debt and equity of affiliates | (3,029) | (43,208) |
Proceeds from sales of real estate securities | 453,863 | 2,683,595 |
Proceeds from sales of residential mortgage loans | 45,615 | 387,408 |
Proceeds from sales of commercial loans | 74,579 | 34,200 |
Principal repayments on real estate securities | 30,165 | 102,895 |
Principal repayments on excess MSRs | 438 | 1,942 |
Principal repayments on commercial loans | 195 | 0 |
Principal repayments on residential mortgage loans | 33,651 | 37,390 |
Distributions received in excess of income from investments in debt and equity of affiliates | 37,804 | 24,212 |
Net settlement of interest rate swaps and other instruments | 11,518 | (73,295) |
Net settlement of TBAs | 0 | 4,610 |
Cash flows provided by (used in) other investing activities | 2,244 | (1,056) |
Net cash provided by (used in) investing activities | (742,636) | 2,628,424 |
Cash Flows from Financing Activities | ||
Net proceeds from issuance of common stock | 13,133 | 3,499 |
Borrowings under financing arrangements | 7,875,275 | 12,701,999 |
Repayments of financing arrangements | (7,231,853) | (15,339,611) |
Deferred financing costs paid | (200) | 0 |
Borrowing under secured debt | 0 | 20,000 |
Repayments of secured debt | (10,000) | 0 |
Proceeds from issuance of securitized debt | 203,625 | 3,000 |
Principal repayments on securitized debt | (78,931) | (9,223) |
Net collateral received from (paid to) repurchase counterparty | 800 | (44,413) |
Dividends paid on common stock | (4,034) | (14,734) |
Dividends paid on preferred stock | (9,668) | (5,667) |
Net cash provided by continuing financing activities | 758,147 | (2,685,150) |
Net change in cash and cash equivalents and restricted cash | 25,387 | (55,885) |
Cash and cash equivalents and restricted cash, Beginning of Period | 62,318 | 125,369 |
Effect of exchange rate changes on cash | 10 | (250) |
Cash and cash equivalents and restricted cash, End of Period | 87,715 | 69,234 |
Supplemental disclosure of cash flow information: | ||
Cash paid for interest on financing arrangements | 8,917 | 38,778 |
Cash paid for excise and income taxes | 16 | 1,010 |
Supplemental disclosure of non-cash financing and investing activities: | ||
Receivable on unsettled trades | 106,247 | 0 |
Common stock dividends declared but not paid | 3,394 | 0 |
Exchange Offers (Note 11) | 18,006 | 0 |
Transfer of real estate securities in satisfaction of repurchase agreements | 0 | 345,066 |
Change in repurchase agreements from transfer of real estate securities | 0 | 344,685 |
Decrease in securitized debt | 0 | 7,091 |
Transfer from residential mortgage loans to other assets | 923 | 793 |
Transfer from investments in debt and equity of affiliates to CMBS | $ 0 | $ 11,769 |
Consolidated Statements of Ca_2
Consolidated Statements of Cash Flows (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Statement of Cash Flows [Abstract] | ||||
Cash and cash equivalents | $ 64,007 | $ 47,926 | $ 68,150 | |
Restricted cash | 23,708 | 14,392 | 1,084 | |
Total cash and cash equivalents and restricted cash shown in the consolidated statements of cash flows | $ 87,715 | $ 62,318 | $ 69,234 | $ 125,369 |
Organization
Organization | 6 Months Ended |
Jun. 30, 2021 | |
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 mortgage REIT that opportunistically invests in a diversified risk adjusted portfolio of credit investments and agency investments, which contains the asset classes further described below. The Company's investment groups are primarily comprised of the following: Investment Groups Description Credit - Residential Residential mortgage loans • Residential mortgage loans represent pools of fixed- and adjustable-rate loans collateralized by Non-QM, re-performing, and non-performing mortgages. • Non-QM Loans are residential mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Finance Protection Bureau. • Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property. Non-Agency Residential Mortgage-Backed Securities ("RMBS") • Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities other than U.S. government-sponsored entity ("GSE") or agency of the U.S. government. The mortgage loan collateral for Non-Agency RMBS consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by a GSE or agency of the U.S. government. Credit - Commercial Commercial Mortgage-Backed Securities ("CMBS") • CMBS represent investments of fixed- and floating-rate CMBS 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 commercial mortgage loans to multiple borrowers. Commercial Loans • 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. Agency RMBS • Agency RMBS represent interests in pools of residential mortgage loans guaranteed by a GSE such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government such as Ginnie Mae. Excess MSRs • Excess MSRs represent the excess servicing spread related to mortgage servicing rights, whose underlying collateral is securitized in a trust held by a GSE or agency of the U.S. government ("Agency Excess MSR"). The Company refers to its residential and commercial mortgage loans as "mortgage loans" or "loans." The Company refers to Agency RMBS, Non-Agency RMBS, and CMBS asset types as "real estate securities" or "securities." Credit investments include loans, Non-Agency RMBS, and CMBS and agency investments include Agency RMBS and Agency Excess MSRs. The Company conducts its business through one reportable segment, Securities and Loans, which reflects how the Company manages its business and analyzes and reports its results of operations. On November 15, 2019, the Company sold its portfolio of single-family rental properties ("SFR portfolio") to a third party, which was previously reported as a separate operating segment. The sale of the Company's SFR portfolio met the criteria for discontinued operations. 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 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 The novel coronavirus ("COVID-19") pandemic has caused significant disruptions in the U.S. and world economies resulting in lost business revenues, 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. Beginning in mid-March 2020, the global pandemic associated with COVID-19 and the related economic conditions caused financial and mortgage-related asset markets to come under extreme duress, resulting in credit spread widening, a sharp decrease in interest rates and unprecedented illiquidity in repurchase agreement financing and mortgage-backed securities ("MBS") markets. The illiquidity was exacerbated by inadequate demand for MBS among primary dealers due to balance sheet constraints. Refer to Note 2 "Financing arrangements" for further details related to the impact to the Company as a result of these economic conditions. Although market conditions have improved in quarters subsequent to March 2020, the full impact of COVID-19 on the mortgage REIT industry, credit markets, and, consequently, on the Company’s financial condition and results of operations for future periods remains uncertain. |
Summary of significant accounti
Summary of significant accounting policies | 6 Months Ended |
Jun. 30, 2021 | |
Accounting Policies [Abstract] | |
Summary of significant accounting policies | Summary of significant accounting policies The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for-three reverse stock split which was effected following the close of business on July 22, 2021. Certain prior period amounts have been reclassified to conform to the current period’s presentation. In the opinion of management, all adjustments considered necessary for a fair presentation of the Company’s financial position, results of operations, and cash flows have been included for the interim period and are of a normal and recurring nature. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. Cash and cash equivalents Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents may include cash invested in money market funds. Cash and cash equivalents are carried at cost, which approximates fair value. 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. Use of estimates The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates. Earnings/(Loss) per share In accordance with the provisions of Accounting Standards Codification ("ASC") 260, "Earnings per Share," the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock, and unvested restricted stock units, using 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. Potential dilutive shares are excluded from the calculation if they have an anti-dilutive effect in the period. Reverse stock split On July 12, 2021, the Company announced that its board of directors approved a one-for-three reverse stock split of the Company's outstanding shares of common stock. The reverse stock split was effected following the close of business on July 22, 2021 (the "Effective Time"). At the Effective Time, every three issued and outstanding shares of the Company’s common stock were combined into one share of the Company’s common stock. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock on the date of the Effective Time. The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares. There was no change in the Company's authorized capital stock or par value of each share of common stock as a result of the reverse stock split. All per share amounts and common shares outstanding for all periods presented in the unaudited consolidated financial statements have been adjusted on a retroactive basis to reflect the Company's reverse stock split. 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. 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), 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. 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. 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), 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. On January 1, 2020, the Company adopted ASU 2016-13, "Financial Instruments – Credit Losses" ("ASU 2016-13"). The impact of the guidance on accounting for the Company's debt securities and loans is limited to recognition of effective yield. The Company measures its debt securities and loans at fair value with any changes recognized through net income and it 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. 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. Investments in debt and equity of affiliates The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method. Substantially all 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. Certain 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. Arc Home 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"). 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. From time to time, the Company acquires newly originated Non-QM Loans from Arc Home with the intent to securitize the assets and obtain non-recourse financing. In connection with the sale of loans from Arc Home to the Company, gains or losses recorded by Arc Home are consolidated into AG Arc. In accordance with ASC 323-10, for loans acquired from Arc Home that remain on the Company's consolidated balance sheet at period end, the Company eliminates any profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans accordingly. For the three and six months ended June 30, 2021, the Company eliminated $1.4 million and $1.9 million of intra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company. As the Company did not purchase any loans from Arc Home during three and six months ended June 30, 2020, it did not eliminate any intra-entity profits during the three and six months ended June 30, 2020. MATH 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. MATT made an election to be treated as a real estate investment trust beginning with the 2018 tax year. As of June 30, 2021, MATT primarily holds retained tranches from securitizations. LOTS 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"). Summary of investments in debt and equity of affiliates The below tables reconcile the fair value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets (in thousands). June 30, 2021 December 31, 2020 Assets Liabilities Equity Assets Liabilities Equity Non-QM Loans (1) $ 77,683 $ (48,813) $ 28,870 $ 153,200 $ (111,135) $ 42,065 Land Related Financing 17,857 — 17,857 22,824 — 22,824 Other (2) 44,445 (11,351) 33,094 41,940 (5,588) 36,352 Real Estate Securities and Loans, at fair value $ 139,985 $ (60,164) $ 79,821 $ 217,964 $ (116,723) $ 101,241 AG Arc, at fair value 50,862 — 50,862 45,341 — 45,341 Cash and Other assets/(liabilities) 8,177 (2,992) 5,185 5,279 (1,194) 4,085 Investments in debt and equity of affiliates $ 199,024 $ (63,156) $ 135,868 $ 268,584 $ (117,917) $ 150,667 (1) As of June 30, 2021 and December 31, 2020, Non-QM Loans excluded loans with an unpaid principal balance of $11.2 million and $17.3 million, respectively, 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 below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations (in thousands). Three Months Ended Six Months Ended June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 Non-QM Loans $ 1,275 $ (8,115) $ 15,921 $ (34,844) AG Arc (1) (2,706) 9,510 3,634 (516) Land Related Financing 540 473 1,250 1,137 Other 2,169 1,566 6,809 (6,535) Equity in earnings/(loss) from affiliates $ 1,278 $ 3,434 $ 27,614 $ (40,758) (1) The earnings/(loss) at AG Arc during the three and six months ended June 30, 2021 were primarily the result of $0.2 million and $4.4 million, respectively, of net income related to Arc Home's lending and servicing operations and $(2.8) million and $(1.2) million, respectively, related to changes in the fair value of the MSR portfolio held by Arc Home. Earnings/(loss) recognized by AG Arc does not include the Company's portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to the Company. For the three and six months ended June 30, 2021, the Company eliminated $1.4 million and $1.9 million, respectively, of intra-entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans the Company purchased by the same amount, as described above. 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 (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities, or (iii) 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 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 enters into securitization transactions of certain of its residential mortgage loans, which results in the Company consolidating the respective VIEs that are created to facilitate these transactions and to which the underlying assets in connection with these securitizations are transferred ("Residential Mortgage Loan VIEs"). The Company has entered into securitization transactions on certain of its Non-QM Loans ("Non-QM VIEs"), as well as certain of its re- and non-performing loans ("RPL/NPL VIEs"). 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 Residential Mortgage Loan VIEs. 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 Residential Mortgage Loan VIEs 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 Residential Mortgage Loan VIEs 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 3 for more detail regarding the Residential Mortgage Loan VIEs and Note 5 for more detail 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 value. 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 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. For Agency RMBS, exclusive of interest-only securities, prepayments of the underlying collateral are estimated on a quarterly basis, 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 and loans, including Non-Agency RMBS, CMBS, interest-only securities, Non-QM Loans, 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. For security and loan investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, the Company will apply the provisions of ASC 310-30. For purposes of income recognition, the Company aggregates loans that have common risk characteristics into pools and uses a composite interest rate and expectation of cash flows expected to be collected for the pool. ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities (loans) acquired in a transfer if those differences are attributable, at least in part, to credit quality. ASC 310-30 limits the yield that may be accreted (accretable yield) to the excess of the investor’s estimate of undiscounted expected principal, interest and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan. ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) not be recognized as an adjustment of yield, loss accrual or valuation allowance. Subsequent changes in cash flows expected to be collected generally should be recognized prospectively through an adjustment of the loan’s yield over its remaining life. Financing arrangements The Company finances the acquisition of certain assets within its |
Loans
Loans | 6 Months Ended |
Jun. 30, 2021 | |
Receivables [Abstract] | |
Loans | Loans Residential mortgage loans For the three months ended June 30, 2021, the Company purchased Non-QM Loans with a gross aggregate unpaid principal balance and a gross acquisition fair value of $426.8 million and $446.2 million, respectively. For the six months ended June 30, 2021, the Company purchased Non-QM Loans with a gross aggregate unpaid principal balance and a gross acquisition fair value of $625.2 million and $654.7 million, respectively. A portion of these loans were purchased from Arc Home. See Note 10 for more detail. For the three and six months ended June 30, 2021, the Company sold 367 loans for total proceeds of $45.6 million and one residual position where the Company previously consolidated the securitization for total proceeds of $1.6 million, which was unsettled as of quarter end, recording realized gains of $8.1 million and realized losses of $0.4 million. For the three months ended June 30, 2020, the Company sold 2,357 loans for total proceeds of $382.8 million, recording realized gains of $1.4 million and realized losses of $55.5 million. For the six months ended June 30, 2020, the Company sold 2,358 loans for total proceeds of $391.5 million, recording realized gains of $1.4 million and realized losses of $58.6 million. The table below details information regarding the Company’s residential mortgage loan portfolio as of June 30, 2021 and December 31, 2020 ($ in thousands): Gross Unrealized Weighted Average Unpaid Principal Balance Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Non-QM Loans $ 621,095 $ 26,556 $ 647,651 $ 8,473 $ (972) $ 655,152 4.86 % 3.61 % 3.85 Re- and Non-Performing Loans 415,942 (52,530) 363,412 15,947 (5,267) 374,092 3.59 % 6.00 % 6.98 Total at June 30, 2021 (2) $ 1,037,037 $ (25,974) $ 1,011,063 $ 24,420 $ (6,239) $ 1,029,244 4.36 % 4.48 % 5.11 Re- and Non-Performing Loans at December 31, 2020 (3) $ 500,980 $ (69,007) $ 431,973 $ 13,640 $ (10,172) $ 435,441 3.58 % 5.69 % 6.67 (1) This is based on projected life. Typically, actual maturities 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 June 30, 2021, the Company’s residential mortgage loan portfolio was comprised of 3,825 loans with original loan balances between $5.6 thousand and $3.7 million. Additionally, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $28.9 million. (3) 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. The table below details information regarding the Company’s residential mortgage loans as of June 30, 2021 and December 31, 2020 (in thousands): June 30, 2021 December 31, 2020 Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance Non-QM Loans $ 655,152 $ 621,095 $ — $ — Re-Performing 267,853 291,301 312,733 347,359 Non-Performing 99,689 116,520 113,976 134,129 Other (1) 6,550 8,121 8,732 19,492 $ 1,029,244 $ 1,037,037 $ 435,441 $ 500,980 (1) Represents residual positions where the Company consolidates a securitization and the positions are recorded in the Company's consolidated balance sheets as residential mortgage loans. There may be limited data available regarding the underlying collateral of such securitizations. The Company’s residential 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 residential mortgage loan portfolio as of June 30, 2021 and December 31, 2020, excluding any loans classified as Other above: Geographic Concentration of Credit Risk June 30, 2021 December 31, 2020 Percentage of fair value of mortgage loans secured by properties in the following states representing 5% or more of fair value: California 36 % 17 % Florida 13 % 11 % New York 11 % 10 % New Jersey 5 % 6 % The following is a summary of the changes in the accretable portion of the discount for the Company’s re-performing and non-performing loan portfolios for the three and six months ended June 30, 2021 and 2020, which is determined by the excess of the Company’s estimate of undiscounted principal expected to be collected in excess of the amortized cost of the mortgage loan (in thousands). The table excludes residual positions where the Company consolidates a securitization and the positions are recorded in the Company's consolidated balance sheets as residential mortgage loans. Three Months Ended Six Months Ended June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 Beginning Balance $ 55,003 $ 50,291 $ 56,907 $ 41,472 Additions — — — 15,250 Accretion (789) (1,021) (2,351) (3,290) Reclassifications from/(to) non-accretable difference 2,955 2,230 2,677 (1,850) Disposals (5,497) (14,213) (5,561) (14,295) Ending Balance $ 51,672 $ 37,287 $ 51,672 $ 37,287 Variable interest entities The following table details certain information related to the assets and liabilities of the Residential Loan VIEs as of June 30, 2021 and December 31, 2020 (in thousands): June 30, 2021 December 31, 2020 Assets Residential mortgage loans, at fair value $ 589,394 $ 426,604 Restricted cash 1,561 2,110 Other assets 3,228 3,705 Total assets $ 594,183 $ 432,419 Liabilities Financing arrangements $ 42,158 $ 25,590 Securitized debt, at fair value 482,533 355,159 Other liabilities 498 519 Total liabilities $ 525,189 $ 381,268 The following table details additional information regarding residential mortgage loans and securitized debt related to the Residential Loan VIEs as of June 30, 2021 and December 31, 2020 ($ in thousands): Weighted Average As of: Current Unpaid Principal Balance Fair Value Coupon Yield Life (Years) (1) June 30, 2021 Non-QM Loan VIEs Non-QM Loans $ 208,505 $ 221,852 4.63 % 3.65 % 3.69 Securitized debt 201,383 201,580 1.25 % 1.25 % 2.05 RPL/NPL VIEs Re- and Non-Performing Loans 407,822 367,542 4.07 % 4.98 % 6.12 Securitized debt 279,713 280,953 2.26 % 2.28 % 3.19 December 31, 2020 RPL/NPL VIEs Re- and Non-Performing Loans $ 481,346 $ 426,604 3.58 % 5.61 % 6.78 Securitized debt 356,631 355,159 2.98 % 3.00 % 3.85 (1) This is based on projected life. Typically, actual maturities 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 Residential Loan VIEs. Commercial loans For the three months ended June 30, 2021, the Company did not sell any commercial loans. For the six months ended June 30, 2021, the Company sold two commercial loans for total proceeds of $74.3 million, recording realized losses of $2.9 million. For the three and six months ended June 30, 2020, the Company sold one commercial loan for total proceeds of $34.2 million, recording realized losses of $1.7 million. During the fourth quarter of 2020, the Company and the borrower of Commercial Loan L entered into a modification agreement which, among other things, required the borrower to pay previously deferred interest in full, deferred interest for the 12-month period following the modification, and required funding of capital reserves by the borrower. The loan was placed on non-accrual status upon modification and was on non-accrual status as of June 30, 2021 and December 31, 2020. As a result of the modification, the loan is classified as a troubled debt restructuring under GAAP. As of June 30, 2021, Commercial Loan K was in maturity default as a result of failing to meet the required terms for extension under the loan documents. The Company continues to evaluate its options with respect to the Commercial Loan K and may exercise its remedies under the loan documents, which may include a foreclosure against the collateral. The following tables present detail on the Company’s commercial loan portfolio as of June 30, 2021 and December 31, 2020 ($ in thousands). The gross unrealized gains/(losses) columns in the tables below represent inception to date unrealized gains/(losses). June 30, 2021 Weighted Average Loan (1)(2) Current Face Premium Amortized Cost Gross Unrealized Losses Fair Value (3) Coupon Yield (5) Life Extended Maturity Location Collateral Type Loan K (8) $ 18,809 $ — $ 18,809 $ (400) $ 18,409 10.00 % 12.75 % 0.09 February 22, 2024 NY Hotel, Retail Loan L (8) 51,000 (337) 50,663 (6,793) 43,870 N/A N/A 3.11 July 22, 2024 IL Hotel, Retail Total $ 69,809 $ (337) $ 69,472 $ (7,193) $ 62,279 2.69 % 3.77 % 2.29 (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 June 30, 2021. (3) Fair value includes the value of unfunded commitments. (4) Each commercial loan investment has a variable coupon rate. (5) Yield includes any exit fees. (6) Actual maturities 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. As of June 30, 2021, Commercial Loan K was in maturity default related to its initial maturity which was in May 2021 as described above. (8) Loan K and Loan L are comprised of first mortgage and mezzanine loans. December 31, 2020 Weighted Average Loan (1) Current Face Premium Amortized Cost Gross Unrealized Losses Fair Value (2) Coupon (3) Yield (4) Life Extended Location Collateral Type Commercial Loans, at fair value Loan G (7) $ 59,451 $ — $ 59,451 $ (3,940) $ 55,511 5.27 % 5.27 % 1.54 July 9, 2022 CA Condo, Retail, Hotel Loan K (8) 15,787 — 15,787 (1,100) 14,687 10.00 % 10.83 % 1.27 February 22, 2024 NY Hotel, Retail Loan L (8) 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 (9) 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) Fair value includes the value of unfunded commitments. (3) Each commercial loan investment has a variable coupon rate. (4) Yield includes any exit fees. (5) Actual maturities may be shorter or longer than stated contractual maturities. Maturities are affected by prepayments of principal. (6) Represents the maturity date of the last possible extension option. (7) Loan G is a first mortgage loan. (8) Loan K and Loan L are comprised of first mortgage and mezzanine loans. |
Real Estate Securities
Real Estate Securities | 6 Months Ended |
Jun. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Real Estate Securities | Real Estate Securities The following tables detail the Company’s real estate securities portfolio as of June 30, 2021 and December 31, 2020 ($ in thousands). The gross unrealized gains/(losses) stated in the tables below represent inception to date unrealized gains/(losses). June 30, 2021 Gross Unrealized Weighted Average Current Face Premium / (Discount) Amortized Cost Gains Losses Fair Value Coupon (1) Yield Agency RMBS: 30 Year Fixed Rate $ 677,514 $ 24,329 $ 701,843 $ 1,425 $ (6,564) $ 696,704 2.26 % 1.73 % Credit Investments: Residential Investments Prime 6,874 (4,646) 2,228 467 — 2,695 3.50 % 15.21 % Re/Non-Performing Securities 1,170 (157) 1,013 170 — 1,183 5.25 % 21.28 % Total Residential Investments: 8,044 (4,803) 3,241 637 — 3,878 3.92 % 17.06 % Commercial Investments Single-Asset/Single-Borrower 35,500 (48) 35,452 — (3,838) 31,614 4.03 % 4.39 % Total Credit Investments: 43,544 (4,851) 38,693 637 (3,838) 35,492 4.02 % 5.78 % Total $ 721,058 $ 19,478 $ 740,536 $ 2,062 $ (10,402) $ 732,196 2.36 % 1.92 % December 31, 2020 Gross Unrealized Weighted Average Current Face Premium / (Discount) Amortized Cost 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 as of December 31, 2020. The overall impact of the investments' yields on the Company's portfolio is not meaningful. (3) Comprised of Freddie Mac K-Series interest-only bonds. The following tables detail the weighted average life of our real estate securities as of June 30, 2021 and December 31, 2020 ($ in thousands): June 30, 2021 Agency RMBS Credit Investments Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon (2) Less than or equal to 1 year $ — $ — — % $ 32,596 $ 36,349 4.07 % Greater than five years and less than or equal to ten years 662,740 667,450 2.28 % 2,472 2,195 3.50 % Greater than ten years 33,964 34,393 2.00 % 424 149 — % Total $ 696,704 $ 701,843 2.26 % $ 35,492 $ 38,693 4.02 % December 31, 2020 Agency RMBS Credit Investments Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon (2) Less than or equal to 1 year $ — $ — — % $ 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 are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal. (2) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. For the three months ended June 30, 2021, the Company sold 39 real estate securities for total proceeds of $341.5 million, with an additional $104.6 million of proceeds on three unsettled security sales, recording realized gains of $9.9 million and realized losses of $14.3 million. For the six months ended June 30, 2021, the Company sold 66 real estate securities for total proceeds of $453.3 million, with an additional $104.6 million of proceeds on three unsettled security sales, recording realized gains of $12.4 million and realized losses $17.3 million. For the three months ended June 30, 2020, the Company sold, directly or as a result of financing counterparty seizures, 87 securities for total proceeds of $234.5 million, recording realized gains of $9.3 million and realized losses of $45.6 million. For the six months ended June 30, 2020, the Company sold, directly or as a result of financing counterparty seizures, 316 securities for total proceeds of $2.7 billion, recording realized gains of $53.2 million and realized losses of $175.8 million. |
Fair value measurements
Fair value measurements | 6 Months Ended |
Jun. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair value measurements | Fair value measurements The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of June 30, 2021 (in thousands): Fair Value at June 30, 2021 Level 1 Level 2 Level 3 Total Assets: Residential mortgage loans $ — $ 866 $ 1,028,378 $ 1,029,244 Agency RMBS: 30 Year Fixed Rate — 696,704 — 696,704 Credit Investments: Non-Agency RMBS (1) — 2,695 1,183 3,878 CMBS (2) — 31,614 — 31,614 Commercial loans — — 62,279 62,279 Excess mortgage servicing rights — — 2,608 2,608 Derivative assets (3) — 13,409 — 13,409 AG Arc (4) — — 50,862 50,862 Total Assets Measured at Fair Value $ — $ 745,288 $ 1,145,310 $ 1,890,598 Liabilities: Securitized debt $ — $ — $ (482,533) $ (482,533) Derivative liabilities (3) — (1,334) — (1,334) Total Liabilities Measured at Fair Value $ — $ (1,334) $ (482,533) $ (483,867) (1) Non-Agency RMBS is comprised of Prime and Re/Non-Performing Securities. (2) CMBS represents Single-Asset/Single-Borrower Securities. (3) As of June 30, 2021, the Company applied a reduction in fair value of $13.3 million and $1.0 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively. Refer to Note 2 and Note 7 for more information on the Company's accounting policies with regard to derivatives. (4) 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, 2020 (in thousands): Fair value at December 31, 2020 Level 1 Level 2 Level 3 Total Assets: Residential mortgage loans $ — $ 2,134 $ 433,307 $ 435,441 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 Commercial loans — — 125,508 125,508 Excess mortgage servicing rights — — 3,158 3,158 Derivative assets (3) — 1,356 — 1,356 AG Arc (4) — — 45,341 45,341 Total Assets Measured at Fair Value $ — $ 613,936 $ 610,414 $ 1,224,350 Liabilities: Securitized debt $ — $ — $ (355,159) $ (355,159) Derivative liabilities (3) — (294) — (294) Total Liabilities Measured at Fair Value $ — $ (294) $ (355,159) $ (355,453) (1) Non-Agency RMBS is comprised of Prime, Alt-A/Subprime, Credit Risk Transfer, 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) 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. Refer to Note 2 and Note 7 for more information on the Company's accounting policies with regard to derivatives. (4) 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. Values for the Company’s securities, Excess MSRs, 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 determining the fair value of the Company's mortgage loans and securitized debt relating to the Residential Loan VIEs, 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 value established for mortgage loans held by the Company may differ from the fair value 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 and securitized debt 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. The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three and six months ended June 30, 2021 and 2020. Refer to the tables below for details on transfers between the Level 3 and Level 2 categories under ASC 820. Transfers into the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of reduced levels of market transparency. Transfers out of the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of increased levels of market transparency and updates to the Company's leveling policy, which are detailed in Note 2. Indications of increases or decreases in levels of market transparency include a change in observable transactions or executable quotes involving these instruments or similar instruments. Changes in these indications could impact price transparency, and thereby cause a change in level designations in future periods. The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: Three Months Ended June 30, 2021 (in thousands) Residential Non-Agency Commercial Excess Mortgage AG Arc Securitized Beginning balance $ 640,739 $ 1,641 $ 58,209 $ 3,000 $ 52,138 $ (344,429) Purchases/Transfers 444,737 — 1,589 — — — Issuances of Securitized Debt — — — — — (203,392) Proceeds from sales of assets (45,615) — — — — — Proceeds from settlement (21,357) (469) — — — 66,154 Total net gains/(losses) (1) Included in net income 9,874 11 2,481 (392) (1,276) (866) Ending Balance $ 1,028,378 $ 1,183 $ 62,279 $ 2,608 $ 50,862 $ (482,533) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2021 (2) $ 2,840 $ 11 $ 2,481 $ (392) $ (1,276) $ (866) (1) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ 3,982 Net realized gain/(loss) 7,126 Equity in earnings/(loss) from affiliates (1,276) Total $ 9,832 (2) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ 4,074 Equity in earnings/(loss) from affiliates (1,276) Total $ 2,798 Three Months Ended June 30, 2020 (in thousands) Residential Non-Agency Commercial Excess Mortgage AG Arc Securitized Beginning balance $ 766,960 $ 5,533 $ 158,051 $ 14,066 $ 18,519 $ (191,346) Purchases/Transfers — — 7,759 — — — Issuances of Securitized Debt — — — — — (3,000) Proceeds from sales of assets (378,729) (68) (34,200) — — — Proceeds from settlement (14,716) (1,159) — — — 3,517 Total net gains/(losses) (1) Included in net income 6,307 190 (3,925) (1,772) 9,511 (8,145) Ending Balance $ 379,822 $ 4,496 $ 127,685 $ 12,294 $ 28,030 $ (198,974) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2020 (2) $ 60,434 $ 4 $ (2,134) $ (1,780) $ 9,511 $ (8,145) (1) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ 48,385 Net realized gain/(loss) (55,730) Equity in earnings/(loss) from affiliates 9,511 Total $ 2,166 (2) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ 48,379 Equity in earnings/(loss) from affiliates 9,511 Total $ 57,890 Six Months Ended June 30, 2021 (in thousands) Residential Non-Agency Commercial Excess Mortgage AG Arc Securitized Beginning balance $ 433,307 $ 3,100 $ 125,508 $ 3,158 $ 45,341 $ (355,159) Transfers (1): Transfers out of level 3 — (1,499) — — — — Purchases/Transfers 652,797 — 5,258 — — — Issuances of Securitized Debt — — — — — (203,392) Proceeds from sales of assets and seizures of assets (45,615) — (74,342) — — — Proceeds from settlement (33,651) (501) (195) — — 78,931 Total net gains/(losses) (2) Included in net income 21,540 83 6,050 (550) 5,521 (2,913) Ending Balance $ 1,028,378 $ 1,183 $ 62,279 $ 2,608 $ 50,862 $ (482,533) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2021 (3) $ 14,601 $ 83 $ 3,219 $ (550) $ 5,521 $ (2,913) (1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2021, the Company transferred one Non-Agency RMBS 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), net $ 20,083 Net realized gain/(loss) 4,127 Equity in earnings/(loss) from affiliates 5,521 Total $ 29,731 (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ 14,440 Equity in earnings/(loss) from affiliates 5,521 Total $ 19,961 Six Months Ended June 30, 2020 (in thousands) Residential Non-Agency Non-Agency CMBS CMBS Interest Commercial Excess AG Arc Securitized Beginning balance $ 417,785 $ 630,115 $ 1,074 $ 366,566 $ 47,992 $ 158,686 $ 17,775 $ 28,546 $ (72,415) Transfers (1): Transfers into level 3 — — — — — — — — (151,933) Transfers out of level 3 — (210,709) (1,074) (170,816) (22,054) — — — 7,230 Purchases/Transfers 479,195 1,559 — 3,540 — 19,200 — — — Issuances of Securitized Debt — — — — — — (3,000) Proceeds from sales of assets and seizures of assets (387,408) (362,199) — (148,111) (21,996) (34,200) — — — Proceeds from settlement (37,390) (10,869) — (9,367) — — — — 9,223 Total net gains/(losses) (2) Included in net income (92,360) (43,401) — (41,812) (3,942) (16,001) (5,481) (516) 11,921 Ending Balance $ 379,822 $ 4,496 $ — $ — $ — $ 127,685 $ 12,294 $ 28,030 $ (198,974) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2020 (3) $ (35,221) $ (550) $ — $ — $ — $ (14,210) $ (5,481) $ (516) $ 11,921 (1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2020, the Company transferred 50 Non-Agency RMBS securities, two Non-Agency RMBS Interest Only securities, 32 CMBS securities, 15 CMBS Interest Only securities and one securitized debt security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. During the six months ended June 30, 2020, the Company transferred one 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), net $ (81,075) Net realized gain/(loss) (110,001) Equity in earnings/(loss) from affiliates (516) Total $ (191,592) (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ (43,541) Equity in earnings/(loss) from affiliates (516) Total $ (44,057) The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value. Asset Class Fair Value at June 30, 2021 (in thousands) Valuation Technique Unobservable Input Range Yield 1.62% - 10.00% (3.42%) Residential Mortgage Loans $ 982,331 Discounted Cash Flow Projected Collateral Prepayments 4.41% - 37.62% (14.40%) Projected Collateral Losses 0.05% - 4.65% (0.96%) Projected Collateral Severities -15.61% - 26.81% (11.99%) $ 5,684 Consensus Pricing Offered Quotes 85.67 - 113.14 (104.07) $ 40,363 Recent Transaction Cost N/A Yield 8.37% - 8.37% (8.37%) Non-Agency RMBS $ 1,183 Discounted Cash Flow Projected Collateral Prepayments 5.41% - 5.41% (5.41%) Projected Collateral Losses 2.92% - 2.92% (2.92%) Projected Collateral Severities -30.09% - -30.09% (-30.09%) Yield 10.12% - 30.06% (13.28%) Commercial Loans $ 62,279 Discounted Cash Flow Credit Spread 901 bps - 2,568 bps (1,185 bps) Recovery Percentage (2) 100.00% - 100.00% (100.00%) Loan-to-Value 48.10% - 92.70% (73.46%) Excess Mortgage Servicing Rights Discounted Cash Flow Yield 9.00% - 9.70% (9.09%) $ 2,521 Projected Collateral Prepayments 10.97% - 16.00% (12.06%) $ 87 Consensus Pricing Offered Quotes 0.30 - 0.30 (0.30) AG Arc $ 50,862 Comparable Multiple Book Value Multiple 1.06x - 1.06x (1.06x) Liability Class Fair Value at June 30, 2021 (in thousands) Valuation Technique Unobservable Input Range Yield 0.98% - 5.00% (2.04%) Securitized debt $ (482,533) Discounted Cash Flow Projected Collateral Prepayments 5.44% - 11.03% (8.65%) Projected Collateral Losses 0.36% - 3.27% (1.42%) Projected Collateral Severities 8.49% - 16.97% (12.33%) (1) Amounts are weighted based on fair value. (2) Represents the proportion of the principal expected to be collected relative to the loan balances as of June 30, 2021. Asset Class Fair Value at December 31, 2020 (in thousands) Valuation Technique Unobservable Input Range 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 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 10.95% - 39.54% (14.09%) Commercial Loans $ 125,508 Discounted Cash Flow Credit Spread 1,001 bps - 3,304 bps (1,279 bps) Recovery Percentage (2) 100.00% - 100.00% (100.00%) Loan-to-Value 43.60% - 97.50% (62.04%) Excess Mortgage Servicing Rights Yield 9.00% - 9.70% (9.08%) $ 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 value. (2) Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2020. As further described above, fair value 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. |
Financing arrangements
Financing arrangements | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
Financing arrangements | Financing arrangements The following table presents a summary of the Company's financing arrangements as of June 30, 2021 and December 31, 2020 ($ in thousands). June 30, 2021 December 31, 2020 Weighted Average Collateral (1)(2)(3) Carrying Value Stated Maturity Funding Cost Life (Years) Amortized Cost Basis Fair Value Carrying Value Repurchase Agreements Residential Mortgage Loans (4)(5) $ 408,656 Sept 2021 - Jan 2022 2.56 % 0.53 $ 491,795 $ 502,956 $ 25,590 Agency RMBS (6) 752,723 July 2021 0.10 % 0.04 694,925 794,643 435,893 Non-Agency RMBS 1,621 July 2021 - Oct 2021 1.97 % 0.08 3,091 3,454 14,550 CMBS 18,518 July 2021 1.59 % 0.02 35,452 31,614 24,881 Total Repurchase Agreements $ 1,181,518 0.98 % 0.21 $ 1,225,263 $ 1,332,667 $ 500,914 Revolving Facilities Commercial Loans (7)(8)(9) $ 25,950 Aug 2023 3.16 % 2.11 $ 50,663 $ 43,870 $ 63,133 Total Financing Arrangements $ 1,207,468 1.03 % 0.25 $ 1,275,926 $ 1,376,537 $ 564,047 (1) The Company also had $0.3 million of cash pledged under repurchase agreements as of June 30, 2021. (2) Under the terms of the Company’s financing agreements, the Company's financing counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. (3) Amounts pledged as collateral under Residential Mortgage Loans include certain of the Company's retained interests in securitizations. Refer to Note 3 for more information on the Residential Loan VIEs. (4) The Company's Residential Mortgage Loan financing arrangements include a maximum uncommitted borrowing capacity of $800 million on facilities used to finance Non-QM Loans. Subsequent to quarter end, the Company amended certain financing arrangements to increase the maximum uncommitted borrowing capacity used to finance Non-QM Loans by $300 million. (5) The funding cost includes deferred financing costs. The stated rate on the Residential Mortgage Loans repurchase agreements was 2.53% as of June 30, 2021. (6) As of June 30, 2021, repurchase agreements on Agency RMBS includes repurchase agreements and collateral on unsettled Agency RMBS sales. (7) The revolving facility is interest only until maturity. (8) The funding cost includes deferred financing costs. The stated rate on the Commercial Loans revolving facility was 2.11% as of June 30, 2021. (9) The Company's commercial loan revolving facility includes a maximum uncommitted borrowing capacity of $100 million. The following table presents contractual maturity information about the Company's borrowings under repurchase agreements and revolving facilities as of June 30, 2021 ($ in thousands). Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Over 12 Months Total Repurchase Agreements Residential Mortgage Loans $ — $ 42,158 $ 366,498 $ — $ 408,656 Agency RMBS 752,723 — — — 752,723 Non-Agency RMBS 1,282 — 339 — 1,621 CMBS 18,518 — — — 18,518 Total Repurchase Agreements $ 772,523 $ 42,158 $ 366,837 $ — $ 1,181,518 Revolving Facilities Commercial Loans $ — $ — $ — $ 25,950 $ 25,950 Total Financing Arrangements $ 772,523 $ 42,158 $ 366,837 $ 25,950 $ 1,207,468 Counterparties The Company had exposure to five counterparties as of June 30, 2021 and December 31, 2020. The following tables present information as of June 30, 2021 and December 31, 2020 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands). June 30, 2021 Counterparty Stockholders’ Equity Weighted Average Percentage of Barclays Capital Inc. $ 105,759 103 22.7 % 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 % 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 and liquidity, leverage ratios, and performance triggers. In addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. To the extent that the Company fails to comply with the covenants contained in these financing arrangements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the associated agreement. Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company. As of June 30, 2021, the Company is in compliance with all of its financial covenants. |
Other assets and liabilities
Other assets and liabilities | 6 Months Ended |
Jun. 30, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Other assets and liabilities | Other assets and liabilities The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of June 30, 2021 and December 31, 2020 (in thousands): June 30, 2021 December 31, 2020 Other assets Interest receivable $ 6,525 $ 2,962 Derivative assets, at fair value 89 — Other assets 3,703 5,538 Due from broker 1,816 907 Total Other assets $ 12,133 $ 9,407 Other liabilities Interest payable $ 976 $ 853 Derivative liabilities, at fair value 310 68 Due to affiliates (1) 3,326 14,041 Accrued expenses 2,266 2,521 Due to broker 2,140 1,272 Total Other liabilities $ 9,018 $ 18,755 (1) Refer to Note 10 for more information. Derivatives The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location as of June 30, 2021 and December 31, 2020 (in thousands). Derivatives and Other Instruments (1) Designation Balance Sheet June 30, 2021 December 31, 2020 Pay Fix/Receive Float Interest Rate Swap Agreements (1) Non-Hedge Other liabilities $ (289) $ (68) TBAs Non-Hedge Other assets 89 — TBAs Non-Hedge Other liabilities (21) — (1) As of June 30, 2021, the Company applied a reduction in fair value of $13.3 million and $1.0 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, 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. The following table summarizes information related to derivatives and other instruments (in thousands): Notional amount of non-hedge derivatives and other instruments: Notional Currency June 30, 2021 December 31, 2020 Pay Fix/Receive Float Interest Rate Swap Agreements USD $ 806,000 $ 417,000 Short TBAs USD (130,000) — Short positions on British Pound Futures (1) GBP — 3,313 (1) Each British Pound Future contract embodies £62,500 of notional value. The following table summarizes gains/(losses) related to derivatives and other instruments (in thousands): Three Months Ended Six Months Ended June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 Included within Unrealized gain/(loss), net Interest Rate Swaps $ (15,865) $ — $ 12,555 $ (11,588) Swaptions — (5) — (697) British Pound Futures — 239 64 186 Euro Futures — (28) — 20 TBAs 67 (392) 67 — (15,798) (186) 12,686 (12,079) Included within Net realized gain/(loss) Interest Rate Swaps 897 — 897 (65,368) Swaptions — — — (1,386) British Pound Futures — (150) (165) 514 Euro Futures — 66 — 68 TBAs — 392 — 4,610 897 308 732 (61,562) Total income/(loss) $ (14,901) $ 122 $ 13,418 $ (73,641) Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of June 30, 2021 and December 31, 2020, if applicable. 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 June 30, 2021, the Company's restricted cash balance included $21.9 million of collateral related to certain derivatives, of which $9.6 million represents cash collateral posted by the Company and $12.3 million represents amounts related to variation margin. As of December 31, 2020, the Company's restricted cash balance included $10.8 million of collateral related to certain derivatives, of which $9.7 million represents cash collateral posted by the Company and $1.1 million represents amounts related to variation margin. Interest rate swaps To help mitigate exposure to increases in interest rates, the Company may use currently-paying and forward-starting, one- or three-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements. This arrangement hedges the Company's exposure to higher interest rates because the variable-rate payments received on the swap agreements largely offset additional interest accruing on the related borrowings due to the higher interest rate, leaving the fixed-rate payments to be paid on the swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the swap agreements and actual borrowing rates. As of June 30, 2021, the Company’s interest rate swap positions consisted of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of June 30, 2021 ($ in thousands): Maturity Notional Amount Weighted Average Weighted Average Weighted Average 2025 $ 296,000 0.39 % 0.18 % 4.26 2026 202,000 0.76 % 0.16 % 4.75 2028 95,000 1.02 % 0.16 % 6.62 2030 86,000 0.76 % 0.17 % 9.27 2031 112,000 1.23 % 0.17 % 9.59 2051 15,000 1.96 % 0.19 % 29.80 Total/Wtd Avg $ 806,000 0.74 % 0.17 % 6.41 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 TBAs The Company did not hold any TBA positions for the three months ended June 30, 2020. The following tables present information about the Company’s TBAs for the three months ended June 30, 2021 and the six months ended June 30, 2021 and June 30, 2020 (in thousands): For the Three Months Ended: Beginning Notional Amount Buys or Covers Sales or Shorts Ending Net Notional Amount Net Fair Value as of Period End Net Receivable/(Payable) from/to Broker Derivative Asset Derivative Liability June 30, 2021 TBAs - Short $ — $ — $ (130,000) $ (130,000) $ (134,171) $ 134,239 $ 89 $ (21) For the Six Months Ended: Beginning Notional Amount Buys or Covers Sales or Shorts Ending Net Notional Amount Net Fair Value as of Period End Net Receivable/(Payable) from/to Broker Derivative Asset Derivative Liability June 30, 2021 TBAs - Short $ — $ — $ (130,000) $ (130,000) $ (134,171) $ 134,239 $ 89 $ (21) June 30, 2020 TBAs - Long — 728,000 (728,000) — — — — — |
Earnings per share
Earnings per share | 6 Months Ended |
Jun. 30, 2021 | |
Earnings Per Share [Abstract] | |
Earnings per share | Earnings per share Following the close of business on July 22, 2021, the Company effected a one-for-three reverse stock split of its outstanding shares of common stock. All per share amounts and common shares outstanding for all periods presented in the unaudited consolidated financial statements have been adjusted on a retroactive basis to reflect the Company’s one-for-three reverse stock split. Refer to Note 2 and Note 11 for additional information. The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three and six months ended June 30, 2021 and 2020. (in thousands, except per share data) Three Months Ended Six Months Ended June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 Numerator: Net Income/(Loss) from Continuing Operations $ 15,493 $ 2,700 $ 58,742 $ (482,317) Gain on Exchange Offers, net (Note 11) 114 — 472 — Dividends on preferred stock (4,689) (5,667) (9,613) (11,334) Net income/(loss) from continuing operations available to common stockholders $ 10,918 $ (2,967) $ 49,601 $ (493,651) Net Income/(Loss) from Discontinued Operations — 361 — 361 Net income/(loss) available to common stockholders $ 10,918 $ (2,606) $ 49,601 $ (493,290) Denominator: Basic weighted average common shares outstanding 15,595 10,953 14,860 10,935 Diluted weighted average common shares outstanding (1) 15,595 10,953 14,860 10,935 Earnings/(Loss) Per Share - Basic (2) Continuing Operations $ 0.70 $ (0.27) $ 3.34 $ (45.14) Discontinued Operations — 0.03 — 0.03 Total Earnings/(Loss) Per Share of Common Stock (2) $ 0.70 $ (0.24) $ 3.34 $ (45.11) Earnings/(Loss) Per Share - Diluted (2) Continuing Operations $ 0.70 $ (0.27) $ 3.34 $ (45.14) Discontinued Operations — 0.03 — 0.03 Total Earnings/(Loss) Per Share of Common Stock (2) $ 0.70 $ (0.24) $ 3.34 $ (45.11) (1) Manager restricted stock units of 5.5 thousand and 5.8 thousand were excluded from the computation of diluted earnings per share because its effect would be anti-dilutive for the three and six months ended June 30, 2020, respectively. 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 Company had no unvested restricted stock units as of June 30, 2021 and December 31, 2020, respectively. The following table details the Company's common stock dividends declared during the six months ended June 30, 2021: 2021 Declaration Date Record Date Payment Date Cash Dividend Per Share 3/22/2021 4/1/2021 4/30/2021 $ 0.18 6/15/2021 6/30/2021 7/30/2021 0.21 Total $ 0.39 The Company did not declare any common stock dividends during the three and six months ended June 30, 2020. The following tables detail the Company's preferred stock dividends declared and paid during the six months ended June 30, 2021 and 2020: 2021 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25% Series A 8.00% Series B 8.000% Series C 2/16/2021 2/26/2021 3/17/2021 $ 0.51563 $ 0.50 $ 0.50 5/17/2021 5/28/2021 6/17/2021 0.51563 0.50 0.50 Total $ 1.03126 $ 1.00 $ 1.00 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 |
Income taxes
Income taxes | 6 Months Ended |
Jun. 30, 2021 | |
Income Tax Disclosure [Abstract] | |
Income taxes | Income taxes As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders, and 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. 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 three and six months ended June 30, 2021, as well as the three months ended June 30, 2020, the Company did not record any excise tax expense. For the six months ended June 30, 2020, the Company recorded excise tax expense of $(0.8) million. The reversal of the previously accrued excise tax expense during the six months ended June 30, 2020 was a result of losses resulting from market conditions associated with the COVID-19 pandemic. 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. Based on its analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of June 30, 2021. The Company’s federal income tax returns for the last three tax years are open to examination by the Internal Revenue Service. In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes. |
Related party transactions
Related party transactions | 6 Months Ended |
Jun. 30, 2021 | |
Related Party Transactions [Abstract] | |
Related party transactions | Related party transactions Manager 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. 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. Below is a description of the fees and reimbursements provided in the management agreements. Management fee The Manager is entitled to a management fee equal to 1.50% per annum, calculated and paid quarterly, of the Company’s Stockholders’ Equity. For purposes of calculating the management fee, "Stockholders’ Equity" means the sum of the net proceeds from any issuances of equity securities (including preferred securities) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance, and excluding any future equity issuance to the Manager), plus the Company’s retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items described below incurred in current or prior periods), less any amount that the Company pays for repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in the Company’s financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors. Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on the Company’s financial statements. For the three and six months ended June 30, 2021, the Company incurred management fees of approximately $1.7 million and $3.3 million, respectively. For the three and six months ended June 30, 2020, the Company incurred management fees of approximately $1.7 million and $3.8 million, respectively. As of June 30, 2021 and December 31, 2020, the Company recorded management fees payable of $1.7 million and $1.7 million, respectively. On April 6, 2020, the Company and the Manager executed an amendment to the management agreement pursuant to which the Manager agreed to defer the Company's payment of the management fee effective 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 deferred base management fee in shares of common stock. Pursuant to the Second Management Agreement Amendment, the Manager agreed to purchase (i) 405,123 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) 51,500 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 $9.45 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 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, the Manager will be entitled to a termination fee equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter. As of June 30, 2021 and December 31, 2020, no event of termination of the management agreement had occurred. Expense reimbursement The Company is required to reimburse the Manager or its affiliates for operating expenses which are incurred by the Manager or its affiliates on behalf of the Company, including expenses relating to legal, accounting, due diligence and other services. The Company’s reimbursement obligation is not subject to any dollar limitation; however, the reimbursement is subject to an annual budget process which combines guidelines from the Management Agreement with oversight by the Company’s Board of Directors. The Company reimburses the Manager or its affiliates for the Company’s allocable share of the compensation, including, without limitation, annual base salary, bonus, any related withholding taxes and employee benefits paid to (i) the Company’s chief financial officer based on the percentage of time spent on Company affairs, (ii) the Company’s general counsel based on the percentage of time spent on the Company’s affairs, and (iii) other corporate finance, tax, accounting, internal audit, legal, risk management, operations, compliance and other non-investment personnel of the Manager and its affiliates who spend all or a portion of their time managing the Company’s affairs based upon the percentage of time devoted by such personnel to the Company’s affairs. In their capacities as officers or personnel of the Manager or its affiliates, they devote such portion of their time to the Company’s affairs as is necessary to enable the Company to operate its business. Of the $4.9 million and $8.8 million of Other operating expenses for the three and six months ended June 30, 2021, respectively, the Company has incurred $1.1 million and $2.7 million, respectively, representing a reimbursement of expenses. Of the $4.6 million and $5.5 million of Other operating expenses for the three and six months ended June 30, 2020, respectively, the Company has incurred $1.9 million and $3.9 million, respectively, representing a reimbursement of expenses. As of June 30, 2021 and December 31, 2020, the Company recorded a reimbursement payable to the Manager of $1.5 million and $1.8 million, respectively. For the year ended December 31, 2021, the Manager agreed to waive its right to receive expense reimbursements of $0.8 million. On April 6, 2020, the Company executed an amendment to the management agreement pursuant to which the Manager agreed to defer the reimbursement of expenses, effective the first quarter of 2020 through September 30, 2020. All deferred expense reimbursements were paid as of September 30, 2020. 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 was repaid in full with interest when it matured 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 accrued interest at a rate of 6.0% per annum. Interest on the Note was 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, when outstanding, were 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 Equity Incentive Plans Effective on April 15, 2020 upon the approval of the Company's stockholders at its 2020 annual meeting of stockholders, the 2020 Equity Incentive Plan provides for a maximum of 666,666 shares of common stock to be issued. The maximum number of shares of common stock granted during a single fiscal year to any non-employee director, taken together with any cash fees paid to such non-employee director during any fiscal year, shall not exceed $300,000 in total value (calculating the value of any such awards based on the grant date fair value). As of June 30, 2021, 612,676 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan. Since its IPO, the Company has granted an aggregate of 35,264 and 53,990 shares of restricted common stock to its independent directors under its equity incentive plan dated July 6, 2011 and its 2020 Equity Incentive Plan, respectively. As of June 30, 2021, all shares of restricted common stock granted to its independent directors have vested. Manager Equity Incentive Plans Following approval of the Company's stockholders at its 2021 annual meeting of stockholders, the AG Mortgage Investment Trust, Inc. 2021 Manager Equity Incentive Plan (the "2021 Manager Plan") became effective on April 7, 2021 and provides for a maximum of 573,425 shares of common stock to be issued to the Manager. As of June 30, 2021, there were no shares or awards issued under the 2021 Manager Plan. The AG Mortgage Investment Trust, Inc. Manager Equity Incentive Plan became effective on July 6, 2011 (the "2011 Manager Plan"). Since its IPO, the Company has issued 13,416 shares of restricted common stock and 40,000 restricted stock units to its Manager under the 2011 Manager Plan. Upon the adoption of the 2020 Equity Incentive Plan on April 15, 2020, the Company was no longer permitted to issue any shares of our common stock under the 2011 Manager Plan. As of July 1, 2020, all shares of restricted common stock and restricted stock units granted to its Manager under the 2011 Manager Plan fully vested. Director compensation Beginning January 1, 2021, the annual base director's fee for each independent director decreased from $160,000 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. As of June 30, 2021, the Company's Board of Directors consisted of four 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 assets through affiliated entities which hold an ownership interest in the assets. The Company is one investor, amongst other investors managed by affiliates of Angelo Gordon, in such entities and has applied the equity method of accounting for such investments. See Note 2 for the gross fair value of the Company's share of these investments as of June 30, 2021 and December 31, 2020 and the net income/(loss) generated by these investments for the three and six months ended June 30, 2021 and 2020. The Company’s investment in AG Arc is reflected within the "Investments in debt and equity of affiliates" line item on its consolidated balance sheets. The Company has an approximate 44.6% interest in AG Arc. See Note 2 for the fair value of AG Arc as of June 30, 2021 and December 31, 2020. 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 us, third parties, or affiliates of the Manager to sell rights to receive the excess servicing spread related to MSRs that it either purchases from third parties or originates. The Company, directly or through its subsidiaries, has entered into agreements with Arc Home to purchase rights to receive the excess servicing spread related to certain of Arc Home's MSRs. As of June 30, 2021 and December 31, 2020, these Excess MSRs had a fair value of approximately $2.9 million and $3.5 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. In July 2021, subsequent to quarter end, the Company sold the remaining Excess MSR portfolio to Arc Home. Arc Home subsequently sold the MSR portfolio to a third-party. 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 required all principal and interest on the underlying assets in MATT to be used to pay down principal and interest on the outstanding financing arrangement. As of April 3, 2020, the Restructured Financing Arrangement did not have mark-to-market margin calls and was non-recourse to the Company. The Restructured Financing Arrangement provided 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) was entitled to 35% of the remaining equity in the assets. The Company evaluated this restructuring and concluded it was an extinguishment of debt. MATT chose to make a fair value election on this financing arrangement and the Company treated this arrangement consistently with this election. 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 up to the below mentioned commitment from MATH to MATT. Upon amending the agreement, the Company settled the premium recapture fee with the financing counterparty. On January 29, 2021, the Company alongside private funds under the management of Angelo Gordon, entered into an amendment to the MATH LLC Agreement, which requires MATH to fund a capital commitment of $50.0 million to MATT. The Company, through its investment in MATH, is responsible for its pro-rata share of the capital commitment. Refer to Note 12 for additional information. 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. The fees paid by the Company to the Asset Manager totaled $0.6 million and $1.1 million for the three and six months ended June 30, 2021, respectively. The fees paid by the Company to the Asset Manager totaled $0.3 million for the six months ended June 30, 2020. For the three and six months ended June 30, 2020, the Company deferred $0.3 million and $0.4 million, respectively, of fees owed to the Asset Manager and continued to defer fees through September 30, 2020. During 2020, Arc Home began selling Non-QM Loans to a private fund under the management of Angelo Gordon. Arc Home sold Non-QM Loans with an unpaid principal balance of $191.7 million and $268.6 million to this affiliate of the Manager during the three and six months ended June 30, 2021, respectively. For the three and six months ended June 30, 2021, Arc Home sold Non-QM Loans with an unpaid principal balance of $192.8 million and $250.5 million to the Company, respectively. 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 transaction, 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 by submitting an offer to purchase the securities from the Company in a competitive bidding process. This 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 transaction, 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. In March 2021, in accordance with the Company’s Affiliated Transactions Policy, the Company sold certain real estate securities to an affiliate of the Manager (the "March 2021 Acquiring Affiliate"). As of the date of the transaction, the real estate securities sold to the March 2021 Acquiring Affiliate had a total fair value of $6.9 million. The March 2021 Acquiring Affiliate purchased the real estate securities by submitting an offer to purchase the securities from the Company in a competitive bidding process. This allowed the Company to confirm third-party market pricing and best execution. In April 2021, in accordance with the Company’s Affiliated Transactions Policy, the Company sold certain CMBS to affiliates of the Manager (the "April 2021 Acquiring Affiliates"). As of the date of the transaction, the CMBS sold to the April 2021 Acquiring Affiliates had a total fair value of $16.8 million. Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy. The third-party pricing vendors allowed the Company to confirm third-party market pricing and best execution. |
Equity
Equity | 6 Months Ended |
Jun. 30, 2021 | |
Equity [Abstract] | |
Equity | Equity Reverse stock split On July 12, 2021, the Company announced that its board of directors approved a one-for-three reverse stock split of its outstanding shares of common stock. The reverse stock split was effected following the close of business on July 22, 2021. At the Effective Time, every three issued and outstanding shares of the Company’s common stock were converted into one share of the Company’s common stock. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock on the date of the Effective Time. As a result, the number of common shares outstanding was reduced from 48,510,978 immediately prior to the Effective Time to 16,170,312. The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares. There was no change in the Company's authorized capital stock or par value of each share of common stock as a result of the reverse stock split. All per share amounts and common shares outstanding for all periods presented in the unaudited consolidated financial statements have been adjusted on a retroactive basis to reflect the Company's one-for-three reverse stock split. Stock repurchase programs On November 3, 2015, the Company’s Board of Directors authorized a stock repurchase program ("Repurchase Program") to repurchase up to $25.0 million of the Company's outstanding common stock. Such authorization does not have an expiration date. As part of the Repurchase Program, shares may be purchased in open market transactions, including through block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Exchange Act. Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases. Subject to applicable securities laws, the timing, manner, price and amount of any repurchases of common stock under the Repurchase Program may be determined by the Company in its discretion, using available cash resources. Shares of common stock repurchased by the Company under the Repurchase Program, if any, will be cancelled and, until reissued by the Company, will be deemed to be authorized but unissued shares of its common stock as required by Maryland law. The Repurchase Program may be suspended or discontinued by the Company at any time and without prior notice and the authorization does not obligate the Company to acquire any particular amount of common stock. The cost of the acquisition by the Company of shares of its own stock in excess of the aggregate par value of the shares first reduces additional paid-in capital, to the extent available, with any residual cost applied against retained earnings. No shares were repurchased under the Repurchase Program during the three and six months ended June 30, 2021 and 2020 and approximately $14.6 million of common stock remained authorized for future share repurchases under the Repurchase Program. On February 22, 2021, the Company's Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of Directors granted a repurchase authorization to acquire shares of its Series A Preferred Stock, its Series B Preferred Stock, and its Series C Preferred Stock having an aggregate value of up to $20.0 million. No shares were repurchased under the Repurchase Program during the three and six months ended June 30, 2021. 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. For the three months ended June 30, 2021, the Company issued 0.2 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $3.1 million. For the six months ended June 30, 2021, the Company sold 1.0 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $13.1 million. For the three and six months ended June 30, 2020, the Company issued 0.3 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $3.5 million. Since inception of the program, the Company has issued approximately 2.2 million shares of common stock under the Equity Distribution Agreements for gross proceeds of $48.3 million. Shelf registration statement On May 7, 2021, the Company filed a new shelf registration statement, registering up to $1.0 billion of its securities, including capital stock (the "2021 Registration Statement"). The 2021 Registration Statement became effective on May 26, 2021 and will expire on May 28, 2024. Upon effectiveness of the 2021 Registration Statement, the Company's previous registration statement filed in 2018 was terminated. Preferred stock The Company is authorized to designate and issue up to $50.0 million shares of preferred stock, par value $0.01 per share, in one or more classes or series. As of June 30, 2021, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding. As of December 31, 2020, there were 1.8 million, 4.2 million, and 3.9 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding. The following table includes a summary of preferred stock issued and outstanding as of June 30, 2021 ($ and shares in thousands): Preferred Stock Series Issuance Date Shares Outstanding Carrying Value Aggregate Liquidation Preference (1) Optional Redemption Rate (3)(4) Series A Preferred Stock August 3, 2012 1,663 $ 40,110 $ 41,580 August 3, 2017 8.25 % Series B Preferred Stock September 27, 2012 3,728 90,187 93,191 September 17, 2017 8.00 % Series C Preferred Stock September 17, 2019 3,729 90,175 93,220 September 17, 2024 8.000 % Total 9,120 $ 220,472 $ 227,991 (1) The Company's Preferred Stock has a liquidation preference of $25.00 per share. (2) Shares have no stated maturity and are not subject to any sinking fund or mandatory redemption. Shares of the Company’s Preferred Stock are 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 may be redeemable earlier than the optional redemption date under certain circumstances intended to preserve its qualification as a REIT for Federal income tax purposes. (3) 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. (4) Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December and holders are entitled to receive cumulative cash dividends at the respective state rate per annum before holders of common stock are entitled to receive any cash dividends. 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 Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, beginning with the preferred dividend that would have been declared in May 2020, as well as a suspension of the quarterly dividend on the Company's common stock, beginning with the dividend that normally would have been declared in March 2020, in order to conserve capital and improve its liquidity position during the market volatility due to the COVID-19 pandemic. 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 $0.09 per common share for the fourth quarter 2020 which was paid on January 29, 2021 to shareholders of record at the close of business on December 31, 2020. During the first and second quarters of 2021, the Company declared its preferred and common dividends in ordinary course. Refer to Note 8 for more information on dividends declared 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 172,100 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. On September 30, 2020, the Company agreed to issue an aggregate of 1,226,544 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 with existing holders of the preferred stock. After the transaction closed, the Series A Preferred Stock, Series B Preferred Stock, and 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 300,000 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 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. On March 17, 2021, the Company agreed to issue an aggregate of 937,462 shares of its common stock in exchange for 153,325 shares of Series A Preferred Stock and 350,609 shares of Series B Preferred Stock, pursuant to a privately negotiated exchange agreement with existing holders of the preferred stock. After the transaction closed, the Series A Preferred Stock and Series B 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 June 14, 2021, the Company agreed to issue an aggregate of 429,802 shares of its common stock in exchange for 86,478 shares of Series B Preferred Stock and 154,383 shares of Series C Preferred Stock, pursuant to privately negotiated exchange agreements with certain existing holders of the preferred stock. After the transaction closed, the Series B Preferred Stock and Series C Preferred Stock exchanged pursuant to the exchange agreements were reclassified as authorized but unissued shares of preferred stock without designation as to class or series. As of June 30, 2021, the Company had outstanding 1,663,193 shares of Series A Preferred Stock, 3,727,641 shares of Series B Preferred Stock, and 3,728,795 shares of Series C Preferred Stock. Common stock issuance to the Manager |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. As of June 30, 2021, 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 recognized this settlement in the "Net realized gain/(loss)" line item on the consolidated statement of operations in the second quarter of 2020. As a result, 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. For the year ended December 31, 2020, the Company recorded a loss of $11.6 million related to deficiencies asserted by other counterparties. The Company recognized these losses in the "Net realized gain/(loss)" line item on the consolidated statement of operations. As of August 2020, MITT resolved and settled all deficiency claims with lenders. The below table details the Company's outstanding commitments as of June 30, 2021 (in thousands): Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment Commercial loan K (a) February 22, 2019 $ 20,000 $ 18,809 $ 1,191 LOTS (b) Various 24,638 15,877 8,761 MATH (b) January 29, 2021 22,295 — 22,295 Total $ 66,933 $ 34,686 $ 32,247 (a) The Company entered into commitments on commercial loans relating to construction projects. See Note 3 for further details. (b) Refer to Note 10 "Investments in debt and equity of affiliates" for more information regarding LOTS and MATH. |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events During July 2021, the Company sold its remaining CMBS portfolio for total proceeds of $33.7 million. A portion of the CMBS portfolio representing $17.6 million of total proceeds was sold at fair value to an affiliate of the Manager and was executed in accordance with the Company’s Affiliated Transactions Policy. Subsequent to quarter end, the Company purchased $86.1 million of Non-QM Loans, inclusive of $58.5 million which were purchased from Arc Home. During July 2021, the Company agreed to purchase a pool of residential mortgage loans collateralized by GSE-eligible investment properties with an aggregate unpaid principal balance of $114.7 million. In connection with these acquisitions, the Company entered into a financing arrangement with a maximum uncommitted borrowing capacity of $500 million. During July 2021, the Company amended its financing arrangements to increase the maximum uncommitted borrowing capacity to finance Non-QM Loans from $800 million to $1.1 billion. On July 12, 2021, the Company announced that its board of directors approved a one-for-three reverse stock split of the Company's outstanding shares of common stock. The reverse stock split was effected following the close of business on July 22, 2021. Refer to Note 2 and Note 11 for additional information. In July 2021, the Company, alongside private funds under the management of Angelo Gordon, sold its remaining Excess MSR portfolio to Arc Home. Arc Home subsequently sold the MSR portfolio to a third-party. On July 30, 2021, the Company announced that its Board of Directors has declared third quarter 2021 preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock in the amount of $0.51563, $0.50 and $0.50 per share, respectively. The dividends will be paid on September 17, 2021 to holders of record on August 31, 2021. |
Summary of significant accoun_2
Summary of significant accounting policies (Policies) | 6 Months Ended |
Jun. 30, 2021 | |
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 may include cash invested in money market funds. Cash and cash equivalents are carried at cost, which approximates fair value. 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 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. |
Use of estimates | Use of estimates The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates. |
Earnings/(Loss) per share | Earnings/(Loss) per share In accordance with the provisions of Accounting Standards Codification ("ASC") 260, "Earnings per Share," the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock, and unvested restricted stock units, using 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. Potential dilutive shares are excluded from the calculation if they have an anti-dilutive effect in the period. |
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. |
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), 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. Commercial Loans |
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), 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. On January 1, 2020, the Company adopted ASU 2016-13, "Financial Instruments – Credit Losses" ("ASU 2016-13"). The impact of the guidance on accounting for the Company's debt securities and loans is limited to recognition of effective yield. The Company measures its debt securities and loans at fair value with any changes recognized through net income and it 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. 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. |
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. Substantially all 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. Certain 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. Arc Home 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"). 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. From time to time, the Company acquires newly originated Non-QM Loans from Arc Home with the intent to securitize the assets and obtain non-recourse financing. In connection with the sale of loans from Arc Home to the Company, gains or losses recorded by Arc Home are consolidated into AG Arc. In accordance with ASC 323-10, for loans acquired from Arc Home that remain on the Company's consolidated balance sheet at period end, the Company eliminates any profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans accordingly. For the three and six months ended June 30, 2021, the Company eliminated $1.4 million and $1.9 million of intra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company. As the Company did not purchase any loans from Arc Home during three and six months ended June 30, 2020, it did not eliminate any intra-entity profits during the three and six months ended June 30, 2020. MATH 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. MATT made an election to be treated as a real estate investment trust beginning with the 2018 tax year. As of June 30, 2021, MATT primarily holds retained tranches from securitizations. LOTS 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"). Summary of investments in debt and equity of affiliates The below tables reconcile the fair value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets (in thousands). June 30, 2021 December 31, 2020 Assets Liabilities Equity Assets Liabilities Equity Non-QM Loans (1) $ 77,683 $ (48,813) $ 28,870 $ 153,200 $ (111,135) $ 42,065 Land Related Financing 17,857 — 17,857 22,824 — 22,824 Other (2) 44,445 (11,351) 33,094 41,940 (5,588) 36,352 Real Estate Securities and Loans, at fair value $ 139,985 $ (60,164) $ 79,821 $ 217,964 $ (116,723) $ 101,241 AG Arc, at fair value 50,862 — 50,862 45,341 — 45,341 Cash and Other assets/(liabilities) 8,177 (2,992) 5,185 5,279 (1,194) 4,085 Investments in debt and equity of affiliates $ 199,024 $ (63,156) $ 135,868 $ 268,584 $ (117,917) $ 150,667 (1) As of June 30, 2021 and December 31, 2020, Non-QM Loans excluded loans with an unpaid principal balance of $11.2 million and $17.3 million, respectively, 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 below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations (in thousands). Three Months Ended Six Months Ended June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 Non-QM Loans $ 1,275 $ (8,115) $ 15,921 $ (34,844) AG Arc (1) (2,706) 9,510 3,634 (516) Land Related Financing 540 473 1,250 1,137 Other 2,169 1,566 6,809 (6,535) Equity in earnings/(loss) from affiliates $ 1,278 $ 3,434 $ 27,614 $ (40,758) (1) The earnings/(loss) at AG Arc during the three and six months ended June 30, 2021 were primarily the result of $0.2 million and $4.4 million, respectively, of net income related to Arc Home's lending and servicing operations and $(2.8) million and $(1.2) million, respectively, related to changes in the fair value of the MSR portfolio held by Arc Home. Earnings/(loss) recognized by AG Arc does not include the Company's portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to the Company. For the three and six months ended June 30, 2021, the Company eliminated $1.4 million and $1.9 million, respectively, of intra-entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans the Company purchased by the same amount, as described above. |
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 (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities, or (iii) 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 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 enters into securitization transactions of certain of its residential mortgage loans, which results in the Company consolidating the respective VIEs that are created to facilitate these transactions and to which the underlying assets in connection with these securitizations are transferred ("Residential Mortgage Loan VIEs"). The Company has entered into securitization transactions on certain of its Non-QM Loans ("Non-QM VIEs"), as well as certain of its re- and non-performing loans ("RPL/NPL VIEs"). 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 Residential Mortgage Loan VIEs. 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 Residential Mortgage Loan VIEs 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 Residential Mortgage Loan VIEs 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 3 for more detail regarding the Residential Mortgage Loan VIEs and Note 5 for more detail 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 value. 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. For Agency RMBS, exclusive of interest-only securities, prepayments of the underlying collateral are estimated on a quarterly basis, 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 and loans, including Non-Agency RMBS, CMBS, interest-only securities, Non-QM Loans, 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. If the fair value of pledged assets declines due to changes in market conditions, 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 financing arrangements represents 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. 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. Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company. As of June 30, 2021 and December 31, 2020, the Company had met all margin call requirements. Forbearance and Reinstatement Agreements In connection with the market disruption created by the COVID-19 pandemic, in March 2020, the Company received notifications of alleged events of default and deficiency notices from several of its financing counterparties. The Company engaged in discussions with its financing counterparties and, as a result, entered into a series of forbearance agreements (collectively, the "Forbearance Agreement") with certain of its financing counterparties (the "Participating Counterparties") pursuant to which each Participating Counterparty agreed to forbear from exercising its rights and remedies with respect to events of default and any and all other defaults under the applicable financing arrangement (each, a “Bilateral Agreement”) for the period ending June 15, 2020. On June 10, 2020, the Company and the Participating Counterparties entered into a reinstatement agreement (the “Reinstatement Agreement”), pursuant to which the Forbearance Agreement was terminated and each Participating Counterparty permanently waived all existing and prior events of default under the applicable Bilateral Agreements. Pursuant to the Reinstatement Agreement, the Bilateral Agreements were reinstated with certain amendments to reflect current market terms (i.e., increased haircuts and higher coupons), updated financial covenants and various reporting requirements from the Company to the Participating Counterparties, releases, certain netting obligations and cross-default provisions. As a result of the Reinstatement Agreement, default interest on the Company’s outstanding borrowings under the Bilateral Agreements ceased to accrue as of June 10, 2020, all cash margin was applied to outstanding balances owed by the Company, and principal and interest payments on the underlying collateral were permitted to flow to and be used by the Company, just as it was prior to the Forbearance Agreements. In addition, pursuant to the terms of the Reinstatement Agreement, the security interests granted to Participating Counterparties as additional collateral under the Forbearance Agreement 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. |
Dividends on Preferred Stock | Dividends on Preferred Stock Holders of the Company’s 8.25% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock"), 8.00% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"), and 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("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 Derivative contracts 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 June 30, 2021 and December 31, 2020, 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. To-be-announced securities A to-be-announced security ("TBA") is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS delivered into or received from the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. The Company may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a pair off), net settling the paired off positions for cash, simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a dollar roll. The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to Agency RMBS for settlement in the current month. This difference, or discount, is referred to as the price drop. The price drop is the economic equivalent of net interest carry income on the underlying Agency RMBS over the roll period (interest income less implied financing cost) and is commonly referred to as dollar roll income/(loss). Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing. Dollar roll income is recognized in the consolidated statement of operations in the line item "Unrealized gain/(loss), net." Variation margin 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. |
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. 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. 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) which may 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. |
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. |
Recent accounting pronouncements | Recent accounting pronouncements 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. |
Organization (Tables)
Organization (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Summary of Investment Groups | The Company's investment groups are primarily comprised of the following: Investment Groups Description Credit - Residential Residential mortgage loans • Residential mortgage loans represent pools of fixed- and adjustable-rate loans collateralized by Non-QM, re-performing, and non-performing mortgages. • Non-QM Loans are residential mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Finance Protection Bureau. • Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property. Non-Agency Residential Mortgage-Backed Securities ("RMBS") • Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities other than U.S. government-sponsored entity ("GSE") or agency of the U.S. government. The mortgage loan collateral for Non-Agency RMBS consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by a GSE or agency of the U.S. government. Credit - Commercial Commercial Mortgage-Backed Securities ("CMBS") • CMBS represent investments of fixed- and floating-rate CMBS 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 commercial mortgage loans to multiple borrowers. Commercial Loans • 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. Agency RMBS • Agency RMBS represent interests in pools of residential mortgage loans guaranteed by a GSE such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government such as Ginnie Mae. Excess MSRs • Excess MSRs represent the excess servicing spread related to mortgage servicing rights, whose underlying collateral is securitized in a trust held by a GSE or agency of the U.S. government ("Agency Excess MSR"). |
Summary of significant accoun_3
Summary of significant accounting policies (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Accounting Policies [Abstract] | |
Schedule of investments in debt and equity of affiliates | The below tables reconcile the fair value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets (in thousands). June 30, 2021 December 31, 2020 Assets Liabilities Equity Assets Liabilities Equity Non-QM Loans (1) $ 77,683 $ (48,813) $ 28,870 $ 153,200 $ (111,135) $ 42,065 Land Related Financing 17,857 — 17,857 22,824 — 22,824 Other (2) 44,445 (11,351) 33,094 41,940 (5,588) 36,352 Real Estate Securities and Loans, at fair value $ 139,985 $ (60,164) $ 79,821 $ 217,964 $ (116,723) $ 101,241 AG Arc, at fair value 50,862 — 50,862 45,341 — 45,341 Cash and Other assets/(liabilities) 8,177 (2,992) 5,185 5,279 (1,194) 4,085 Investments in debt and equity of affiliates $ 199,024 $ (63,156) $ 135,868 $ 268,584 $ (117,917) $ 150,667 (1) As of June 30, 2021 and December 31, 2020, Non-QM Loans excluded loans with an unpaid principal balance of $11.2 million and $17.3 million, respectively, 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 below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations (in thousands). Three Months Ended Six Months Ended June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 Non-QM Loans $ 1,275 $ (8,115) $ 15,921 $ (34,844) AG Arc (1) (2,706) 9,510 3,634 (516) Land Related Financing 540 473 1,250 1,137 Other 2,169 1,566 6,809 (6,535) Equity in earnings/(loss) from affiliates $ 1,278 $ 3,434 $ 27,614 $ (40,758) (1) The earnings/(loss) at AG Arc during the three and six months ended June 30, 2021 were primarily the result of $0.2 million and $4.4 million, respectively, of net income related to Arc Home's lending and servicing operations and $(2.8) million and $(1.2) million, respectively, related to changes in the fair value of the MSR portfolio held by Arc Home. Earnings/(loss) recognized by AG Arc does not include the Company's portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to the Company. For the three and six months ended June 30, 2021, the Company eliminated $1.4 million and $1.9 million, respectively, of intra-entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans the Company purchased by the same amount, as described above. |
Loans (Tables)
Loans (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Receivables [Abstract] | |
Schedule of company's residential mortgage loan portfolio and commercial loan portfolio | The table below details information regarding the Company’s residential mortgage loan portfolio as of June 30, 2021 and December 31, 2020 ($ in thousands): Gross Unrealized Weighted Average Unpaid Principal Balance Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Non-QM Loans $ 621,095 $ 26,556 $ 647,651 $ 8,473 $ (972) $ 655,152 4.86 % 3.61 % 3.85 Re- and Non-Performing Loans 415,942 (52,530) 363,412 15,947 (5,267) 374,092 3.59 % 6.00 % 6.98 Total at June 30, 2021 (2) $ 1,037,037 $ (25,974) $ 1,011,063 $ 24,420 $ (6,239) $ 1,029,244 4.36 % 4.48 % 5.11 Re- and Non-Performing Loans at December 31, 2020 (3) $ 500,980 $ (69,007) $ 431,973 $ 13,640 $ (10,172) $ 435,441 3.58 % 5.69 % 6.67 (1) This is based on projected life. Typically, actual maturities 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 June 30, 2021, the Company’s residential mortgage loan portfolio was comprised of 3,825 loans with original loan balances between $5.6 thousand and $3.7 million. Additionally, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $28.9 million. (3) 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 $37.1 million. The following tables present detail on the Company’s commercial loan portfolio as of June 30, 2021 and December 31, 2020 ($ in thousands). The gross unrealized gains/(losses) columns in the tables below represent inception to date unrealized gains/(losses). June 30, 2021 Weighted Average Loan (1)(2) Current Face Premium Amortized Cost Gross Unrealized Losses Fair Value (3) Coupon Yield (5) Life Extended Maturity Location Collateral Type Loan K (8) $ 18,809 $ — $ 18,809 $ (400) $ 18,409 10.00 % 12.75 % 0.09 February 22, 2024 NY Hotel, Retail Loan L (8) 51,000 (337) 50,663 (6,793) 43,870 N/A N/A 3.11 July 22, 2024 IL Hotel, Retail Total $ 69,809 $ (337) $ 69,472 $ (7,193) $ 62,279 2.69 % 3.77 % 2.29 (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 June 30, 2021. (3) Fair value includes the value of unfunded commitments. (4) Each commercial loan investment has a variable coupon rate. (5) Yield includes any exit fees. (6) Actual maturities 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. As of June 30, 2021, Commercial Loan K was in maturity default related to its initial maturity which was in May 2021 as described above. (8) Loan K and Loan L are comprised of first mortgage and mezzanine loans. December 31, 2020 Weighted Average Loan (1) Current Face Premium Amortized Cost Gross Unrealized Losses Fair Value (2) Coupon (3) Yield (4) Life Extended Location Collateral Type Commercial Loans, at fair value Loan G (7) $ 59,451 $ — $ 59,451 $ (3,940) $ 55,511 5.27 % 5.27 % 1.54 July 9, 2022 CA Condo, Retail, Hotel Loan K (8) 15,787 — 15,787 (1,100) 14,687 10.00 % 10.83 % 1.27 February 22, 2024 NY Hotel, Retail Loan L (8) 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 (9) 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) Fair value includes the value of unfunded commitments. (3) Each commercial loan investment has a variable coupon rate. (4) Yield includes any exit fees. (5) Actual maturities may be shorter or longer than stated contractual maturities. Maturities are affected by prepayments of principal. (6) Represents the maturity date of the last possible extension option. (7) Loan G is a first mortgage loan. (8) Loan K and Loan L are comprised of first mortgage and mezzanine loans. |
Schedule of company's re-performing and non-performing residential mortgage loans | The table below details information regarding the Company’s residential mortgage loans as of June 30, 2021 and December 31, 2020 (in thousands): June 30, 2021 December 31, 2020 Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance Non-QM Loans $ 655,152 $ 621,095 $ — $ — Re-Performing 267,853 291,301 312,733 347,359 Non-Performing 99,689 116,520 113,976 134,129 Other (1) 6,550 8,121 8,732 19,492 $ 1,029,244 $ 1,037,037 $ 435,441 $ 500,980 (1) Represents residual positions where the Company consolidates a securitization and the positions are recorded in the Company's consolidated balance sheets 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 residential mortgage loan portfolio as of June 30, 2021 and December 31, 2020, excluding any loans classified as Other above: Geographic Concentration of Credit Risk June 30, 2021 December 31, 2020 Percentage of fair value of mortgage loans secured by properties in the following states representing 5% or more of fair value: California 36 % 17 % Florida 13 % 11 % New York 11 % 10 % New Jersey 5 % 6 % |
Schedule of changes in the accretable portion of discounts | The following is a summary of the changes in the accretable portion of the discount for the Company’s re-performing and non-performing loan portfolios for the three and six months ended June 30, 2021 and 2020, which is determined by the excess of the Company’s estimate of undiscounted principal expected to be collected in excess of the amortized cost of the mortgage loan (in thousands). The table excludes residual positions where the Company consolidates a securitization and the positions are recorded in the Company's consolidated balance sheets as residential mortgage loans. Three Months Ended Six Months Ended June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 Beginning Balance $ 55,003 $ 50,291 $ 56,907 $ 41,472 Additions — — — 15,250 Accretion (789) (1,021) (2,351) (3,290) Reclassifications from/(to) non-accretable difference 2,955 2,230 2,677 (1,850) Disposals (5,497) (14,213) (5,561) (14,295) Ending Balance $ 51,672 $ 37,287 $ 51,672 $ 37,287 |
Schedule of certain information related to August 2019 VIE | The following table details certain information related to the assets and liabilities of the Residential Loan VIEs as of June 30, 2021 and December 31, 2020 (in thousands): June 30, 2021 December 31, 2020 Assets Residential mortgage loans, at fair value $ 589,394 $ 426,604 Restricted cash 1,561 2,110 Other assets 3,228 3,705 Total assets $ 594,183 $ 432,419 Liabilities Financing arrangements $ 42,158 $ 25,590 Securitized debt, at fair value 482,533 355,159 Other liabilities 498 519 Total liabilities $ 525,189 $ 381,268 The following table details additional information regarding residential mortgage loans and securitized debt related to the Residential Loan VIEs as of June 30, 2021 and December 31, 2020 ($ in thousands): Weighted Average As of: Current Unpaid Principal Balance Fair Value Coupon Yield Life (Years) (1) June 30, 2021 Non-QM Loan VIEs Non-QM Loans $ 208,505 $ 221,852 4.63 % 3.65 % 3.69 Securitized debt 201,383 201,580 1.25 % 1.25 % 2.05 RPL/NPL VIEs Re- and Non-Performing Loans 407,822 367,542 4.07 % 4.98 % 6.12 Securitized debt 279,713 280,953 2.26 % 2.28 % 3.19 December 31, 2020 RPL/NPL VIEs Re- and Non-Performing Loans $ 481,346 $ 426,604 3.58 % 5.61 % 6.78 Securitized debt 356,631 355,159 2.98 % 3.00 % 3.85 (1) This is based on projected life. Typically, actual maturities 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. |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
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 June 30, 2021 and December 31, 2020 ($ in thousands). The gross unrealized gains/(losses) stated in the tables below represent inception to date unrealized gains/(losses). June 30, 2021 Gross Unrealized Weighted Average Current Face Premium / (Discount) Amortized Cost Gains Losses Fair Value Coupon (1) Yield Agency RMBS: 30 Year Fixed Rate $ 677,514 $ 24,329 $ 701,843 $ 1,425 $ (6,564) $ 696,704 2.26 % 1.73 % Credit Investments: Residential Investments Prime 6,874 (4,646) 2,228 467 — 2,695 3.50 % 15.21 % Re/Non-Performing Securities 1,170 (157) 1,013 170 — 1,183 5.25 % 21.28 % Total Residential Investments: 8,044 (4,803) 3,241 637 — 3,878 3.92 % 17.06 % Commercial Investments Single-Asset/Single-Borrower 35,500 (48) 35,452 — (3,838) 31,614 4.03 % 4.39 % Total Credit Investments: 43,544 (4,851) 38,693 637 (3,838) 35,492 4.02 % 5.78 % Total $ 721,058 $ 19,478 $ 740,536 $ 2,062 $ (10,402) $ 732,196 2.36 % 1.92 % December 31, 2020 Gross Unrealized Weighted Average Current Face Premium / (Discount) Amortized Cost 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 as of December 31, 2020. The overall impact of the investments' yields on the Company's portfolio is not meaningful. (3) 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 June 30, 2021 and December 31, 2020 ($ in thousands): June 30, 2021 Agency RMBS Credit Investments Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon (2) Less than or equal to 1 year $ — $ — — % $ 32,596 $ 36,349 4.07 % Greater than five years and less than or equal to ten years 662,740 667,450 2.28 % 2,472 2,195 3.50 % Greater than ten years 33,964 34,393 2.00 % 424 149 — % Total $ 696,704 $ 701,843 2.26 % $ 35,492 $ 38,693 4.02 % December 31, 2020 Agency RMBS Credit Investments Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon (2) Less than or equal to 1 year $ — $ — — % $ 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 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. |
Fair value measurements (Tables
Fair value measurements (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Schedule of financial instruments measured at fair value | The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of June 30, 2021 (in thousands): Fair Value at June 30, 2021 Level 1 Level 2 Level 3 Total Assets: Residential mortgage loans $ — $ 866 $ 1,028,378 $ 1,029,244 Agency RMBS: 30 Year Fixed Rate — 696,704 — 696,704 Credit Investments: Non-Agency RMBS (1) — 2,695 1,183 3,878 CMBS (2) — 31,614 — 31,614 Commercial loans — — 62,279 62,279 Excess mortgage servicing rights — — 2,608 2,608 Derivative assets (3) — 13,409 — 13,409 AG Arc (4) — — 50,862 50,862 Total Assets Measured at Fair Value $ — $ 745,288 $ 1,145,310 $ 1,890,598 Liabilities: Securitized debt $ — $ — $ (482,533) $ (482,533) Derivative liabilities (3) — (1,334) — (1,334) Total Liabilities Measured at Fair Value $ — $ (1,334) $ (482,533) $ (483,867) (1) Non-Agency RMBS is comprised of Prime and Re/Non-Performing Securities. (2) CMBS represents Single-Asset/Single-Borrower Securities. (3) As of June 30, 2021, the Company applied a reduction in fair value of $13.3 million and $1.0 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively. Refer to Note 2 and Note 7 for more information on the Company's accounting policies with regard to derivatives. (4) 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, 2020 (in thousands): Fair value at December 31, 2020 Level 1 Level 2 Level 3 Total Assets: Residential mortgage loans $ — $ 2,134 $ 433,307 $ 435,441 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 Commercial loans — — 125,508 125,508 Excess mortgage servicing rights — — 3,158 3,158 Derivative assets (3) — 1,356 — 1,356 AG Arc (4) — — 45,341 45,341 Total Assets Measured at Fair Value $ — $ 613,936 $ 610,414 $ 1,224,350 Liabilities: Securitized debt $ — $ — $ (355,159) $ (355,159) Derivative liabilities (3) — (294) — (294) Total Liabilities Measured at Fair Value $ — $ (294) $ (355,159) $ (355,453) (1) Non-Agency RMBS is comprised of Prime, Alt-A/Subprime, Credit Risk Transfer, 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) 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. Refer to Note 2 and Note 7 for more information on the Company's accounting policies with regard to derivatives. (4) 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 measured on a recurring basis | The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: Three Months Ended June 30, 2021 (in thousands) Residential Non-Agency Commercial Excess Mortgage AG Arc Securitized Beginning balance $ 640,739 $ 1,641 $ 58,209 $ 3,000 $ 52,138 $ (344,429) Purchases/Transfers 444,737 — 1,589 — — — Issuances of Securitized Debt — — — — — (203,392) Proceeds from sales of assets (45,615) — — — — — Proceeds from settlement (21,357) (469) — — — 66,154 Total net gains/(losses) (1) Included in net income 9,874 11 2,481 (392) (1,276) (866) Ending Balance $ 1,028,378 $ 1,183 $ 62,279 $ 2,608 $ 50,862 $ (482,533) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2021 (2) $ 2,840 $ 11 $ 2,481 $ (392) $ (1,276) $ (866) (1) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ 3,982 Net realized gain/(loss) 7,126 Equity in earnings/(loss) from affiliates (1,276) Total $ 9,832 (2) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ 4,074 Equity in earnings/(loss) from affiliates (1,276) Total $ 2,798 Three Months Ended June 30, 2020 (in thousands) Residential Non-Agency Commercial Excess Mortgage AG Arc Securitized Beginning balance $ 766,960 $ 5,533 $ 158,051 $ 14,066 $ 18,519 $ (191,346) Purchases/Transfers — — 7,759 — — — Issuances of Securitized Debt — — — — — (3,000) Proceeds from sales of assets (378,729) (68) (34,200) — — — Proceeds from settlement (14,716) (1,159) — — — 3,517 Total net gains/(losses) (1) Included in net income 6,307 190 (3,925) (1,772) 9,511 (8,145) Ending Balance $ 379,822 $ 4,496 $ 127,685 $ 12,294 $ 28,030 $ (198,974) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2020 (2) $ 60,434 $ 4 $ (2,134) $ (1,780) $ 9,511 $ (8,145) (1) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ 48,385 Net realized gain/(loss) (55,730) Equity in earnings/(loss) from affiliates 9,511 Total $ 2,166 (2) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ 48,379 Equity in earnings/(loss) from affiliates 9,511 Total $ 57,890 Six Months Ended June 30, 2021 (in thousands) Residential Non-Agency Commercial Excess Mortgage AG Arc Securitized Beginning balance $ 433,307 $ 3,100 $ 125,508 $ 3,158 $ 45,341 $ (355,159) Transfers (1): Transfers out of level 3 — (1,499) — — — — Purchases/Transfers 652,797 — 5,258 — — — Issuances of Securitized Debt — — — — — (203,392) Proceeds from sales of assets and seizures of assets (45,615) — (74,342) — — — Proceeds from settlement (33,651) (501) (195) — — 78,931 Total net gains/(losses) (2) Included in net income 21,540 83 6,050 (550) 5,521 (2,913) Ending Balance $ 1,028,378 $ 1,183 $ 62,279 $ 2,608 $ 50,862 $ (482,533) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2021 (3) $ 14,601 $ 83 $ 3,219 $ (550) $ 5,521 $ (2,913) (1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2021, the Company transferred one Non-Agency RMBS 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), net $ 20,083 Net realized gain/(loss) 4,127 Equity in earnings/(loss) from affiliates 5,521 Total $ 29,731 (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ 14,440 Equity in earnings/(loss) from affiliates 5,521 Total $ 19,961 Six Months Ended June 30, 2020 (in thousands) Residential Non-Agency Non-Agency CMBS CMBS Interest Commercial Excess AG Arc Securitized Beginning balance $ 417,785 $ 630,115 $ 1,074 $ 366,566 $ 47,992 $ 158,686 $ 17,775 $ 28,546 $ (72,415) Transfers (1): Transfers into level 3 — — — — — — — — (151,933) Transfers out of level 3 — (210,709) (1,074) (170,816) (22,054) — — — 7,230 Purchases/Transfers 479,195 1,559 — 3,540 — 19,200 — — — Issuances of Securitized Debt — — — — — — (3,000) Proceeds from sales of assets and seizures of assets (387,408) (362,199) — (148,111) (21,996) (34,200) — — — Proceeds from settlement (37,390) (10,869) — (9,367) — — — — 9,223 Total net gains/(losses) (2) Included in net income (92,360) (43,401) — (41,812) (3,942) (16,001) (5,481) (516) 11,921 Ending Balance $ 379,822 $ 4,496 $ — $ — $ — $ 127,685 $ 12,294 $ 28,030 $ (198,974) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2020 (3) $ (35,221) $ (550) $ — $ — $ — $ (14,210) $ (5,481) $ (516) $ 11,921 (1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2020, the Company transferred 50 Non-Agency RMBS securities, two Non-Agency RMBS Interest Only securities, 32 CMBS securities, 15 CMBS Interest Only securities and one securitized debt security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. During the six months ended June 30, 2020, the Company transferred one 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), net $ (81,075) Net realized gain/(loss) (110,001) Equity in earnings/(loss) from affiliates (516) Total $ (191,592) (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ (43,541) Equity in earnings/(loss) from affiliates (516) Total $ (44,057) |
Schedule of valuation techniques | The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value. Asset Class Fair Value at June 30, 2021 (in thousands) Valuation Technique Unobservable Input Range Yield 1.62% - 10.00% (3.42%) Residential Mortgage Loans $ 982,331 Discounted Cash Flow Projected Collateral Prepayments 4.41% - 37.62% (14.40%) Projected Collateral Losses 0.05% - 4.65% (0.96%) Projected Collateral Severities -15.61% - 26.81% (11.99%) $ 5,684 Consensus Pricing Offered Quotes 85.67 - 113.14 (104.07) $ 40,363 Recent Transaction Cost N/A Yield 8.37% - 8.37% (8.37%) Non-Agency RMBS $ 1,183 Discounted Cash Flow Projected Collateral Prepayments 5.41% - 5.41% (5.41%) Projected Collateral Losses 2.92% - 2.92% (2.92%) Projected Collateral Severities -30.09% - -30.09% (-30.09%) Yield 10.12% - 30.06% (13.28%) Commercial Loans $ 62,279 Discounted Cash Flow Credit Spread 901 bps - 2,568 bps (1,185 bps) Recovery Percentage (2) 100.00% - 100.00% (100.00%) Loan-to-Value 48.10% - 92.70% (73.46%) Excess Mortgage Servicing Rights Discounted Cash Flow Yield 9.00% - 9.70% (9.09%) $ 2,521 Projected Collateral Prepayments 10.97% - 16.00% (12.06%) $ 87 Consensus Pricing Offered Quotes 0.30 - 0.30 (0.30) AG Arc $ 50,862 Comparable Multiple Book Value Multiple 1.06x - 1.06x (1.06x) Liability Class Fair Value at June 30, 2021 (in thousands) Valuation Technique Unobservable Input Range Yield 0.98% - 5.00% (2.04%) Securitized debt $ (482,533) Discounted Cash Flow Projected Collateral Prepayments 5.44% - 11.03% (8.65%) Projected Collateral Losses 0.36% - 3.27% (1.42%) Projected Collateral Severities 8.49% - 16.97% (12.33%) (1) Amounts are weighted based on fair value. (2) Represents the proportion of the principal expected to be collected relative to the loan balances as of June 30, 2021. Asset Class Fair Value at December 31, 2020 (in thousands) Valuation Technique Unobservable Input Range 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 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 10.95% - 39.54% (14.09%) Commercial Loans $ 125,508 Discounted Cash Flow Credit Spread 1,001 bps - 3,304 bps (1,279 bps) Recovery Percentage (2) 100.00% - 100.00% (100.00%) Loan-to-Value 43.60% - 97.50% (62.04%) Excess Mortgage Servicing Rights Yield 9.00% - 9.70% (9.08%) $ 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 value. (2) Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2020. |
Financing arrangements (Tables)
Financing arrangements (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Debt Disclosure [Abstract] | |
Schedule of repurchase agreements | The following table presents a summary of the Company's financing arrangements as of June 30, 2021 and December 31, 2020 ($ in thousands). June 30, 2021 December 31, 2020 Weighted Average Collateral (1)(2)(3) Carrying Value Stated Maturity Funding Cost Life (Years) Amortized Cost Basis Fair Value Carrying Value Repurchase Agreements Residential Mortgage Loans (4)(5) $ 408,656 Sept 2021 - Jan 2022 2.56 % 0.53 $ 491,795 $ 502,956 $ 25,590 Agency RMBS (6) 752,723 July 2021 0.10 % 0.04 694,925 794,643 435,893 Non-Agency RMBS 1,621 July 2021 - Oct 2021 1.97 % 0.08 3,091 3,454 14,550 CMBS 18,518 July 2021 1.59 % 0.02 35,452 31,614 24,881 Total Repurchase Agreements $ 1,181,518 0.98 % 0.21 $ 1,225,263 $ 1,332,667 $ 500,914 Revolving Facilities Commercial Loans (7)(8)(9) $ 25,950 Aug 2023 3.16 % 2.11 $ 50,663 $ 43,870 $ 63,133 Total Financing Arrangements $ 1,207,468 1.03 % 0.25 $ 1,275,926 $ 1,376,537 $ 564,047 (1) The Company also had $0.3 million of cash pledged under repurchase agreements as of June 30, 2021. (2) Under the terms of the Company’s financing agreements, the Company's financing counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. (3) Amounts pledged as collateral under Residential Mortgage Loans include certain of the Company's retained interests in securitizations. Refer to Note 3 for more information on the Residential Loan VIEs. (4) The Company's Residential Mortgage Loan financing arrangements include a maximum uncommitted borrowing capacity of $800 million on facilities used to finance Non-QM Loans. Subsequent to quarter end, the Company amended certain financing arrangements to increase the maximum uncommitted borrowing capacity used to finance Non-QM Loans by $300 million. (5) The funding cost includes deferred financing costs. The stated rate on the Residential Mortgage Loans repurchase agreements was 2.53% as of June 30, 2021. (6) As of June 30, 2021, repurchase agreements on Agency RMBS includes repurchase agreements and collateral on unsettled Agency RMBS sales. (7) The revolving facility is interest only until maturity. (8) The funding cost includes deferred financing costs. The stated rate on the Commercial Loans revolving facility was 2.11% as of June 30, 2021. (9) The Company's commercial loan revolving facility includes a maximum uncommitted borrowing capacity of $100 million. |
Schedule of total borrowings under repurchase agreements | The following table presents contractual maturity information about the Company's borrowings under repurchase agreements and revolving facilities as of June 30, 2021 ($ in thousands). Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Over 12 Months Total Repurchase Agreements Residential Mortgage Loans $ — $ 42,158 $ 366,498 $ — $ 408,656 Agency RMBS 752,723 — — — 752,723 Non-Agency RMBS 1,282 — 339 — 1,621 CMBS 18,518 — — — 18,518 Total Repurchase Agreements $ 772,523 $ 42,158 $ 366,837 $ — $ 1,181,518 Revolving Facilities Commercial Loans $ — $ — $ — $ 25,950 $ 25,950 Total Financing Arrangements $ 772,523 $ 42,158 $ 366,837 $ 25,950 $ 1,207,468 |
Schedule of repurchase agreement counterparty | The following tables present information as of June 30, 2021 and December 31, 2020 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands). June 30, 2021 Counterparty Stockholders’ Equity Weighted Average Percentage of Barclays Capital Inc. $ 105,759 103 22.7 % 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 % |
Other assets and liabilities (T
Other assets and liabilities (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of other assets and other liabilities | The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of June 30, 2021 and December 31, 2020 (in thousands): June 30, 2021 December 31, 2020 Other assets Interest receivable $ 6,525 $ 2,962 Derivative assets, at fair value 89 — Other assets 3,703 5,538 Due from broker 1,816 907 Total Other assets $ 12,133 $ 9,407 Other liabilities Interest payable $ 976 $ 853 Derivative liabilities, at fair value 310 68 Due to affiliates (1) 3,326 14,041 Accrued expenses 2,266 2,521 Due to broker 2,140 1,272 Total Other liabilities $ 9,018 $ 18,755 (1) Refer to Note 10 for more information. |
Schedule of Company's derivative and other instruments and their balance sheet location | The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location as of June 30, 2021 and December 31, 2020 (in thousands). Derivatives and Other Instruments (1) Designation Balance Sheet June 30, 2021 December 31, 2020 Pay Fix/Receive Float Interest Rate Swap Agreements (1) Non-Hedge Other liabilities $ (289) $ (68) TBAs Non-Hedge Other assets 89 — TBAs Non-Hedge Other liabilities (21) — (1) As of June 30, 2021, the Company applied a reduction in fair value of $13.3 million and $1.0 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, 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. |
Schedule of derivatives and other instruments | The following table summarizes information related to derivatives and other instruments (in thousands): Notional amount of non-hedge derivatives and other instruments: Notional Currency June 30, 2021 December 31, 2020 Pay Fix/Receive Float Interest Rate Swap Agreements USD $ 806,000 $ 417,000 Short TBAs USD (130,000) — Short positions on British Pound Futures (1) GBP — 3,313 |
Schedule of gains/(losses) related to derivatives and other instruments | The following table summarizes gains/(losses) related to derivatives and other instruments (in thousands): Three Months Ended Six Months Ended June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 Included within Unrealized gain/(loss), net Interest Rate Swaps $ (15,865) $ — $ 12,555 $ (11,588) Swaptions — (5) — (697) British Pound Futures — 239 64 186 Euro Futures — (28) — 20 TBAs 67 (392) 67 — (15,798) (186) 12,686 (12,079) Included within Net realized gain/(loss) Interest Rate Swaps 897 — 897 (65,368) Swaptions — — — (1,386) British Pound Futures — (150) (165) 514 Euro Futures — 66 — 68 TBAs — 392 — 4,610 897 308 732 (61,562) Total income/(loss) $ (14,901) $ 122 $ 13,418 $ (73,641) |
Schedule of interest rate derivatives | The following table presents information about the Company’s interest rate swaps as of June 30, 2021 ($ in thousands): Maturity Notional Amount Weighted Average Weighted Average Weighted Average 2025 $ 296,000 0.39 % 0.18 % 4.26 2026 202,000 0.76 % 0.16 % 4.75 2028 95,000 1.02 % 0.16 % 6.62 2030 86,000 0.76 % 0.17 % 9.27 2031 112,000 1.23 % 0.17 % 9.59 2051 15,000 1.96 % 0.19 % 29.80 Total/Wtd Avg $ 806,000 0.74 % 0.17 % 6.41 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 |
Schedule of to be announced securities activity | The Company did not hold any TBA positions for the three months ended June 30, 2020. The following tables present information about the Company’s TBAs for the three months ended June 30, 2021 and the six months ended June 30, 2021 and June 30, 2020 (in thousands): For the Three Months Ended: Beginning Notional Amount Buys or Covers Sales or Shorts Ending Net Notional Amount Net Fair Value as of Period End Net Receivable/(Payable) from/to Broker Derivative Asset Derivative Liability June 30, 2021 TBAs - Short $ — $ — $ (130,000) $ (130,000) $ (134,171) $ 134,239 $ 89 $ (21) For the Six Months Ended: Beginning Notional Amount Buys or Covers Sales or Shorts Ending Net Notional Amount Net Fair Value as of Period End Net Receivable/(Payable) from/to Broker Derivative Asset Derivative Liability June 30, 2021 TBAs - Short $ — $ — $ (130,000) $ (130,000) $ (134,171) $ 134,239 $ 89 $ (21) June 30, 2020 TBAs - Long — 728,000 (728,000) — — — — — |
Earnings per share (Tables)
Earnings per share (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Earnings Per Share [Abstract] | |
Schedule of basic and diluted earnings per share | three and six months ended June 30, 2021 and 2020. (in thousands, except per share data) Three Months Ended Six Months Ended June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020 Numerator: Net Income/(Loss) from Continuing Operations $ 15,493 $ 2,700 $ 58,742 $ (482,317) Gain on Exchange Offers, net (Note 11) 114 — 472 — Dividends on preferred stock (4,689) (5,667) (9,613) (11,334) Net income/(loss) from continuing operations available to common stockholders $ 10,918 $ (2,967) $ 49,601 $ (493,651) Net Income/(Loss) from Discontinued Operations — 361 — 361 Net income/(loss) available to common stockholders $ 10,918 $ (2,606) $ 49,601 $ (493,290) Denominator: Basic weighted average common shares outstanding 15,595 10,953 14,860 10,935 Diluted weighted average common shares outstanding (1) 15,595 10,953 14,860 10,935 Earnings/(Loss) Per Share - Basic (2) Continuing Operations $ 0.70 $ (0.27) $ 3.34 $ (45.14) Discontinued Operations — 0.03 — 0.03 Total Earnings/(Loss) Per Share of Common Stock (2) $ 0.70 $ (0.24) $ 3.34 $ (45.11) Earnings/(Loss) Per Share - Diluted (2) Continuing Operations $ 0.70 $ (0.27) $ 3.34 $ (45.14) Discontinued Operations — 0.03 — 0.03 Total Earnings/(Loss) Per Share of Common Stock (2) $ 0.70 $ (0.24) $ 3.34 $ (45.11) |
Schedule of dividends declared and paid | The following table details the Company's common stock dividends declared during the six months ended June 30, 2021: 2021 Declaration Date Record Date Payment Date Cash Dividend Per Share 3/22/2021 4/1/2021 4/30/2021 $ 0.18 6/15/2021 6/30/2021 7/30/2021 0.21 Total $ 0.39 The Company did not declare any common stock dividends during the three and six months ended June 30, 2020. The following tables detail the Company's preferred stock dividends declared and paid during the six months ended June 30, 2021 and 2020: 2021 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25% Series A 8.00% Series B 8.000% Series C 2/16/2021 2/26/2021 3/17/2021 $ 0.51563 $ 0.50 $ 0.50 5/17/2021 5/28/2021 6/17/2021 0.51563 0.50 0.50 Total $ 1.03126 $ 1.00 $ 1.00 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 |
Equity (Tables)
Equity (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Equity [Abstract] | |
Schedule of Preferred Stock | The following table includes a summary of preferred stock issued and outstanding as of June 30, 2021 ($ and shares in thousands): Preferred Stock Series Issuance Date Shares Outstanding Carrying Value Aggregate Liquidation Preference (1) Optional Redemption Rate (3)(4) Series A Preferred Stock August 3, 2012 1,663 $ 40,110 $ 41,580 August 3, 2017 8.25 % Series B Preferred Stock September 27, 2012 3,728 90,187 93,191 September 17, 2017 8.00 % Series C Preferred Stock September 17, 2019 3,729 90,175 93,220 September 17, 2024 8.000 % Total 9,120 $ 220,472 $ 227,991 (1) The Company's Preferred Stock has a liquidation preference of $25.00 per share. (2) Shares have no stated maturity and are not subject to any sinking fund or mandatory redemption. Shares of the Company’s Preferred Stock are 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 may be redeemable earlier than the optional redemption date under certain circumstances intended to preserve its qualification as a REIT for Federal income tax purposes. (3) 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. (4) Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December and holders are entitled to receive cumulative cash dividends at the respective state rate per annum before holders of common stock are entitled to receive any cash dividends. |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 6 Months Ended |
Jun. 30, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Schedule of Outstanding Commitments | The below table details the Company's outstanding commitments as of June 30, 2021 (in thousands): Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment Commercial loan K (a) February 22, 2019 $ 20,000 $ 18,809 $ 1,191 LOTS (b) Various 24,638 15,877 8,761 MATH (b) January 29, 2021 22,295 — 22,295 Total $ 66,933 $ 34,686 $ 32,247 (a) The Company entered into commitments on commercial loans relating to construction projects. See Note 3 for further details. (b) Refer to Note 10 "Investments in debt and equity of affiliates" for more information regarding LOTS and MATH. |
Organization - Narrative (Detai
Organization - Narrative (Details) | 6 Months Ended |
Jun. 30, 2021segment | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of reportable segments | 1 |
Summary of significant accoun_4
Summary of significant accounting policies - Narrative (Details) | Jul. 22, 2021 | Jul. 12, 2021 | Jun. 30, 2021USD ($)$ / shares | Jun. 30, 2020USD ($) | Jun. 30, 2021USD ($)$ / shares | Jun. 30, 2020USD ($) |
Investments in and Advances to Affiliates [Line Items] | ||||||
Preferred stock dividend percentage | 8.00% | |||||
Subsequent Event | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Reverse stock split ratio | 0.3333 | 0.3333 | ||||
Arc Home | Consolidation, Eliminations | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Gross profit | $ | $ 1,400,000 | $ 0 | $ 1,900,000 | $ 0 | ||
8.25% Series A Cumulative Redeemable Preferred Stock | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Preferred stock dividend percentage | 8.25% | |||||
8.00% Series B Cumulative Redeemable Preferred Stock | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Preferred stock dividend percentage | 8.00% | |||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Preferred stock dividend percentage | 8.00% | |||||
Liquidation preference (in dollars per share) | $ / shares | $ 25 | $ 25 | ||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | LIBOR Floating Rate | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Preferred stock dividend percentage | 6.476% |
Summary of significant accoun_5
Summary of significant accounting policies - Schedule of investments in debt and equity of affiliates (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Apr. 30, 2021 | Dec. 31, 2020 | |
Investments in and Advances to Affiliates [Line Items] | ||||||
Investments in debt and equity of affiliates | $ 135,868,000 | $ 135,868,000 | $ 16,800,000 | $ 150,667,000 | ||
Equity in earnings/(loss) from affiliates | 1,278,000 | $ 3,434,000 | 27,614,000 | $ (40,758,000) | ||
Consolidation, Eliminations | Arc Home | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Gross profit | 1,400,000 | 0 | 1,900,000 | 0 | ||
Non-QM Loans | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Equity in earnings/(loss) from affiliates | 1,275,000 | (8,115,000) | 15,921,000 | (34,844,000) | ||
Non-Agency, Land Related Financing | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Equity in earnings/(loss) from affiliates | 540,000 | 473,000 | 1,250,000 | 1,137,000 | ||
Other Loans | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Equity in earnings/(loss) from affiliates | 2,169,000 | 1,566,000 | 6,809,000 | (6,535,000) | ||
Residential and Commercial Real Estates Assets | Non-QM Loans | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Unpaid principal of loans excluded | 11,200,000 | 11,200,000 | 17,300,000 | |||
Arc Home | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Equity in earnings/(loss) from affiliates | (2,706,000) | $ 9,510,000 | 3,634,000 | $ (516,000) | ||
MSR change in fair value | (2,800,000) | (1,200,000) | ||||
Arc Home | Lending And Servicing | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Equity in earnings/(loss) from affiliates | 200,000 | 4,400,000 | ||||
Assets | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Investments in debt and equity of affiliates | 199,024,000 | 199,024,000 | 268,584,000 | |||
Cash and Other assets/(liabilities) | 8,177,000 | 8,177,000 | 5,279,000 | |||
Assets | Real Estate Securities | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 139,985,000 | 139,985,000 | 217,964,000 | |||
Assets | Non-QM Loans | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 77,683,000 | 77,683,000 | 153,200,000 | |||
Assets | Non-Agency, Land Related Financing | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 17,857,000 | 17,857,000 | 22,824,000 | |||
Assets | Other Loans | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 44,445,000 | 44,445,000 | 41,940,000 | |||
Assets | Arc Home | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Investments in debt and equity of affiliates | 50,862,000 | 50,862,000 | 45,341,000 | |||
Liabilities | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Investments in debt and equity of affiliates | 63,156,000 | 63,156,000 | 117,917,000 | |||
Cash and Other assets/(liabilities) | 2,992,000 | 2,992,000 | 1,194,000 | |||
Liabilities | Real Estate Securities | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 60,164,000 | 60,164,000 | 116,723,000 | |||
Liabilities | Non-QM Loans | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 48,813,000 | 48,813,000 | 111,135,000 | |||
Liabilities | Non-Agency, Land Related Financing | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 0 | 0 | 0 | |||
Liabilities | Other Loans | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 11,351,000 | 11,351,000 | 5,588,000 | |||
Liabilities | Arc Home | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Investments in debt and equity of affiliates | 0 | 0 | 0 | |||
Equity | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Investments in debt and equity of affiliates | 135,868,000 | 135,868,000 | 150,667,000 | |||
Cash and Other assets/(liabilities) | 5,185,000 | 5,185,000 | 4,085,000 | |||
Equity | Real Estate Securities | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 79,821,000 | 79,821,000 | 101,241,000 | |||
Equity | Non-QM Loans | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 28,870,000 | 28,870,000 | 42,065,000 | |||
Equity | Non-Agency, Land Related Financing | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 17,857,000 | 17,857,000 | 22,824,000 | |||
Equity | Other Loans | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 33,094,000 | 33,094,000 | 36,352,000 | |||
Equity | Arc Home | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Investments in debt and equity of affiliates | $ 50,862,000 | $ 50,862,000 | $ 45,341,000 |
Loans - Narrative (Details)
Loans - Narrative (Details) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021USD ($)securityloan | Jun. 30, 2020USD ($)securityloan | Jun. 30, 2021USD ($)securityloan | Jun. 30, 2020USD ($)loansecurity | |
Residential Portfolio Segment | ||||
Gain (Loss) on Securities [Line Items] | ||||
Number of loans sold | security | 367 | 2,357 | 367 | 2,358 |
Number of residual loans sold | security | 1 | 1 | ||
Proceeds from sale of loans | $ 45.6 | $ 382.8 | $ 45.6 | $ 391.5 |
Proceeds from sale of residual position loans | 1.6 | 1.6 | ||
Realized gain on sale of loan | 8.1 | 1.4 | 8.1 | 1.4 |
Realized loss on sale of loan | 0.4 | $ 55.5 | 0.4 | $ 58.6 |
Residential Portfolio Segment | Non-QM Loans | ||||
Gain (Loss) on Securities [Line Items] | ||||
Unpaid principal balance on loans purchased during period | 426.8 | 625.2 | ||
Fair value of loans acquired | $ 446.2 | $ 654.7 | ||
Commercial Portfolio Segment | ||||
Gain (Loss) on Securities [Line Items] | ||||
Number of loans sold | loan | 0 | 1 | 2 | 1 |
Proceeds from sale of loans | $ 34.2 | $ 74.3 | $ 34.2 | |
Realized loss on sale of loan | $ 1.7 | $ 2.9 | $ 1.7 |
Loans - Summary of company's re
Loans - Summary of company's residential mortgage loan portfolio (Details) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021USD ($)loan | Dec. 31, 2020USD ($)loan | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Amortized Cost | $ 62,279,000 | $ 111,549,000 |
Fair Value | 1,029,244,000 | 435,441,000 |
Residential Portfolio Segment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 1,037,037,000 | 500,980,000 |
Premium (Discount) | (25,974,000) | (69,007,000) |
Amortized Cost | 1,011,063,000 | 431,973,000 |
Gross Unrealized Gains | 24,420,000 | 13,640,000 |
Gross Unrealized Losses | (6,239,000) | (10,172,000) |
Fair Value | $ 1,029,244,000 | $ 435,441,000 |
Weighted Average Coupon | 4.36% | 3.58% |
Weighted Average Yield | 4.48% | 5.69% |
Weighted Average Life (Years) | 5 years 1 month 9 days | 6 years 8 months 1 day |
Number of conventional loans with balances | loan | 3,825 | 3,273 |
Mortgage loans in process of foreclosure | $ 28,900,000 | $ 37,100,000 |
Residential Portfolio Segment | Non-QM Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 621,095,000 | 0 |
Premium (Discount) | 26,556,000 | |
Amortized Cost | 647,651,000 | |
Gross Unrealized Gains | 8,473,000 | |
Gross Unrealized Losses | (972,000) | |
Fair Value | $ 655,152,000 | 0 |
Weighted Average Coupon | 4.86% | |
Weighted Average Yield | 3.61% | |
Weighted Average Life (Years) | 3 years 10 months 6 days | |
Residential Portfolio Segment | Re- and Non-Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 415,942,000 | |
Premium (Discount) | (52,530,000) | |
Amortized Cost | 363,412,000 | |
Gross Unrealized Gains | 15,947,000 | |
Gross Unrealized Losses | (5,267,000) | |
Fair Value | $ 374,092,000 | |
Weighted Average Coupon | 3.59% | |
Weighted Average Yield | 6.00% | |
Weighted Average Life (Years) | 6 years 11 months 23 days | |
Residential Portfolio Segment | Minimum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 5,600 | 5,600 |
Residential Portfolio Segment | Maximum | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 3,700,000 | $ 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 | Jun. 30, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Fair Value | $ 1,029,244 | $ 435,441 |
Residential Portfolio Segment | ||
Debt Instrument [Line Items] | ||
Fair Value | 1,029,244 | 435,441 |
Unpaid Principal Balance | 1,037,037 | 500,980 |
Residential Portfolio Segment | Non-QM Loans | ||
Debt Instrument [Line Items] | ||
Fair Value | 655,152 | 0 |
Unpaid Principal Balance | 621,095 | 0 |
Residential Portfolio Segment | Re-Performing | ||
Debt Instrument [Line Items] | ||
Fair Value | 267,853 | 312,733 |
Unpaid Principal Balance | 291,301 | 347,359 |
Residential Portfolio Segment | Non-Performing | ||
Debt Instrument [Line Items] | ||
Fair Value | 99,689 | 113,976 |
Unpaid Principal Balance | 116,520 | 134,129 |
Residential Portfolio Segment | Other | ||
Debt Instrument [Line Items] | ||
Fair Value | 6,550 | 8,732 |
Unpaid Principal Balance | $ 8,121 | $ 19,492 |
Loans - Summary of concentratio
Loans - Summary of concentrations of credit risk (Details) - Residential Portfolio Segment - Geographic Concentration Risk - Accounts Receivable | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
California | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Geographic concentration of credit risk | 36.00% | 17.00% |
Florida | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Geographic concentration of credit risk | 13.00% | 11.00% |
New York | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Geographic concentration of credit risk | 11.00% | 10.00% |
New Jersey | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Geographic concentration of credit risk | 5.00% | 6.00% |
Loans - Summary of changes in t
Loans - Summary of changes in the accretable portion of discounts (Details) - Residential Portfolio Segment - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Changes in the accretable portion | ||||
Beginning Balance | $ 55,003 | $ 50,291 | $ 56,907 | $ 41,472 |
Additions | 0 | 0 | 0 | 15,250 |
Accretion | (789) | (1,021) | (2,351) | (3,290) |
Reclassifications from/(to) non-accretable difference | 2,955 | 2,230 | 2,677 | (1,850) |
Disposals | (5,497) | (14,213) | (5,561) | (14,295) |
Ending Balance | $ 51,672 | $ 37,287 | $ 51,672 | $ 37,287 |
Loans - Summary of assets and l
Loans - Summary of assets and liabilities related to VIEs (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 | |
Assets | |||
Residential mortgage loans, at fair value | $ 1,029,244 | $ 435,441 | |
Restricted cash | 1,561 | 2,110 | |
Other assets | 12,133 | 9,407 | |
Total Assets | 2,168,290 | 1,400,045 | |
Liabilities | |||
Financing arrangements | 1,207,468 | 564,047 | |
Securitized debt, at fair value | [1] | 482,533 | 355,159 |
Other liabilities | 9,018 | 18,755 | |
Total Liabilities | 1,702,413 | 990,340 | |
Variable Interest Entity, Primary Beneficiary | |||
Assets | |||
Residential mortgage loans, at fair value | 589,394 | 426,604 | |
Other assets | 3,228 | 3,705 | |
Total Assets | 594,183 | 432,419 | |
Liabilities | |||
Financing arrangements | 42,158 | 25,590 | |
Securitized debt, at fair value | 482,533 | 355,159 | |
Other liabilities | 498 | 519 | |
Total Liabilities | $ 525,189 | $ 381,268 | |
[1] | See Note 3 for details related to variable interest entities. |
Loans - Summary of certain info
Loans - Summary of certain information related to VIEs (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Non-QM Loans | $ 1,029,244 | $ 435,441 |
Securitized debt | $ 482,533 | $ 355,159 |
Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Weighted Average Coupon | 2.26% | 2.98% |
Weighted Average Yield | 2.28% | 3.00% |
Weighted Average Life (Years) | 3 years 2 months 8 days | 3 years 10 months 6 days |
Variable Interest Entity, Primary Beneficiary | Non-QM Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Weighted Average Coupon | 1.25% | |
Weighted Average Yield | 1.25% | |
Weighted Average Life (Years) | 2 years 18 days | |
Residential Portfolio Segment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Non-QM Loans | $ 1,029,244 | $ 435,441 |
Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Weighted Average Coupon | 4.07% | 3.58% |
Weighted Average Yield | 4.98% | 5.61% |
Weighted Average Life (Years) | 6 years 1 month 13 days | 6 years 9 months 10 days |
Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | Non-QM Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Weighted Average Coupon | 4.63% | |
Weighted Average Yield | 3.65% | |
Weighted Average Life (Years) | 3 years 8 months 8 days | |
Current Unpaid Principal Balance | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Securitized debt | $ 279,713 | $ 356,631 |
Current Unpaid Principal Balance | Variable Interest Entity, Primary Beneficiary | Non-QM Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Securitized debt | 201,383 | |
Current Unpaid Principal Balance | Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Non-QM Loans | 407,822 | 481,346 |
Current Unpaid Principal Balance | Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | Non-QM Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Non-QM Loans | 208,505 | |
Fair Value | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Securitized debt | 280,953 | 355,159 |
Fair Value | Variable Interest Entity, Primary Beneficiary | Non-QM Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Securitized debt | 201,580 | |
Fair Value | Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Non-QM Loans | 367,542 | $ 426,604 |
Fair Value | Residential Portfolio Segment | Variable Interest Entity, Primary Beneficiary | Non-QM Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Non-QM Loans | $ 221,852 |
Loans - Summary of Company's co
Loans - Summary of Company's commercial loan portfolio (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Commercial Loans, at fair value | ||
Amortized Cost | $ 62,279 | $ 111,549 |
Commercial Loans Held for Sale, at fair value | ||
Commercial loans held for sale, at fair value | 0 | 13,959 |
Commercial Loan | Commercial Portfolio Segment | ||
Commercial Loans, at fair value | ||
Current Face | 69,809 | 126,238 |
Premium (Discount) | (337) | (337) |
Amortized Cost | 69,472 | 125,901 |
Gross Unrealized Losses | (7,193) | (14,352) |
Fair Value | $ 62,279 | $ 111,549 |
Weighted Average Coupon Rate | 2.69% | 3.73% |
Weighted Average Yield | 3.77% | 4.05% |
Weighted Average Life (in years) | 2 years 3 months 14 days | 2 years 4 months 2 days |
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 | $ 125,508 | |
Weighted Average Coupon Rate | 4.60% | |
Weighted Average Yield | 4.96% | |
Weighted Average Life | 2 years 3 months 29 days | |
Loan K | Commercial Portfolio Segment | ||
Commercial Loans, at fair value | ||
Current Face | $ 18,809 | $ 15,787 |
Premium (Discount) | 0 | 0 |
Amortized Cost | 18,809 | 15,787 |
Gross Unrealized Losses | (400) | (1,100) |
Fair Value | $ 18,409 | $ 14,687 |
Weighted Average Coupon Rate | 10.00% | 10.00% |
Weighted Average Yield | 12.75% | 10.83% |
Weighted Average Life (in years) | 1 month 2 days | 1 year 3 months 7 days |
Loan L | Commercial Portfolio Segment | ||
Commercial Loans, at fair value | ||
Current Face | $ 51,000 | $ 51,000 |
Premium (Discount) | (337) | (337) |
Amortized Cost | 50,663 | 50,663 |
Gross Unrealized Losses | (6,793) | (9,312) |
Fair Value | $ 43,870 | $ 41,351 |
Weighted Average Life (in years) | 3 years 1 month 9 days | 3 years 7 months 9 days |
Loan G | Commercial Portfolio Segment | ||
Commercial Loans, at fair value | ||
Current Face | $ 59,451 | |
Premium (Discount) | 0 | |
Amortized Cost | 59,451 | |
Gross Unrealized Losses | (3,940) | |
Fair Value | $ 55,511 | |
Weighted Average Coupon Rate | 5.27% | |
Weighted Average Yield | 5.27% | |
Weighted Average Life (in years) | 1 year 6 months 14 days | |
Loan I | Commercial Portfolio Segment | ||
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) | |
Commercial loans held for sale, at fair value | $ 13,959 | |
Weighted Average Coupon Rate | 11.50% | |
Weighted Average Yield | 12.23% | |
Weighted Average Useful Life | 2 years 2 months 19 days |
Real Estate Securities - Summar
Real Estate Securities - Summary of real estate securities portfolio (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 721,058 | $ 1,466,336 |
Premium / (Discount) | 19,478 | (848,676) |
Amortized Cost | 740,536 | 617,660 |
Gross Unrealized Gains | 2,062 | 8,436 |
Gross Unrealized Losses | (10,402) | (12,550) |
Fair Value | $ 732,196 | $ 613,546 |
Weighted Average Coupon | 2.36% | 1.18% |
Weighted Average Yield | 1.92% | 2.08% |
Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 8,044 | $ 206,975 |
Premium / (Discount) | (4,803) | (173,503) |
Amortized Cost | 3,241 | 33,472 |
Gross Unrealized Gains | 637 | 5,671 |
Gross Unrealized Losses | 0 | (737) |
Fair Value | $ 3,878 | $ 38,406 |
Weighted Average Coupon | 3.92% | 2.01% |
Weighted Average Yield | 17.06% | 8.50% |
Commercial Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 765,054 | |
Premium / (Discount) | (697,541) | |
Amortized Cost | 67,513 | |
Gross Unrealized Gains | 971 | |
Gross Unrealized Losses | (11,696) | |
Fair Value | $ 56,788 | |
Weighted Average Coupon | 0.44% | |
Weighted Average Yield | 6.04% | |
Agency RMBS: 30 Year Fixed Rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 677,514 | $ 494,307 |
Premium / (Discount) | 24,329 | 22,368 |
Amortized Cost | 701,843 | 516,675 |
Gross Unrealized Gains | 1,425 | 1,794 |
Gross Unrealized Losses | (6,564) | (117) |
Fair Value | $ 696,704 | $ 518,352 |
Weighted Average Coupon | 2.26% | 2.10% |
Weighted Average Yield | 1.73% | 1.17% |
Non-Agency, Prime | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 6,874 | $ 15,093 |
Premium / (Discount) | (4,646) | (7,081) |
Amortized Cost | 2,228 | 8,012 |
Gross Unrealized Gains | 467 | 663 |
Gross Unrealized Losses | 0 | (10) |
Fair Value | $ 2,695 | $ 8,665 |
Weighted Average Coupon | 3.50% | 3.68% |
Weighted Average Yield | 15.21% | 8.97% |
Non-Agency, Alt-A/Subprime | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 16,287 | |
Premium / (Discount) | (9,377) | |
Amortized Cost | 6,910 | |
Gross Unrealized Gains | 4,586 | |
Gross Unrealized Losses | 0 | |
Fair Value | $ 11,496 | |
Weighted Average Coupon | 4.25% | |
Weighted Average Yield | 12.52% | |
Non-Agency, Credit Risk Transfer | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 13,880 | |
Premium / (Discount) | 0 | |
Amortized Cost | 13,880 | |
Gross Unrealized Gains | 15 | |
Gross Unrealized Losses | (587) | |
Fair Value | $ 13,308 | |
Weighted Average Coupon | 4.71% | |
Weighted Average Yield | 4.70% | |
Non-Agency, Non US Residential Mortgage Backed Securities | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 2,435 | |
Premium / (Discount) | 706 | |
Amortized Cost | 3,141 | |
Gross Unrealized Gains | 51 | |
Gross Unrealized Losses | (92) | |
Fair Value | $ 3,100 | |
Weighted Average Coupon | 6.45% | |
Weighted Average Yield | 6.41% | |
Non-Agency RMBS Interest Only | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 157,590 | |
Premium / (Discount) | (157,513) | |
Amortized Cost | 77 | |
Gross Unrealized Gains | 207 | |
Gross Unrealized Losses | (48) | |
Fair Value | $ 236 | |
Weighted Average Coupon | 0.53% | |
Non-Agency, Re/Non-Performing Securities | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 1,170 | $ 1,690 |
Premium / (Discount) | (157) | (238) |
Amortized Cost | 1,013 | 1,452 |
Gross Unrealized Gains | 170 | 149 |
Gross Unrealized Losses | 0 | 0 |
Fair Value | $ 1,183 | $ 1,601 |
Weighted Average Coupon | 5.25% | 5.25% |
Weighted Average Yield | 21.28% | 14.05% |
Conduit | Commercial Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 4,925 | |
Premium / (Discount) | (1,024) | |
Amortized Cost | 3,901 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | (606) | |
Fair Value | $ 3,295 | |
Weighted Average Coupon | 4.62% | |
Weighted Average Yield | 11.89% | |
Single Asset Single Borrower | Commercial Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 35,500 | $ 50,480 |
Premium / (Discount) | (48) | (1,494) |
Amortized Cost | 35,452 | 48,986 |
Gross Unrealized Gains | 0 | 668 |
Gross Unrealized Losses | (3,838) | (9,464) |
Fair Value | $ 31,614 | $ 40,190 |
Weighted Average Coupon | 4.03% | 4.15% |
Weighted Average Yield | 4.39% | 4.81% |
Freddie Mac K-Series CMBS | Commercial Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 22,572 | |
Premium / (Discount) | (12,062) | |
Amortized Cost | 10,510 | |
Gross Unrealized Gains | 47 | |
Gross Unrealized Losses | (1,557) | |
Fair Value | $ 9,000 | |
Weighted Average Coupon | 3.83% | |
Weighted Average Yield | 9.00% | |
CMBS Interest Only | Commercial Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 687,077 | |
Premium / (Discount) | (682,961) | |
Amortized Cost | 4,116 | |
Gross Unrealized Gains | 256 | |
Gross Unrealized Losses | (69) | |
Fair Value | $ 4,303 | |
Weighted Average Coupon | 0.10% | |
Weighted Average Yield | 6.93% | |
Total Credit Investments | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 43,544 | $ 972,029 |
Premium / (Discount) | (4,851) | (871,044) |
Amortized Cost | 38,693 | 100,985 |
Gross Unrealized Gains | 637 | 6,642 |
Gross Unrealized Losses | (3,838) | (12,433) |
Fair Value | $ 35,492 | $ 95,194 |
Weighted Average Coupon | 4.02% | 0.65% |
Weighted Average Yield | 5.78% | 7.04% |
Real Estate Securities - Summ_2
Real Estate Securities - Summary of weighted average life of real estate securities (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
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 | |
Greater than five years and less than or equal to ten years | 662,740 | 336,405 |
Greater than ten years | 33,964 | 0 |
Total | 696,704 | 518,352 |
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 | |
Greater than five years and less than or equal to ten years | 667,450 | 335,466 |
Greater than ten years | 34,393 | 0 |
Total | $ 701,843 | $ 516,675 |
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% | |
Greater than five years and less than or equal to ten years | 2.28% | 2.00% |
Greater than ten years | 2.00% | 0.00% |
Total | 2.26% | 2.10% |
Credit Investments | ||
Fair Value | ||
Less than or equal to 1 year | $ 32,596 | $ 31,166 |
Greater than one year and less than or equal to five years | 20,131 | |
Greater than five years and less than or equal to ten years | 2,472 | 20,310 |
Greater than ten years | 424 | 23,587 |
Total | 35,492 | 95,194 |
Amortized Cost | ||
Less than or equal to 1 year | 36,349 | 39,588 |
Greater than one year and less than or equal to five years | 21,634 | |
Greater than five years and less than or equal to ten years | 2,195 | 20,808 |
Greater than ten years | 149 | 18,955 |
Total | $ 38,693 | $ 100,985 |
Weighted Average Coupon | ||
Less than or equal to 1 year | 4.07% | 1.81% |
Greater than one year and less than or equal to five years | 0.33% | |
Greater than five years and less than or equal to ten years | 3.50% | 0.36% |
Greater than ten years | 0.00% | 4.18% |
Total | 4.02% | 0.65% |
Real Estate Securities - Narrat
Real Estate Securities - Narrative (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021USD ($)security | Jun. 30, 2020USD ($)security | Jun. 30, 2021USD ($)security | Jun. 30, 2020USD ($)security | |
Debt Securities, Available-for-sale [Line Items] | ||||
Proceeds from sales of real estate securities | $ 453,863 | $ 2,683,595 | ||
Settled Securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Number of securities sold | security | 39 | 87 | 66 | 316 |
Proceeds from sales of real estate securities | $ 341,500 | $ 234,500 | $ 453,300 | $ 2,700,000 |
Securities, gross realized gains | 9,900 | 9,300 | 12,400 | 53,200 |
Securities, gross realized losses | $ 14,300 | $ 45,600 | $ 17,300 | $ 175,800 |
Unsettled Securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Number of securities sold | security | 3 | 3 | ||
Proceeds from sales of real estate securities | $ 104,600 | $ 104,600 |
Fair value measurements - Summa
Fair value measurements - Summary of financial instruments measured at fair value (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Non-QM Loans | $ 1,029,244 | $ 435,441 |
Commercial loans | 62,279 | 125,508 |
Excess mortgage servicing rights | 2,608 | 3,158 |
Derivative assets | 13,409 | 1,356 |
AG Arc | 50,862 | 45,341 |
Total Assets Measured at Fair Value | 1,890,598 | 1,224,350 |
Financial Instruments, Financial Liabilities, Balance Sheet Groupings [Abstract] | ||
Securitized debt | (482,533) | (355,159) |
Derivative Liability | (1,334) | (294) |
Total Liabilities Measured at Fair Value | (483,867) | (355,453) |
Agency RMBS: 30 Year Fixed Rate | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 696,704 | 518,352 |
Non-Agency RMBS | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 3,878 | 38,170 |
Non-Agency RMBS Interest Only | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 236 | |
CMBS | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 31,614 | 52,485 |
CMBS Interest Only | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 4,303 | |
Interest Rate Swap | ||
Financial Instruments, Financial Liabilities, Balance Sheet Groupings [Abstract] | ||
Derivative asset, reduction in fair value related to variation margin | 13,300 | 1,400 |
Derivative liability, reduction in fair value related to variation margin | 1,000 | 200 |
Level 1 | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Non-QM Loans | 0 | 0 |
Commercial loans | 0 | 0 |
Excess mortgage servicing rights | 0 | 0 |
Derivative assets | 0 | 0 |
AG Arc | 0 | 0 |
Total Assets Measured at Fair Value | 0 | 0 |
Financial Instruments, Financial Liabilities, Balance Sheet Groupings [Abstract] | ||
Securitized debt | 0 | 0 |
Derivative Liability | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
Level 1 | Agency RMBS: 30 Year Fixed Rate | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 0 | 0 |
Level 1 | Non-Agency RMBS | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 0 | 0 |
Level 1 | Non-Agency RMBS Interest Only | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 0 | |
Level 1 | CMBS | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 0 | 0 |
Level 1 | CMBS Interest Only | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 0 | |
Level 2 | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Non-QM Loans | 866 | 2,134 |
Commercial loans | 0 | 0 |
Excess mortgage servicing rights | 0 | 0 |
Derivative assets | 13,409 | 1,356 |
AG Arc | 0 | 0 |
Total Assets Measured at Fair Value | 745,288 | 613,936 |
Financial Instruments, Financial Liabilities, Balance Sheet Groupings [Abstract] | ||
Securitized debt | 0 | 0 |
Derivative Liability | (1,334) | (294) |
Total Liabilities Measured at Fair Value | (1,334) | (294) |
Level 2 | Agency RMBS: 30 Year Fixed Rate | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 696,704 | 518,352 |
Level 2 | Non-Agency RMBS | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 2,695 | 35,070 |
Level 2 | Non-Agency RMBS Interest Only | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 236 | |
Level 2 | CMBS | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 31,614 | 52,485 |
Level 2 | CMBS Interest Only | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 4,303 | |
Level 3 | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Non-QM Loans | 1,028,378 | 433,307 |
Commercial loans | 62,279 | 125,508 |
Excess mortgage servicing rights | 2,608 | 3,158 |
Derivative assets | 0 | 0 |
AG Arc | 50,862 | 45,341 |
Total Assets Measured at Fair Value | 1,145,310 | 610,414 |
Financial Instruments, Financial Liabilities, Balance Sheet Groupings [Abstract] | ||
Securitized debt | (482,533) | (355,159) |
Derivative Liability | 0 | 0 |
Total Liabilities Measured at Fair Value | (482,533) | (355,159) |
Level 3 | Agency RMBS: 30 Year Fixed Rate | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 0 | 0 |
Level 3 | Non-Agency RMBS | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 1,183 | 3,100 |
Level 3 | Non-Agency RMBS Interest Only | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 0 | |
Level 3 | CMBS | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | $ 0 | 0 |
Level 3 | CMBS Interest Only | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | $ 0 |
Fair value measurements - Sum_2
Fair value measurements - Summary of assets measured on a recurring basis (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021USD ($) | Jun. 30, 2020USD ($) | Jun. 30, 2021USD ($)security | Jun. 30, 2020USD ($)security | |
Total net gains/(losses) | ||||
Included in net income | $ 9,832 | $ 2,166 | $ 29,731 | $ (191,592) |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 2,798 | 57,890 | 19,961 | (44,057) |
Residential Mortgage | Level 3 | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 640,739 | 766,960 | 433,307 | 417,785 |
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 444,737 | 0 | 652,797 | 479,195 |
Issuances of Securitized Debt | 0 | 0 | 0 | 0 |
Proceeds from sales of assets | (45,615) | (378,729) | (45,615) | (387,408) |
Proceeds from settlement | (21,357) | (14,716) | (33,651) | (37,390) |
Total net gains/(losses) | ||||
Included in net income | 9,874 | 6,307 | 21,540 | (92,360) |
Ending Balance | 1,028,378 | 379,822 | 1,028,378 | 379,822 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 2,840 | 60,434 | $ 14,601 | $ (35,221) |
Non-Agency RMBS | Level 2 | ||||
Total net gains/(losses) | ||||
Number of securities transferred | security | 1 | 50 | ||
Non-Agency RMBS | Level 3 | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 1,641 | 5,533 | $ 3,100 | $ 630,115 |
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | (1,499) | (210,709) | ||
Purchases/Transfers | 0 | 0 | 0 | 1,559 |
Issuances of Securitized Debt | 0 | 0 | 0 | 0 |
Proceeds from sales of assets | 0 | (68) | 0 | (362,199) |
Proceeds from settlement | (469) | (1,159) | (501) | (10,869) |
Total net gains/(losses) | ||||
Included in net income | 11 | 190 | 83 | (43,401) |
Ending Balance | 1,183 | 4,496 | 1,183 | 4,496 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 11 | 4 | 83 | $ (550) |
Non-Agency RMBS Interest Only | Level 2 | ||||
Total net gains/(losses) | ||||
Number of securities transferred | security | 2 | |||
Non-Agency RMBS Interest Only | Level 3 | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | $ 1,074 | |||
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | (1,074) | |||
Purchases/Transfers | 0 | |||
Issuances of Securitized Debt | 0 | |||
Proceeds from sales of assets | 0 | |||
Proceeds from settlement | 0 | |||
Total net gains/(losses) | ||||
Included in net income | 0 | |||
Ending Balance | 0 | 0 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ 0 | |||
CMBS | Level 2 | ||||
Total net gains/(losses) | ||||
Number of securities transferred | security | 32 | |||
CMBS | Level 3 | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | $ 366,566 | |||
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | (170,816) | |||
Purchases/Transfers | 3,540 | |||
Issuances of Securitized Debt | 0 | |||
Proceeds from sales of assets | (148,111) | |||
Proceeds from settlement | (9,367) | |||
Total net gains/(losses) | ||||
Included in net income | (41,812) | |||
Ending Balance | 0 | 0 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ 0 | |||
CMBS Interest Only | Level 2 | ||||
Total net gains/(losses) | ||||
Number of securities transferred | security | 15 | |||
CMBS Interest Only | Level 3 | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | $ 47,992 | |||
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | (22,054) | |||
Purchases/Transfers | 0 | |||
Issuances of Securitized Debt | 0 | |||
Proceeds from sales of assets | (21,996) | |||
Proceeds from settlement | 0 | |||
Total net gains/(losses) | ||||
Included in net income | (3,942) | |||
Ending Balance | 0 | 0 | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | |||
Commercial Loans | Level 3 | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 58,209 | 158,051 | 125,508 | 158,686 |
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 1,589 | 7,759 | 5,258 | 19,200 |
Issuances of Securitized Debt | 0 | 0 | 0 | 0 |
Proceeds from sales of assets | 0 | (34,200) | (74,342) | (34,200) |
Proceeds from settlement | 0 | 0 | (195) | 0 |
Total net gains/(losses) | ||||
Included in net income | 2,481 | (3,925) | 6,050 | (16,001) |
Ending Balance | 62,279 | 127,685 | 62,279 | 127,685 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 2,481 | (2,134) | 3,219 | (14,210) |
Excess Mortgage Servicing Rights | Level 3 | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 3,000 | 14,066 | 3,158 | 17,775 |
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 0 | 0 | 0 | 0 |
Issuances of Securitized Debt | 0 | 0 | 0 | |
Proceeds from sales of assets | 0 | 0 | 0 | 0 |
Proceeds from settlement | 0 | 0 | 0 | 0 |
Total net gains/(losses) | ||||
Included in net income | (392) | (1,772) | (550) | (5,481) |
Ending Balance | 2,608 | 12,294 | 2,608 | 12,294 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (392) | (1,780) | (550) | (5,481) |
AG Arc | Level 3 | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 52,138 | 18,519 | 45,341 | 28,546 |
Transfers: | ||||
Transfers into level 3 | 0 | |||
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 0 | 0 | 0 | 0 |
Issuances of Securitized Debt | 0 | 0 | 0 | |
Proceeds from sales of assets | 0 | 0 | 0 | 0 |
Proceeds from settlement | 0 | 0 | 0 | 0 |
Total net gains/(losses) | ||||
Included in net income | (1,276) | 9,511 | 5,521 | (516) |
Ending Balance | 50,862 | 28,030 | 50,862 | 28,030 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (1,276) | 9,511 | 5,521 | $ (516) |
Securitized Debt | Level 2 | ||||
Total net gains/(losses) | ||||
Number of securities transferred | security | 1 | |||
Securitized Debt | Level 3 | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | (344,429) | (191,346) | (355,159) | $ (72,415) |
Transfers: | ||||
Transfers into level 3 | (151,933) | |||
Transfers out of level 3 | 0 | 7,230 | ||
Purchases/Transfers | 0 | 0 | 0 | 0 |
Issuances of Securitized Debt | (203,392) | (3,000) | (203,392) | (3,000) |
Proceeds from sales of assets | 0 | 0 | 0 | 0 |
Proceeds from settlement | 66,154 | 3,517 | 78,931 | 9,223 |
Total net gains/(losses) | ||||
Included in net income | (866) | (8,145) | (2,913) | 11,921 |
Ending Balance | (482,533) | (198,974) | (482,533) | (198,974) |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ (866) | $ (8,145) | $ (2,913) | $ 11,921 |
Number of securities transferred | security | 1 |
Fair value measurements - Sum_3
Fair value measurements - Summary of gains/(losses) recorded in the statement of operations (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Line Items] | ||||
Included in net income | $ 9,832 | $ 2,166 | $ 29,731 | $ (191,592) |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 2,798 | 57,890 | 19,961 | (44,057) |
Unrealized gain/(loss), net | ||||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Line Items] | ||||
Included in net income | 3,982 | 48,385 | 20,083 | (81,075) |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 4,074 | 48,379 | 14,440 | (43,541) |
Net realized gain/(loss) | ||||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Line Items] | ||||
Included in net income | 7,126 | (55,730) | 4,127 | (110,001) |
Equity in earnings/(loss) from affiliates | ||||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Line Items] | ||||
Included in net income | (1,276) | 9,511 | 5,521 | (516) |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ (1,276) | $ 9,511 | $ 5,521 | $ (516) |
Fair value measurements - Sum_4
Fair value measurements - Summary of valuation techniques (Details) $ in Thousands | Jun. 30, 2021USD ($)$ / shares | Dec. 31, 2020USD ($)$ / shares |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | $ 732,196 | $ 613,546 |
Level 3 | Discounted Cash Flow | Residential Mortgage | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 982,331 | $ 426,709 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0162 | 0.0450 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1000 | 0.1000 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0342 | 0.0501 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0441 | 0.0430 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.3762 | 0.0931 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1440 | 0.0728 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Collateral Losses | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0005 | 0.0166 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Collateral Losses | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0465 | 0.0575 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Collateral Losses | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0096 | 0.0258 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Loss Severity | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | (0.1561) | (0.0929) |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Loss Severity | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.2681 | 0.4943 |
Level 3 | Discounted Cash Flow | Residential Mortgage | Measurement Input, Loss Severity | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1199 | 0.1568 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | $ 1,183 | $ 1,601 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0837 | 0.0805 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0837 | 0.0805 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0837 | 0.0805 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0541 | 0.0546 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0541 | 0.0546 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0541 | 0.0546 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Collateral Losses | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0292 | 0.0537 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Collateral Losses | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0292 | 0.0537 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Collateral Losses | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0292 | 0.0537 |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Loss Severity | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | (0.3009) | (0.2089) |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Loss Severity | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | (0.3009) | (0.2089) |
Level 3 | Discounted Cash Flow | Non-Agency RMBS | Measurement Input, Loss Severity | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | (0.3009) | (0.2089) |
Level 3 | Discounted Cash Flow | Commercial Loan | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 62,279 | $ 125,508 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1012 | 0.1095 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.3006 | 0.3954 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1328 | 0.1409 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Credit Spread | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 9.01 | 0.1001 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Credit Spread | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 25.68 | 0.3304 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Credit Spread | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 11.85 | 0.1279 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Recovery Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | 1 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Recovery Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | 1 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Recovery Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | 1 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Loan-To-Value | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.4810 | 0.4360 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Loan-To-Value | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.9270 | 0.9750 |
Level 3 | Discounted Cash Flow | Commercial Loan | Measurement Input, Loan-To-Value | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.7346 | 0.6204 |
Level 3 | Discounted Cash Flow | Excess Mortgage Servicing Rights | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, fair value | $ 2,521 | $ 3,073 |
Level 3 | Discounted Cash Flow | Excess Mortgage Servicing Rights | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.0900 | 0.0900 |
Level 3 | Discounted Cash Flow | Excess Mortgage Servicing Rights | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.0970 | 0.0970 |
Level 3 | Discounted Cash Flow | Excess Mortgage Servicing Rights | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.0909 | 0.0908 |
Level 3 | Discounted Cash Flow | Excess Mortgage Servicing Rights | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.1097 | 0.1111 |
Level 3 | Discounted Cash Flow | Excess Mortgage Servicing Rights | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.1600 | 0.1551 |
Level 3 | Discounted Cash Flow | Excess Mortgage Servicing Rights | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.1206 | 0.1249 |
Level 3 | Discounted Cash Flow | Securitized debt | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, fair value | $ (482,533) | $ (355,159) |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0098 | 0.0245 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0500 | 0.0550 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0204 | 0.0298 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0544 | 0.0590 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1103 | 0.0820 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0865 | 0.0717 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Collateral Losses | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0036 | 0.0194 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Collateral Losses | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0327 | 0.0346 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Collateral Losses | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0142 | 0.0262 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Loss Severity | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0849 | 0.1270 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Loss Severity | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1697 | 0.2003 |
Level 3 | Discounted Cash Flow | Securitized debt | Measurement Input, Loss Severity | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1233 | 0.1675 |
Level 3 | Consensus Pricing | Residential Mortgage | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 5,684 | $ 6,598 |
Level 3 | Consensus Pricing | Residential Mortgage | Measurement Input, Offered Price | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 85.67 | 82.03 |
Level 3 | Consensus Pricing | Residential Mortgage | Measurement Input, Offered Price | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 113.14 | 106.29 |
Level 3 | Consensus Pricing | Residential Mortgage | Measurement Input, Offered Price | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 104.07 | 99.96 |
Level 3 | Consensus Pricing | Non-Agency RMBS | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | $ 1,499 | |
Level 3 | Consensus Pricing | Non-Agency RMBS | Measurement Input, Offered Price | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 91.59 | |
Level 3 | Consensus Pricing | Non-Agency RMBS | Measurement Input, Offered Price | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 91.59 | |
Level 3 | Consensus Pricing | Non-Agency RMBS | Measurement Input, Offered Price | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 91.59 | |
Level 3 | Consensus Pricing | Excess Mortgage Servicing Rights | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, fair value | $ 87 | $ 85 |
Level 3 | Consensus Pricing | Excess Mortgage Servicing Rights | Measurement Input, Offered Price | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | $ / shares | 0.30 | 0.25 |
Level 3 | Consensus Pricing | Excess Mortgage Servicing Rights | Measurement Input, Offered Price | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | $ / shares | 0.30 | 0.25 |
Level 3 | Consensus Pricing | Excess Mortgage Servicing Rights | Measurement Input, Offered Price | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | $ / shares | 0.30 | 0.25 |
Level 3 | Comparable Multiple | AG Arc | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 50,862 | $ 45,341 |
Level 3 | Comparable Multiple | AG Arc | Measurement Input, Book Value Multiple | Minimum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1.06 | 1.05 |
Level 3 | Comparable Multiple | AG Arc | Measurement Input, Book Value Multiple | Maximum | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1.06 | 1.05 |
Level 3 | Comparable Multiple | AG Arc | Measurement Input, Book Value Multiple | Weighted Average | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1.06 | 1.05 |
Level 3 | Recent Transaction | Residential Mortgage | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 40,363 |
Financing arrangements - Summar
Financing arrangements - Summary of financing arrangements (Details) - USD ($) | 1 Months Ended | 6 Months Ended | |
Jul. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | |
Repurchase Agreements | |||
Carrying Value | $ 1,181,518,000 | $ 500,914,000 | |
Weighted Average Funding Cost | 0.98% | ||
Weighted Average Life | 2 months 15 days | ||
Collateral, Amortized Cost Basis | $ 1,225,263,000 | ||
Collateral, Fair Value | 1,332,667,000 | ||
Revolving Facilities | |||
Financing arrangements | $ 1,207,468,000 | 564,047,000 | |
Weighted Average Funding Cost | 1.03% | ||
Weighted Average Life | 3 months | ||
Collateral, Amortized Cost Basis | $ 1,275,926,000 | ||
Collateral, Fair Value | 1,376,537,000 | ||
Cash pledged under repurchase agreement | 300,000 | ||
Residential Mortgage | |||
Repurchase Agreements | |||
Carrying Value | $ 408,656,000 | 25,590,000 | |
Weighted Average Funding Cost | 2.56% | ||
Weighted Average Life | 6 months 10 days | ||
Collateral, Amortized Cost Basis | $ 491,795,000 | ||
Collateral, Fair Value | $ 502,956,000 | ||
Revolving Facilities | |||
Debt interest rate | 2.53% | ||
Agency RMBS | |||
Repurchase Agreements | |||
Carrying Value | $ 752,723,000 | 435,893,000 | |
Weighted Average Funding Cost | 0.10% | ||
Weighted Average Life | 14 days | ||
Collateral, Amortized Cost Basis | $ 694,925,000 | ||
Collateral, Fair Value | 794,643,000 | ||
Non-Agency RMBS | |||
Repurchase Agreements | |||
Carrying Value | $ 1,621,000 | 14,550,000 | |
Weighted Average Funding Cost | 1.97% | ||
Weighted Average Life | 29 days | ||
Collateral, Amortized Cost Basis | $ 3,091,000 | ||
Collateral, Fair Value | 3,454,000 | ||
CMBS | |||
Repurchase Agreements | |||
Carrying Value | $ 18,518,000 | 24,881,000 | |
Weighted Average Funding Cost | 1.59% | ||
Weighted Average Life | 7 days | ||
Collateral, Amortized Cost Basis | $ 35,452,000 | ||
Collateral, Fair Value | 31,614,000 | ||
Non-QM Loans | Counterparty One and Two | |||
Revolving Facilities | |||
Line of credit facility, maximum borrowing capacity | 800,000,000 | ||
Non-QM Loans | Counterparty One | |||
Revolving Facilities | |||
Line of credit facility, maximum borrowing capacity | 800,000,000 | ||
Non-QM Loans | Subsequent Event | Counterparty One | |||
Revolving Facilities | |||
Line of credit facility, maximum borrowing capacity | $ 1,100,000,000 | ||
Increase in borrowing capacity | $ 300,000,000 | ||
Commercial Loan | Revolving Credit Facility | |||
Revolving Facilities | |||
Long-term Debt | $ 25,950,000 | $ 63,133,000 | |
Weighted Average Funding Cost | 3.16% | ||
Weighted Average Life | 2 years 1 month 9 days | ||
Collateral, Amortized Cost Basis | $ 50,663,000 | ||
Collateral, Fair Value | 43,870,000 | ||
Line of credit facility, maximum borrowing capacity | $ 100,000,000 | ||
Debt interest rate | 2.11% |
Financing arrangements - Summ_2
Financing arrangements - Summary of repurchase agreements (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 1,181,518 | $ 500,914 |
Financing arrangements | 1,207,468 | 564,047 |
Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 772,523 | |
Financing arrangements | 772,523 | |
Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 42,158 | |
Financing arrangements | 42,158 | |
Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 366,837 | |
Financing arrangements | 366,837 | |
Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Financing arrangements | 25,950 | |
Residential Mortgage | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 408,656 | 25,590 |
Residential Mortgage | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Residential Mortgage | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 42,158 | |
Residential Mortgage | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 366,498 | |
Residential Mortgage | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Agency RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 752,723 | 435,893 |
Agency RMBS | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 752,723 | |
Agency RMBS | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Agency RMBS | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Agency RMBS | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Non-Agency RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 1,621 | 14,550 |
Non-Agency RMBS | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 1,282 | |
Non-Agency RMBS | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Non-Agency RMBS | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 339 | |
Non-Agency RMBS | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
CMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 18,518 | $ 24,881 |
CMBS | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 18,518 | |
CMBS | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
CMBS | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
CMBS | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Commercial Loan | Revolving Credit Facility | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Revolving facilities | 25,950 | |
Commercial Loan | Within 30 Days | Revolving Credit Facility | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Revolving facilities | 0 | |
Commercial Loan | Over 30 Days to 3 Months | Revolving Credit Facility | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Revolving facilities | 0 | |
Commercial Loan | Over 3 Months to 12 Months | Revolving Credit Facility | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Revolving facilities | 0 | |
Commercial Loan | Over 12 Months | Revolving Credit Facility | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Revolving facilities | $ 25,950 |
Financing arrangements - Narrat
Financing arrangements - Narrative (Details) - counterparty | Jun. 30, 2021 | Dec. 31, 2020 |
Debt Disclosure [Abstract] | ||
Number of counterparties with outstanding debt | 5 | 5 |
Financing arrangements - Summ_3
Financing arrangements - Summary of repurchase agreement counterparty (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Barclays Capital Inc. | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders’ Equity at Risk | $ 105,759 | $ 24,890 |
Weighted Average Maturity (days) | 103 days | 15 days |
Percentage of Stockholders’ Equity | 22.70% | 6.10% |
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% |
Other assets and liabilities -
Other assets and liabilities - Summary of other assets and liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2021 | Dec. 31, 2020 |
Other assets | ||
Interest receivable | $ 6,525 | $ 2,962 |
Derivative assets, at fair value | 89 | 0 |
Other assets | 3,703 | 5,538 |
Due from broker | 1,816 | 907 |
Total Other assets | 12,133 | 9,407 |
Other liabilities | ||
Interest payable | 976 | 853 |
Derivative liabilities, at fair value | 310 | 68 |
Due to affiliates | 3,326 | 14,041 |
Accrued expenses | 2,266 | 2,521 |
Due to broker | 2,140 | 1,272 |
Total Other liabilities | $ 9,018 | $ 18,755 |
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 | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Interest Rate Swap | ||
Derivatives, Fair Value [Line Items] | ||
Derivative liabilities, at fair value | $ (289) | $ (68) |
Derivative asset, reduction in fair value related to variation margin | 13,300 | 1,400 |
Derivative liability, reduction in fair value related to variation margin | 1,000 | 200 |
TBAs | ||
Derivatives, Fair Value [Line Items] | ||
Derivative liabilities, at fair value | (21) | 0 |
Derivative assets, at fair value | $ 89 | $ 0 |
Other assets and liabilities _3
Other assets and liabilities - Summary of information related to derivatives and other instruments (Details) | Jun. 30, 2021USD ($) | Jun. 30, 2021GBP (£) | Dec. 31, 2020USD ($) |
Derivative [Line Items] | |||
Notional Amount | $ 806,000,000 | $ 417,000,000 | |
British Pound Futures | |||
Derivative [Line Items] | |||
Notional Amount | £ | £ 62,500 | ||
Long | Interest Rate Swap | United States of America, Dollars | |||
Derivative [Line Items] | |||
Notional Amount | 806,000,000 | 417,000,000 | |
Short | TBAs | United States of America, Dollars | |||
Derivative [Line Items] | |||
Notional Amount | 130,000,000 | 0 | |
British Pound Futures | Short | United Kingdom, Pounds | |||
Derivative [Line Items] | |||
Notional Amount | $ 0 | $ 3,313,000 |
Other assets and liabilities _4
Other assets and liabilities - Summary of gains/(losses) related to derivatives and other instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss), net | $ (15,798) | $ (186) | $ 12,686 | $ (12,079) |
Net realized gain (loss) | 897 | 308 | 732 | (61,562) |
Total income/(loss) | (14,901) | 122 | 13,418 | (73,641) |
British Pound Futures | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss), net | 0 | 239 | 64 | 186 |
Net realized gain (loss) | 0 | (150) | (165) | 514 |
Euro Future | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss), net | 0 | (28) | 0 | 20 |
Net realized gain (loss) | 0 | 66 | 0 | 68 |
TBAs | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss), net | 67 | (392) | 67 | 0 |
Net realized gain (loss) | 0 | 392 | 0 | 4,610 |
Swaption | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss), net | 0 | (5) | 0 | (697) |
Net realized gain (loss) | 0 | 0 | 0 | (1,386) |
Interest Rate Swap | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Unrealized gain/(loss), net | (15,865) | 0 | 12,555 | (11,588) |
Net realized gain (loss) | $ 897 | $ 0 | $ 897 | $ (65,368) |
Other assets and liabilities _5
Other assets and liabilities - Narrative (Details) - USD ($) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Cash as collateral for certain derivatives | $ 21.9 | $ 10.8 |
Cash collateral posted by company | 9.6 | 9.7 |
Cash pledged as collateral against derivatives related to variation margin | $ 12.3 | $ 1.1 |
Other assets and liabilities _6
Other assets and liabilities - Summary of interest rate derivatives (Details) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2021 | Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 806,000,000 | $ 417,000,000 |
Weighted Average Pay-Fixed Rate | 0.74% | 0.49% |
Weighted Average Receive-Variable Rate | 0.17% | 0.23% |
Weighted Average Years to Maturity | 6 years 4 months 28 days | 5 years 11 months 26 days |
2025 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 296,000,000 | $ 296,000,000 |
Weighted Average Pay-Fixed Rate | 0.39% | 0.39% |
Weighted Average Receive-Variable Rate | 0.18% | 0.23% |
Weighted Average Years to Maturity | 4 years 3 months 3 days | 4 years 9 months 3 days |
2026 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 202,000,000 | $ 20,000,000 |
Weighted Average Pay-Fixed Rate | 0.76% | 0.45% |
Weighted Average Receive-Variable Rate | 0.16% | 0.24% |
Weighted Average Years to Maturity | 4 years 9 months | 5 years 3 days |
2028 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 95,000,000 | |
Weighted Average Pay-Fixed Rate | 1.02% | |
Weighted Average Receive-Variable Rate | 0.16% | |
Weighted Average Years to Maturity | 6 years 7 months 13 days | |
2030 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 86,000,000 | $ 86,000,000 |
Weighted Average Pay-Fixed Rate | 0.76% | 0.76% |
Weighted Average Receive-Variable Rate | 0.17% | 0.23% |
Weighted Average Years to Maturity | 9 years 3 months 7 days | 9 years 9 months 7 days |
2031 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 112,000,000 | $ 15,000,000 |
Weighted Average Pay-Fixed Rate | 1.23% | 0.95% |
Weighted Average Receive-Variable Rate | 0.17% | 0.24% |
Weighted Average Years to Maturity | 9 years 7 months 2 days | 10 years 3 days |
2051 | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 15,000,000 | |
Weighted Average Pay-Fixed Rate | 1.96% | |
Weighted Average Receive-Variable Rate | 0.19% | |
Weighted Average Years to Maturity | 29 years 9 months 18 days |
Other assets and liabilities _7
Other assets and liabilities - Summary of TBAs (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 | |
To Be Announced Securities [Roll Forward] | ||||
Beginning Notional Amount | $ 417,000,000 | |||
Ending Net Notional Amount | $ 806,000,000 | 806,000,000 | ||
Net Receivable/(Payable) from/to Broker | 1,816,000 | 1,816,000 | $ 907,000 | |
Derivative Asset | 13,409,000 | 13,409,000 | 1,356,000 | |
Derivative Liability | (310,000) | (310,000) | $ (68,000) | |
TBAs | Short | ||||
To Be Announced Securities [Roll Forward] | ||||
Beginning Notional Amount | 0 | 0 | ||
Buys or Covers | 0 | 0 | ||
Sales or Shorts | (130,000,000) | (130,000,000) | ||
Ending Net Notional Amount | 130,000,000 | 130,000,000 | ||
Net Fair Value as of Period End | (134,171,000) | (134,171,000) | ||
Net Receivable/(Payable) from/to Broker | 134,239,000 | 134,239,000 | ||
Derivative Asset | 89,000 | 89,000 | ||
Derivative Liability | $ (21,000) | $ (21,000) | ||
TBAs | Long | ||||
To Be Announced Securities [Roll Forward] | ||||
Beginning Notional Amount | $ 0 | |||
Buys or Covers | 728,000,000 | |||
Sales or Shorts | (728,000,000) | |||
Ending Net Notional Amount | 0 | |||
Net Fair Value as of Period End | 0 | |||
Net Receivable/(Payable) from/to Broker | 0 | |||
Derivative Asset | 0 | |||
Derivative Liability | $ 0 |
Earnings per share - Summary of
Earnings per share - Summary of earnings per share (Details) $ / shares in Units, $ in Thousands | Jul. 22, 2021 | Jul. 12, 2021 | Jun. 30, 2021USD ($)$ / sharesshares | Jun. 30, 2020USD ($)$ / sharesshares | Jun. 30, 2021USD ($)$ / sharesshares | Jun. 30, 2020USD ($)$ / sharesshares | |
Numerator: | |||||||
Net income/(loss) from continuing operations | $ | $ 15,493 | $ 2,700 | $ 58,742 | $ (482,317) | |||
Gain on Exchange Offers, net (Note 11) | $ | 114 | 0 | 472 | 0 | |||
Dividends on preferred stock | $ | [1] | (4,689) | (5,667) | (9,613) | (11,334) | ||
Net income/(loss) from continuing operations available to common stockholders | $ | 10,918 | (2,967) | 49,601 | (493,651) | |||
Net Income/(Loss) from Discontinued Operations | $ | 0 | 361 | 0 | 361 | |||
Net income/(loss) available to common stockholders | $ | $ 10,918 | $ (2,606) | $ 49,601 | $ (493,290) | |||
Denominator: | |||||||
Basic weighted average common shares outstanding (in shares) | shares | [2] | 15,595,000 | 10,953,000 | 14,860,000 | 10,935,000 | ||
Diluted weighted average common shares outstanding (in shares) | shares | [2] | 15,595,000 | 10,953,000 | 14,860,000 | 10,935,000 | ||
Earnings/(Loss) Per Share - Basic | |||||||
Continuing Operations (in dollars per share) | $ / shares | [2] | $ 0.70 | $ (0.27) | $ 3.34 | $ (45.14) | ||
Discontinued Operations (in dollars per share) | $ / shares | [2] | 0 | 0.03 | 0 | 0.03 | ||
Total Earnings/(Loss) Per Share of Common Stock (in dollars per share) | $ / shares | [2] | 0.70 | (0.24) | 3.34 | (45.11) | ||
Earnings/(Loss) Per Share - Diluted | |||||||
Continuing Operations (in dollars per share) | $ / shares | [2] | 0.70 | (0.27) | 3.34 | (45.14) | ||
Discontinued Operations (in dollars per share) | $ / shares | [2] | 0 | 0.03 | 0 | 0.03 | ||
Total Earnings/(Loss) Per Share of Common Stock (in dollars per share) | $ / shares | [2] | $ 0.70 | $ (0.24) | $ 3.34 | $ (45.11) | ||
Subsequent Event | |||||||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | |||||||
Reverse stock split ratio | 0.3333 | 0.3333 | |||||
Restricted Stock | |||||||
Earnings/(Loss) Per Share - Diluted | |||||||
Shares excluded from computation of earnings per share (in shares) | shares | 5,500 | 5,800 | |||||
[1] | (1) The three and six months ended June 30, 2020 include cumulative and undeclared dividends of $5.7 million on the Company's Preferred Stock as of June 30, 2020. | ||||||
[2] | Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. See Note 2 and Note 11 for additional details. |
Earnings per share - Summary _2
Earnings per share - Summary of outstanding warrants and unvested restricted stock units (Details) - $ / shares | Jun. 15, 2021 | Mar. 22, 2021 | Dec. 22, 2020 | Jun. 15, 2021 | Jun. 30, 2020 | Jun. 30, 2020 | Jun. 30, 2021 | Dec. 31, 2020 |
Class of Warrant or Right [Line Items] | ||||||||
Unvested restricted stock units previously granted to the Manager (in shares) | 16,164,000 | 13,811,000 | ||||||
Common dividends declared (in dollars per share) | $ 0.21 | $ 0.18 | $ 0.09 | $ 0.39 | $ 0 | $ 0 | ||
Restricted Stock Units (RSUs) | Manager | ||||||||
Class of Warrant or Right [Line Items] | ||||||||
Unvested restricted stock units previously granted to the Manager (in shares) | 0 | 0 |
Earnings per share - Summary _3
Earnings per share - Summary of common stock dividends (Details) - $ / shares | Jun. 15, 2021 | Mar. 22, 2021 | Dec. 22, 2020 | Jun. 15, 2021 | Jun. 30, 2020 | Jun. 30, 2020 |
Earnings Per Share [Abstract] | ||||||
Dividends declared per share (in dollars per share) | $ 0.21 | $ 0.18 | $ 0.09 | $ 0.39 | $ 0 | $ 0 |
Earnings per share - Summary _4
Earnings per share - Summary of preferred stock dividends (Details) - $ / shares | 6 Months Ended | ||||
Jun. 30, 2021 | May 17, 2021 | Feb. 16, 2021 | Dec. 17, 2020 | Feb. 14, 2020 | |
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||||
Dividend percentage | 8.00% | ||||
8.25% Series A Cumulative Redeemable Preferred Stock | |||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||||
Dividend percentage | 8.25% | ||||
Dividends payable (in dollars per share) | $ 1.03126 | $ 0.51563 | $ 0.51563 | $ 1.54689 | $ 0.51563 |
8.00% Series B Cumulative Redeemable Preferred Stock | |||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||||
Dividend percentage | 8.00% | ||||
Dividends payable (in dollars per share) | $ 1 | 0.50 | 0.50 | 1.50 | 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% | ||||
Dividends payable (in dollars per share) | $ 1 | $ 0.50 | $ 0.50 | $ 1.50 | $ 0.50 |
Income taxes (Details)
Income taxes (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | |
Income Tax Disclosure [Abstract] | ||||
Excise tax expense | $ 0 | $ 0 | $ 0 | $ (800,000) |
Related party transactions (Det
Related party transactions (Details) | Apr. 07, 2021shares | Jan. 29, 2021USD ($) | Jan. 01, 2021USD ($) | Dec. 31, 2020USD ($) | Sep. 24, 2020USD ($)shares | Aug. 31, 2020USD ($)$ / shares | Apr. 15, 2020shares | Jun. 30, 2021USD ($)directorshares | Jun. 30, 2020USD ($) | Jun. 30, 2021USD ($)directorshares | Jun. 30, 2020USD ($) | May 05, 2021USD ($) | Apr. 30, 2021USD ($) | Mar. 31, 2021USD ($) | Oct. 31, 2020USD ($) | Sep. 30, 2020USD ($) | Jul. 31, 2020USD ($) | Apr. 10, 2020USD ($) | Apr. 03, 2020 | Mar. 31, 2020USD ($) | Feb. 29, 2020USD ($) |
Related Party Transaction [Line Items] | |||||||||||||||||||||
Management fee percentage | 1.50% | 1.50% | |||||||||||||||||||
Management fee to affiliate | $ 1,667,000 | $ 1,678,000 | $ 3,321,000 | $ 3,827,000 | |||||||||||||||||
Management fee payable | $ 1,700,000 | 1,700,000 | 1,700,000 | ||||||||||||||||||
Value of shares issued for services (in dollars per share) | $ / shares | $ 9.45 | ||||||||||||||||||||
Other operating expenses | 4,866,000 | 4,557,000 | 8,849,000 | 5,487,000 | |||||||||||||||||
Reimbursement of expenses | $ 1,100,000 | 1,900,000 | $ 2,700,000 | 3,900,000 | |||||||||||||||||
Director's fee | $ 150,000 | 160,000 | |||||||||||||||||||
Directors fees paid in cash | 70,000 | ||||||||||||||||||||
Director fees paid in stock | $ 80,000 | ||||||||||||||||||||
Number of independent directors | director | 4 | 4 | |||||||||||||||||||
Loan securitization, ownership interest | 45.00% | 44.60% | 44.60% | ||||||||||||||||||
Remaining equity percentage | 35.00% | ||||||||||||||||||||
Outstanding commitment | $ 66,933,000 | ||||||||||||||||||||
Fees paid to asset manager | $ 600,000 | 1,100,000 | 300,000 | ||||||||||||||||||
Fees deferred to asset manager | $ 300,000 | $ 400,000 | |||||||||||||||||||
Investments in debt and equity of affiliates | 150,667,000 | 135,868,000 | 135,868,000 | $ 16,800,000 | |||||||||||||||||
MATH | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Outstanding commitment | 22,295,000 | ||||||||||||||||||||
Base Management Fee Q1 & Q2 2020 | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Management fee payable | $ 3,800,000 | ||||||||||||||||||||
Base Management Fee Q1 & Q2 2020 | Common Stock | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Stock issued for services (in shares) | shares | 405,123 | ||||||||||||||||||||
Base Management Fee Q3 2020 | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Management fee payable | $ 500,000 | ||||||||||||||||||||
Base Management Fee Q3 2020 | Common Stock | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Stock issued for services (in shares) | shares | 51,500 | ||||||||||||||||||||
Reimbursement To Manager | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Due to related parties | 1,800,000 | $ 1,500,000 | 1,500,000 | ||||||||||||||||||
Reimbursement To Manager Waived | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Amount of expense reimbursements | $ 800,000 | ||||||||||||||||||||
MATH LLC Agreement | MATH | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Outstanding commitment | $ 50,000,000 | ||||||||||||||||||||
Agency Excess MSRs | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Proceeds from sales of excess MSRs | $ 18,900,000 | ||||||||||||||||||||
Unpaid principal balance | 3,500,000,000 | ||||||||||||||||||||
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% | |||||||||||||||||||
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 | ||||||||||||||||||||
March 2021 Acquiring Affiliate | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Investments in debt and equity of affiliates | $ 6,900,000 | ||||||||||||||||||||
Non-QM Loans | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Loan securitization, fair value | 226,000,000 | $ 25,700,000 | $ 25,700,000 | $ 171,400,000 | $ 348,200,000 | ||||||||||||||||
Senior Tranches | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Loan securitization, fair value | $ 24,300,000 | $ 26,600,000 | |||||||||||||||||||
Excess Mortgage Servicing Rights | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Loan securitization, fair value | $ 20,000 | ||||||||||||||||||||
AG Arc LLC | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Excess MSRs, fair value | $ 3,500,000 | 2,900,000 | 2,900,000 | ||||||||||||||||||
AG Arc LLC | Non-QM Loans | Affiliate of Manager | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Balance of loans sold during period | 191,700,000 | 268,600,000 | |||||||||||||||||||
AG Arc LLC | Non-QM Loans | Company | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Balance of loans sold during period | $ 192,800,000 | $ 250,500,000 | |||||||||||||||||||
AG Mortgage Investment Trust, Inc. | Agency Excess MSRs | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Proceeds from sales of excess MSRs | $ 8,500,000 | ||||||||||||||||||||
Manager | Note | Senior Notes | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Fixed rate debt | $ 10,000,000 | ||||||||||||||||||||
Debt instrument, stated interest rate | 6.00% | ||||||||||||||||||||
Manager Equity Incentive Plan | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Shares of common stock company can award (in shares) | shares | 666,666 | ||||||||||||||||||||
Shares available to be awarded under equity incentive plans (in shares) | shares | 612,676 | 612,676 | |||||||||||||||||||
Manager Equity Incentive Plan | Maximum | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Value of shares granted in fiscal year | $ 300,000 | ||||||||||||||||||||
2011 Equity Incentive Plan | Manager | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 13,416 | ||||||||||||||||||||
2011 Equity Incentive Plan | Restricted Stock | Director | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 35,264 | ||||||||||||||||||||
2011 Equity Incentive Plan | Restricted Stock | Manager | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 40,000 | ||||||||||||||||||||
2020 Equity Incentive Plan | Restricted Stock | Director | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 53,990 | ||||||||||||||||||||
2021 Equity Incentive Plan | |||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||
Shares of common stock company can award (in shares) | shares | 573,425 | ||||||||||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 0 |
Equity - Narrative (Details)
Equity - Narrative (Details) | Jul. 22, 2021shares | Jul. 12, 2021 | Jun. 15, 2021$ / shares | Jun. 14, 2021shares | Mar. 22, 2021$ / shares | Mar. 17, 2021shares | Dec. 22, 2020$ / shares | Oct. 02, 2020USD ($)shares | Sep. 30, 2020USD ($)shares | Sep. 24, 2020USD ($)shares | Aug. 14, 2020shares | May 05, 2017USD ($) | Jun. 30, 2021USD ($)period$ / sharesshares | Jun. 15, 2021$ / shares | Jun. 30, 2020USD ($)$ / sharesshares | Jun. 30, 2021USD ($)period$ / sharesshares | Jun. 30, 2020USD ($)$ / sharesshares | Jun. 30, 2021USD ($)period$ / sharesshares | Jul. 30, 2021$ / shares | Jul. 28, 2021shares | May 17, 2021$ / shares | May 07, 2021USD ($) | Feb. 22, 2021USD ($) | Feb. 16, 2021$ / shares | Dec. 31, 2020USD ($)shares | Dec. 17, 2020$ / shares | Aug. 31, 2020$ / shares | Feb. 14, 2020$ / shares | Nov. 03, 2015USD ($) | |||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Shares outstanding (in shares) | 16,170,312 | |||||||||||||||||||||||||||||||
Authorized amount for stock repurchase | $ | $ 25,000,000 | |||||||||||||||||||||||||||||||
Shares repurchased (in shares) | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Net proceeds from issuance of common stock | $ | $ 3,100,000 | $ 3,499,000 | $ 13,133,000 | $ 3,499,000 | ||||||||||||||||||||||||||||
Securities and capital available for issuance | $ | $ 1,000,000,000 | |||||||||||||||||||||||||||||||
Value of preferred shares authorized | $ | $ 50,000,000 | $ 50,000,000 | $ 50,000,000 | |||||||||||||||||||||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | |||||||||||||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 9,120,000 | 9,120,000 | 9,120,000 | |||||||||||||||||||||||||||||
Quarterly periods required to grant preferred stock voting rights | period | 6 | 6 | 6 | |||||||||||||||||||||||||||||
Percent of votes needed to pass | 66.67% | 66.67% | 66.67% | |||||||||||||||||||||||||||||
Dividends declared per share (in dollars per share) | $ / shares | $ 0.21 | $ 0.18 | $ 0.09 | $ 0.39 | $ 0 | $ 0 | ||||||||||||||||||||||||||
Cash consideration | $ | $ 1,700,000 | $ 6,300,000 | ||||||||||||||||||||||||||||||
Management fee payable | $ | $ 1,700,000 | $ 1,700,000 | $ 1,700,000 | $ 1,700,000 | ||||||||||||||||||||||||||||
Value of shares issued for services (in dollars per share) | $ / shares | $ 9.45 | |||||||||||||||||||||||||||||||
Subsequent Event | ||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Reverse stock split ratio | 0.3333 | 0.3333 | ||||||||||||||||||||||||||||||
Shares outstanding (in shares) | 48,510,978 | 16,170,312 | ||||||||||||||||||||||||||||||
Preferred Repurchase Program | ||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Authorized amount for stock repurchase | $ | $ 20,000,000 | |||||||||||||||||||||||||||||||
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] | ||||||||||||||||||||||||||||||||
Exchange offers (in shares) | 103,260 | |||||||||||||||||||||||||||||||
Common Stock | ||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Net proceeds from issuance of common stock | $ | [1] | $ 2,000 | $ 4,000 | $ 10,000 | $ 4,000 | |||||||||||||||||||||||||||
Net proceeds from issuance of stock (in shares) | [1] | 227,000 | 334,000 | 972,000 | 334,000 | |||||||||||||||||||||||||||
Exchange offers (in shares) | 429,802 | 937,462 | 300,000 | 1,226,544 | 172,100 | 431,000 | [1] | 1,368,000 | [1] | |||||||||||||||||||||||
Common Stock | Base Management Fee Q1 & Q2 2020 | ||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Stock issued for services (in shares) | 405,123 | |||||||||||||||||||||||||||||||
Common Stock | Base Management Fee Q3 2020 | ||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Stock issued for services (in shares) | 51,500 | |||||||||||||||||||||||||||||||
Repurchase | ||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Value of common stock remained authorized for future share repurchases | $ | $ 14,600,000 | $ 14,600,000 | $ 14,600,000 | $ 14,600,000 | 14,600,000 | |||||||||||||||||||||||||||
Sale Agents | ||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Net proceeds from issuance of common stock | $ | $ 100,000,000 | $ 3,100,000 | $ 3,500,000 | $ 13,100,000 | $ 3,500,000 | $ 48,300,000 | ||||||||||||||||||||||||||
Net proceeds from issuance of stock (in shares) | 200,000 | 300,000 | 1,000,000 | 300,000 | 2,200,000 | |||||||||||||||||||||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | ||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 1,663,000 | 1,663,000 | 1,663,000 | 1,800,000 | ||||||||||||||||||||||||||||
Preferred stock, shares issued (in shares) | 1,700,000 | 1,700,000 | 1,700,000 | 1,800,000 | ||||||||||||||||||||||||||||
Dividend per share (in dollars per share) | $ / shares | $ 1.03126 | $ 1.03126 | $ 1.03126 | $ 0.51563 | $ 0.51563 | $ 1.54689 | $ 0.51563 | |||||||||||||||||||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | Subsequent Event | ||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Dividend per share (in dollars per share) | $ / shares | $ 0.51563 | |||||||||||||||||||||||||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | Preferred Stock | ||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 1,663,193 | 1,663,193 | 1,663,193 | |||||||||||||||||||||||||||||
Stock exchange offer, number of shares authorized to be exchanged (in shares) | 250,470 | |||||||||||||||||||||||||||||||
Exchange offers (in shares) | 153,325 | 210,662 | 42,820 | |||||||||||||||||||||||||||||
8.00% Series B Cumulative Redeemable Preferred Stock | ||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 3,728,000 | 3,728,000 | 3,728,000 | 4,200,000 | ||||||||||||||||||||||||||||
Preferred stock, shares issued (in shares) | 3,700,000 | 3,700,000 | 3,700,000 | 4,200,000 | ||||||||||||||||||||||||||||
Dividend per share (in dollars per share) | $ / shares | $ 1 | $ 1 | $ 1 | 0.50 | 0.50 | 1.50 | 0.50 | |||||||||||||||||||||||||
8.00% Series B Cumulative Redeemable Preferred Stock | Subsequent Event | ||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Dividend per share (in dollars per share) | $ / shares | 0.50 | |||||||||||||||||||||||||||||||
8.00% Series B Cumulative Redeemable Preferred Stock | Preferred Stock | ||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 3,727,641 | 3,727,641 | 3,727,641 | |||||||||||||||||||||||||||||
Stock exchange offer, number of shares authorized to be exchanged (in shares) | 556,600 | |||||||||||||||||||||||||||||||
Exchange offers (in shares) | 86,478 | 350,609 | 404,187 | 31,085 | ||||||||||||||||||||||||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 3,729,000 | 3,729,000 | 3,729,000 | 3,900,000 | ||||||||||||||||||||||||||||
Preferred stock, shares issued (in shares) | 3,700,000 | 3,700,000 | 3,700,000 | 3,900,000 | ||||||||||||||||||||||||||||
Dividend per share (in dollars per share) | $ / shares | $ 1 | $ 1 | $ 1 | $ 0.50 | $ 0.50 | $ 1.50 | $ 0.50 | |||||||||||||||||||||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Subsequent Event | ||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Dividend per share (in dollars per share) | $ / shares | $ 0.50 | |||||||||||||||||||||||||||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Preferred Stock | ||||||||||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 3,728,795 | 3,728,795 | 3,728,795 | |||||||||||||||||||||||||||||
Stock exchange offer, number of shares authorized to be exchanged (in shares) | 556,600 | |||||||||||||||||||||||||||||||
Exchange offers (in shares) | 154,383 | 260,000 | 427,467 | 29,355 | ||||||||||||||||||||||||||||
[1] | Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. See Note 2 and Note 11 for additional details. |
Equity - Schedule of Preferred
Equity - Schedule of Preferred Stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 6 Months Ended | |
Jun. 30, 2021 | Dec. 31, 2020 | |
Class of Stock [Line Items] | ||
Preferred stock, shares outstanding (in shares) | 9,120 | |
Carrying Value | $ 220,472 | $ 238,478 |
Aggregate Liquidation Preference | $ 227,991 | $ 246,610 |
Preferred stock dividend percentage | 8.00% | |
8.25% Series A Cumulative Redeemable Preferred Stock | ||
Class of Stock [Line Items] | ||
Preferred stock, shares outstanding (in shares) | 1,663 | 1,800 |
Carrying Value | $ 40,110 | |
Aggregate Liquidation Preference | $ 41,580 | |
Preferred stock dividend percentage | 8.25% | |
8.00% Series B Cumulative Redeemable Preferred Stock | ||
Class of Stock [Line Items] | ||
Preferred stock, shares outstanding (in shares) | 3,728 | 4,200 |
Carrying Value | $ 90,187 | |
Aggregate Liquidation Preference | $ 93,191 | |
Preferred stock dividend percentage | 8.00% | |
Redemption price (in dollars per share) | $ 25 | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Class of Stock [Line Items] | ||
Preferred stock, shares outstanding (in shares) | 3,729 | 3,900 |
Carrying Value | $ 90,175 | |
Aggregate Liquidation Preference | $ 93,220 | |
Preferred stock dividend percentage | 8.00% | |
Liquidation preference (in dollars per share) | $ 25 | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | LIBOR Floating Rate | ||
Class of Stock [Line Items] | ||
Preferred stock dividend percentage | 6.476% |
Commitments and Contingencies -
Commitments and Contingencies - Narrative (Details) - USD ($) $ in Thousands | Mar. 25, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Jun. 30, 2021 | Jun. 30, 2020 | Dec. 31, 2020 |
Long-term Purchase Commitment [Line Items] | ||||||
Net realized (gain)/loss | $ (4,374) | $ 91,609 | $ (336) | $ 242,752 | ||
Settled Litigation | ||||||
Long-term Purchase Commitment [Line Items] | ||||||
Net realized (gain)/loss | $ 11,600 | |||||
Settled Litigation | AG MIT CMO v. RBC (Barbados) Trading Corp | ||||||
Long-term Purchase Commitment [Line Items] | ||||||
Payment for accrued deficiencies | $ 5,000 | |||||
Notes issued | $ 2,000 |
Commitments and Contingencies_2
Commitments and Contingencies - Schedule of Outstanding Commitments (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2021USD ($) | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | $ 66,933 |
Funded Commitment | 34,686 |
Remaining Commitment | 32,247 |
MATH | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | 22,295 |
Funded Commitment | 0 |
Remaining Commitment | 22,295 |
Loan K | Commercial Portfolio Segment | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | 20,000 |
Funded Commitment | 18,809 |
Remaining Commitment | 1,191 |
LOTS | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | 24,638 |
Funded Commitment | 15,877 |
Remaining Commitment | $ 8,761 |
Subsequent Events (Details)
Subsequent Events (Details) | Jul. 22, 2021 | Jul. 12, 2021 | Jul. 30, 2021USD ($)$ / shares | Jun. 30, 2021USD ($)$ / shares | Jun. 30, 2020USD ($) | Jun. 30, 2021USD ($)$ / shares | Jun. 30, 2020USD ($) | May 17, 2021$ / shares | Feb. 16, 2021$ / shares | Dec. 31, 2020USD ($) | Dec. 17, 2020$ / shares | Feb. 14, 2020$ / shares |
Subsequent Event [Line Items] | ||||||||||||
Purchase of residential mortgage loans | $ 655,627,000 | $ 481,470,000 | ||||||||||
Residential Portfolio Segment | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Proceeds from sale of loans | $ 45,600,000 | $ 382,800,000 | 45,600,000 | $ 391,500,000 | ||||||||
Unpaid Principal Balance | 1,037,037,000 | 1,037,037,000 | $ 500,980,000 | |||||||||
Non-QM Loans | Residential Portfolio Segment | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Unpaid principal balance on loans purchased during period | 426,800,000 | 625,200,000 | ||||||||||
Non-QM Loans | Counterparty One | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Line of credit facility, maximum borrowing capacity | $ 800,000,000 | $ 800,000,000 | ||||||||||
Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Reverse stock split ratio | 0.3333 | 0.3333 | ||||||||||
Subsequent Event | Residential Portfolio Segment | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Unpaid principal balance on loans purchased during period | $ 114,700,000 | |||||||||||
Subsequent Event | July 2021 Financing Arrangement | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Line of credit facility, maximum borrowing capacity | 500,000,000 | |||||||||||
Subsequent Event | CMBS | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Proceeds from sale of loans | 33,700,000 | |||||||||||
Subsequent Event | CMBS | Affiliate of Manager | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Proceeds from sale of loans | 17,600,000 | |||||||||||
Subsequent Event | Non-QM Loans | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Purchase of residential mortgage loans | 86,100,000 | |||||||||||
Subsequent Event | Non-QM Loans | Counterparty One | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Line of credit facility, maximum borrowing capacity | 1,100,000,000 | |||||||||||
Subsequent Event | AG Arc LLC | Non-QM Loans | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Unpaid Principal Balance | $ 58,500,000 | |||||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Dividends payable (in dollars per share) | $ / shares | $ 1.03126 | $ 1.03126 | $ 0.51563 | $ 0.51563 | $ 1.54689 | $ 0.51563 | ||||||
8.25% Series A Cumulative Redeemable Preferred Stock | Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Dividends payable (in dollars per share) | $ / shares | $ 0.51563 | |||||||||||
8.00% Series B Cumulative Redeemable Preferred Stock | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Dividends payable (in dollars per share) | $ / shares | 1 | 1 | 0.50 | 0.50 | 1.50 | 0.50 | ||||||
8.00% Series B Cumulative Redeemable Preferred Stock | Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Dividends payable (in dollars per share) | $ / shares | 0.50 | |||||||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Dividends payable (in dollars per share) | $ / shares | $ 1 | $ 1 | $ 0.50 | $ 0.50 | $ 1.50 | $ 0.50 | ||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Dividends payable (in dollars per share) | $ / shares | $ 0.50 |