Cover Page
Cover Page - USD ($) | 12 Months Ended | ||
Dec. 31, 2021 | Feb. 17, 2022 | Jun. 30, 2021 | |
Document Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2021 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Transition Report | false | ||
Entity File Number | 001-35151 | ||
Entity Registrant Name | AG MORTGAGE INVESTMENT TRUST, INC. | ||
Entity Incorporation, State or Country Code | MD | ||
Entity Tax Identification Number | 27-5254382 | ||
Entity Address, Address Line One | 245 Park Avenue | ||
Entity Address, Address Line Two | 26th Floor | ||
Entity Address, City or Town | New York | ||
Entity Address, State or Province | NY | ||
Entity Address, Postal Zip Code | 10167 | ||
City Area Code | 212 | ||
Local Phone Number | 692-2000 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Accelerated Filer | ||
Entity Small Business | true | ||
Entity Emerging Growth Company | false | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 196,777,677 | ||
Entity Common Stock, Shares Outstanding | 23,915,293 | ||
Documents Incorporated by Reference | Portions of the registrant’s definitive proxy statement relating to its 2022 annual meeting of stockholders, to be filed with the U.S. Securities and Exchange Commission within 120 days after the end of the registrant’s fiscal year, are incorporated by reference into Part III of this Annual Report on Form 10-K where indicated. | ||
Document Fiscal Year Focus | 2021 | ||
Document Fiscal Period Focus | FY | ||
Entity Central Index Key | 0001514281 | ||
Amendment Flag | false | ||
Common Stock | |||
Document Information [Line Items] | |||
Title of 12(b) Security | Common Stock, $0.01 par value per share | ||
Trading Symbol | MITT | ||
Security Exchange Name | NYSE | ||
8.25% Series A Cumulative Redeemable Preferred Stock | |||
Document Information [Line Items] | |||
Title of 12(b) Security | 8.25% Series A Cumulative Redeemable Preferred Stock | ||
Trading Symbol | MITT PrA | ||
Security Exchange Name | NYSE | ||
8.00% Series B Cumulative Redeemable Preferred Stock | |||
Document Information [Line Items] | |||
Title of 12(b) Security | 8.00% Series B Cumulative Redeemable Preferred Stock | ||
Trading Symbol | MITT PrB | ||
Security Exchange Name | NYSE | ||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Document Information [Line Items] | |||
Title of 12(b) Security | 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Trading Symbol | MITT PrC | ||
Security Exchange Name | NYSE |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2021 | |
Audit Information [Abstract] | |
Auditor Firm ID | 238 |
Auditor Name | PricewaterhouseCoopers LLP |
Auditor Location | New York, New York |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | |
Assets | |||
Real estate securities, at fair value - $444,481 and $532,271 pledged as collateral, respectively | $ 514,470 | $ 613,546 | |
Commercial loans, at fair value | 0 | 111,549 | |
Commercial loans held for sale, at fair value | 0 | 13,959 | |
Investments in debt and equity of affiliates | 92,023 | 150,667 | |
Cash and cash equivalents | 68,079 | 47,926 | |
Restricted cash | 32,150 | 14,392 | |
Other assets | 20,900 | 12,565 | |
Total Assets | 3,362,728 | 1,400,045 | |
Liabilities | |||
Financing arrangements | 1,777,743 | 564,047 | |
Securitized debt, at fair value | [1] | 999,215 | 355,159 |
Payable on unsettled trades | 0 | 51,136 | |
Dividend payable | 5,021 | 1,243 | |
Other liabilities | 10,369 | 18,755 | |
Total Liabilities | 2,792,348 | 990,340 | |
Commitments and Contingencies | |||
Stockholders' Equity | |||
Preferred stock - $227,991 and $246,610 aggregate liquidation preference as of December 31, 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 XX and 13,811 shares issued and outstanding at December 31, 2021 and December 31, 2020, respectively | [2] | 239 | 138 |
Additional paid-in capital (2) | [2] | 796,469 | 689,147 |
Retained earnings/(deficit) | (446,800) | (518,058) | |
Total Stockholders' Equity | 570,380 | 409,705 | |
Total Liabilities & Stockholders' Equity | 3,362,728 | 1,400,045 | |
Residential Mortgage | |||
Assets | |||
Residential mortgage loans, at fair value | 1,476,972 | 8,837 | |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | |||
Assets | |||
Residential mortgage loans, at fair value | [1] | 1,158,134 | 426,604 |
Real Estate Securities | |||
Assets | |||
Real estate securities, at fair value - $444,481 and $532,271 pledged as collateral, respectively | $ 514,470 | $ 613,546 | |
[1] | These balances relate to certain residential mortgage loans which were securitized resulting in the Company consolidating the variable interest entities that were created to facilitate these transactions as the Company was determined to be the primary beneficiary. See Note 3 for additional details. | ||
[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 (Pa
Consolidated Balance Sheets (Parenthetical) $ in Thousands | Dec. 31, 2021USD ($)$ / sharesshares | Dec. 31, 2020USD ($)$ / sharesshares |
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 | 23,908,000 | 13,811,000 |
Common stock, shares outstanding (in shares) | shares | 23,908,000 | 13,811,000 |
Residential Mortgage | ||
Loans pledged as collateral | $ 1,469,358 | $ 0 |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Loans pledged as collateral | 119,947 | 46,571 |
Real Estate Securities | ||
Real estate securities, at fair value, pledged as collateral | $ 444,481 | $ 532,271 |
Consolidated Statements of Oper
Consolidated Statements of Operations - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||||
Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | ||||
Net Interest Income | |||||||||||||
Interest income | $ 24,686 | $ 19,629 | $ 14,228 | $ 12,119 | $ 11,171 | $ 9,717 | $ 13,369 | $ 40,268 | $ 70,662 | $ 74,525 | |||
Interest expense | 10,698 | 7,197 | 5,294 | 4,061 | 4,004 | 4,357 | 8,613 | 19,971 | 27,250 | 36,945 | |||
Total Net Interest Income | 13,988 | 12,432 | 8,934 | 8,058 | 7,167 | 5,360 | 4,756 | 20,297 | 43,412 | 37,580 | |||
Other Income/(Loss) | |||||||||||||
Net interest component of interest rate swaps | (4,862) | 731 | |||||||||||
Net realized gain/(loss) | 6,822 | (5,460) | 4,374 | (4,038) | 661 | (14,431) | (91,609) | (151,143) | 1,698 | (256,522) | |||
Net unrealized gain/(loss) | 3,704 | 29,461 | 9,685 | 19,849 | 16,754 | 21,465 | 100,179 | (308,211) | 62,699 | (169,813) | |||
Other income/(loss), net | 0 | 0 | 0 | 37 | 47 | (10) | (155) | 1,652 | 37 | 1,534 | |||
Total Other Income/(Loss) | 9,162 | 22,817 | 12,486 | 15,107 | 17,283 | 7,011 | 8,415 | (456,779) | 59,572 | (424,070) | |||
Expenses | |||||||||||||
Management fee to affiliate | 1,800 | 1,693 | 1,667 | 1,654 | 1,656 | 1,698 | 1,678 | 2,149 | 6,814 | 7,181 | |||
Other operating expenses | 3,229 | 2,997 | 2,981 | 4,150 | 3,238 | 4,340 | 4,184 | 4,149 | 13,357 | 15,911 | |||
Transaction related expenses | 3,597 | 2,013 | 1,885 | (167) | 22 | 1,589 | 373 | (3,219) | 7,328 | (1,235) | |||
Restructuring related expenses | 251 | 1,345 | 7,104 | 1,500 | 0 | 10,200 | |||||||
Excise tax | 0 | 0 | 0 | (815) | 0 | (815) | |||||||
Servicing fees | 1,052 | 849 | 672 | 615 | 539 | 540 | 566 | 579 | 3,188 | 2,224 | |||
Total Expenses | 9,678 | 7,552 | 7,205 | 6,252 | 5,706 | 9,512 | 13,905 | 4,343 | 30,687 | 33,466 | |||
Income/(loss) before equity in earnings/(loss) from affiliates | 13,472 | 27,697 | 14,215 | 16,913 | 18,744 | 2,859 | (734) | (440,825) | 72,297 | (419,956) | |||
Equity in earnings/(loss) from affiliates | (2,607) | 6,882 | 1,278 | 26,336 | 21,942 | 17,187 | 3,434 | (44,192) | 31,889 | (1,629) | |||
Net Income/(Loss) from Continuing Operations | 40,686 | 20,046 | 2,700 | (485,017) | 104,186 | (421,585) | |||||||
Net Income/(Loss) from Discontinued Operations | 305 | 0 | 361 | 0 | 0 | 666 | |||||||
Net Income/(Loss) | 10,865 | 34,579 | 15,493 | 43,249 | 40,991 | 20,046 | 3,061 | (485,017) | 104,186 | (420,919) | |||
Gain on Exchange Offers, net | 0 | 0 | 114 | 358 | 10,035 | 539 | 0 | 0 | 472 | 10,574 | |||
Dividends on preferred stock | (18,785) | (20,549) | |||||||||||
Net Income/(Loss) Available to Common Stockholders | $ 6,279 | $ 29,993 | $ 10,918 | $ 38,683 | $ 47,374 | $ 15,022 | $ (2,606) | $ (490,684) | $ 85,873 | $ (430,894) | |||
Earnings/(Loss) Per Share - Basic | |||||||||||||
Continuing Operations (in dollars per share) | $ 3.47 | $ 1.31 | $ (0.27) | $ (44.98) | $ 5.29 | [1] | $ (36.79) | [1] | |||||
Discontinued Operations (in dollars per share) | 0.02 | 0 | 0.03 | 0 | 0 | [1] | 0.06 | [1] | |||||
Total Earnings/(Loss) Per Share of Common Stock (in dollars per share) | $ 0.33 | $ 1.87 | $ 0.70 | $ 2.74 | 3.49 | 1.31 | (0.24) | (44.98) | 5.29 | [1] | (36.73) | [1] | |
Earnings/(Loss) Per Share - Diluted | |||||||||||||
Continuing Operations (in dollars per share) | 3.47 | 1.31 | (0.27) | (44.98) | 5.29 | [1] | (36.79) | [1] | |||||
Discontinued Operations (in dollars per share) | 0.02 | 0 | 0.03 | 0 | 0 | [1] | 0.06 | [1] | |||||
Total Earnings/(Loss) Per Share of Common Stock (in dollars per share) | $ 0.33 | $ 1.87 | $ 0.70 | $ 2.74 | $ 3.49 | $ 1.31 | $ (0.24) | $ (44.98) | $ 5.29 | [1] | $ (36.73) | [1] | |
Weighted Average Number of Shares of Common Stock Outstanding | |||||||||||||
Basic (in dollars per share) | [1] | 16,234 | 11,730 | ||||||||||
Diluted (in dollars per share) | [1] | 16,234 | 11,730 | ||||||||||
[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 Op_2
Consolidated Statements of Operations (Parenthetical) | Jul. 22, 2021 | Jul. 12, 2021 |
Income Statement [Abstract] | ||
Reverse stock split ratio | 0.3333 | 0.3333 |
Consolidated Statements of Stoc
Consolidated Statements of Stockholders’ Equity - 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] | 1,150 | ||||||
Net proceeds from issuance of common stock | 11,333 | $ 12 | [1] | 11,321 | ||||
Grant of restricted stock and amortization of equity based compensation (in shares) | [1] | 49 | ||||||
Grant of restricted stock and amortization of equity based compensation | 582 | 582 | ||||||
Common dividends declared | (1,243) | (1,243) | ||||||
Preferred dividends declared | (20,549) | (20,549) | ||||||
Exchange offers (in shares) | [1] | 1,699 | ||||||
Exchange offers | (8,545) | $ 17 | [1] | (33,979) | 14,843 | 10,574 | ||
Net Income/(Loss) | (420,919) | (420,919) | ||||||
Ending balance (in shares) at Dec. 31, 2020 | [1] | 13,811 | ||||||
Ending 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] | 9,022 | ||||||
Net proceeds from issuance of common stock | 93,134 | $ 90 | [1] | 93,044 | ||||
Repurchase of common stock (in shares) | [1] | (320) | ||||||
Repurchase of common stock | (3,555) | $ (3) | [1] | (3,552) | ||||
Grant of restricted stock and amortization of equity based compensation (in shares) | [1] | 27 | ||||||
Grant of restricted stock and amortization of equity based compensation | 320 | 320 | ||||||
Common dividends declared | (14,560) | (14,560) | ||||||
Preferred dividends declared | (18,840) | (18,840) | ||||||
Exchange offers (in shares) | [1] | 1,368 | ||||||
Exchange offers | (10) | $ 14 | [1] | (18,006) | 17,510 | 472 | ||
Net Income/(Loss) | 104,186 | 104,186 | ||||||
Ending balance (in shares) at Dec. 31, 2021 | [1] | 23,908 | ||||||
Ending balance at Dec. 31, 2021 | $ 570,380 | $ 239 | [1] | $ 220,472 | $ 796,469 | $ (446,800) | ||
[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 Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Cash Flows from Operating Activities | ||
Net Income/(Loss) | $ 104,186 | $ (420,919) |
Net Income/(Loss) from Discontinued Operations | 0 | (666) |
Net income/(loss) from continuing operations | 104,186 | (421,585) |
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: | ||
Net amortization of premium | 6,082 | (5,212) |
Net realized (gain)/loss | (1,698) | 256,522 |
Net unrealized gain/(loss) | (62,699) | 169,813 |
Foreign currency (loss) gain, net | (14) | (1,528) |
Equity based compensation to affiliate | 0 | 163 |
Equity based compensation expense | 320 | 419 |
(Income) loss from equity method investments, net of distributions received | (14,283) | 11,057 |
Change in operating assets/liabilities: | ||
Other assets | (7,631) | 8,872 |
Other liabilities | 2,035 | (13,639) |
Net cash provided by (used in) continuing operating activities | 26,298 | 4,882 |
Net cash provided by (used in) discontinued operating activities | 0 | (726) |
Net cash provided by (used in) operating activities | 26,298 | 4,156 |
Cash Flows from Investing Activities | ||
Purchase of residential mortgage loans | (2,472,393) | (541,823) |
Purchase of real estate securities | (924,663) | (502,801) |
Purchase of commercial loans | (1,881) | (10,560) |
Origination of commercial loans | (3,219) | (22,694) |
Investments in debt and equity of affiliates | (6,914) | (46,363) |
Proceeds from sale of residential mortgage loans | 139,908 | 393,950 |
Proceeds from sale of real estate securities | 893,505 | 2,731,163 |
Proceeds from sale of commercial loans | 74,579 | 36,935 |
Proceeds from sale of excess mortgage servicing rights | 2,246 | 8,038 |
Distributions received in excess of income from investments in debt and equity of affiliates | 85,145 | 30,614 |
Principal repayments on residential mortgage loans | 147,710 | 63,882 |
Principal repayments on real estate securities | 67,848 | 111,703 |
Principal repayments on commercial loans | 70,232 | 6,369 |
Principal repayments on excess mortgage servicing rights | 503 | 2,818 |
Net settlement of interest rate swaps and other instruments | 22,323 | (72,484) |
Net settlement of TBAs | 1,384 | 4,610 |
Cash flows provided by (used in) other investing activities | 3,996 | 98 |
Net cash provided by (used in) investing activities | (1,899,691) | 2,193,455 |
Cash Flows from Financing Activities | ||
Net proceeds from issuance of common stock | 93,134 | 7,018 |
Repurchase of common stock | (3,555) | 0 |
Cash paid on Exchange Offers | 0 | (8,007) |
Borrowings under financing arrangements | 19,693,957 | 14,689,972 |
Repayments of financing arrangements | (18,480,261) | (17,014,635) |
Deferred financing costs paid | (977) | 0 |
Borrowings under secured debt | 0 | 20,000 |
Repayments of secured debt | (10,000) | (10,000) |
Proceeds from issuance of securitized debt | 812,540 | 166,487 |
Principal repayments on securitized debt | (163,922) | (29,312) |
Net collateral received from (paid to) repurchase counterparty | 0 | (46,740) |
Dividends paid on common stock | (10,782) | (14,734) |
Dividends paid on preferred stock | (18,840) | (20,549) |
Net cash provided by (used in) financing activities | 1,911,294 | (2,260,500) |
Net change in cash and cash equivalents, and restricted cash | 37,901 | (62,889) |
Cash and cash equivalents, and restricted cash, Beginning of Year | 62,318 | 125,369 |
Effect of exchange rate changes on cash | 10 | (162) |
Cash and cash equivalents, and restricted cash, End of Year | 100,229 | 62,318 |
Supplemental disclosure of cash flow information: | ||
Cash paid for interest on financing arrangements | 24,219 | 46,322 |
Cash paid for income tax | 16 | 1,051 |
Supplemental disclosure of non-cash financing and investing activities: | ||
Payable on unsettled trades | 0 | 51,136 |
Common stock dividends declared but not paid | 5,021 | 1,243 |
Exchange Offers (Note 11) | 18,006 | 33,979 |
Holdback receivable on sale of excess MSRs | 75 | 422 |
Management fees paid using Common Stock in lieu of cash | 0 | 4,315 |
Decrease of securitized debt | 0 | 7,091 |
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 |
Transfer from residential mortgage loans to other assets | 2,753 | 3,856 |
Transfer from investments in debt and equity of affiliates to CMBS | $ 0 | $ 11,769 |
Consolidated Statements of Ca_2
Consolidated Statements of Cash Flows (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Statement of Cash Flows [Abstract] | |||
Cash and cash equivalents | $ 68,079 | $ 47,926 | |
Restricted cash | 32,150 | 14,392 | |
Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows | $ 100,229 | $ 62,318 | $ 125,369 |
Consolidated Statements of St_2
Consolidated Statements of Stockholders’ Equity (Parenthetical) | Jul. 22, 2021 | Jul. 12, 2021 |
Statement of Stockholders' Equity [Abstract] | ||
Reverse stock split ratio | 0.3333 | 0.3333 |
Organization
Organization | 12 Months Ended |
Dec. 31, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization AG Mortgage Investment Trust, Inc. (the "Company") is a residential mortgage REIT with a focus on investing in a diversified risk-adjusted portfolio of residential mortgage-related assets in the U.S. mortgage market. The Company’s investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans within the growing non-agency segment of the housing market. The Company obtains its assets through Arc Home, LLC ("Arc Home"), a residential mortgage loan originator in which it owns an approximate 44.6% interest, and through other third-party origination partners. The Company’s assets, excluding its ownership in Arc Home, include Residential Investments and Agency RMBS. Currently, its Residential Investments primarily consist of Non-QM Loans and GSE Non-Owner Occupied Loans. The Company may invest in other types of residential mortgage loans and other mortgage related assets. The Company also invests in Residential Investments through its unconsolidated ownership interest in affiliates which are included in the "Investments in debt and equity of affiliates" line item on its consolidated balance sheets. The Company's asset classes are primarily comprised of the following: Asset Class Description Residential Investments Non-QM Loans • 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. ◦ These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on its consolidated balance sheets. GSE Non-Owner Occupied Loans • GSE Non-Owner Occupied Loans are loans that are underwritten in accordance with U.S. government-sponsored entity ("GSE") guidelines and are secured by investment properties. ◦ These investments are included in the "Residential mortgage loans, at fair value" line item on its consolidated balance sheets. Re- and Non-Performing Loans • Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property. ◦ These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on its consolidated balance sheets. Non-Agency Residential Mortgage-Backed Securities ("RMBS") • Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. The mortgage loan collateral consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by a GSE or agency of the U.S. government. ◦ These investments are included in the "Real estate securities, at fair value" line item on its consolidated balance sheets. 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. ◦ These investments are included in the "Real estate securities, at fair value" line item on its consolidated balance sheets. 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. The Company was incorporated in the state of Maryland on March 1, 2011 and commenced operations in July 2011. 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 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 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 In March 2020, the global novel coronavirus ("COVID-19") pandemic 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 during 2021, the COVID-19 pandemic is ongoing with new variants emerging despite growing vaccination rates. As a result, 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 | 12 Months Ended |
Dec. 31, 2021 | |
Accounting Policies [Abstract] | |
Summary of significant accounting policies | Summary of significant accounting policies The accompanying consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP"). 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. As of December 31, 2021 and 2020, the Company reclassified Residential mortgage loans with an aggregate fair value of $1.2 billion and $426.6 million, respectively, into the "Securitized residential mortgage loans, at fair value" line item on the consolidated balance sheets. As of December 31, 2021 and 2020, the Company reclassified Agency RMBS, Non-Agency RMBS, and CMBS with an aggregate fair value of $514.5 million and $613.5 million, respectively, into the "Real estate securities, at fair value" line item on the consolidated balance sheets. See Note 4 for details related to Agency RMBS, Non-Agency RMBS, and CMBS. Excess MSRs with a fair value of $3.2 million as of December 31, 2020 were reclassified into the "Other Assets" line item on the consolidated balance sheets. In the opinion of management, all adjustments considered necessary for a fair presentation for the annual period of the Company’s financial position, results of operations and cash flows have been included and are of a normal and recurring nature. 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. 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 the provisions of Accounting Standards Codification ("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 assets and liabilities in active markets. • 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" and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. 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. Mortgage loans held-for-sale are accounted for under ASC 948-310, "Financial services—mortgage banking." Loans meeting all criteria for reclassification are presented separately on the consolidated balance sheets. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. 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 "Net unrealized gain/(loss)." 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. 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 for purposes of this determination. 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. On at least a quarterly basis, the Company evaluates the collectability of both principal and interest 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. When a loan's cost basis is impaired, the Company does not record an allowance for loan loss as it elected the fair value option on all of its loan investments. The Company accrues interest income on its loan portfolio. Loans are typically moved to non-accrual status and income recognition is suspended if the loan becomes 90 days or more delinquent. A loan is written off when it is no longer realizable and/or legally discharged. Accounting for real estate securities Investments in real estate securities are recorded in accordance with ASC 320-10, "Investments – Debt and Equity Securities" or ASC 325-40, "Beneficial Interests in Securitized Financial Assets." The Company has chosen to make a fair value election pursuant to ASC 825, "Financial Instruments" for its real estate securities 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 securities activities will be recorded in a similar manner. 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 "Net unrealized gain/(loss)." Purchases and sales of real estate securities are recorded on the trade date. 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 Non-Agency RMBS and loans is limited to recognition of effective yield. The Company measures its Non-Agency RMBS 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. Investments in debt and equity of affiliates The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method in accordance with ASC 323, "Investments – Equity Method and Joint Ventures." 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. 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 affiliates ("AG Arc"), formed Arc Home LLC ("Arc Home"). The Company has an approximate 44.6% interest in AG Arc. Arc Home originates 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-agency loans from Arc Home. 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 resulting in unrealized gains. For the year ended December 31, 2021, the Company eliminated $5.3 million of intra-entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company. The Company did not purchase any loans from Arc Home during the year ended December 31, 2020 and, as a result, it did not eliminate any intra-entity profits during the year ended December 31, 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. The Company has an approximate 44.6% interest in MATH. 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 December 31, 2021, MATT primarily holds retained tranches from past securitizations which continue to reduce in size due to ongoing principal repayments and the Company does not expect to acquire additional investments within this equity method investment. 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"). The Company has an approximate 47.5% and 50% interest in LOT SP I LLC and LOT SP II LLC, respectively. LOTS were formed to originate first mortgage loans to third-party land developers and home builders for the acquisition and horizontal development of land ("Land Related Financing"). The LOTS investments continue to reduce in size due to ongoing principal repayments and the Company does not expect to originate new loans within this equity method investment. Investment consolidation In variable interest entities ("VIEs"), an entity is subject to consolidation under ASC 810-10, "Consolidation" 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. 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 may result 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 may conclude that the VIEs should be consolidated and, as a result, transferred assets of these VIEs would be 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 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. Transfers of financial assets 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, "Transfers and Servicing" 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." 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. 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 loans or securities 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 December 31, 2021 and 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. Concurrently, on June 10, 2020, the Company entered a separate reinstatement agreement with one of its financing counterparties on substantially the same terms as those set forth in the Reinstatement Agreement. Accounting for derivative financial instruments Derivative contracts The Company enters into derivative contracts as a means of mitigating interest rate risk rather than to enhance returns. The Company accounts for derivative financial instruments in accordance with ASC 815-10, "Derivatives and Hedging." ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. Additionally, if or when hedge accounting is elected, the fair value adjustments will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a hedge for accounting purposes and, if so, the nature of the hedging activity. As of December 31, 2021 and 2020, the Company did not have any interest rate derivatives designated as hedges. All derivatives have been recorded at fair value with corresponding changes in fair 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 "Net unrealized gain/(loss)." 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. Forward Purchase Commitments The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price. Actual loan purchases are contingent upon successful loan closings. The counterparties are required to deliver the committed loans on a mandatory basis. These commitments to purchase mortgage loans are classified as derivatives and are therefore recorded at fair value on the consolidated balance sheets, with corresponding changes in fair value recognized in the consolidated statement of operations. Derivatives with positive fair values to the Company are reported as assets and derivatives with negative fair values to the Company are reported as liabilities. Earnings/(Loss) per share In accordance with ASC 260, "Earn |
Loans
Loans | 12 Months Ended |
Dec. 31, 2021 | |
Receivables [Abstract] | |
Loans | Loans Residential mortgage loans The table below details information regarding the Company’s residential mortgage loan portfolio as of December 31, 2021 and December 31, 2020 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses). Unpaid Principal Balance Gross Unrealized Weighted Average December 31, 2021 Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Residential mortgage loans, at fair value Non-QM Loans $ 987,290 $ 35,647 $ 1,022,937 $ 9,336 $ (1,458) $ 1,030,815 4.75 % 3.76 % 5.01 GSE Non-Owner Occupied Loans 429,424 10,039 439,463 1,723 (349) 440,837 3.64 % 3.19 % 6.84 Re- and Non-Performing Loans 6,528 (3,536) 2,992 2,328 — 5,320 N/A 31.18 % 2.24 Total Residential mortgage loans, at fair value $ 1,423,242 $ 42,150 $ 1,465,392 $ 13,387 $ (1,807) $ 1,476,972 4.41 % 3.69 % 5.55 Securitized residential mortgage loans, at fair value (2) Non-QM Loans $ 777,828 $ 30,739 $ 808,567 $ 5,821 $ (1,005) $ 813,383 5.13 % 3.96 % 4.50 Re- and Non-Performing Loans 377,923 (44,971) 332,952 14,914 (3,115) 344,751 3.55 % 5.90 % 7.17 Total Securitized residential mortgage loans, at fair value $ 1,155,751 $ (14,232) $ 1,141,519 $ 20,735 $ (4,120) $ 1,158,134 4.61 % 4.53 % 5.37 Total as of December 31, 2021 $ 2,578,993 $ 27,918 $ 2,606,911 $ 34,122 $ (5,927) $ 2,635,106 4.50% 4.06% 5.47 Unpaid Principal Balance Gross Unrealized Weighted Average December 31, 2020 Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Residential mortgage loans, at fair value Re- and Non-Performing Loans $ 19,634 $ (12,702) $ 6,932 $ 1,905 $ — $ 8,837 1.15 % 9.72 % 3.98 Securitized residential mortgage loans, at fair value (2) Re- and Non-Performing Loans $ 481,346 $ (56,305) $ 425,041 $ 11,735 $ (10,172) $ 426,604 3.58 % 5.61 % 6.78 Total as of December 31, 2020 $ 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) Refer to the "Variable interest entities" section below for additional details. The following tables present information regarding credit quality of the Company's Residential mortgage loans ($ in thousands). December 31, 2021 Unpaid Principal Balance Weighted Average (1) Aging by Unpaid Principal Balance (1)(2) Loan Count (1) Original LTV Ratio Current FICO (3) Current 30-59 Days 60-89 Days 90+ Days Residential mortgage loans Non-QM Loans $ 987,290 1,886 69.39 % 737 $ 967,910 $ 9,101 $ 1,630 $ 8,649 GSE Non-Owner Occupied Loans 429,424 1,339 65.44 % 754 425,594 3,830 — — Re- and Non-Performing Loans 6,528 N/A N/A N/A N/A N/A N/A N/A Securitized residential mortgage loans Non-QM Loans 777,828 1,562 68.03 % 733 767,734 6,495 1,036 2,563 Re- and Non-Performing Loans 377,923 2,540 79.20 % 639 256,094 35,974 12,324 73,531 Total $ 2,578,993 7,327 69.76 % 723 $ 2,417,332 $ 55,400 $ 14,990 $ 84,743 (1) Loan count, weighted average, and aging data excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions. (2) As of December 31, 2021, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $47.4 million and $29.0 million, respectively. (3) Weighted average current FICO excludes borrowers where FICO scores were not available. December 31, 2020 Unpaid Principal Balance Weighted Average (1) Aging by Unpaid Principal Balance (1)(2) Loan Count (1) Original LTV Ratio Current FICO (3) Current 30-59 Days 60-89 Days 90+ Days Re- and Non-Performing Loans $ 19,634 1 62.24 % 583 $ 142 $ — $ — $ — Securitized Re- and Non-Performing Loans 481,346 3,272 78.90 % 627 285,878 44,288 25,255 125,925 Total Residential loans $ 500,980 3,273 78.90 % 627 286,020 44,288 25,255 125,925 (1) Loan count, weighted average, and aging data excludes certain positions within the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions. (2) As of December 31, 2020, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $70.2 million and $37.1 million, respectively. (3) Weighted average current FICO excludes borrowers where FICO scores were not available. During the year ended December 31, 2021, the Company purchased Non-QM Loans and GSE Non-Owner Occupied Loans, as detailed below ($ in thousands). A portion of these loans were purchased from Arc Home. See Note 10 for more detail. Unpaid Principal Balance Fair Value Non-QM Loans $ 1,935,657 $ 2,018,491 GSE Non-Owner Occupied Loans 436,678 448,335 During the years ended December 31, 2021 and December 31, 2020, the Company sold Non-QM Loans and Re- and Non-Performing Loans, as detailed below ($ in thousands). Number of Loans Proceeds Realized Gains Realized Losses Year Ended December 31, 2021 Non-QM Loans (1) 150 $ 91,952 $ — $ (1,304) Re- and Non-Performing Loans 1 1,604 626 — Securitized Re- and Non-Performing Loans 380 46,352 7,601 (769) Year Ended December 31, 2020 Re- and Non-Performing Loans 2,412 397,902 1,928 (59,273) (1) These Non-QM Loans were sold into an unconsolidated securitization trust. Certain senior tranches in the securitization were sold to third-parties with the Company retaining the subordinate tranches, which are included within the "Real estate securities, at fair value" line item on its consolidated balance sheets. The Company participated in this securitization alongside a private fund under the management of Angelo Gordon. See Note 10 for more detail. 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 as of December 31, 2021 and 2020 and includes states where the exposure is greater than 5% of the fair value the Company's residential mortgage loan portfolio: Geographic Concentration of Credit Risk (1) December 31, 2021 December 31, 2020 California 35 % 17 % New York 15 % 10 % Florida 11 % 11 % New Jersey 6 % 6 % (1) 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. There may be limited data available regarding the underlying collateral of such securitizations. The following is a summary of the changes in the accretable portion of the discount for the Company’s securitized re-performing and non-performing loan portfolios for the years ended December 31, 2021 and 2020, which is determined by the Company’s estimate of undiscounted principal expected to be collected in excess of the amortized cost of the mortgage loan (in thousands). Year Ended December 31, 2021 December 31, 2020 Beginning Balance $ 56,907 $ 41,472 Additions — 28,110 Accretion (5,106) (5,546) Reclassifications from/(to) non-accretable difference 1,044 7,659 Disposals (6,324) (14,788) Ending Balance $ 46,521 $ 56,907 Variable interest entities The following table details certain information related to the assets and liabilities of the Residential Mortgage Loan VIEs as of December 31, 2021 and 2020 ($ in thousands): December 31, 2021 December 31, 2020 Carrying Value Weighted Average Carrying Value Weighted Average Yield Life (Years) (1) Yield Life (Years) (1) Assets Non-QM Loan VIEs $ 813,383 3.96 % 4.50 $ — — % — RPL/NPL VIEs 344,751 5.90 % 7.17 426,604 5.61 % 6.78 Securitized residential mortgage loans, at fair value $ 1,158,134 $ 426,604 Restricted cash 1,467 2,110 Other assets 6,457 3,705 Total Assets $ 1,166,058 $ 432,419 Liabilities Non-QM Loan VIEs - Securitized debt $ 746,970 1.63 % 2.36 $ — — % — RPL/NPL VIEs - Securitized debt 252,245 3.06 % 3.75 355,159 3.00 % 3.85 Securitized debt, at fair value (2) $ 999,215 $ 355,159 Financing arrangements (3) 71,308 25,590 Other liabilities 1,543 519 Total Liabilities $ 1,072,066 $ 381,268 Total Equity $ 93,992 $ 51,151 (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) 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 Mortgage Loan VIEs. (3) Includes financing arrangements on certain of the Company's retained interests in securitizations. Commercial loans During the year ended December 31, 2021, Loan K and Loan L were repaid in full for total proceeds of $74.1 million, recording realized gains of $0.4 million. In connection with the repayment of Loan L, the Company received $3.0 million of deferred interest for the 12-month period following a loan modification entered into with the borrower during the fourth quarter of 2020. In addition, the proceeds received from the repayment of Loan L were used to pay down the $26.0 million commercial loan revolving facility. The Company also sold Loan G and Loan I for total proceeds of $74.3 million, recording realized losses of $2.9 million during the year ended December 31, 2021. As of December 31, 2021, the Company did not hold any commercial loans. For the year ended December 31, 2020, the Company sold two commercial loans, for total proceeds of $36.9 million, recording realized losses of $6.5 million. The following table presents detail on the Company’s commercial loan portfolio as of December 31, 2020 ($ in thousands). The gross unrealized losses in the table below represents inception to date unrealized losses. Gross Unrealized Losses Weighted Average Extended Loan Current Face Premium Amortized Cost Fair Value Coupon Yield Life Location Collateral Type Commercial Loans, at fair value Loan G $ 59,451 $ — $ 59,451 $ (3,940) $ 55,511 5.27 % 5.27 % 1.54 July 9, 2022 CA Condo, Retail, Hotel Loan K 15,787 — 15,787 (1,100) 14,687 10.00 % 10.83 % 1.27 February 22, 2024 NY Hotel, Retail Loan L 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 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 |
Real Estate Securities
Real Estate Securities | 12 Months Ended |
Dec. 31, 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 December 31, 2021 and 2020 ($ in thousands). The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses). December 31, 2021 Gross Unrealized Weighted Average Current Face Premium / Amortized Gains Losses Fair Value Coupon (1) Yield Agency RMBS: 30 Year Fixed Rate $ 490,435 $ 11,927 $ 502,362 $ — $ (6,649) $ 495,713 2.18 % 1.78 % Credit - Residential Investments: Non-QM Securities 14,894 (236) 14,658 — (58) 14,600 4.36 % 4.74 % Non-Agency RMBS Interest Only (2) 160,154 (156,647) 3,507 — (112) 3,395 0.38 % 10.12 % Re/Non-Performing Securities 696 (24) 672 90 — 762 5.25 % 29.69 % Total Credit - Residential Investments: 175,744 (156,907) 18,837 90 (170) 18,757 1.02 % 6.73 % Total $ 666,179 $ (144,980) $ 521,199 $ 90 $ (6,819) $ 514,470 1.99 % 1.96 % (1) Equity residual investments with a zero coupon rate are excluded from this calculation. (2) Comprised of Non-QM interest-only bonds. December 31, 2020 Gross Unrealized Weighted Average Current Face Premium / Amortized Gains Losses Fair Value Coupon (1) Yield Agency RMBS: 30 Year Fixed Rate $ 494,307 $ 22,368 $ 516,675 $ 1,794 $ (117) $ 518,352 2.10 % 1.17 % Credit Investments: Residential Investments Prime 15,093 (7,081) 8,012 663 (10) 8,665 3.68 % 8.97 % Alt-A/Subprime 16,287 (9,377) 6,910 4,586 — 11,496 4.25 % 12.52 % Credit Risk Transfer 13,880 — 13,880 15 (587) 13,308 4.71 % 4.70 % Non-U.S. RMBS 2,435 706 3,141 51 (92) 3,100 6.45 % 6.41 % Non-Agency RMBS Interest Only (2) 157,590 (157,513) 77 207 (48) 236 0.53 % NM Re/Non-Performing Securities 1,690 (238) 1,452 149 — 1,601 5.25 % 14.05 % Total Residential Investments: 206,975 (173,503) 33,472 5,671 (737) 38,406 2.01 % 8.50 % Commercial Investments Conduit 4,925 (1,024) 3,901 — (606) 3,295 4.62 % 11.89 % Single-Asset/Single-Borrower 50,480 (1,494) 48,986 668 (9,464) 40,190 4.15 % 4.81 % Freddie Mac K-Series CMBS 22,572 (12,062) 10,510 47 (1,557) 9,000 3.83 % 9.00 % CMBS Interest Only (3) 687,077 (682,961) 4,116 256 (69) 4,303 0.10 % 6.93 % Total Commercial Investments: 765,054 (697,541) 67,513 971 (11,696) 56,788 0.44 % 6.04 % Total Credit Investments: 972,029 (871,044) 100,985 6,642 (12,433) 95,194 0.65 % 7.04 % Total $ 1,466,336 $ (848,676) $ 617,660 $ 8,436 $ (12,550) $ 613,546 1.18 % 2.08 % (1) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. (2) Non-Agency RMBS Interest Only includes only two investments. The overall impact of the investments' yields on the Company's portfolio is not meaningful. (3) Comprised of Freddie Mac K-Series interest-only bonds. The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of December 31, 2021 and 2020 ($ in thousands): December 31, 2021 Agency RMBS Credit - Residential Investments Weighted Average Life (1) Fair Value Amortized Weighted Fair Value Amortized Weighted Less than or equal to one year $ — $ — — % $ 543 $ 511 5.25 % Greater than one year and less than or equal to five years — — — % 18,214 18,326 1.00 % Greater than five years and less than or equal to ten years 474,104 480,204 2.19 % — — — % Greater than ten years 21,609 22,158 2.00 % — — — % Total $ 495,713 $ 502,362 2.18 % $ 18,757 $ 18,837 1.02 % December 31, 2020 Agency RMBS Credit Investments Weighted Average Life (1) Fair Value Amortized Cost Weighted Fair Value Amortized Cost Weighted Less than or equal to one 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
Fair value measurements | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair value measurements | Fair value measurements The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2021 and 2020 (in thousands): Fair Value at December 31, 2021 Level 1 Level 2 Level 3 Total Assets: Residential mortgage loans $ — $ 915 $ 1,476,057 $ 1,476,972 Securitized residential mortgage loans — — 1,158,134 1,158,134 30 Year Fixed Rate Agency RMBS — 495,713 — 495,713 Non-Agency RMBS (1) — — 15,362 15,362 Non-Agency RMBS Interest Only — — 3,395 3,395 Derivative assets (2) — 19,781 — 19,781 AG Arc (3) — — 53,435 53,435 Total Assets Measured at Fair Value $ — $ 516,409 $ 2,706,383 $ 3,222,792 Liabilities: Securitized debt $ — $ — $ (999,215) $ (999,215) Derivative liabilities (2) — (897) (79) (976) Total Liabilities Measured at Fair Value $ — $ (897) $ (999,294) $ (1,000,191) (1) Non-Agency RMBS is comprised of Non-QM and Re/Non-Performing Securities. (2) As of December 31, 2021, the Company applied a reduction in fair value of $19.6 million and $0.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively. Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively. Refer to Note 2 and Note 7 for more information on the Company's accounting policies with regard to derivatives. (3) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents, if applicable, and AG Arc. The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825. Fair Value at December 31, 2020 Level 1 Level 2 Level 3 Total Assets: Residential mortgage loans $ — $ 2,134 $ 6,703 $ 8,837 Securitized residential mortgage loans — — 426,604 426,604 30 Year Fixed Rate Agency RMBS — 518,352 — 518,352 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) — — 3,158 3,158 Derivative assets (4) — 1,356 — 1,356 AG Arc (5) — — 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 (4) — (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) Excess mortgage servicing rights are included in the "Other assets" line item on the consolidated balance sheets. (4) 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. Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively. Refer to Note 2 and Note 7 for more information on the Company's accounting policies with regard to derivatives. (5) 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 valuation of the Company’s residential mortgage loans and securitized debt relating to the Residential Mortgage Loan VIEs is determined by the Manager using third-party pricing services where available, valuation analyses from third-party pricing service providers, or model-based pricing. 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 evaluation considers the underlying characteristics of each loan, which are observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. The Company also considers 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 residential mortgage loans and securitized debt include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, recovery rates, reperformance rates, and timeline to liquidation. The Company and third-party pricing service providers use loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value. Because of the inherent uncertainty of such valuation, the fair value established for mortgage loans and securitized debt held by the Company may differ from the fair value that would have been established if a ready market existed for these mortgage loans. Fair values for the Company’s securities and derivatives are based upon prices obtained from third-party pricing services, which are indicative of market activity, and broker quotations may also be used. 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. The Company's investment in Arc Home is evaluated on a periodic basis using a market approach. In applying the market approach, fair value is determined by multiplying Arc Home's book value by a relevant valuation multiple observed based on a range of comparable public entities or transactions, adjusted by management as appropriate for differences between the investment and the referenced comparables. The evaluation also considers the underlying financial performance of Arc Home, general economic conditions, and relevant trends within the mortgage banking industry. Changes in the market environment and other events that may occur over the life of these investments may cause the gains or losses ultimately realized to be different than the valuations currently estimated. If applicable, analyses provided by valuation service providers are reviewed and considered by the Manager. The significant unobservable inputs used in the fair value measurement of the Company’s loans and 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. The significant unobservable input used in the fair value measurement of the Company’s investment in Arc Home is the book value multiple. Significant increases (decreases) in the multiple applied would result in a significantly higher (lower) fair value measurement. The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the years ended December 31, 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: Year Ended December 31, 2021 (in thousands) Residential Non-Agency Non-Agency Commercial Excess AG Arc Securitized Derivative Liabilities Beginning balance $ 433,307 $ 3,100 $ — $ 125,508 $ 3,158 $ 45,341 $ (355,159) $ — Transfers (1): Transfers out of level 3 — (1,499) — — — — — — Purchases/Reclassifications 2,463,685 14,657 3,778 5,100 — — — — Issuances of Securitized Debt — — — — — — (811,455) — Capital distributions — — — — — (893) — — Proceeds from sales/redemptions (138,304) — — (74,342) (2,364) — — — Proceeds from settlement (147,710) (899) — (70,232) — — 163,922 — Total net gains/(losses) (2) Included in net income 23,213 3 (383) 13,966 (794) 8,987 3,477 (79) Ending Balance $ 2,634,191 $ 15,362 $ 3,395 $ — $ — $ 53,435 $ (999,215) $ (79) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2021 (3) $ 18,437 $ 3 $ (383) $ — $ — $ 8,987 $ 3,477 $ (79) (1) Transfers are assumed to occur at the beginning of the period. For the year ended December 31, 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: Net unrealized gain/(loss) $ 38,606 Net realized gain/(loss) 797 Equity in earnings/(loss) from affiliates 8,987 Total $ 48,390 (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Net unrealized gain/(loss) $ 21,455 Equity in earnings/(loss) from affiliates 8,987 Total $ 30,442 Year Ended December 31, 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) (22,055) — — — 7,230 Purchases/Reclassifications 536,710 1,559 — 3,540 — 33,254 20 — — Issuances of Securitized Debt — — — — — — — — (166,487) Capital distributions — — — — — — — (6,466) — Proceeds from sales/redemptions (393,876) (362,199) — (148,111) (21,995) (36,924) (8,460) — — Proceeds from settlement (63,882) (12,636) — (9,367) — (6,369) — — 29,312 Total net gains/(losses) (2) Included in net income (63,430) (43,030) — (41,812) (3,942) (23,139) (6,177) 23,261 (866) Ending Balance $ 433,307 $ 3,100 $ — $ — $ — $ 125,508 $ 3,158 $ 45,341 $ (355,159) Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2020 (3) $ (6,593) $ (106) $ — $ — $ — $ (16,669) $ (2,564) $ 23,261 $ (866) (1) Transfers are assumed to occur at the beginning of the period. For the year ended December 31, 2020, the Company transferred 50 Non-Agency RMBS securities, two Non-Agency 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. For the year ended December 31, 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. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Net unrealized gain/(loss) $ (63,066) Net realized gain/(loss) (119,330) Equity in earnings/(loss) from affiliates 23,261 Total $ (159,135) (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Net unrealized gain/(loss) $ (26,798) Equity in earnings/(loss) from affiliates 23,261 Total $ (3,537) The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value. Asset Class Fair Value at December 31, 2021 (in thousands) Valuation Technique Unobservable Input Range Yield 2.77% - 7.50% (3.37%) Residential Mortgage Loans $ 1,465,523 Discounted Cash Flow Projected Collateral Prepayments —% - 25.89% (15.28%) Projected Collateral Losses —% - 15.37% (0.30%) Projected Collateral Severities -14.86% - 10.00% (9.97%) $ 4,405 Consensus Pricing Broker Quotes 88.57 - 112.89 (102.59) $ 6,129 Recent Transaction Cost N/A Yield 2.26% - 13.00% (3.12%) Securitized Residential Mortgage Loans $ 1,158,134 Discounted Cash Flows Projected Collateral Prepayments 4.75% - 11.05% (9.51%) Projected Collateral Losses 0.38% - 4.40% (0.83%) Projected Collateral Severities -18.08% - 29.11% (10.10%) Yield 3.42% - 15.00% (5.32%) Non-Agency RMBS $ 15,362 Discounted Cash Flow Projected Collateral Prepayments 5.70% - 12.99% (12.63%) Projected Collateral Losses 0.23% - 2.66% (0.35%) Projected Collateral Severities -43.98% - 10.00% (7.32%) Yield 10.00% - 12.50% (12.10%) Non-Agency RMBS Interest Only $ 3,395 Discounted Cash Flow Projected Collateral Prepayments 12.99% - 12.99% (12.99%) Projected Collateral Losses 0.23% - 0.23% (0.23%) Projected Collateral Severities 10.00% - 10.00% (10.00%) AG Arc $ 53,435 Comparable Multiple Book Value Multiple 1.06x - 1.06x (1.06x) Liability Class Fair Value at December 31, 2021 (in thousands) Valuation Technique Unobservable Input Range Yield 1.56% - 4.49% (2.15%) Securitized debt $ (999,215) Discounted Cash Flow Projected Collateral Prepayments 5.86% - 11.05% (9.66%) Projected Collateral Losses 0.38% - 2.93% (0.83%) Projected Collateral Severities 6.36% - 12.89% (10.15%) Yield 3.02% - 3.11% (3.03%) Derivative Liabilities $ (79) Discounted Cash Flow Projected Collateral Prepayments 14.08% - 15.14% (14.23%) Projected Collateral Losses 0.15% - 0.20% (0.15%) Projected Collateral Severities 10.00% - 10.00% (10.00%) Pull Through Percentages 90.00% - 95.00% (90.69%) (1) Amounts are weighted based on fair value. Asset Class Fair Value at December 31, 2020 (in thousands) Valuation Technique Unobservable Input Range Yield 10.00% - 10.00% (10.00%) Residential Mortgage Loans $ 105 Discounted Cash Flow Projected Collateral Prepayments 4.30% - 4.30% (4.30%) Projected Collateral Losses 2.98% - 2.98% (2.98%) Projected Collateral Severities 3.74% - 3.74% (3.74%) $ 6,598 Consensus Pricing Broker Quotes 82.03 - 106.29 (99.96) Securitized Residential Mortgage Loans Yield 4.50% - 10.00% (5.01%) $ 426,604 Discounted Cash Flow Projected Collateral Prepayments 4.30% - 9.31% (7.29%) Projected Collateral Losses 1.66% - 5.75% (2.58%) Projected Collateral Severities -9.29% - 49.43% (15.68%) 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 Broker 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 Broker 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
Financing arrangements | 12 Months Ended |
Dec. 31, 2021 | |
Disclosure of Repurchase Agreements [Abstract] | |
Financing arrangements | Financing arrangements The following table presents a summary of the Company's financing arrangements as of December 31, 2021 and 2020 ($ in thousands). December 31, 2021 December 31, 2020 Weighted Average Collateral (1)(2) Carrying Value Stated Maturity Funding Cost Life (Years) Amortized Cost Basis Fair Value Carrying Value Repurchase Agreements Residential Mortgage Loans (3)(4)(5) $ 1,286,287 Jan 2022 - Dec 2022 2.25 % 0.40 $ 1,459,876 $ 1,469,358 $ — Securitized Residential Mortgage Loans (6) 71,308 Jan 2022 - Mar 2022 1.90 % 0.14 102,292 119,947 25,590 Agency RMBS 409,935 Jan 2022 - Feb 2022 0.15 % 0.13 432,652 426,486 435,893 Non-Agency RMBS 10,213 Feb 2022 1.85 % 0.12 18,165 17,995 14,550 CMBS — N/A — % — — — 24,881 Total Repurchase Agreements $ 1,777,743 1.75 % 0.33 $ 2,012,985 $ 2,033,786 $ 500,914 Revolving Facilities Commercial Loans $ — N/A — % — $ — $ — $ 63,133 Total Financing Arrangements $ 1,777,743 1.75 % 0.33 $ 2,012,985 $ 2,033,786 $ 564,047 (1) The Company also had $5.0 million of cash pledged under repurchase agreements as of December 31, 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) The Company's Residential Mortgage Loan financing arrangements include a maximum uncommitted borrowing capacity of $1.3 billion on facilities used to finance Non-QM Loans and $1.0 billion on facilities used to finance GSE Non-Owner Occupied Loans or other qualified mortgage loans. (4) Subsequent to year end, the Residential Mortgage Loan repurchase agreement maturing in January 2022 was extended through January 2023. (5) The funding cost includes deferred financing costs. The weighted average stated rate on the Residential Mortgage Loans repurchase agreements was 2.18% as of December 31, 2021. (6) Amounts pledged as collateral under Securitized Residential Mortgage Loans include certain of the Company's retained interests in securitizations. Refer to Note 3 for more information on the Residential Mortgage Loan VIEs. The following table presents contractual maturity information about the Company's borrowings under repurchase agreements as of December 31, 2021 (in thousands). Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Total Repurchase Agreements Residential Mortgage Loans (1) $ 345,012 $ — $ 941,275 $ 1,286,287 Securitized Residential Mortgage Loans 17,957 53,351 — 71,308 Agency RMBS 51,238 358,697 — 409,935 Non-Agency RMBS — 10,213 — 10,213 Total Repurchase Agreements $ 414,207 $ 422,261 $ 941,275 $ 1,777,743 (1) Subsequent to year end, the Residential Mortgage Loan repurchase agreement maturing within 30 days of December 31, 2021 was extended through January 2023. Counterparties The Company had exposure to five counterparties as of December 31, 2021 and December 31, 2020. The following tables present information as of December 31, 2021 and 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). December 31, 2021 December 31, 2020 Counterparty Stockholders' Equity Weighted Average Percentage of Stockholders' Equity Weighted Average Percentage of Credit Suisse AG, Cayman Islands Branch $ 129,526 101 22.7 % $ 26,305 35 6.4 % Barclays Capital Inc. 89,230 23 15.6 % 24,890 15 6.1 % BofA Securities, Inc. 33,153 317 5.8 % 28,091 19 6.9 % Financial Covenants The Company’s financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity 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 December 31, 2021, the Company is in compliance with all of its financial covenants. |
Other assets and liabilities
Other assets and liabilities | 12 Months Ended |
Dec. 31, 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 December 31, 2021 and 2020 (in thousands): December 31, 2021 December 31, 2020 Other assets Interest receivable $ 14,263 $ 2,962 Derivative assets, at fair value 231 — Due from broker 1,887 907 Excess mortgage servicing rights, at fair value — 3,158 Other assets 4,519 5,538 Total Other assets $ 20,900 $ 12,565 Other liabilities Due to affiliates (1) $ 4,106 $ 14,041 Interest payable 2,925 853 Derivative liabilities, at fair value 92 68 Purchase Price Payable on GSE Non-Owner Occupied Loans (2) 87 — Due to broker 990 1,272 Accrued expenses 2,169 2,521 Total Other liabilities $ 10,369 $ 18,755 (1) Refer to Note 10 for more information. (2) Represents the portion of the purchase price on GSE Non-Owner Occupied Loans that has not yet settled as of December 31, 2021. Derivatives The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location at December 31, 2021 and 2020 (in thousands). Derivatives and Other Instruments (1) Balance Sheet Location December 31, 2021 December 31, 2020 Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other assets $ 231 $ — Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other liabilities — (68) Short TBAs Other liabilities (13) — Forward Purchase Commitments Other liabilities (79) — (1) As of December 31, 2021 and 2020, all derivatives held by the Company are not designated as hedges. (2) As of December 31, 2021, the Company applied a reduction in fair value of $19.6 million and $0.9 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 December 31, 2021 December 31, 2020 Pay Fix/Receive Float Interest Rate Swap Agreements (1) USD $ 888,500 $ 417,000 Short TBAs USD 385,963 — Forward Purchase Commitments USD 25,292 — Short positions on British Pound Futures (2) GBP — 3,313 (1) As of December 31, 2021, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 0.85%, a weighted average receive-variable rate of 0.15%, and a weighted average years to maturity of 5.51 years. As of December 31, 2020, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 0.49%, a weighted average receive-variable rate of 0.23%, and a weighted average years to maturity of 5.99 years. (2) Each British Pound Future contract embodies £62,500 of notional value. Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of December 31, 2021 and 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 December 31, 2021, the Company's restricted cash balance included $25.7 million of collateral related to certain derivatives, of which $7.0 million represents cash collateral posted by the Company and $18.7 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. The following table summarizes gains/(losses) related to derivatives and other instruments (in thousands): Year Ended December 31, 2021 December 31, 2020 Included within Net unrealized gain/(loss) Interest Rate Swaps $ 19,165 $ (10,276) TBAs (13) — Forward Purchase Commitments (79) — Swaptions — 354 British Pound Futures 64 38 Euro Futures — 20 19,137 (9,864) Included within Net realized gain/(loss) Interest Rate Swaps 4,888 (65,368) TBAs 1,383 4,610 Swaptions — (2,437) British Pound Futures (165) 259 Euro Futures — 68 U.S. Treasuries — 31 6,106 (62,837) Total income/(loss) $ 25,243 $ (72,701) TBAs The following tables present information about the Company’s TBAs for the years ended December 31, 2021 and 2020 (in thousands): For the Year Ended December 31, 2021 Beginning Buys or Covers Sales or Shorts Ending Net Net Fair Value Net Receivable/(Payable) Derivative Short TBAs $ — $ 1,390,550 $ (1,776,513) $ (385,963) $ (394,225) $ 394,212 $ (13) For the Year Ended December 31, 2020 Beginning Buys or Covers Sales or Shorts Ending Net Net Fair Value Net Receivable/(Payable) Derivative Long TBAs $ — $ 728,000 $ (728,000) $ — $ — $ — $ — |
Earnings per share
Earnings per share | 12 Months Ended |
Dec. 31, 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 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 years ended December 31, 2021 and 2020 (in thousands, except per share data): Year Ended December 31, 2021 December 31, 2020 Numerator: Net Income/(Loss) from Continuing Operations $ 104,186 $ (421,585) Gain on Exchange Offers, net (Note 11) 472 10,574 Dividends on preferred stock (18,785) (20,549) Net income/(loss) from continuing operations available to common stockholders 85,873 (431,560) Net Income/(Loss) from Discontinued Operations — 666 Net Income/(Loss) available to common stockholders $ 85,873 $ (430,894) Denominator: Basic weighted average common shares outstanding 16,234 11,730 Diluted weighted average common shares outstanding 16,234 11,730 Earnings/(Loss) Per Share - Basic Continuing Operations $ 5.29 $ (36.79) Discontinued Operations — 0.06 Basic Earnings/(Loss) Per Share of Common Stock: $ 5.29 $ (36.73) Earnings/(Loss) Per Share - Diluted Continuing Operations $ 5.29 $ (36.79) Discontinued Operations — 0.06 Diluted Earnings/(Loss) Per Share of Common Stock: $ 5.29 $ (36.73) 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 December 31, 2021 and 2020. 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 2021, the Company declared its preferred and common dividends in ordinary course. The following tables detail the Company's common stock dividends declared during the years ended December 31, 2021 and 2020: 2021 Declaration Date Record Date Payment Date 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 9/15/2021 9/30/2021 10/29/2021 0.21 12/15/2021 12/31/2021 1/31/2022 0.21 Total $ 0.81 2020 Declaration Date Record Date Payment Date Dividend Per Share 12/22/2020 12/31/2020 1/29/2021 $ 0.09 The following tables detail the Company's preferred stock dividends during the years ended December 31, 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 7/30/2021 8/31/2021 9/17/2021 0.51563 0.50 0.50 11/5/2021 11/30/2021 12/17/2021 0.51563 0.50 0.50 Total $ 2.06252 $ 2.00 $ 2.00 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 11/6/2020 11/30/2020 12/17/2020 1.54689 1.50 1.50 Total $ 2.06252 $ 2.00 $ 2.00 |
Income taxes
Income taxes | 12 Months Ended |
Dec. 31, 2021 | |
Income Tax Disclosure [Abstract] | |
Income taxes | Income taxes As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders, and 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 year ended December 31, 2021, the Company did not record any excise tax. For the year ended December 31, 2020, the Company recorded excise tax expense of $(0.8) million. The reversal of the previously accrued excise tax expense during 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 December 31, 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 | 12 Months Ended |
Dec. 31, 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 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 years ended December 31, 2021 and 2020, the Company incurred management fees of approximately $6.8 million and $7.2 million, respectively. As of December 31, 2021 and 2020, the Company recorded management fees payable of $1.8 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 owed 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. Incentive fee In connection with the common stock offering in November 2021, including the Manager's purchase of 700,000 shares in the offering, on November 22, 2021, the Company and the Manager executed an amendment (the "Third Management Agreement Amendment") to the management agreement, pursuant to which the Company will pay the Manager an annual incentive fee in addition to the base management fee. Pursuant to the Third Amendment, the Manager waived the annual incentive fee with respect to the fiscal years ending December 31, 2021 and December 31, 2022, and the annual incentive fee will first be payable with respect to the fiscal year ending December 31, 2023. The annual incentive fee with respect to each applicable fiscal year will be equal to 15% of the amount by which the Company's cumulative adjusted net income from the date of the Third Amendment exceeds the cumulative hurdle amount, which represents an 8% return (cumulative, but not compounding) on an equity hurdle base consisting of the sum of (i) the Company's adjusted book value (calculated in the manner described in the Company's public filings) as of October 31, 2021, (ii) $80.0 million, and (iii) the gross proceeds of any subsequent public or private common stock offerings by the Company. The annual incentive fee will be payable in cash, or, at the option of the Company's Board of Directors, shares of common stock or a combination of cash and shares. In addition, pursuant to the Third Amendment, the term of the management agreement was extended until June 30, 2023, unless earlier terminated in accordance with its terms. Thereafter, the management agreement will continue to renew automatically each year for an additional one-year period, unless the Company or the Manager exercise its respective termination rights. All other terms and conditions of the management agreement continued without change. 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 December 31, 2021 and 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. For years ended December 31, 2021 and 2020, the Company has incurred $6.3 million and $7.4 million, respectively, representing a reimbursement of expenses which are recorded within the "Other operating expenses" and "Transaction related expenses" line items on the consolidated statements of operations. As of December 31, 2021 and 2020, the Company recorded a reimbursement payable to the Manager of $2.1 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 December 31, 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 December 31, 2021, 599,312 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 67,354 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 December 31, 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 that may be subject to awards thereunder to the Manager. As of December 31, 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. Restricted Stock Awards and Restricted Stock Units The following table presents information with respect to the Company’s restricted stock and restricted stock units for the years ended December 31, 2021 and 2020: Year Ended December 31, 2021 Year Ended December 31, 2020 Shares of Restricted Stock and Restricted Stock Units Weighted Average Grant Date Fair Value Shares of Restricted Stock and Restricted Stock Units Weighted Average Grant Date Fair Value Outstanding at beginning of year 73,477 $ 30.35 37,885 $ 56.73 Granted (1) 27,247 11.26 42,261 10.68 Canceled/forfeited — — — — Unrestricted — — (6,669) 55.59 Outstanding at end of year 100,724 $ 25.19 73,477 $ 30.35 Unvested at end of year — $ — — $ — (1) The grant date fair value of restricted stock awards was established as the average of the high and low prices of the Company's common stock at the grant date. The grant date fair value of restricted stock units is based on the closing market price of the Company's common stock at the grant date. During the years ended December 31, 2021 and 2020, 27,247 and 48,930 shares of total restricted stock and restricted stock units vested, respectively. On December 31, 2021, the Company had no unrecognized compensation expense related to restricted stock units. The total fair value of restricted shares and units vested was approximately $0.3 million and $0.8 million for the years ended December 31, 2021 and December 31, 2020, respectively, based on the closing price of the stock on the vesting date and grant date, respectively. Equity based compensation of $0.3 million and $0.6 million was expensed during the years ended December 31, 2021 and 2020, respectively, associated with the amortization of restricted stock and restricted stock units. 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 their service as an independent member of the Company’s board. As of December 31, 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. The below table reconciles the fair value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of December 31, 2021 and December 31, 2020 and the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the years ended December 31, 2021 and December 31, 2020 (in thousands). December 31, 2021 December 31, 2020 Assets Liabilities Equity Net Income/(Loss) Assets Liabilities Equity Net Income/(Loss) Non-QM Loans $ 45,837 $ (30,471) $ 15,366 $ 12,594 $ 153,200 $ (111,135) $ 42,065 $ (26,511) Land Related Financing 16,891 — 16,891 2,455 22,824 — 22,824 2,620 Re/Non-Performing Loans (1) 9,298 (5,538) 3,760 13,191 41,523 (5,588) 35,935 2,483 Other — — — (32) 417 — 417 (3,481) Residential investments - Fair value / Net income /(loss) $ 72,026 $ (36,009) $ 36,017 $ 28,208 $ 217,964 $ (116,723) $ 101,241 $ (24,889) AG Arc - Fair value / Net income/(loss) (2) 53,435 — 53,435 3,681 45,341 — 45,341 23,260 Cash and Other assets/(liabilities) 3,698 (1,127) 2,571 — 5,279 (1,194) 4,085 — Investments in debt and equity of affiliates / Equity in earnings/(loss) from affiliates $ 129,159 $ (37,136) $ 92,023 $ 31,889 $ 268,584 $ (117,917) $ 150,667 $ (1,629) (1) Certain loans held in securitized form are presented net of non-recourse securitized debt. (2) The earnings/(loss) at AG Arc during the year ended December 31, 2021 were primarily the result of $5.4 million of net income related to Arc Home's lending and servicing operations, offset by $(2.3) million related to changes in the fair value of the MSR portfolio held by Arc Home. Earnings/(loss) recognized by AG Arc do not include the Company's portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to the Co mpany. For the year ended December 31, 2021, the Company eliminated $5.3 million 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. MATT Restructured Financing Arrangement 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. Subsequent to year end, this agreement was amended and the capital commitment to MATT was reduced to $35.0 million. Refer to Note 12 for additional information. Transactions with affiliates Transactions with Red Creek Asset Management LLC In connection with the Company’s investments in residential mortgage loans, the Company engages asset managers to provide advisory, consultation, asset management and other services. The Company engaged Red Creek Asset Management LLC ("Asset Manager"), a related party of the Manager and direct subsidiary of Angelo Gordon, as the asset manager for certain of its residential mortgage 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. The fees paid by the Company to the Asset Manager totaled $2.2 million and $2.7 million for the years ended December 31, 2021 and 2020, respectively. Transactions with Arc Home Arc Home may sell loans to the Company, to third-parties, or to affiliates of the Manager. Arc Home may also enter into agreements with third-parties or affiliates of the Manager to sell rights to receive the excess servicing spread related to MSRs that it either purchases from third-parties or originates. The Company, directly or through its subsidiaries, previously entered into agreements with Arc Home to purchase rights to receive the excess servicing spread related to certain of Arc Home's MSRs. As of December 31, 2021, the Company did not hold any of these Excess MSRs. These Excess MSRs had a fair value of approximately $3.5 million as of December 31, 2020. During 2021, Arc Home began selling loans to the Company. Arc Home sold Non-QM Loans and GSE Non-Owner Occupied Loans with an unpaid principal balance of $613.7 million and $198.9 million to the Company, respectively, during the year ended December 31, 2021. 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 $613.3 million and $57.4 million to this affiliate of the Manager during the years ended December 31, 2021 and 2020, respectively. 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 July 2021, the Company, alongside private funds under the management of Angelo Gordon, sold its remaining Agency Excess MSRs to Arc Home for total proceeds of $9.9 million. The portfolio had a total unpaid principal balance of $2.0 billion. The Company's share of the total proceeds was $2.7 million, representing its approximate 45% ownership interest. Arc Home subsequently sold its MSR portfolio to a third party. Securitization Transactions 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 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 May 2021, 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 $171.4 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 $25.7 million as of June 30, 2021. In November 2021, the Company, alongside a private fund under the management of Angelo Gordon, participated in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $225.9 million were securitized. Upon evaluating its investment in the VIE, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trust. In addition, the Company determined the sale of the residential mortgage loans into the securitization qualified for sale accounting and derecognized the loans from its consolidated balance sheets. Certain senior tranches in the securitization were sold to third-parties with the Company and the private fund under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $44.0 million as of December 31, 2021. The Company has a 40.9% interest in the retained subordinate tranches which represents its continuing involvement in the securitization trust. These retained subordinate tranches are included within the "Real estate securities, at fair value" line item on its consolidated balance sheets. Transactions under the Company's Affiliated Transaction Policy 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. As of the date of the transaction, these real estate securities had a total fair value of $1.9 million. The purchase occurred by the affiliate submitting an offer to purchase the securities to the Company in a competitive bidding process. This allowed the Company to confirm third-party market pricing and best execution. 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. As of the date of the transaction, these real estate securities and Excess MSRs 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. As of the date of the transaction, these real estate securities had a total fair value of $6.9 million. The purchase occurred by the affiliate submitting an offer to purchase the securities to 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. As of the date of the transaction, the CMBS sold to the buyer 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. In July 2021, in accordance with the Company’s Affiliated Transactions Policy, the Company sold certain real estate securities to affiliates of the Manager. As of the date of the transaction, these real estate securities had a total fair value of $17.6 million. The purchase occurred by the affiliate submitting an offer to purchase the securities to the Company in a competitive bidding process. This allowed the Company to confirm third-party market pricing and best execution. In October 2021, in accordance with the Company's Affiliated Transactions Policy, the Company purchased through one of its unconsolidated affiliated entities certain real estate securities from affiliates of the Manager. As of the date of the transaction, these real estate securities had a total fair value of $3.5 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. In November 2021, MATT exercised its call rights on two securitization trusts in which it held interests in the subordinate tranches. Upon exercising its call rights and acquiring the remaining residential mortgage loans within the trusts, MATT sold the loans to the Company and a private fund under the management of Angelo Gordon in accordance with the Company’s Affiliated Transactions Policy. As of the date of the transaction, the residential mortgage loans sold to the Company and the private fund had a total fair value of $181.8 million and $183.6 million, respectively. 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 | 12 Months Ended |
Dec. 31, 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 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 year ended December 31, 2020. The following table presents information related to the Company's purchases of its common stock during the year ended December 31, 2021: Period (1) Total Number of Shares Purchased Weighted Average Price Paid per Share (2) Total Number of Shares Purchased as Part of Publicly Announced Program (3) Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (4) August 1, 2021 to August 31, 2021 150,870 $ 10.72 398,006 $ 12,980,553 September 1, 2021 to September 30, 2021 107,885 11.39 505,891 11,751,409 October 1, 2021 to October 31, 2021 61,104 11.59 566,995 11,043,506 Total 319,859 $ 11.11 566,995 $ 11,043,506 (1) Based on trade date. The Repurchase Program was announced on November 4, 2015 and does not have an expiration date. (2) Includes brokerage commissions and clearing fees. (3) Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. (4) The maximum dollar amount authorized was $25.0 million. 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, Series B Preferred Stock, and Series C Preferred Stock having an aggregate value of up to $20.0 million. No shares were repurchased under the Preferred Repurchase Program during the year ended December 31, 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 year ended December 31, 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 year ended December 31, 2020, the Company sold 0.7 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $7.1 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. Common stock offering On November 22, 2021, the Company completed a public offering of 7.0 million shares of its common stock and subsequently issued an additional 1.1 million shares pursuant to the underwriters' exercise of their over-allotment option at a price of $9.98 per share. Net proceeds to the Company from the offering were approximately $80.0 million, after deducting estimated offering expenses. Preferred stock The Company is authorized to designate and issue up to 50.0 million shares of preferred stock, par value $0.01 per share, in one or more classes or series. As of December 31, 2021, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding. As of December 31, 2020, there were 1.8 million, 4.2 million, and 3.9 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding. The following table includes a summary of preferred stock issued and outstanding as of December 31, 2021 ($ 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. 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. The below details privately negotiated exchange agreements with existing holders of the Company's preferred shares exchanged for common shares and, in certain cases, cash consideration during the 2020 and 2021. Subsequent to each transaction closed, the Preferred Stock exchanged pursuant to the exchange agreement was reclassified as authorized but unissued shares of preferred stock without designation as to class or series ($ in thousands). Preferred Shares Exchanged Date Shares of Series A Preferred Stock Shares of Series B Preferred Stock Shares of Series C Preferred Stock Total Preferred Stock Par Value Common Shares Exchanged Cash Consideration September 30, 2020 210,662 404,187 427,467 $ 26,058 1,226,544 $ 6,337 October 2, 2020 — — 260,000 6,500 300,000 1,670 March 17, 2021 153,325 350,609 — 12,598 937,462 — June 14, 2021 — 86,478 154,383 6,022 429,802 — Common stock issuance to the Manager |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 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 December 31, 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, the Company resolved and settled all deficiency claims with lenders. The below table details the Company's outstanding commitments as of December 31, 2021 (in thousands): Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment GSE Non-Owner Occupied Loans (a) Various $ 63,947 $ 38,087 $ 25,860 LOTS (b) Various 21,390 16,891 4,499 MATH (b)(c) January 29, 2021 22,295 — 22,295 Total $ 107,632 $ 54,978 $ 52,654 (a) The Company entered into commitments to purchase certain pools of GSE Non-Owner Occupied Loans which have not yet settled as of December 31, 2021. (b) Refer to Note 10 "Investments in debt and equity of affiliates" for more information regarding LOTS and MATH. |
Investments in unconsolidated e
Investments in unconsolidated equity method affiliates | 12 Months Ended |
Dec. 31, 2021 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Investments in unconsolidated equity method affiliates | Investments in unconsolidated equity method affiliates The following table details the summarized balance sheets for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method as of December 31, 2021 and 2020 (in thousands): December 31, 2021 December 31, 2020 Arc Home (1) Non-QM Loans (2) Land Related Financing (3) Other Total Assets Loans and real estate securities, at fair value $ 382,378 $ 102,798 $ 34,356 $ 39,865 $ 559,397 $ 931,643 Mortgage servicing rights, at fair value 67,859 — — — 67,859 57,414 Cash and cash equivalents 26,095 5,056 64 3,579 34,794 53,713 Restricted cash 800 — — 1,170 1,970 260 Other assets (4) 66,116 1,729 426 8,405 76,676 93,637 Total Assets $ 543,248 $ 109,583 $ 34,846 $ 53,019 $ 740,696 $ 1,136,667 Liabilities Financing arrangements $ 355,565 $ 68,337 $ — $ 24,440 $ 448,342 $ 575,020 Securitized debt, at fair value — — — — — 96,579 Other liabilities (4) 71,190 1,450 74 5,531 78,245 90,060 Total Liabilities 426,755 69,787 74 29,971 526,587 761,659 Total Members' Equity Members' equity 116,493 39,796 34,772 23,048 214,109 372,946 Noncontrolling preferred interests — — — — — 2,062 Total Member's equity 116,493 39,796 34,772 23,048 214,109 375,008 Total Liabilities & Members' Equity $ 543,248 $ 109,583 $ 34,846 $ 53,019 $ 740,696 $ 1,136,667 The Company's Investments in debt and equity of affiliates $ 53,435 $ 17,708 $ 16,448 $ 4,432 $ 92,023 $ 150,667 (1) The Company has an approximate 44.6% interest in Arc Home. (2) The Company has an approximate 44.6% interest in MATH. (3) The Company has an approximate 47.5% and 50% interest in LOT SP I LLC and LOT SP II LLC, respectively. (4) Arc Home, as an issuer, has the unilateral right to repurchase Ginnie Mae pool loans it has previously sold or loans in pools it acquired in an MSR purchase (generally loans that are more than 90 days past due). When Arc Home determines there is more than a trivial benefit to repurchase the loans, it records the loans on its consolidated balance sheets as an asset and a corresponding liability. As of December 31, 2021 and December 31, 2020, Other assets and Other liabilities included loans eligible to be repurchased in the amount of $49.8 million and $58.7 million, respectively The following table details the summarized statements of operations for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method as of December 31, 2021 and 2020 (in thousands): Year Ended December 31, 2021 December 31, 2020 Arc Home (1) Non-QM Loans (2) Land Related Financing (3) Other Total Net Interest Income Interest income $ 9,715 $ 14,562 $ 5,826 $ 46,406 $ 76,509 $ 73,167 Interest expense 10,671 4,437 — 2,904 18,012 49,190 Total Net Interest Income (956) 10,125 5,826 43,502 58,497 23,977 Other Income/(Loss) Net realized gain/(loss) 67,849 (34,054) — 10,255 44,050 95,268 Net unrealized gain/(loss) 1,808 54,474 — (15,144) 41,138 (151,514) Other income/(loss), net 26,598 — 98 1,487 28,183 52,166 Total Other Income 96,255 20,420 98 (3,402) 113,371 (4,080) Expenses 73,115 2,320 815 9,353 85,603 79,416 Net Income/(Loss) 22,184 28,225 5,109 30,747 86,265 (59,519) Net Income/(Loss) Attributable to Noncontrolling Preferred Interests 610 — — — 610 248 Net Income/(Loss) Attributable to Controlling Interest of Unconsolidated Equity Method Investments $ 22,794 $ 28,225 $ 5,109 $ 30,747 $ 86,875 $ (59,271) The Company's Equity in earnings/(loss) from affiliates $ 3,681 $ 12,594 $ 2,455 $ 13,159 $ 31,889 $ (1,629) (1) The Company has an approximate 44.6% interest in Arc Home. (2) The Company has an approximate 44.6% interest in MATH. (3) The Company has an approximate 47.5% and 50% interest in LOT SP I LLC and LOT SP II LLC, respectively. Refer to Note 2 and Note 10 for more detail on the Company’s investments in unconsolidated equity method affiliates. |
Quarterly financial information
Quarterly financial information (Unaudited) | 12 Months Ended |
Dec. 31, 2021 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly financial information (Unaudited) | Quarterly financial information (Unaudited) Summarized quarterly results of operations were as follows (in thousands, except for per share data): Three Months Ended March 31, June 30, September 30, December 31, 2021 2021 2021 2021 Statement of Operations Data: Net Interest Income Interest income $ 12,119 $ 14,228 $ 19,629 $ 24,686 Interest expense 4,061 5,294 7,197 10,698 Total Net Interest Income 8,058 8,934 12,432 13,988 Other Income/(Loss) Net interest component of interest rate swaps (741) (1,573) (1,184) (1,364) Net realized gain/(loss) (4,038) 4,374 (5,460) 6,822 Net unrealized gain/(loss) 19,849 9,685 29,461 3,704 Other income/(loss), net 37 — — — Total Other Income/(Loss) 15,107 12,486 22,817 9,162 Expenses Management fee to affiliate 1,654 1,667 1,693 1,800 Other operating expenses 4,150 2,981 2,997 3,229 Transaction related expenses (167) 1,885 2,013 3,597 Servicing fees 615 672 849 1,052 Total Expenses 6,252 7,205 7,552 9,678 Income/(loss) before equity in earnings/(loss) from affiliates 16,913 14,215 27,697 13,472 Equity in earnings/(loss) from affiliates 26,336 1,278 6,882 (2,607) Net Income/(Loss) 43,249 15,493 34,579 10,865 Gain on Exchange Offers, net (Note 11) 358 114 — — Dividends on preferred stock (4,924) (4,689) (4,586) (4,586) Net Income/(Loss) Available to Common Stockholders $ 38,683 $ 10,918 $ 29,993 $ 6,279 Earnings/(Loss) Per Share - Basic (1) Total Earnings/(Loss) Per Share of Common Stock $ 2.74 $ 0.70 $ 1.87 $ 0.33 Earnings/(Loss) Per Share - Diluted (1) Total Earnings/(Loss) Per Share of Common Stock $ 2.74 $ 0.70 $ 1.87 $ 0.33 (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. Three Months Ended March 31, June 30, September 30, December 31, 2020 2020 2020 2020 Statement of Operations Data: Net Interest Income Interest income $ 40,268 $ 13,369 $ 9,717 $ 11,171 Interest expense 19,971 8,613 4,357 4,004 Total Net Interest Income 20,297 4,756 5,360 7,167 Other Income/(Loss) Net interest component of interest rate swaps 923 — (13) (179) Net realized gain/(loss) (151,143) (91,609) (14,431) 661 Net unrealized gain/(loss) (308,211) 100,179 21,465 16,754 Other income/(loss), net 1,652 (155) (10) 47 Total Other Income/(Loss) (456,779) 8,415 7,011 17,283 Expenses Management fee to affiliate 2,149 1,678 1,698 1,656 Other operating expenses 4,149 4,184 4,340 3,238 Transaction related expenses (3,219) 373 1,589 22 Restructuring related expenses 1,500 7,104 1,345 251 Excise tax (815) — — — Servicing fees 579 566 540 539 Total Expenses 4,343 13,905 9,512 5,706 Income/(loss) before equity in earnings/(loss) from affiliates (440,825) (734) 2,859 18,744 Equity in earnings/(loss) from affiliates (44,192) 3,434 17,187 21,942 Net Income/(Loss) from Continuing Operations (485,017) 2,700 20,046 40,686 Net Income/(Loss) from Discontinued Operations — 361 — 305 Net Income/(loss) (485,017) 3,061 20,046 40,991 Gain on Exchange Offers, net (Note 11) — — 539 10,035 Dividends on preferred stock (1) (5,667) (5,667) (5,563) (3,652) Net Income/(Loss) Available to Common Stockholders $ (490,684) $ (2,606) $ 15,022 $ 47,374 Earnings/(Loss) Per Share - Basic (2) Continuing Operations $ (44.98) $ (0.27) $ 1.31 $ 3.47 Discontinued Operations — 0.03 — 0.02 Total Earnings/(Loss) Per Share - Basic $ (44.98) $ (0.24) $ 1.31 $ 3.49 Earnings/(Loss) Per Share - Diluted (2) Continuing Operations $ (44.98) $ (0.27) $ 1.31 $ 3.47 Discontinued Operations — 0.03 — 0.02 Total Earnings/(Loss) Per Share - Diluted $ (44.98) $ (0.24) $ 1.31 $ 3.49 (1) The three months ended September 30, 2020 and June 30, 2020 include cumulative and undeclared dividends of $5.6 million and $5.7 million on the Company's preferred stock as of September 30, 2020 and June 30, 2020, respectively. (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. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events The Company purchased $519.0 million of non-agency mortgage loans, inclusive Non-QM Loans, GSE Non-Owner Occupied Loans, and other qualifying mortgage loans. $233.0 million of these non-agency mortgage loans were purchased from Arc Home. The Company participated in its first rated securitization of GSE Non-Owner Occupied Loans, in which loans with a fair value of $474.9 million were securitized. Additionally, the Company participated in a rated securitization in which Non-QM Loans with a fair value of $301.7 million were securitized. Both securitizations converted financing from recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls. The Company announced that on February 18, 2022 its Board of Directors declared first quarter 2022 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 March 17, 2022 to holders of record on February 28, 2022. |
Summary of significant accoun_2
Summary of significant accounting policies (Policies) | 12 Months Ended |
Dec. 31, 2021 | |
Accounting Policies [Abstract] | |
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. |
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 the provisions of Accounting Standards Codification ("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 assets and liabilities in active markets. • 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" and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. 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. Mortgage loans held-for-sale are accounted for under ASC 948-310, "Financial services—mortgage banking." Loans meeting all criteria for reclassification are presented separately on the consolidated balance sheets. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. 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 "Net unrealized gain/(loss)." 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. 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 for purposes of this determination. 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. On at least a quarterly basis, the Company evaluates the collectability of both principal and interest 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. When a loan's cost basis is impaired, the Company does not record an allowance for loan loss as it elected the fair value option on all of its loan investments. The Company accrues interest income on its loan portfolio. Loans are typically moved to non-accrual status and income recognition is suspended if the loan becomes 90 days or more delinquent. A loan is written off when it is no longer realizable and/or legally discharged. |
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" or ASC 325-40, "Beneficial Interests in Securitized Financial Assets." The Company has chosen to make a fair value election pursuant to ASC 825, "Financial Instruments" for its real estate securities 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 securities activities will be recorded in a similar manner. 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 "Net unrealized gain/(loss)." Purchases and sales of real estate securities are recorded on the trade date. 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 Non-Agency RMBS and loans is limited to recognition of effective |
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 in accordance with ASC 323, "Investments – Equity Method and Joint Ventures." 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. 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 affiliates ("AG Arc"), formed Arc Home LLC ("Arc Home"). The Company has an approximate 44.6% interest in AG Arc. Arc Home originates 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-agency loans from Arc Home. 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 resulting in unrealized gains. For the year ended December 31, 2021, the Company eliminated $5.3 million of intra-entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company. The Company did not purchase any loans from Arc Home during the year ended December 31, 2020 and, as a result, it did not eliminate any intra-entity profits during the year ended December 31, 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. The Company has an approximate 44.6% interest in MATH. 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 December 31, 2021, MATT primarily holds retained tranches from past securitizations which continue to reduce in size due to ongoing principal repayments and the Company does not expect to acquire additional investments within this equity method investment. LOTS On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by Angelo Gordon, formed LOT SP I LLC and |
Investment consolidation and transfers of financial assets | Investment consolidation In variable interest entities ("VIEs"), an entity is subject to consolidation under ASC 810-10, "Consolidation" 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. 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 may result 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 may conclude that the VIEs should be consolidated and, as a result, transferred assets of these VIEs would be 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 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. Transfers of financial assets 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, "Transfers and Servicing" 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." |
Cash and cash equivalents | Cash and cash equivalents |
Restricted cash | Restricted cashRestricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, and financing arrangements, as well as restricted cash deposited into accounts held at certain consolidated trusts. Restricted cash is not available to the Company for general corporate purposes. Restricted cash may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the derivative or financing arrangement. Restricted cash is carried at cost, which approximates fair value. |
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 loans or securities 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 December 31, 2021 and 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. |
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 rather than to enhance returns. The Company accounts for derivative financial instruments in accordance with ASC 815-10, "Derivatives and Hedging." ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. Additionally, if or when hedge accounting is elected, the fair value adjustments will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a hedge for accounting purposes and, if so, the nature of the hedging activity. As of December 31, 2021 and 2020, the Company did not have any interest rate derivatives designated as hedges. All derivatives have been recorded at fair value with corresponding changes in fair 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 "Net unrealized gain/(loss)." 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. Forward Purchase Commitments The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price. Actual loan purchases are contingent upon successful loan closings. The counterparties are required to deliver the committed loans on a mandatory basis. These commitments to purchase mortgage loans are classified as derivatives and are therefore recorded at fair value on the consolidated balance sheets, with corresponding changes in fair value recognized in the consolidated statement of operations. Derivatives with positive fair values to the Company are reported as assets and derivatives with negative fair values to the Company are reported as liabilities. |
Earnings/(Loss) per share | Earnings/(Loss) per share In accordance with 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. |
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-QM Loans, GSE Non-Owner Occupied Loans, Non-Agency RMBS, and interest-only securities. 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 loan and security 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. |
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’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. |
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. |
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 is effective as of March 12, 2020 through December 31, 2022 and may be elected over time as reference rate reform activities occur. The ASU 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. While the Company is currently assessing the |
Organization (Tables)
Organization (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Summary of Investment Groups | The Company's asset classes are primarily comprised of the following: Asset Class Description Residential Investments Non-QM Loans • 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. ◦ These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on its consolidated balance sheets. GSE Non-Owner Occupied Loans • GSE Non-Owner Occupied Loans are loans that are underwritten in accordance with U.S. government-sponsored entity ("GSE") guidelines and are secured by investment properties. ◦ These investments are included in the "Residential mortgage loans, at fair value" line item on its consolidated balance sheets. Re- and Non-Performing Loans • Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property. ◦ These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on its consolidated balance sheets. Non-Agency Residential Mortgage-Backed Securities ("RMBS") • Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. The mortgage loan collateral consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by a GSE or agency of the U.S. government. ◦ These investments are included in the "Real estate securities, at fair value" line item on its consolidated balance sheets. 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. ◦ These investments are included in the "Real estate securities, at fair value" line item on its consolidated balance sheets. |
Loans (Tables)
Loans (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2021 and December 31, 2020 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses). Unpaid Principal Balance Gross Unrealized Weighted Average December 31, 2021 Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Residential mortgage loans, at fair value Non-QM Loans $ 987,290 $ 35,647 $ 1,022,937 $ 9,336 $ (1,458) $ 1,030,815 4.75 % 3.76 % 5.01 GSE Non-Owner Occupied Loans 429,424 10,039 439,463 1,723 (349) 440,837 3.64 % 3.19 % 6.84 Re- and Non-Performing Loans 6,528 (3,536) 2,992 2,328 — 5,320 N/A 31.18 % 2.24 Total Residential mortgage loans, at fair value $ 1,423,242 $ 42,150 $ 1,465,392 $ 13,387 $ (1,807) $ 1,476,972 4.41 % 3.69 % 5.55 Securitized residential mortgage loans, at fair value (2) Non-QM Loans $ 777,828 $ 30,739 $ 808,567 $ 5,821 $ (1,005) $ 813,383 5.13 % 3.96 % 4.50 Re- and Non-Performing Loans 377,923 (44,971) 332,952 14,914 (3,115) 344,751 3.55 % 5.90 % 7.17 Total Securitized residential mortgage loans, at fair value $ 1,155,751 $ (14,232) $ 1,141,519 $ 20,735 $ (4,120) $ 1,158,134 4.61 % 4.53 % 5.37 Total as of December 31, 2021 $ 2,578,993 $ 27,918 $ 2,606,911 $ 34,122 $ (5,927) $ 2,635,106 4.50% 4.06% 5.47 Unpaid Principal Balance Gross Unrealized Weighted Average December 31, 2020 Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Residential mortgage loans, at fair value Re- and Non-Performing Loans $ 19,634 $ (12,702) $ 6,932 $ 1,905 $ — $ 8,837 1.15 % 9.72 % 3.98 Securitized residential mortgage loans, at fair value (2) Re- and Non-Performing Loans $ 481,346 $ (56,305) $ 425,041 $ 11,735 $ (10,172) $ 426,604 3.58 % 5.61 % 6.78 Total as of December 31, 2020 $ 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) Refer to the "Variable interest entities" section below for additional details. During the year ended December 31, 2021, the Company purchased Non-QM Loans and GSE Non-Owner Occupied Loans, as detailed below ($ in thousands). A portion of these loans were purchased from Arc Home. See Note 10 for more detail. Unpaid Principal Balance Fair Value Non-QM Loans $ 1,935,657 $ 2,018,491 GSE Non-Owner Occupied Loans 436,678 448,335 During the years ended December 31, 2021 and December 31, 2020, the Company sold Non-QM Loans and Re- and Non-Performing Loans, as detailed below ($ in thousands). Number of Loans Proceeds Realized Gains Realized Losses Year Ended December 31, 2021 Non-QM Loans (1) 150 $ 91,952 $ — $ (1,304) Re- and Non-Performing Loans 1 1,604 626 — Securitized Re- and Non-Performing Loans 380 46,352 7,601 (769) Year Ended December 31, 2020 Re- and Non-Performing Loans 2,412 397,902 1,928 (59,273) (1) These Non-QM Loans were sold into an unconsolidated securitization trust. Certain senior tranches in the securitization were sold to third-parties with the Company retaining the subordinate tranches, which are included within the "Real estate securities, at fair value" line item on its consolidated balance sheets. The Company participated in this securitization alongside a private fund under the management of Angelo Gordon. See Note 10 for more detail. The following table presents detail on the Company’s commercial loan portfolio as of December 31, 2020 ($ in thousands). The gross unrealized losses in the table below represents inception to date unrealized losses. Gross Unrealized Losses Weighted Average Extended Loan Current Face Premium Amortized Cost Fair Value Coupon Yield Life Location Collateral Type Commercial Loans, at fair value Loan G $ 59,451 $ — $ 59,451 $ (3,940) $ 55,511 5.27 % 5.27 % 1.54 July 9, 2022 CA Condo, Retail, Hotel Loan K 15,787 — 15,787 (1,100) 14,687 10.00 % 10.83 % 1.27 February 22, 2024 NY Hotel, Retail Loan L 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 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 |
Summary of Credit Quality Information on Residential Mortgage Loans | The following tables present information regarding credit quality of the Company's Residential mortgage loans ($ in thousands). December 31, 2021 Unpaid Principal Balance Weighted Average (1) Aging by Unpaid Principal Balance (1)(2) Loan Count (1) Original LTV Ratio Current FICO (3) Current 30-59 Days 60-89 Days 90+ Days Residential mortgage loans Non-QM Loans $ 987,290 1,886 69.39 % 737 $ 967,910 $ 9,101 $ 1,630 $ 8,649 GSE Non-Owner Occupied Loans 429,424 1,339 65.44 % 754 425,594 3,830 — — Re- and Non-Performing Loans 6,528 N/A N/A N/A N/A N/A N/A N/A Securitized residential mortgage loans Non-QM Loans 777,828 1,562 68.03 % 733 767,734 6,495 1,036 2,563 Re- and Non-Performing Loans 377,923 2,540 79.20 % 639 256,094 35,974 12,324 73,531 Total $ 2,578,993 7,327 69.76 % 723 $ 2,417,332 $ 55,400 $ 14,990 $ 84,743 (1) Loan count, weighted average, and aging data excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions. (2) As of December 31, 2021, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $47.4 million and $29.0 million, respectively. (3) Weighted average current FICO excludes borrowers where FICO scores were not available. December 31, 2020 Unpaid Principal Balance Weighted Average (1) Aging by Unpaid Principal Balance (1)(2) Loan Count (1) Original LTV Ratio Current FICO (3) Current 30-59 Days 60-89 Days 90+ Days Re- and Non-Performing Loans $ 19,634 1 62.24 % 583 $ 142 $ — $ — $ — Securitized Re- and Non-Performing Loans 481,346 3,272 78.90 % 627 285,878 44,288 25,255 125,925 Total Residential loans $ 500,980 3,273 78.90 % 627 286,020 44,288 25,255 125,925 (1) Loan count, weighted average, and aging data excludes certain positions within the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions. (2) As of December 31, 2020, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $70.2 million and $37.1 million, respectively. (3) Weighted average current FICO excludes borrowers where FICO scores were not available. |
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 as of December 31, 2021 and 2020 and includes states where the exposure is greater than 5% of the fair value the Company's residential mortgage loan portfolio: Geographic Concentration of Credit Risk (1) December 31, 2021 December 31, 2020 California 35 % 17 % New York 15 % 10 % Florida 11 % 11 % New Jersey 6 % 6 % (1) 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. There may be limited data available regarding the underlying collateral of such securitizations. |
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 securitized re-performing and non-performing loan portfolios for the years ended December 31, 2021 and 2020, which is determined by the Company’s estimate of undiscounted principal expected to be collected in excess of the amortized cost of the mortgage loan (in thousands). Year Ended December 31, 2021 December 31, 2020 Beginning Balance $ 56,907 $ 41,472 Additions — 28,110 Accretion (5,106) (5,546) Reclassifications from/(to) non-accretable difference 1,044 7,659 Disposals (6,324) (14,788) Ending Balance $ 46,521 $ 56,907 |
Schedule of Variable Interest Entities | The following table details certain information related to the assets and liabilities of the Residential Mortgage Loan VIEs as of December 31, 2021 and 2020 ($ in thousands): December 31, 2021 December 31, 2020 Carrying Value Weighted Average Carrying Value Weighted Average Yield Life (Years) (1) Yield Life (Years) (1) Assets Non-QM Loan VIEs $ 813,383 3.96 % 4.50 $ — — % — RPL/NPL VIEs 344,751 5.90 % 7.17 426,604 5.61 % 6.78 Securitized residential mortgage loans, at fair value $ 1,158,134 $ 426,604 Restricted cash 1,467 2,110 Other assets 6,457 3,705 Total Assets $ 1,166,058 $ 432,419 Liabilities Non-QM Loan VIEs - Securitized debt $ 746,970 1.63 % 2.36 $ — — % — RPL/NPL VIEs - Securitized debt 252,245 3.06 % 3.75 355,159 3.00 % 3.85 Securitized debt, at fair value (2) $ 999,215 $ 355,159 Financing arrangements (3) 71,308 25,590 Other liabilities 1,543 519 Total Liabilities $ 1,072,066 $ 381,268 Total Equity $ 93,992 $ 51,151 (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) 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 Mortgage Loan VIEs. |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2021 and 2020 ($ in thousands). The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses). December 31, 2021 Gross Unrealized Weighted Average Current Face Premium / Amortized Gains Losses Fair Value Coupon (1) Yield Agency RMBS: 30 Year Fixed Rate $ 490,435 $ 11,927 $ 502,362 $ — $ (6,649) $ 495,713 2.18 % 1.78 % Credit - Residential Investments: Non-QM Securities 14,894 (236) 14,658 — (58) 14,600 4.36 % 4.74 % Non-Agency RMBS Interest Only (2) 160,154 (156,647) 3,507 — (112) 3,395 0.38 % 10.12 % Re/Non-Performing Securities 696 (24) 672 90 — 762 5.25 % 29.69 % Total Credit - Residential Investments: 175,744 (156,907) 18,837 90 (170) 18,757 1.02 % 6.73 % Total $ 666,179 $ (144,980) $ 521,199 $ 90 $ (6,819) $ 514,470 1.99 % 1.96 % (1) Equity residual investments with a zero coupon rate are excluded from this calculation. (2) Comprised of Non-QM interest-only bonds. December 31, 2020 Gross Unrealized Weighted Average Current Face Premium / Amortized Gains Losses Fair Value Coupon (1) Yield Agency RMBS: 30 Year Fixed Rate $ 494,307 $ 22,368 $ 516,675 $ 1,794 $ (117) $ 518,352 2.10 % 1.17 % Credit Investments: Residential Investments Prime 15,093 (7,081) 8,012 663 (10) 8,665 3.68 % 8.97 % Alt-A/Subprime 16,287 (9,377) 6,910 4,586 — 11,496 4.25 % 12.52 % Credit Risk Transfer 13,880 — 13,880 15 (587) 13,308 4.71 % 4.70 % Non-U.S. RMBS 2,435 706 3,141 51 (92) 3,100 6.45 % 6.41 % Non-Agency RMBS Interest Only (2) 157,590 (157,513) 77 207 (48) 236 0.53 % NM Re/Non-Performing Securities 1,690 (238) 1,452 149 — 1,601 5.25 % 14.05 % Total Residential Investments: 206,975 (173,503) 33,472 5,671 (737) 38,406 2.01 % 8.50 % Commercial Investments Conduit 4,925 (1,024) 3,901 — (606) 3,295 4.62 % 11.89 % Single-Asset/Single-Borrower 50,480 (1,494) 48,986 668 (9,464) 40,190 4.15 % 4.81 % Freddie Mac K-Series CMBS 22,572 (12,062) 10,510 47 (1,557) 9,000 3.83 % 9.00 % CMBS Interest Only (3) 687,077 (682,961) 4,116 256 (69) 4,303 0.10 % 6.93 % Total Commercial Investments: 765,054 (697,541) 67,513 971 (11,696) 56,788 0.44 % 6.04 % Total Credit Investments: 972,029 (871,044) 100,985 6,642 (12,433) 95,194 0.65 % 7.04 % Total $ 1,466,336 $ (848,676) $ 617,660 $ 8,436 $ (12,550) $ 613,546 1.18 % 2.08 % (1) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. (2) Non-Agency RMBS Interest Only includes only two investments. The overall impact of the investments' yields on the Company's portfolio is not meaningful. (3) Comprised of Freddie Mac K-Series interest-only bonds. |
Schedule of Weighted Average Life of Real Estate Securities | The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of December 31, 2021 and 2020 ($ in thousands): December 31, 2021 Agency RMBS Credit - Residential Investments Weighted Average Life (1) Fair Value Amortized Weighted Fair Value Amortized Weighted Less than or equal to one year $ — $ — — % $ 543 $ 511 5.25 % Greater than one year and less than or equal to five years — — — % 18,214 18,326 1.00 % Greater than five years and less than or equal to ten years 474,104 480,204 2.19 % — — — % Greater than ten years 21,609 22,158 2.00 % — — — % Total $ 495,713 $ 502,362 2.18 % $ 18,757 $ 18,837 1.02 % December 31, 2020 Agency RMBS Credit Investments Weighted Average Life (1) Fair Value Amortized Cost Weighted Fair Value Amortized Cost Weighted Less than or equal to one 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) | 12 Months Ended |
Dec. 31, 2021 | |
Fair Value Disclosures [Abstract] | |
Schedule of Financial Instruments Measured at Fair Value | The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2021 and 2020 (in thousands): Fair Value at December 31, 2021 Level 1 Level 2 Level 3 Total Assets: Residential mortgage loans $ — $ 915 $ 1,476,057 $ 1,476,972 Securitized residential mortgage loans — — 1,158,134 1,158,134 30 Year Fixed Rate Agency RMBS — 495,713 — 495,713 Non-Agency RMBS (1) — — 15,362 15,362 Non-Agency RMBS Interest Only — — 3,395 3,395 Derivative assets (2) — 19,781 — 19,781 AG Arc (3) — — 53,435 53,435 Total Assets Measured at Fair Value $ — $ 516,409 $ 2,706,383 $ 3,222,792 Liabilities: Securitized debt $ — $ — $ (999,215) $ (999,215) Derivative liabilities (2) — (897) (79) (976) Total Liabilities Measured at Fair Value $ — $ (897) $ (999,294) $ (1,000,191) (1) Non-Agency RMBS is comprised of Non-QM and Re/Non-Performing Securities. (2) As of December 31, 2021, the Company applied a reduction in fair value of $19.6 million and $0.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively. Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively. Refer to Note 2 and Note 7 for more information on the Company's accounting policies with regard to derivatives. (3) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents, if applicable, and AG Arc. The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825. Fair Value at December 31, 2020 Level 1 Level 2 Level 3 Total Assets: Residential mortgage loans $ — $ 2,134 $ 6,703 $ 8,837 Securitized residential mortgage loans — — 426,604 426,604 30 Year Fixed Rate Agency RMBS — 518,352 — 518,352 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) — — 3,158 3,158 Derivative assets (4) — 1,356 — 1,356 AG Arc (5) — — 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 (4) — (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) Excess mortgage servicing rights are included in the "Other assets" line item on the consolidated balance sheets. (4) 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. Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively. Refer to Note 2 and Note 7 for more information on the Company's accounting policies with regard to derivatives. (5) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents, if applicable, and AG Arc. The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825. |
Schedule of Assets and Liabilities Measured on a Recurring Basis | The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: Year Ended December 31, 2021 (in thousands) Residential Non-Agency Non-Agency Commercial Excess AG Arc Securitized Derivative Liabilities Beginning balance $ 433,307 $ 3,100 $ — $ 125,508 $ 3,158 $ 45,341 $ (355,159) $ — Transfers (1): Transfers out of level 3 — (1,499) — — — — — — Purchases/Reclassifications 2,463,685 14,657 3,778 5,100 — — — — Issuances of Securitized Debt — — — — — — (811,455) — Capital distributions — — — — — (893) — — Proceeds from sales/redemptions (138,304) — — (74,342) (2,364) — — — Proceeds from settlement (147,710) (899) — (70,232) — — 163,922 — Total net gains/(losses) (2) Included in net income 23,213 3 (383) 13,966 (794) 8,987 3,477 (79) Ending Balance $ 2,634,191 $ 15,362 $ 3,395 $ — $ — $ 53,435 $ (999,215) $ (79) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2021 (3) $ 18,437 $ 3 $ (383) $ — $ — $ 8,987 $ 3,477 $ (79) (1) Transfers are assumed to occur at the beginning of the period. For the year ended December 31, 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: Net unrealized gain/(loss) $ 38,606 Net realized gain/(loss) 797 Equity in earnings/(loss) from affiliates 8,987 Total $ 48,390 (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Net unrealized gain/(loss) $ 21,455 Equity in earnings/(loss) from affiliates 8,987 Total $ 30,442 Year Ended December 31, 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) (22,055) — — — 7,230 Purchases/Reclassifications 536,710 1,559 — 3,540 — 33,254 20 — — Issuances of Securitized Debt — — — — — — — — (166,487) Capital distributions — — — — — — — (6,466) — Proceeds from sales/redemptions (393,876) (362,199) — (148,111) (21,995) (36,924) (8,460) — — Proceeds from settlement (63,882) (12,636) — (9,367) — (6,369) — — 29,312 Total net gains/(losses) (2) Included in net income (63,430) (43,030) — (41,812) (3,942) (23,139) (6,177) 23,261 (866) Ending Balance $ 433,307 $ 3,100 $ — $ — $ — $ 125,508 $ 3,158 $ 45,341 $ (355,159) Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2020 (3) $ (6,593) $ (106) $ — $ — $ — $ (16,669) $ (2,564) $ 23,261 $ (866) (1) Transfers are assumed to occur at the beginning of the period. For the year ended December 31, 2020, the Company transferred 50 Non-Agency RMBS securities, two Non-Agency 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. For the year ended December 31, 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. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Net unrealized gain/(loss) $ (63,066) Net realized gain/(loss) (119,330) Equity in earnings/(loss) from affiliates 23,261 Total $ (159,135) (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Net unrealized gain/(loss) $ (26,798) Equity in earnings/(loss) from affiliates 23,261 Total $ (3,537) |
Schedule of Valuation Techniques | The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value. Asset Class Fair Value at December 31, 2021 (in thousands) Valuation Technique Unobservable Input Range Yield 2.77% - 7.50% (3.37%) Residential Mortgage Loans $ 1,465,523 Discounted Cash Flow Projected Collateral Prepayments —% - 25.89% (15.28%) Projected Collateral Losses —% - 15.37% (0.30%) Projected Collateral Severities -14.86% - 10.00% (9.97%) $ 4,405 Consensus Pricing Broker Quotes 88.57 - 112.89 (102.59) $ 6,129 Recent Transaction Cost N/A Yield 2.26% - 13.00% (3.12%) Securitized Residential Mortgage Loans $ 1,158,134 Discounted Cash Flows Projected Collateral Prepayments 4.75% - 11.05% (9.51%) Projected Collateral Losses 0.38% - 4.40% (0.83%) Projected Collateral Severities -18.08% - 29.11% (10.10%) Yield 3.42% - 15.00% (5.32%) Non-Agency RMBS $ 15,362 Discounted Cash Flow Projected Collateral Prepayments 5.70% - 12.99% (12.63%) Projected Collateral Losses 0.23% - 2.66% (0.35%) Projected Collateral Severities -43.98% - 10.00% (7.32%) Yield 10.00% - 12.50% (12.10%) Non-Agency RMBS Interest Only $ 3,395 Discounted Cash Flow Projected Collateral Prepayments 12.99% - 12.99% (12.99%) Projected Collateral Losses 0.23% - 0.23% (0.23%) Projected Collateral Severities 10.00% - 10.00% (10.00%) AG Arc $ 53,435 Comparable Multiple Book Value Multiple 1.06x - 1.06x (1.06x) Liability Class Fair Value at December 31, 2021 (in thousands) Valuation Technique Unobservable Input Range Yield 1.56% - 4.49% (2.15%) Securitized debt $ (999,215) Discounted Cash Flow Projected Collateral Prepayments 5.86% - 11.05% (9.66%) Projected Collateral Losses 0.38% - 2.93% (0.83%) Projected Collateral Severities 6.36% - 12.89% (10.15%) Yield 3.02% - 3.11% (3.03%) Derivative Liabilities $ (79) Discounted Cash Flow Projected Collateral Prepayments 14.08% - 15.14% (14.23%) Projected Collateral Losses 0.15% - 0.20% (0.15%) Projected Collateral Severities 10.00% - 10.00% (10.00%) Pull Through Percentages 90.00% - 95.00% (90.69%) (1) Amounts are weighted based on fair value. Asset Class Fair Value at December 31, 2020 (in thousands) Valuation Technique Unobservable Input Range Yield 10.00% - 10.00% (10.00%) Residential Mortgage Loans $ 105 Discounted Cash Flow Projected Collateral Prepayments 4.30% - 4.30% (4.30%) Projected Collateral Losses 2.98% - 2.98% (2.98%) Projected Collateral Severities 3.74% - 3.74% (3.74%) $ 6,598 Consensus Pricing Broker Quotes 82.03 - 106.29 (99.96) Securitized Residential Mortgage Loans Yield 4.50% - 10.00% (5.01%) $ 426,604 Discounted Cash Flow Projected Collateral Prepayments 4.30% - 9.31% (7.29%) Projected Collateral Losses 1.66% - 5.75% (2.58%) Projected Collateral Severities -9.29% - 49.43% (15.68%) 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 Broker 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 Broker 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) | 12 Months Ended |
Dec. 31, 2021 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Financing Arrangements | The following table presents a summary of the Company's financing arrangements as of December 31, 2021 and 2020 ($ in thousands). December 31, 2021 December 31, 2020 Weighted Average Collateral (1)(2) Carrying Value Stated Maturity Funding Cost Life (Years) Amortized Cost Basis Fair Value Carrying Value Repurchase Agreements Residential Mortgage Loans (3)(4)(5) $ 1,286,287 Jan 2022 - Dec 2022 2.25 % 0.40 $ 1,459,876 $ 1,469,358 $ — Securitized Residential Mortgage Loans (6) 71,308 Jan 2022 - Mar 2022 1.90 % 0.14 102,292 119,947 25,590 Agency RMBS 409,935 Jan 2022 - Feb 2022 0.15 % 0.13 432,652 426,486 435,893 Non-Agency RMBS 10,213 Feb 2022 1.85 % 0.12 18,165 17,995 14,550 CMBS — N/A — % — — — 24,881 Total Repurchase Agreements $ 1,777,743 1.75 % 0.33 $ 2,012,985 $ 2,033,786 $ 500,914 Revolving Facilities Commercial Loans $ — N/A — % — $ — $ — $ 63,133 Total Financing Arrangements $ 1,777,743 1.75 % 0.33 $ 2,012,985 $ 2,033,786 $ 564,047 (1) The Company also had $5.0 million of cash pledged under repurchase agreements as of December 31, 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) The Company's Residential Mortgage Loan financing arrangements include a maximum uncommitted borrowing capacity of $1.3 billion on facilities used to finance Non-QM Loans and $1.0 billion on facilities used to finance GSE Non-Owner Occupied Loans or other qualified mortgage loans. (4) Subsequent to year end, the Residential Mortgage Loan repurchase agreement maturing in January 2022 was extended through January 2023. (5) The funding cost includes deferred financing costs. The weighted average stated rate on the Residential Mortgage Loans repurchase agreements was 2.18% as of December 31, 2021. (6) Amounts pledged as collateral under Securitized Residential Mortgage Loans include certain of the Company's retained interests in securitizations. Refer to Note 3 for more information on the Residential Mortgage Loan VIEs. |
Schedule of Total Borrowings Under Repurchase Agreements | The following table presents contractual maturity information about the Company's borrowings under repurchase agreements as of December 31, 2021 (in thousands). Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Total Repurchase Agreements Residential Mortgage Loans (1) $ 345,012 $ — $ 941,275 $ 1,286,287 Securitized Residential Mortgage Loans 17,957 53,351 — 71,308 Agency RMBS 51,238 358,697 — 409,935 Non-Agency RMBS — 10,213 — 10,213 Total Repurchase Agreements $ 414,207 $ 422,261 $ 941,275 $ 1,777,743 (1) Subsequent to year end, the Residential Mortgage Loan repurchase agreement maturing within 30 days of December 31, 2021 was extended through January 2023. |
Schedule of Repurchase Agreement Counterparty | The following tables present information as of December 31, 2021 and 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). December 31, 2021 December 31, 2020 Counterparty Stockholders' Equity Weighted Average Percentage of Stockholders' Equity Weighted Average Percentage of Credit Suisse AG, Cayman Islands Branch $ 129,526 101 22.7 % $ 26,305 35 6.4 % Barclays Capital Inc. 89,230 23 15.6 % 24,890 15 6.1 % BofA Securities, Inc. 33,153 317 5.8 % 28,091 19 6.9 % |
Other assets and liabilities (T
Other assets and liabilities (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2021 and 2020 (in thousands): December 31, 2021 December 31, 2020 Other assets Interest receivable $ 14,263 $ 2,962 Derivative assets, at fair value 231 — Due from broker 1,887 907 Excess mortgage servicing rights, at fair value — 3,158 Other assets 4,519 5,538 Total Other assets $ 20,900 $ 12,565 Other liabilities Due to affiliates (1) $ 4,106 $ 14,041 Interest payable 2,925 853 Derivative liabilities, at fair value 92 68 Purchase Price Payable on GSE Non-Owner Occupied Loans (2) 87 — Due to broker 990 1,272 Accrued expenses 2,169 2,521 Total Other liabilities $ 10,369 $ 18,755 (1) Refer to Note 10 for more information. (2) Represents the portion of the purchase price on GSE Non-Owner Occupied Loans that has not yet settled as of December 31, 2021. |
Schedule of Company's Derivative and Other Instruments and their Balance Sheet Location | The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location at December 31, 2021 and 2020 (in thousands). Derivatives and Other Instruments (1) Balance Sheet Location December 31, 2021 December 31, 2020 Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other assets $ 231 $ — Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other liabilities — (68) Short TBAs Other liabilities (13) — Forward Purchase Commitments Other liabilities (79) — (1) As of December 31, 2021 and 2020, all derivatives held by the Company are not designated as hedges. (2) As of December 31, 2021, the Company applied a reduction in fair value of $19.6 million and $0.9 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 December 31, 2021 December 31, 2020 Pay Fix/Receive Float Interest Rate Swap Agreements (1) USD $ 888,500 $ 417,000 Short TBAs USD 385,963 — Forward Purchase Commitments USD 25,292 — Short positions on British Pound Futures (2) GBP — 3,313 (1) As of December 31, 2021, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 0.85%, a weighted average receive-variable rate of 0.15%, and a weighted average years to maturity of 5.51 years. As of December 31, 2020, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 0.49%, a weighted average receive-variable rate of 0.23%, and a weighted average years to maturity of 5.99 years. (2) Each British Pound Future contract embodies £62,500 of notional value. |
Schedule of Gains/(Losses) Related to Derivatives and Other Instruments | The following table summarizes gains/(losses) related to derivatives and other instruments (in thousands): Year Ended December 31, 2021 December 31, 2020 Included within Net unrealized gain/(loss) Interest Rate Swaps $ 19,165 $ (10,276) TBAs (13) — Forward Purchase Commitments (79) — Swaptions — 354 British Pound Futures 64 38 Euro Futures — 20 19,137 (9,864) Included within Net realized gain/(loss) Interest Rate Swaps 4,888 (65,368) TBAs 1,383 4,610 Swaptions — (2,437) British Pound Futures (165) 259 Euro Futures — 68 U.S. Treasuries — 31 6,106 (62,837) Total income/(loss) $ 25,243 $ (72,701) |
Schedule of to be Announced Securities Activity | The following tables present information about the Company’s TBAs for the years ended December 31, 2021 and 2020 (in thousands): For the Year Ended December 31, 2021 Beginning Buys or Covers Sales or Shorts Ending Net Net Fair Value Net Receivable/(Payable) Derivative Short TBAs $ — $ 1,390,550 $ (1,776,513) $ (385,963) $ (394,225) $ 394,212 $ (13) For the Year Ended December 31, 2020 Beginning Buys or Covers Sales or Shorts Ending Net Net Fair Value Net Receivable/(Payable) Derivative Long TBAs $ — $ 728,000 $ (728,000) $ — $ — $ — $ — |
Earnings per share (Tables)
Earnings per share (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Earnings Per Share [Abstract] | |
Schedule of Basic and Diluted Earnings Per Share | The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the years ended December 31, 2021 and 2020 (in thousands, except per share data): Year Ended December 31, 2021 December 31, 2020 Numerator: Net Income/(Loss) from Continuing Operations $ 104,186 $ (421,585) Gain on Exchange Offers, net (Note 11) 472 10,574 Dividends on preferred stock (18,785) (20,549) Net income/(loss) from continuing operations available to common stockholders 85,873 (431,560) Net Income/(Loss) from Discontinued Operations — 666 Net Income/(Loss) available to common stockholders $ 85,873 $ (430,894) Denominator: Basic weighted average common shares outstanding 16,234 11,730 Diluted weighted average common shares outstanding 16,234 11,730 Earnings/(Loss) Per Share - Basic Continuing Operations $ 5.29 $ (36.79) Discontinued Operations — 0.06 Basic Earnings/(Loss) Per Share of Common Stock: $ 5.29 $ (36.73) Earnings/(Loss) Per Share - Diluted Continuing Operations $ 5.29 $ (36.79) Discontinued Operations — 0.06 Diluted Earnings/(Loss) Per Share of Common Stock: $ 5.29 $ (36.73) |
Schedule of Dividends Declared and Paid | The following tables detail the Company's common stock dividends declared during the years ended December 31, 2021 and 2020: 2021 Declaration Date Record Date Payment Date 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 9/15/2021 9/30/2021 10/29/2021 0.21 12/15/2021 12/31/2021 1/31/2022 0.21 Total $ 0.81 2020 Declaration Date Record Date Payment Date Dividend Per Share 12/22/2020 12/31/2020 1/29/2021 $ 0.09 The following tables detail the Company's preferred stock dividends during the years ended December 31, 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 7/30/2021 8/31/2021 9/17/2021 0.51563 0.50 0.50 11/5/2021 11/30/2021 12/17/2021 0.51563 0.50 0.50 Total $ 2.06252 $ 2.00 $ 2.00 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 11/6/2020 11/30/2020 12/17/2020 1.54689 1.50 1.50 Total $ 2.06252 $ 2.00 $ 2.00 |
Related party transactions (Tab
Related party transactions (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Related Party Transactions [Abstract] | |
Schedule of Nonvested Restricted Stock and Restricted Stock Units Activity | The following table presents information with respect to the Company’s restricted stock and restricted stock units for the years ended December 31, 2021 and 2020: Year Ended December 31, 2021 Year Ended December 31, 2020 Shares of Restricted Stock and Restricted Stock Units Weighted Average Grant Date Fair Value Shares of Restricted Stock and Restricted Stock Units Weighted Average Grant Date Fair Value Outstanding at beginning of year 73,477 $ 30.35 37,885 $ 56.73 Granted (1) 27,247 11.26 42,261 10.68 Canceled/forfeited — — — — Unrestricted — — (6,669) 55.59 Outstanding at end of year 100,724 $ 25.19 73,477 $ 30.35 Unvested at end of year — $ — — $ — (1) The grant date fair value of restricted stock awards was established as the average of the high and low prices of the Company's common stock at the grant date. The grant date fair value of restricted stock units is based on the closing market price of the Company's common stock at the grant date. |
Schedule of Investments in Debt and Equity of Affiliates | The below table reconciles the fair value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of December 31, 2021 and December 31, 2020 and the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the years ended December 31, 2021 and December 31, 2020 (in thousands). December 31, 2021 December 31, 2020 Assets Liabilities Equity Net Income/(Loss) Assets Liabilities Equity Net Income/(Loss) Non-QM Loans $ 45,837 $ (30,471) $ 15,366 $ 12,594 $ 153,200 $ (111,135) $ 42,065 $ (26,511) Land Related Financing 16,891 — 16,891 2,455 22,824 — 22,824 2,620 Re/Non-Performing Loans (1) 9,298 (5,538) 3,760 13,191 41,523 (5,588) 35,935 2,483 Other — — — (32) 417 — 417 (3,481) Residential investments - Fair value / Net income /(loss) $ 72,026 $ (36,009) $ 36,017 $ 28,208 $ 217,964 $ (116,723) $ 101,241 $ (24,889) AG Arc - Fair value / Net income/(loss) (2) 53,435 — 53,435 3,681 45,341 — 45,341 23,260 Cash and Other assets/(liabilities) 3,698 (1,127) 2,571 — 5,279 (1,194) 4,085 — Investments in debt and equity of affiliates / Equity in earnings/(loss) from affiliates $ 129,159 $ (37,136) $ 92,023 $ 31,889 $ 268,584 $ (117,917) $ 150,667 $ (1,629) (1) Certain loans held in securitized form are presented net of non-recourse securitized debt. (2) The earnings/(loss) at AG Arc during the year ended December 31, 2021 were primarily the result of $5.4 million of net income related to Arc Home's lending and servicing operations, offset by $(2.3) million related to changes in the fair value of the MSR portfolio held by Arc Home. Earnings/(loss) recognized by AG Arc do not include the Company's portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to the Co |
Equity (Tables)
Equity (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Equity [Abstract] | |
Schedule of Stock | The following table presents information related to the Company's purchases of its common stock during the year ended December 31, 2021: Period (1) Total Number of Shares Purchased Weighted Average Price Paid per Share (2) Total Number of Shares Purchased as Part of Publicly Announced Program (3) Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (4) August 1, 2021 to August 31, 2021 150,870 $ 10.72 398,006 $ 12,980,553 September 1, 2021 to September 30, 2021 107,885 11.39 505,891 11,751,409 October 1, 2021 to October 31, 2021 61,104 11.59 566,995 11,043,506 Total 319,859 $ 11.11 566,995 $ 11,043,506 (1) Based on trade date. The Repurchase Program was announced on November 4, 2015 and does not have an expiration date. (2) Includes brokerage commissions and clearing fees. (3) Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. (4) The maximum dollar amount authorized was $25.0 million. The following table includes a summary of preferred stock issued and outstanding as of December 31, 2021 ($ 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 $25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR plus a spread of 6.476% per annum. (4) Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December and holders are entitled to receive cumulative cash dividends at the respective state rate per annum before holders of common stock are entitled to receive any cash dividends. The below details privately negotiated exchange agreements with existing holders of the Company's preferred shares exchanged for common shares and, in certain cases, cash consideration during the 2020 and 2021. Subsequent to each transaction closed, the Preferred Stock exchanged pursuant to the exchange agreement was reclassified as authorized but unissued shares of preferred stock without designation as to class or series ($ in thousands). Preferred Shares Exchanged Date Shares of Series A Preferred Stock Shares of Series B Preferred Stock Shares of Series C Preferred Stock Total Preferred Stock Par Value Common Shares Exchanged Cash Consideration September 30, 2020 210,662 404,187 427,467 $ 26,058 1,226,544 $ 6,337 October 2, 2020 — — 260,000 6,500 300,000 1,670 March 17, 2021 153,325 350,609 — 12,598 937,462 — June 14, 2021 — 86,478 154,383 6,022 429,802 — |
Commitments and Contingencies C
Commitments and Contingencies Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Schedule of Outstanding Commitments | The below table details the Company's outstanding commitments as of December 31, 2021 (in thousands): Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment GSE Non-Owner Occupied Loans (a) Various $ 63,947 $ 38,087 $ 25,860 LOTS (b) Various 21,390 16,891 4,499 MATH (b)(c) January 29, 2021 22,295 — 22,295 Total $ 107,632 $ 54,978 $ 52,654 (a) The Company entered into commitments to purchase certain pools of GSE Non-Owner Occupied Loans which have not yet settled as of December 31, 2021. (b) Refer to Note 10 "Investments in debt and equity of affiliates" for more information regarding LOTS and MATH. |
Investments in unconsolidated_2
Investments in unconsolidated equity method affiliates (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Equity Method Investments and Joint Ventures [Abstract] | |
Schedule of Equity Method Investments | The following table details the summarized balance sheets for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method as of December 31, 2021 and 2020 (in thousands): December 31, 2021 December 31, 2020 Arc Home (1) Non-QM Loans (2) Land Related Financing (3) Other Total Assets Loans and real estate securities, at fair value $ 382,378 $ 102,798 $ 34,356 $ 39,865 $ 559,397 $ 931,643 Mortgage servicing rights, at fair value 67,859 — — — 67,859 57,414 Cash and cash equivalents 26,095 5,056 64 3,579 34,794 53,713 Restricted cash 800 — — 1,170 1,970 260 Other assets (4) 66,116 1,729 426 8,405 76,676 93,637 Total Assets $ 543,248 $ 109,583 $ 34,846 $ 53,019 $ 740,696 $ 1,136,667 Liabilities Financing arrangements $ 355,565 $ 68,337 $ — $ 24,440 $ 448,342 $ 575,020 Securitized debt, at fair value — — — — — 96,579 Other liabilities (4) 71,190 1,450 74 5,531 78,245 90,060 Total Liabilities 426,755 69,787 74 29,971 526,587 761,659 Total Members' Equity Members' equity 116,493 39,796 34,772 23,048 214,109 372,946 Noncontrolling preferred interests — — — — — 2,062 Total Member's equity 116,493 39,796 34,772 23,048 214,109 375,008 Total Liabilities & Members' Equity $ 543,248 $ 109,583 $ 34,846 $ 53,019 $ 740,696 $ 1,136,667 The Company's Investments in debt and equity of affiliates $ 53,435 $ 17,708 $ 16,448 $ 4,432 $ 92,023 $ 150,667 (1) The Company has an approximate 44.6% interest in Arc Home. (2) The Company has an approximate 44.6% interest in MATH. (3) The Company has an approximate 47.5% and 50% interest in LOT SP I LLC and LOT SP II LLC, respectively. (4) Arc Home, as an issuer, has the unilateral right to repurchase Ginnie Mae pool loans it has previously sold or loans in pools it acquired in an MSR purchase (generally loans that are more than 90 days past due). When Arc Home determines there is more than a trivial benefit to repurchase the loans, it records the loans on its consolidated balance sheets as an asset and a corresponding liability. As of December 31, 2021 and December 31, 2020, Other assets and Other liabilities included loans eligible to be repurchased in the amount of $49.8 million and $58.7 million, respectively The following table details the summarized statements of operations for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method as of December 31, 2021 and 2020 (in thousands): Year Ended December 31, 2021 December 31, 2020 Arc Home (1) Non-QM Loans (2) Land Related Financing (3) Other Total Net Interest Income Interest income $ 9,715 $ 14,562 $ 5,826 $ 46,406 $ 76,509 $ 73,167 Interest expense 10,671 4,437 — 2,904 18,012 49,190 Total Net Interest Income (956) 10,125 5,826 43,502 58,497 23,977 Other Income/(Loss) Net realized gain/(loss) 67,849 (34,054) — 10,255 44,050 95,268 Net unrealized gain/(loss) 1,808 54,474 — (15,144) 41,138 (151,514) Other income/(loss), net 26,598 — 98 1,487 28,183 52,166 Total Other Income 96,255 20,420 98 (3,402) 113,371 (4,080) Expenses 73,115 2,320 815 9,353 85,603 79,416 Net Income/(Loss) 22,184 28,225 5,109 30,747 86,265 (59,519) Net Income/(Loss) Attributable to Noncontrolling Preferred Interests 610 — — — 610 248 Net Income/(Loss) Attributable to Controlling Interest of Unconsolidated Equity Method Investments $ 22,794 $ 28,225 $ 5,109 $ 30,747 $ 86,875 $ (59,271) The Company's Equity in earnings/(loss) from affiliates $ 3,681 $ 12,594 $ 2,455 $ 13,159 $ 31,889 $ (1,629) (1) The Company has an approximate 44.6% interest in Arc Home. (2) The Company has an approximate 44.6% interest in MATH. (3) The Company has an approximate 47.5% and 50% interest in LOT SP I LLC and LOT SP II LLC, respectively. |
Quarterly financial informati_2
Quarterly financial information (Unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2021 | |
Quarterly Financial Information Disclosure [Abstract] | |
Schedule of Quarterly Financial Information | Summarized quarterly results of operations were as follows (in thousands, except for per share data): Three Months Ended March 31, June 30, September 30, December 31, 2021 2021 2021 2021 Statement of Operations Data: Net Interest Income Interest income $ 12,119 $ 14,228 $ 19,629 $ 24,686 Interest expense 4,061 5,294 7,197 10,698 Total Net Interest Income 8,058 8,934 12,432 13,988 Other Income/(Loss) Net interest component of interest rate swaps (741) (1,573) (1,184) (1,364) Net realized gain/(loss) (4,038) 4,374 (5,460) 6,822 Net unrealized gain/(loss) 19,849 9,685 29,461 3,704 Other income/(loss), net 37 — — — Total Other Income/(Loss) 15,107 12,486 22,817 9,162 Expenses Management fee to affiliate 1,654 1,667 1,693 1,800 Other operating expenses 4,150 2,981 2,997 3,229 Transaction related expenses (167) 1,885 2,013 3,597 Servicing fees 615 672 849 1,052 Total Expenses 6,252 7,205 7,552 9,678 Income/(loss) before equity in earnings/(loss) from affiliates 16,913 14,215 27,697 13,472 Equity in earnings/(loss) from affiliates 26,336 1,278 6,882 (2,607) Net Income/(Loss) 43,249 15,493 34,579 10,865 Gain on Exchange Offers, net (Note 11) 358 114 — — Dividends on preferred stock (4,924) (4,689) (4,586) (4,586) Net Income/(Loss) Available to Common Stockholders $ 38,683 $ 10,918 $ 29,993 $ 6,279 Earnings/(Loss) Per Share - Basic (1) Total Earnings/(Loss) Per Share of Common Stock $ 2.74 $ 0.70 $ 1.87 $ 0.33 Earnings/(Loss) Per Share - Diluted (1) Total Earnings/(Loss) Per Share of Common Stock $ 2.74 $ 0.70 $ 1.87 $ 0.33 (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. Three Months Ended March 31, June 30, September 30, December 31, 2020 2020 2020 2020 Statement of Operations Data: Net Interest Income Interest income $ 40,268 $ 13,369 $ 9,717 $ 11,171 Interest expense 19,971 8,613 4,357 4,004 Total Net Interest Income 20,297 4,756 5,360 7,167 Other Income/(Loss) Net interest component of interest rate swaps 923 — (13) (179) Net realized gain/(loss) (151,143) (91,609) (14,431) 661 Net unrealized gain/(loss) (308,211) 100,179 21,465 16,754 Other income/(loss), net 1,652 (155) (10) 47 Total Other Income/(Loss) (456,779) 8,415 7,011 17,283 Expenses Management fee to affiliate 2,149 1,678 1,698 1,656 Other operating expenses 4,149 4,184 4,340 3,238 Transaction related expenses (3,219) 373 1,589 22 Restructuring related expenses 1,500 7,104 1,345 251 Excise tax (815) — — — Servicing fees 579 566 540 539 Total Expenses 4,343 13,905 9,512 5,706 Income/(loss) before equity in earnings/(loss) from affiliates (440,825) (734) 2,859 18,744 Equity in earnings/(loss) from affiliates (44,192) 3,434 17,187 21,942 Net Income/(Loss) from Continuing Operations (485,017) 2,700 20,046 40,686 Net Income/(Loss) from Discontinued Operations — 361 — 305 Net Income/(loss) (485,017) 3,061 20,046 40,991 Gain on Exchange Offers, net (Note 11) — — 539 10,035 Dividends on preferred stock (1) (5,667) (5,667) (5,563) (3,652) Net Income/(Loss) Available to Common Stockholders $ (490,684) $ (2,606) $ 15,022 $ 47,374 Earnings/(Loss) Per Share - Basic (2) Continuing Operations $ (44.98) $ (0.27) $ 1.31 $ 3.47 Discontinued Operations — 0.03 — 0.02 Total Earnings/(Loss) Per Share - Basic $ (44.98) $ (0.24) $ 1.31 $ 3.49 Earnings/(Loss) Per Share - Diluted (2) Continuing Operations $ (44.98) $ (0.27) $ 1.31 $ 3.47 Discontinued Operations — 0.03 — 0.02 Total Earnings/(Loss) Per Share - Diluted $ (44.98) $ (0.24) $ 1.31 $ 3.49 (1) The three months ended September 30, 2020 and June 30, 2020 include cumulative and undeclared dividends of $5.6 million and $5.7 million on the Company's preferred stock as of September 30, 2020 and June 30, 2020, respectively. (2) Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. See Note 2 and Note 11 for additional details. |
Organization - Narrative (Detai
Organization - Narrative (Details) - segment | 12 Months Ended | ||||||
Dec. 31, 2021 | Nov. 30, 2021 | Jul. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Aug. 31, 2020 | Feb. 29, 2020 | |
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||||||
Loan securitization, ownership interest | 40.90% | 45.00% | 44.60% | 45.00% | 44.60% | ||
Number of reportable segments | 1 | ||||||
ARC Home LLC | |||||||
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||||||
Loan securitization, ownership interest | 44.60% | 44.60% |
Summary of significant accoun_3
Summary of significant accounting policies - Narrative (Details) | Jul. 22, 2021 | Jul. 12, 2021 | Dec. 31, 2021USD ($)$ / shares | Dec. 31, 2020USD ($) | Nov. 30, 2021 | Jul. 30, 2021 | Sep. 30, 2020 | Aug. 31, 2020 | Feb. 29, 2020 |
Investments in and Advances to Affiliates [Line Items] | |||||||||
Fair Value | $ 514,470,000 | $ 613,546,000 | |||||||
Excess mortgage servicing rights, at fair value | $ 0 | $ 3,158,000 | |||||||
Loan securitization, ownership interest | 40.90% | 45.00% | 44.60% | 45.00% | 44.60% | ||||
Reverse stock split ratio | 0.3333 | 0.3333 | |||||||
Dividend percentage | 8.00% | ||||||||
LOTS I | |||||||||
Investments in and Advances to Affiliates [Line Items] | |||||||||
Loan securitization, ownership interest | 47.50% | ||||||||
LOTS II | |||||||||
Investments in and Advances to Affiliates [Line Items] | |||||||||
Loan securitization, ownership interest | 50.00% | ||||||||
ARC Home LLC | |||||||||
Investments in and Advances to Affiliates [Line Items] | |||||||||
Excess mortgage servicing rights, at fair value | $ 67,859,000 | ||||||||
Loan securitization, ownership interest | 44.60% | 44.60% | |||||||
MATH | |||||||||
Investments in and Advances to Affiliates [Line Items] | |||||||||
Excess mortgage servicing rights, at fair value | $ 0 | ||||||||
Loan securitization, ownership interest | 44.60% | 44.60% | |||||||
Securitized Residential Mortgage | |||||||||
Investments in and Advances to Affiliates [Line Items] | |||||||||
Securitized residential mortgage loans, at fair value | $ 1,200,000,000 | $ 426,600,000 | |||||||
Real Estate Securities | |||||||||
Investments in and Advances to Affiliates [Line Items] | |||||||||
Fair Value | 514,470,000 | 613,546,000 | |||||||
ARC Home LLC | Consolidation, Eliminations | |||||||||
Investments in and Advances to Affiliates [Line Items] | |||||||||
Gross profit | $ 5,300,000 | $ 0 | |||||||
8.25% Series A Cumulative Redeemable Preferred Stock | |||||||||
Investments in and Advances to Affiliates [Line Items] | |||||||||
Dividend percentage | 8.25% | ||||||||
8.00% Series B Cumulative Redeemable Preferred Stock | |||||||||
Investments in and Advances to Affiliates [Line Items] | |||||||||
Dividend percentage | 8.00% | ||||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||||||
Investments in and Advances to Affiliates [Line Items] | |||||||||
Dividend percentage | 8.00% | ||||||||
Liquidation preference (in dollars per share) | $ / shares | $ 25 | ||||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | London Interbank Offered Rate (LIBOR) | |||||||||
Investments in and Advances to Affiliates [Line Items] | |||||||||
Dividend percentage | 6.476% |
Loans - Summary of company's re
Loans - Summary of company's residential mortgage loan portfolio (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Amortized Cost | $ 0 | $ 111,549 |
Residential Mortgage | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair Value | 1,476,972 | 8,837 |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair Value | 1,158,134 | 426,604 |
Residential Portfolio Segment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 2,578,993 | 500,980 |
Premium (Discount) | 27,918 | |
Amortized Cost | 2,606,911 | |
Gross Unrealized Gains | 34,122 | |
Gross Unrealized Losses | (5,927) | |
Fair Value | $ 2,635,106 | |
Weighted Average Coupon | 4.50% | |
Weighted Average Yield | 4.06% | |
Weighted Average Life (Years) | 5 years 5 months 19 days | |
Residential Portfolio Segment | Residential Mortgage | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 1,423,242 | 500,980 |
Premium (Discount) | 42,150 | (69,007) |
Amortized Cost | 1,465,392 | 431,973 |
Gross Unrealized Gains | 13,387 | 13,640 |
Gross Unrealized Losses | (1,807) | (10,172) |
Fair Value | $ 1,476,972 | $ 435,441 |
Weighted Average Coupon | 4.41% | 3.58% |
Weighted Average Yield | 3.69% | 5.69% |
Weighted Average Life (Years) | 5 years 6 months 18 days | 6 years 8 months 1 day |
Residential Portfolio Segment | Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 1,155,751 | |
Premium (Discount) | (14,232) | |
Amortized Cost | 1,141,519 | |
Gross Unrealized Gains | 20,735 | |
Gross Unrealized Losses | (4,120) | |
Fair Value | $ 1,158,134 | |
Weighted Average Coupon | 4.61% | |
Weighted Average Yield | 4.53% | |
Weighted Average Life (Years) | 5 years 4 months 13 days | |
Residential Portfolio Segment | Non-QM Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 987,290 | |
Premium (Discount) | 35,647 | |
Amortized Cost | 1,022,937 | |
Gross Unrealized Gains | 9,336 | |
Gross Unrealized Losses | (1,458) | |
Fair Value | $ 1,030,815 | |
Weighted Average Coupon | 4.75% | |
Weighted Average Yield | 3.76% | |
Weighted Average Life (Years) | 5 years 3 days | |
Residential Portfolio Segment | Non-QM Loans | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 777,828 | |
Premium (Discount) | 30,739 | |
Amortized Cost | 808,567 | |
Gross Unrealized Gains | 5,821 | |
Gross Unrealized Losses | (1,005) | |
Fair Value | $ 813,383 | |
Weighted Average Coupon | 5.13% | |
Weighted Average Yield | 3.96% | |
Weighted Average Life (Years) | 4 years 6 months | |
Residential Portfolio Segment | GSE Non-Owner Occupied Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 429,424 | |
Premium (Discount) | 10,039 | |
Amortized Cost | 439,463 | |
Gross Unrealized Gains | 1,723 | |
Gross Unrealized Losses | (349) | |
Fair Value | $ 440,837 | |
Weighted Average Coupon | 3.64% | |
Weighted Average Yield | 3.19% | |
Weighted Average Life (Years) | 6 years 10 months 2 days | |
Residential Portfolio Segment | Re- and Non-Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 6,528 | $ 19,634 |
Premium (Discount) | (3,536) | (12,702) |
Amortized Cost | 2,992 | 6,932 |
Gross Unrealized Gains | 2,328 | 1,905 |
Gross Unrealized Losses | 0 | 0 |
Fair Value | $ 5,320 | $ 8,837 |
Weighted Average Coupon | 1.15% | |
Weighted Average Yield | 31.18% | 9.72% |
Weighted Average Life (Years) | 2 years 2 months 26 days | 3 years 11 months 23 days |
Residential Portfolio Segment | Re- and Non-Performing Loans | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 377,923 | $ 481,346 |
Premium (Discount) | (44,971) | (56,305) |
Amortized Cost | 332,952 | 425,041 |
Gross Unrealized Gains | 14,914 | 11,735 |
Gross Unrealized Losses | (3,115) | (10,172) |
Fair Value | $ 344,751 | $ 426,604 |
Weighted Average Coupon | 3.55% | 3.58% |
Weighted Average Yield | 5.90% | 5.61% |
Weighted Average Life (Years) | 7 years 2 months 1 day | 6 years 9 months 10 days |
Loans - Summary of credit quali
Loans - Summary of credit quality information on residential mortgage loans (Details) - Residential Portfolio Segment $ in Thousands | Dec. 31, 2021USD ($)loanficoScore | Dec. 31, 2020USD ($)ficoScoreloan |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 2,578,993 | $ 500,980 |
Loan count | loan | 7,327 | 3,273 |
Weighted Average, Original LTV Ratio | 69.76% | 78.90% |
Weighted Average, Current FICO | ficoScore | 723 | 627 |
Mortgage loans 90+ days delinquent | $ 47,400 | $ 70,200 |
Mortgage loans in process of foreclosure | 29,000 | 37,100 |
Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 2,417,332 | 286,020 |
30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 55,400 | 44,288 |
60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 14,990 | 25,255 |
90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 84,743 | 125,925 |
Non-QM Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 987,290 | |
Loan count | loan | 1,886 | |
Weighted Average, Original LTV Ratio | 69.39% | |
Weighted Average, Current FICO | ficoScore | 737 | |
Non-QM Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 967,910 | |
Non-QM Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 9,101 | |
Non-QM Loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 1,630 | |
Non-QM Loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 8,649 | |
Non-QM Loans | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 777,828 | |
Loan count | loan | 1,562 | |
Weighted Average, Original LTV Ratio | 68.03% | |
Weighted Average, Current FICO | ficoScore | 733 | |
Non-QM Loans | Variable Interest Entity, Primary Beneficiary | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 767,734 | |
Non-QM Loans | Variable Interest Entity, Primary Beneficiary | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 6,495 | |
Non-QM Loans | Variable Interest Entity, Primary Beneficiary | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 1,036 | |
Non-QM Loans | Variable Interest Entity, Primary Beneficiary | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 2,563 | |
GSE Non-Owner Occupied Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 429,424 | |
Loan count | loan | 1,339 | |
Weighted Average, Original LTV Ratio | 65.44% | |
Weighted Average, Current FICO | ficoScore | 754 | |
GSE Non-Owner Occupied Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 425,594 | |
GSE Non-Owner Occupied Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 3,830 | |
GSE Non-Owner Occupied Loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | |
GSE Non-Owner Occupied Loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | |
Re- and Non-Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 6,528 | $ 19,634 |
Loan count | loan | 1 | |
Weighted Average, Original LTV Ratio | 62.24% | |
Weighted Average, Current FICO | ficoScore | 583 | |
Re- and Non-Performing Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 142 | |
Re- and Non-Performing Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | |
Re- and Non-Performing Loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | |
Re- and Non-Performing Loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | |
Re- and Non-Performing Loans | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 377,923 | $ 481,346 |
Loan count | loan | 2,540 | 3,272 |
Weighted Average, Original LTV Ratio | 79.20% | 78.90% |
Weighted Average, Current FICO | ficoScore | 639 | 627 |
Re- and Non-Performing Loans | Variable Interest Entity, Primary Beneficiary | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 256,094 | $ 285,878 |
Re- and Non-Performing Loans | Variable Interest Entity, Primary Beneficiary | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 35,974 | 44,288 |
Re- and Non-Performing Loans | Variable Interest Entity, Primary Beneficiary | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 12,324 | 25,255 |
Re- and Non-Performing Loans | Variable Interest Entity, Primary Beneficiary | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 73,531 | $ 125,925 |
Loans - Summary of loans purcha
Loans - Summary of loans purchased (Details) - Residential Portfolio Segment $ in Thousands | 12 Months Ended |
Dec. 31, 2021USD ($) | |
Non-QM Loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid principal balance on loans purchased during period | $ 1,935,657 |
Fair value of loans acquired | 2,018,491 |
GSE Non-Owner Occupied Loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid principal balance on loans purchased during period | 436,678 |
Fair value of loans acquired | $ 448,335 |
Loans - Summary of loans sold (
Loans - Summary of loans sold (Details) - Residential Portfolio Segment $ in Thousands | 12 Months Ended | |
Dec. 31, 2021USD ($)loan | Dec. 31, 2020USD ($)loan | |
Non-QM Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of loans sold | loan | 150 | |
Proceeds from Sale of Loans Held-for-sale | $ 91,952 | |
Realized gains | 0 | |
Realized loss on sale of loan | $ (1,304) | |
Re- and Non-Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of loans sold | loan | 1 | 2,412 |
Proceeds from Sale of Loans Held-for-sale | $ 1,604 | $ 397,902 |
Realized gains | 626 | 1,928 |
Realized loss on sale of loan | $ 0 | $ (59,273) |
Re- and Non-Performing Loans | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of loans sold | loan | 380 | |
Proceeds from Sale of Loans Held-for-sale | $ 46,352 | |
Realized gains | 7,601 | |
Realized loss on sale of loan | $ (769) |
Loans - Summary of concentratio
Loans - Summary of concentrations of credit risk (Details) - Residential Portfolio Segment - Geographic Concentration Risk - Accounts Receivable | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
California | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 35.00% | 17.00% |
New York | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 15.00% | 10.00% |
Florida | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 11.00% | 11.00% |
New Jersey | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 6.00% | 6.00% |
Loans - Summary of changes in t
Loans - Summary of changes in the accretable portion of discounts (Details) - Residential Portfolio Segment - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Changes in the accretable portion | ||
Beginning Balance | $ 56,907 | $ 41,472 |
Additions | 0 | 28,110 |
Accretion | (5,106) | (5,546) |
Reclassifications from/(to) non-accretable difference | 1,044 | 7,659 |
Disposals | (6,324) | (14,788) |
Ending Balance | $ 46,521 | $ 56,907 |
Loans - Summary of assets and l
Loans - Summary of assets and liabilities related to VIEs (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | ||
Assets | ||||
Other assets | $ 20,900 | $ 12,565 | ||
Total Assets | 3,362,728 | 1,400,045 | ||
Liabilities | ||||
Securitized debt, at fair value | [1] | 999,215 | 355,159 | |
Financing arrangements | 1,777,743 | 564,047 | ||
Other liabilities | 10,369 | 18,755 | ||
Total Liabilities | 2,792,348 | 990,340 | ||
Total Equity | $ 570,380 | $ 409,705 | $ 849,046 | |
Variable Interest Entity, Primary Beneficiary | ||||
Liabilities | ||||
Weighted average yield | 3.06% | 3.00% | ||
Weighted average useful life | 3 years 9 months | 3 years 10 months 6 days | ||
Variable Interest Entity, Primary Beneficiary | Residential Portfolio Segment | ||||
Assets | ||||
Securitized residential mortgage loans, at fair value | $ 1,158,134 | $ 426,604 | ||
Restricted cash | 1,467 | 2,110 | ||
Other assets | 6,457 | 3,705 | ||
Total Assets | 1,166,058 | 432,419 | ||
Liabilities | ||||
Securitized debt, at fair value | 999,215 | 355,159 | ||
Financing arrangements | 71,308 | 25,590 | ||
Other liabilities | 1,543 | 519 | ||
Total Liabilities | 1,072,066 | 381,268 | ||
Total Equity | $ 93,992 | $ 51,151 | ||
Weighted average yield | 5.90% | 5.61% | ||
Weighted average useful life | 7 years 2 months 1 day | 6 years 9 months 10 days | ||
Variable Interest Entity, Primary Beneficiary | Non-QM Loans | ||||
Liabilities | ||||
Weighted average yield | 1.63% | 0.00% | ||
Weighted average useful life | 2 years 4 months 9 days | |||
Variable Interest Entity, Primary Beneficiary | Non-QM Loans | Residential Portfolio Segment | ||||
Assets | ||||
Securitized residential mortgage loans, at fair value | $ 813,383 | $ 0 | ||
Liabilities | ||||
Securitized debt, at fair value | $ 746,970 | $ 0 | ||
Weighted average yield | 3.96% | 0.00% | ||
Weighted average useful life | 4 years 6 months | |||
Variable Interest Entity, Primary Beneficiary | Re- and Non-Performing Loans | Residential Portfolio Segment | ||||
Assets | ||||
Securitized residential mortgage loans, at fair value | $ 344,751 | $ 426,604 | ||
Liabilities | ||||
Securitized debt, at fair value | $ 252,245 | $ 355,159 | ||
[1] | These balances relate to certain residential mortgage loans which were securitized resulting in the Company consolidating the variable interest entities that were created to facilitate these transactions as the Company was determined to be the primary beneficiary. See Note 3 for additional details. |
Loans - Narrative (Details)
Loans - Narrative (Details) - Commercial Portfolio Segment $ in Millions | 3 Months Ended | 12 Months Ended | |
Dec. 31, 2020USD ($) | Dec. 31, 2021USD ($) | Dec. 31, 2020USD ($)loan | |
Gain (Loss) on Securities [Line Items] | |||
Proceeds from sale of loans | $ 74.1 | $ 36.9 | |
Realized gains | 0.4 | ||
Repayments of long-term lines of credit | 26 | ||
Realized loss on sale of loan | 2.9 | $ 6.5 | |
Number of loans sold | loan | 2 | ||
Loan L | |||
Gain (Loss) on Securities [Line Items] | |||
Proceeds from interest | $ 3 | ||
Loan G & I | |||
Gain (Loss) on Securities [Line Items] | |||
Proceeds from sale of loans | $ 74.3 |
Loans - Summary of company's co
Loans - Summary of company's commercial loan portfolio (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2021 | |
Commercial Loans, at fair value | ||
Amortized Cost | $ 111,549 | $ 0 |
Commercial Loans Held for Sale, at fair value | ||
Fair Value | 13,959 | $ 0 |
Commercial Loans | Commercial Portfolio Segment | ||
Commercial Loans, at fair value | ||
Current Face | 126,238 | |
Premium (Discount) | (337) | |
Amortized Cost | 125,901 | |
Gross Unrealized Losses | (14,352) | |
Fair Value | $ 111,549 | |
Weighted Average Coupon | 3.73% | |
Weighted Average Yield | 4.05% | |
Weighted Average Life (in years) | 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 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 | 5.27% | |
Weighted Average Yield | 5.27% | |
Weighted Average Life (in years) | 1 year 6 months 14 days | |
Loan K | Commercial Portfolio Segment | ||
Commercial Loans, at fair value | ||
Current Face | $ 15,787 | |
Premium (Discount) | 0 | |
Amortized Cost | 15,787 | |
Gross Unrealized Losses | (1,100) | |
Fair Value | $ 14,687 | |
Weighted Average Coupon | 10.00% | |
Weighted Average Yield | 10.83% | |
Weighted Average Life (in years) | 1 year 3 months 7 days | |
Loan L | Commercial Portfolio Segment | ||
Commercial Loans, at fair value | ||
Current Face | $ 51,000 | |
Premium (Discount) | (337) | |
Amortized Cost | 50,663 | |
Gross Unrealized Losses | (9,312) | |
Fair Value | $ 41,351 | |
Weighted Average Life (in years) | 3 years 7 months 9 days | |
Loan I | Commercial Portfolio Segment | ||
Commercial Loans Held for Sale, at fair value | ||
Current Face | $ 15,929 | |
Premium (Discount) | (175) | |
Amortized Cost | 15,754 | |
Gross Unrealized Losses | (1,795) | |
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) $ in Thousands | Dec. 31, 2021USD ($) | Dec. 31, 2020USD ($)investment |
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 666,179 | $ 1,466,336 |
Premium / (Discount) | (144,980) | (848,676) |
Amortized Cost | 521,199 | 617,660 |
Gross Unrealized Gains | 90 | 8,436 |
Gross Unrealized Losses | (6,819) | (12,550) |
Fair Value | $ 514,470 | $ 613,546 |
Weighted Average Coupon | 1.99% | 1.18% |
Weighted Average Yield | 1.96% | 2.08% |
Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 206,975 | |
Premium / (Discount) | (173,503) | |
Amortized Cost | 33,472 | |
Gross Unrealized Gains | 5,671 | |
Gross Unrealized Losses | (737) | |
Fair Value | $ 38,406 | |
Weighted Average Coupon | 2.01% | |
Weighted Average Yield | 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 | $ 490,435 | $ 494,307 |
Premium / (Discount) | 11,927 | 22,368 |
Amortized Cost | 502,362 | 516,675 |
Gross Unrealized Gains | 0 | 1,794 |
Gross Unrealized Losses | (6,649) | (117) |
Fair Value | $ 495,713 | $ 518,352 |
Weighted Average Coupon | 2.18% | 2.10% |
Weighted Average Yield | 1.78% | 1.17% |
Total Credit Investments | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 175,744 | $ 972,029 |
Premium / (Discount) | (156,907) | (871,044) |
Amortized Cost | 18,837 | 100,985 |
Gross Unrealized Gains | 90 | 6,642 |
Gross Unrealized Losses | (170) | (12,433) |
Fair Value | $ 18,757 | $ 95,194 |
Weighted Average Coupon | 1.02% | 0.65% |
Weighted Average Yield | 6.73% | 7.04% |
Non Agency, Prime | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 15,093 | |
Premium / (Discount) | (7,081) | |
Amortized Cost | 8,012 | |
Gross Unrealized Gains | 663 | |
Gross Unrealized Losses | (10) | |
Fair Value | $ 8,665 | |
Weighted Average Coupon | 3.68% | |
Weighted Average Yield | 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-Qualified Mortgage Securities | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 14,894 | |
Premium / (Discount) | (236) | |
Amortized Cost | 14,658 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | (58) | |
Fair Value | $ 14,600 | |
Weighted Average Coupon | 4.36% | |
Weighted Average Yield | 4.74% | |
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 RMBS | 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 | ||
Debt Securities, Available-for-sale [Line Items] | ||
Investments included in portfolio | investment | 2 | |
Non Agency, RMBS Interest Only | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 160,154 | $ 157,590 |
Premium / (Discount) | (156,647) | (157,513) |
Amortized Cost | 3,507 | 77 |
Gross Unrealized Gains | 0 | 207 |
Gross Unrealized Losses | (112) | (48) |
Fair Value | $ 3,395 | $ 236 |
Weighted Average Coupon | 0.38% | 0.53% |
Weighted Average Yield | 10.12% | |
Non Agency, Re/Non-Performing Securities | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 696 | $ 1,690 |
Premium / (Discount) | (24) | (238) |
Amortized Cost | 672 | 1,452 |
Gross Unrealized Gains | 90 | 149 |
Gross Unrealized Losses | 0 | 0 |
Fair Value | $ 762 | $ 1,601 |
Weighted Average Coupon | 5.25% | 5.25% |
Weighted Average Yield | 29.69% | 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 | $ 50,480 | |
Premium / (Discount) | (1,494) | |
Amortized Cost | 48,986 | |
Gross Unrealized Gains | 668 | |
Gross Unrealized Losses | (9,464) | |
Fair Value | $ 40,190 | |
Weighted Average Coupon | 4.15% | |
Weighted Average Yield | 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% |
Real Estate Securities - Summ_2
Real Estate Securities - Summary of weighted average life of real estate securities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Agency RMBS | ||
Fair Value | ||
Less than or equal to one year | $ 0 | $ 0 |
Greater than one year and less than or equal to five years | 0 | 181,947 |
Greater than five years and less than or equal to ten years | 474,104 | 336,405 |
Greater than ten years | 21,609 | 0 |
Total | 495,713 | 518,352 |
Amortized Cost | ||
Less than or equal to one year | 0 | 0 |
Greater than one year and less than or equal to five years | 0 | 181,209 |
Greater than five years and less than or equal to ten years | 480,204 | 335,466 |
Greater than ten years | 22,158 | 0 |
Total | $ 502,362 | $ 516,675 |
Weighted Average Coupon | ||
Less than or equal to one year | 0.00% | 0.00% |
Greater than one year and less than or equal to five years | 0.00% | 2.29% |
Greater than five years and less than or equal to ten years | 2.19% | 2.00% |
Greater than ten years | 2.00% | 0.00% |
Total | 2.18% | 2.10% |
Credit Investments | ||
Fair Value | ||
Less than or equal to one year | $ 543 | $ 31,166 |
Greater than one year and less than or equal to five years | 18,214 | 20,131 |
Greater than five years and less than or equal to ten years | 0 | 20,310 |
Greater than ten years | 0 | 23,587 |
Total | 18,757 | 95,194 |
Amortized Cost | ||
Less than or equal to one year | 511 | 39,588 |
Greater than one year and less than or equal to five years | 18,326 | 21,634 |
Greater than five years and less than or equal to ten years | 0 | 20,808 |
Greater than ten years | 0 | 18,955 |
Total | $ 18,837 | $ 100,985 |
Weighted Average Coupon | ||
Less than or equal to one year | 5.25% | 1.81% |
Greater than one year and less than or equal to five years | 1.00% | 0.33% |
Greater than five years and less than or equal to ten years | 0.00% | 0.36% |
Greater than ten years | 0.00% | 4.18% |
Total | 1.02% | 0.65% |
Real Estate Securities - Narrat
Real Estate Securities - Narrative (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021USD ($)security | Dec. 31, 2020USD ($)security | |
Debt Securities, Available-for-sale [Line Items] | ||
Proceeds from sale of real estate securities | $ 893,505 | $ 2,731,163 |
Settled Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Number of securities sold | security | 77 | 343 |
Proceeds from sale of real estate securities | $ 900,000 | $ 2,700,000 |
Securities, gross realized gains | 16,500 | 54,500 |
Securities, gross realized losses | $ 22,800 | $ 180,400 |
Fair value measurements - Summa
Fair value measurements - Summary of financial instruments measured at fair value (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Assets: | ||
Commercial loans | $ 125,508 | |
Excess mortgage servicing rights, at fair value | $ 0 | 3,158 |
Derivative assets, at fair value | 19,781 | 1,356 |
AG Arc | 53,435 | 45,341 |
Total Assets Measured at Fair Value | 3,222,792 | 1,224,350 |
Liabilities: | ||
Derivative liabilities | (976) | (294) |
Securitized debt | (999,215) | (355,159) |
Total Liabilities Measured at Fair Value | (1,000,191) | (355,453) |
Residential Mortgage | ||
Assets: | ||
Residential mortgage loans | 1,476,972 | 8,837 |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Assets: | ||
Residential mortgage loans | 1,158,134 | 426,604 |
Agency RMBS: 30 Year Fixed Rate | ||
Assets: | ||
Debt securities, available for sale | 495,713 | 518,352 |
Non-Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 15,362 | 38,170 |
Non Agency, RMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 3,395 | 236 |
CMBS | ||
Assets: | ||
Debt securities, available for sale | 52,485 | |
CMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 4,303 | |
Interest Rate Swap | ||
Liabilities: | ||
Derivative asset, reduction in fair value related to variation margin | 19,600 | 1,400 |
Derivative liability, reduction in fair value related to variation margin | 900 | 200 |
Level 1 | ||
Assets: | ||
Commercial loans | 0 | |
Excess mortgage servicing rights, at fair value | 0 | |
Derivative assets, at fair value | 0 | 0 |
AG Arc | 0 | 0 |
Total Assets Measured at Fair Value | 0 | 0 |
Liabilities: | ||
Derivative liabilities | 0 | 0 |
Securitized debt | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
Level 1 | Residential Mortgage | ||
Assets: | ||
Residential mortgage loans | 0 | 0 |
Level 1 | Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Assets: | ||
Residential mortgage loans | 0 | 0 |
Level 1 | Agency RMBS: 30 Year Fixed Rate | ||
Assets: | ||
Debt securities, available for sale | 0 | 0 |
Level 1 | Non-Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 0 | 0 |
Level 1 | Non Agency, RMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 0 | 0 |
Level 1 | CMBS | ||
Assets: | ||
Debt securities, available for sale | 0 | |
Level 1 | CMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 0 | |
Level 2 | ||
Assets: | ||
Commercial loans | 0 | |
Excess mortgage servicing rights, at fair value | 0 | |
Derivative assets, at fair value | 19,781 | 1,356 |
AG Arc | 0 | 0 |
Total Assets Measured at Fair Value | 516,409 | 613,936 |
Liabilities: | ||
Derivative liabilities | (897) | (294) |
Securitized debt | 0 | 0 |
Total Liabilities Measured at Fair Value | (897) | (294) |
Level 2 | Residential Mortgage | ||
Assets: | ||
Residential mortgage loans | 915 | 2,134 |
Level 2 | Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Assets: | ||
Residential mortgage loans | 0 | 0 |
Level 2 | Agency RMBS: 30 Year Fixed Rate | ||
Assets: | ||
Debt securities, available for sale | 495,713 | 518,352 |
Level 2 | Non-Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 0 | 35,070 |
Level 2 | Non Agency, RMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 0 | 236 |
Level 2 | CMBS | ||
Assets: | ||
Debt securities, available for sale | 52,485 | |
Level 2 | CMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 4,303 | |
Level 3 | ||
Assets: | ||
Commercial loans | 125,508 | |
Excess mortgage servicing rights, at fair value | 3,158 | |
Derivative assets, at fair value | 0 | 0 |
AG Arc | 53,435 | 45,341 |
Total Assets Measured at Fair Value | 2,706,383 | 610,414 |
Liabilities: | ||
Derivative liabilities | (79) | 0 |
Securitized debt | (999,215) | (355,159) |
Total Liabilities Measured at Fair Value | (999,294) | (355,159) |
Level 3 | Residential Mortgage | ||
Assets: | ||
Residential mortgage loans | 1,476,057 | 6,703 |
Level 3 | Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Assets: | ||
Residential mortgage loans | 1,158,134 | 426,604 |
Level 3 | Agency RMBS: 30 Year Fixed Rate | ||
Assets: | ||
Debt securities, available for sale | 0 | 0 |
Level 3 | Non-Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 15,362 | 3,100 |
Level 3 | Non Agency, RMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | $ 3,395 | 0 |
Level 3 | CMBS | ||
Assets: | ||
Debt securities, available for sale | 0 | |
Level 3 | CMBS Interest Only | ||
Assets: | ||
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 | 12 Months Ended | |
Dec. 31, 2021USD ($)security | Dec. 31, 2020USD ($)security | |
Total net gains/(losses) | ||
Included in net income | $ 48,390 | $ (159,135) |
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 30,442 | $ (3,537) |
Level 2 | Securitized Debt | ||
Total net gains/(losses) | ||
Number of securities transferred | security | 1 | |
Level 3 | Securitized Debt | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | (355,159) | $ (72,415) |
Transfers: | ||
Transfers into level 3 | (151,933) | |
Transfers out of level 3 | 0 | 7,230 |
Purchases/Reclassifications | 0 | 0 |
Issuances of Securitized Debt | (811,455) | (166,487) |
Capital distributions | 0 | 0 |
Proceeds from sales/redemptions | 0 | 0 |
Proceeds from settlement | 163,922 | 29,312 |
Total net gains/(losses) | ||
Included in net income | 3,477 | (866) |
Ending Balance | (999,215) | (355,159) |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 3,477 | $ (866) |
Number of securities transferred | security | 1 | |
Level 3 | Derivative Liabilities | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 0 | |
Transfers: | ||
Transfers out of level 3 | 0 | |
Purchases/Reclassifications | 0 | |
Issuances of Securitized Debt | 0 | |
Capital distributions | 0 | |
Proceeds from sales/redemptions | 0 | |
Proceeds from settlement | 0 | |
Total net gains/(losses) | ||
Included in net income | (79) | |
Ending Balance | (79) | $ 0 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (79) | |
Residential Mortgage Loans | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 433,307 | 417,785 |
Transfers: | ||
Transfers into level 3 | 0 | |
Transfers out of level 3 | 0 | 0 |
Purchases/Reclassifications | 2,463,685 | 536,710 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | 0 |
Proceeds from sales/redemptions | (138,304) | (393,876) |
Proceeds from settlement | (147,710) | (63,882) |
Total net gains/(losses) | ||
Included in net income | 23,213 | (63,430) |
Ending Balance | 2,634,191 | 433,307 |
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ 18,437 | $ (6,593) |
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 | $ 3,100 | $ 630,115 |
Transfers: | ||
Transfers into level 3 | 0 | |
Transfers out of level 3 | (1,499) | (210,709) |
Purchases/Reclassifications | 14,657 | 1,559 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | 0 |
Proceeds from sales/redemptions | 0 | (362,199) |
Proceeds from settlement | (899) | (12,636) |
Total net gains/(losses) | ||
Included in net income | 3 | (43,030) |
Ending Balance | 15,362 | 3,100 |
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 3 | $ (106) |
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 | 0 | $ 1,074 |
Transfers: | ||
Transfers into level 3 | 0 | |
Transfers out of level 3 | 0 | (1,074) |
Purchases/Reclassifications | 3,778 | 0 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | 0 |
Proceeds from sales/redemptions | 0 | 0 |
Proceeds from settlement | 0 | 0 |
Total net gains/(losses) | ||
Included in net income | (383) | 0 |
Ending Balance | 3,395 | 0 |
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (383) | $ 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 | 0 | $ 366,566 |
Transfers: | ||
Transfers into level 3 | 0 | |
Transfers out of level 3 | (170,816) | |
Purchases/Reclassifications | 3,540 | |
Issuances of Securitized Debt | 0 | |
Capital distributions | 0 | |
Proceeds from sales/redemptions | (148,111) | |
Proceeds from settlement | (9,367) | |
Total net gains/(losses) | ||
Included in net income | (41,812) | |
Ending Balance | 0 | |
Total net gains/(losses) | ||
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 | 0 | $ 47,992 |
Transfers: | ||
Transfers into level 3 | 0 | |
Transfers out of level 3 | (22,055) | |
Purchases/Reclassifications | 0 | |
Issuances of Securitized Debt | 0 | |
Capital distributions | 0 | |
Proceeds from sales/redemptions | (21,995) | |
Proceeds from settlement | 0 | |
Total net gains/(losses) | ||
Included in net income | (3,942) | |
Ending Balance | 0 | |
Total net gains/(losses) | ||
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 | 125,508 | 158,686 |
Transfers: | ||
Transfers into level 3 | 0 | |
Transfers out of level 3 | 0 | 0 |
Purchases/Reclassifications | 5,100 | 33,254 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | 0 |
Proceeds from sales/redemptions | (74,342) | (36,924) |
Proceeds from settlement | (70,232) | (6,369) |
Total net gains/(losses) | ||
Included in net income | 13,966 | (23,139) |
Ending Balance | 0 | 125,508 |
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | (16,669) |
Excess Mortgage Servicing Rights | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 3,158 | 17,775 |
Transfers: | ||
Transfers into level 3 | 0 | |
Transfers out of level 3 | 0 | 0 |
Purchases/Reclassifications | 0 | 20 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | 0 |
Proceeds from sales/redemptions | (2,364) | (8,460) |
Proceeds from settlement | 0 | 0 |
Total net gains/(losses) | ||
Included in net income | (794) | (6,177) |
Ending Balance | 0 | 3,158 |
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | (2,564) |
AG Arc | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 45,341 | 28,546 |
Transfers: | ||
Transfers into level 3 | 0 | |
Transfers out of level 3 | 0 | 0 |
Purchases/Reclassifications | 0 | 0 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | (893) | (6,466) |
Proceeds from sales/redemptions | 0 | 0 |
Proceeds from settlement | 0 | 0 |
Total net gains/(losses) | ||
Included in net income | 8,987 | 23,261 |
Ending Balance | 53,435 | 45,341 |
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ 8,987 | $ 23,261 |
Fair value measurements - Sum_3
Fair value measurements - Summary of gains/(losses) recorded in the statement of operations (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Condensed Income Statements, Captions [Line Items] | ||
Gains/(losses) recorded in the consolidated statement of operations | $ 48,390 | $ (159,135) |
Unrealized gains/(losses) recorded in the consolidated statement of operations | 30,442 | (3,537) |
Net unrealized gain/(loss) | ||
Condensed Income Statements, Captions [Line Items] | ||
Gains/(losses) recorded in the consolidated statement of operations | 38,606 | (63,066) |
Unrealized gains/(losses) recorded in the consolidated statement of operations | 21,455 | (26,798) |
Net realized gain/(loss) | ||
Condensed Income Statements, Captions [Line Items] | ||
Gains/(losses) recorded in the consolidated statement of operations | 797 | (119,330) |
Equity in earnings/(loss) from affiliates | ||
Condensed Income Statements, Captions [Line Items] | ||
Gains/(losses) recorded in the consolidated statement of operations | 8,987 | 23,261 |
Unrealized gains/(losses) recorded in the consolidated statement of operations | $ 8,987 | $ 23,261 |
Fair value measurements - Sum_4
Fair value measurements - Summary of valuation techniques (Details) $ in Thousands | Dec. 31, 2021USD ($)$ / shares | Dec. 31, 2020USD ($)$ / shares |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 514,470 | $ 613,546 |
Derivative liabilities, at fair value | 92 | 68 |
Level 3 | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative liabilities, at fair value | $ (79) | |
Level 3 | Measurement Input, Discount Rate | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative liability, measurement input | 0.0302 | |
Level 3 | Measurement Input, Discount Rate | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative liability, measurement input | 0.0311 | |
Level 3 | Measurement Input, Discount Rate | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative liability, measurement input | 0.0303 | |
Level 3 | Measurement Input, Prepayment Rate | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative liability, measurement input | 0.1408 | |
Level 3 | Measurement Input, Prepayment Rate | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative liability, measurement input | 0.1514 | |
Level 3 | Measurement Input, Prepayment Rate | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative liability, measurement input | 0.1423 | |
Level 3 | Measurement Input, Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative liability, measurement input | 0.0015 | |
Level 3 | Measurement Input, Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative liability, measurement input | 0.0020 | |
Level 3 | Measurement Input, Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative liability, measurement input | 0.0015 | |
Level 3 | Measurement Input, Loss Severity | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative liability, measurement input | 0.1000 | |
Level 3 | Measurement Input, Loss Severity | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative liability, measurement input | 0.1000 | |
Level 3 | Measurement Input, Loss Severity | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative liability, measurement input | 0.1000 | |
Level 3 | Measurement Input, Pull Through Rate | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative liability, measurement input | 0.9000 | |
Level 3 | Measurement Input, Pull Through Rate | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative liability, measurement input | 0.9500 | |
Level 3 | Measurement Input, Pull Through Rate | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative liability, measurement input | 0.9069 | |
Level 3 | Residential Mortgage | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 1,465,523 | 105 |
Level 3 | Residential Mortgage | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | 4,405 | $ 6,598 |
Level 3 | Residential Mortgage | Recent Transaction | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 6,129 | |
Level 3 | Residential Mortgage | Measurement Input, Discount Rate | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0277 | 0.1000 |
Level 3 | Residential Mortgage | Measurement Input, Discount Rate | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0750 | 0.1000 |
Level 3 | Residential Mortgage | Measurement Input, Discount Rate | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0337 | 0.1000 |
Level 3 | Residential Mortgage | Measurement Input, Prepayment Rate | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0 | 0.0430 |
Level 3 | Residential Mortgage | Measurement Input, Prepayment Rate | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.2589 | 0.0430 |
Level 3 | Residential Mortgage | Measurement Input, Prepayment Rate | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1528 | 0.0430 |
Level 3 | Residential Mortgage | Measurement Input, Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0 | 0.0298 |
Level 3 | Residential Mortgage | Measurement Input, Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1537 | 0.0298 |
Level 3 | Residential Mortgage | Measurement Input, Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0030 | 0.0298 |
Level 3 | Residential Mortgage | Measurement Input, Loss Severity | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | (0.1486) | 0.0374 |
Level 3 | Residential Mortgage | Measurement Input, Loss Severity | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1000 | 0.0374 |
Level 3 | Residential Mortgage | Measurement Input, Loss Severity | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | (0.0997) | 0.0374 |
Level 3 | Residential Mortgage | Measurement Input, Offered Price | Minimum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 88.57 | 82.03 |
Level 3 | Residential Mortgage | Measurement Input, Offered Price | Maximum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 112.89 | 106.29 |
Level 3 | Residential Mortgage | Measurement Input, Offered Price | Weighted Average | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 102.59 | 99.96 |
Level 3 | Securitized Residential Mortgage | Discounted Cash Flow | Variable Interest Entity, Primary Beneficiary | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 1,158,134 | $ 426,604 |
Level 3 | Securitized Residential Mortgage | Measurement Input, Discount Rate | Minimum | Discounted Cash Flow | Variable Interest Entity, Primary Beneficiary | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0226 | 0.0450 |
Level 3 | Securitized Residential Mortgage | Measurement Input, Discount Rate | Maximum | Discounted Cash Flow | Variable Interest Entity, Primary Beneficiary | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1300 | 0.1000 |
Level 3 | Securitized Residential Mortgage | Measurement Input, Discount Rate | Weighted Average | Discounted Cash Flow | Variable Interest Entity, Primary Beneficiary | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0312 | 0.0501 |
Level 3 | Securitized Residential Mortgage | Measurement Input, Prepayment Rate | Minimum | Discounted Cash Flow | Variable Interest Entity, Primary Beneficiary | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0475 | 0.0430 |
Level 3 | Securitized Residential Mortgage | Measurement Input, Prepayment Rate | Maximum | Discounted Cash Flow | Variable Interest Entity, Primary Beneficiary | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1105 | 0.0931 |
Level 3 | Securitized Residential Mortgage | Measurement Input, Prepayment Rate | Weighted Average | Discounted Cash Flow | Variable Interest Entity, Primary Beneficiary | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0951 | 0.0729 |
Level 3 | Securitized Residential Mortgage | Measurement Input, Collateral Losses | Minimum | Discounted Cash Flow | Variable Interest Entity, Primary Beneficiary | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0038 | 0.0166 |
Level 3 | Securitized Residential Mortgage | Measurement Input, Collateral Losses | Maximum | Discounted Cash Flow | Variable Interest Entity, Primary Beneficiary | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0440 | 0.0575 |
Level 3 | Securitized Residential Mortgage | Measurement Input, Collateral Losses | Weighted Average | Discounted Cash Flow | Variable Interest Entity, Primary Beneficiary | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0083 | 0.0258 |
Level 3 | Securitized Residential Mortgage | Measurement Input, Loss Severity | Minimum | Discounted Cash Flow | Variable Interest Entity, Primary Beneficiary | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | (0.1808) | (0.0929) |
Level 3 | Securitized Residential Mortgage | Measurement Input, Loss Severity | Maximum | Discounted Cash Flow | Variable Interest Entity, Primary Beneficiary | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.2911 | 0.4943 |
Level 3 | Securitized Residential Mortgage | Measurement Input, Loss Severity | Weighted Average | Discounted Cash Flow | Variable Interest Entity, Primary Beneficiary | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1010 | 0.1568 |
Level 3 | Non-Agency RMBS | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 15,362 | $ 1,601 |
Level 3 | Non-Agency RMBS | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 1,499 | |
Level 3 | Non-Agency RMBS | Measurement Input, Discount Rate | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0342 | 0.0805 |
Level 3 | Non-Agency RMBS | Measurement Input, Discount Rate | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1500 | 0.0805 |
Level 3 | Non-Agency RMBS | Measurement Input, Discount Rate | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0532 | 0.0805 |
Level 3 | Non-Agency RMBS | Measurement Input, Prepayment Rate | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0570 | 0.0546 |
Level 3 | Non-Agency RMBS | Measurement Input, Prepayment Rate | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1299 | 0.0546 |
Level 3 | Non-Agency RMBS | Measurement Input, Prepayment Rate | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1263 | 0.0546 |
Level 3 | Non-Agency RMBS | Measurement Input, Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0023 | 0.0537 |
Level 3 | Non-Agency RMBS | Measurement Input, Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0266 | 0.0537 |
Level 3 | Non-Agency RMBS | Measurement Input, Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0035 | 0.0537 |
Level 3 | Non-Agency RMBS | Measurement Input, Loss Severity | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | (0.4398) | (0.2089) |
Level 3 | Non-Agency RMBS | Measurement Input, Loss Severity | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1000 | (0.2089) |
Level 3 | Non-Agency RMBS | Measurement Input, Loss Severity | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | (0.0732) | (0.2089) |
Level 3 | Non-Agency RMBS | Measurement Input, Offered Price | Minimum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 91.59 | |
Level 3 | Non-Agency RMBS | Measurement Input, Offered Price | Maximum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 91.59 | |
Level 3 | Non-Agency RMBS | Measurement Input, Offered Price | Weighted Average | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 91.59 | |
Level 3 | Non Agency, RMBS Interest Only | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, fair value | $ 3,395 | |
Level 3 | Non Agency, RMBS Interest Only | Measurement Input, Discount Rate | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1000 | |
Level 3 | Non Agency, RMBS Interest Only | Measurement Input, Discount Rate | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1250 | |
Level 3 | Non Agency, RMBS Interest Only | Measurement Input, Discount Rate | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1210 | |
Level 3 | Non Agency, RMBS Interest Only | Measurement Input, Prepayment Rate | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1299 | |
Level 3 | Non Agency, RMBS Interest Only | Measurement Input, Prepayment Rate | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1299 | |
Level 3 | Non Agency, RMBS Interest Only | Measurement Input, Prepayment Rate | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1299 | |
Level 3 | Non Agency, RMBS Interest Only | Measurement Input, Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0023 | |
Level 3 | Non Agency, RMBS Interest Only | Measurement Input, Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0023 | |
Level 3 | Non Agency, RMBS Interest Only | Measurement Input, Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0023 | |
Level 3 | Non Agency, RMBS Interest Only | Measurement Input, Loss Severity | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1000 | |
Level 3 | Non Agency, RMBS Interest Only | Measurement Input, Loss Severity | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1000 | |
Level 3 | Non Agency, RMBS Interest Only | Measurement Input, Loss Severity | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1000 | |
Level 3 | Commercial Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 125,508 | |
Level 3 | Commercial Loans | Measurement Input, Discount Rate | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1095 | |
Level 3 | Commercial Loans | Measurement Input, Discount Rate | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.3954 | |
Level 3 | Commercial Loans | Measurement Input, Discount Rate | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1409 | |
Level 3 | Commercial Loans | Measurement Input, Credit Spread | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1001 | |
Level 3 | Commercial Loans | Measurement Input, Credit Spread | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.3304 | |
Level 3 | Commercial Loans | Measurement Input, Credit Spread | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1279 | |
Level 3 | Commercial Loans | Measurement Input, Recovery Rate | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | |
Level 3 | Commercial Loans | Measurement Input, Recovery Rate | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | |
Level 3 | Commercial Loans | Measurement Input, Recovery Rate | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | |
Level 3 | Commercial Loans | Measurement Input, Loan-To-Value | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.4360 | |
Level 3 | Commercial Loans | Measurement Input, Loan-To-Value | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.9750 | |
Level 3 | Commercial Loans | Measurement Input, Loan-To-Value | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.6204 | |
Level 3 | Excess Mortgage Servicing Rights | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, fair value | $ 3,073 | |
Level 3 | Excess Mortgage Servicing Rights | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, fair value | $ 85 | |
Level 3 | Excess Mortgage Servicing Rights | Measurement Input, Discount Rate | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.0900 | |
Level 3 | Excess Mortgage Servicing Rights | Measurement Input, Discount Rate | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.0970 | |
Level 3 | Excess Mortgage Servicing Rights | Measurement Input, Discount Rate | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.0908 | |
Level 3 | Excess Mortgage Servicing Rights | Measurement Input, Prepayment Rate | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.1111 | |
Level 3 | Excess Mortgage Servicing Rights | Measurement Input, Prepayment Rate | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.1551 | |
Level 3 | Excess Mortgage Servicing Rights | Measurement Input, Prepayment Rate | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.1249 | |
Level 3 | Excess Mortgage Servicing Rights | Measurement Input, Offered Price | Minimum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | $ / shares | 0.25 | |
Level 3 | Excess Mortgage Servicing Rights | Measurement Input, Offered Price | Maximum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | $ / shares | 0.25 | |
Level 3 | Excess Mortgage Servicing Rights | Measurement Input, Offered Price | Weighted Average | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | $ / shares | 0.25 | |
Level 3 | AG Arc | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 53,435 | $ 45,341 |
Level 3 | AG Arc | Measurement Input, Book Value Multiple | Minimum | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1.06 | 1.05 |
Level 3 | AG Arc | Measurement Input, Book Value Multiple | Maximum | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1.06 | 1.05 |
Level 3 | AG Arc | Measurement Input, Book Value Multiple | Weighted Average | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1.06 | 1.05 |
Level 3 | Securitized Debt | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, fair value | $ (999,215) | $ (355,159) |
Level 3 | Securitized Debt | Measurement Input, Discount Rate | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0156 | 0.0245 |
Level 3 | Securitized Debt | Measurement Input, Discount Rate | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0449 | 0.0550 |
Level 3 | Securitized Debt | Measurement Input, Discount Rate | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0215 | 0.0298 |
Level 3 | Securitized Debt | Measurement Input, Prepayment Rate | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0586 | 0.0590 |
Level 3 | Securitized Debt | Measurement Input, Prepayment Rate | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1105 | 0.0820 |
Level 3 | Securitized Debt | Measurement Input, Prepayment Rate | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0966 | 0.0717 |
Level 3 | Securitized Debt | Measurement Input, Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0038 | 0.0194 |
Level 3 | Securitized Debt | Measurement Input, Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0293 | 0.0346 |
Level 3 | Securitized Debt | Measurement Input, Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0083 | 0.0262 |
Level 3 | Securitized Debt | Measurement Input, Loss Severity | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0636 | 0.1270 |
Level 3 | Securitized Debt | Measurement Input, Loss Severity | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1289 | 0.2003 |
Level 3 | Securitized Debt | Measurement Input, Loss Severity | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1015 | 0.1675 |
Financing arrangements - Summar
Financing arrangements - Summary of financing arrangements (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Repurchase Agreements | ||
Carrying Value | $ 1,777,743,000 | $ 500,914,000 |
Weighted Average Funding Cost | 1.75% | |
Weighted Average Life | 3 months 29 days | |
Collateral, Amortized Cost Basis | $ 2,012,985,000 | |
Collateral, Fair Value | $ 2,033,786,000 | |
Weighted Average Funding Cost | 1.75% | |
Weighted Average Life | 3 months 29 days | |
Collateral, Amortized Cost Basis | $ 2,012,985,000 | |
Collateral, Fair Value | 2,033,786,000 | |
Financing arrangements | 1,777,743,000 | 564,047,000 |
Cash pledged (i.e., restricted cash) under repurchase agreements | 5,000,000 | |
Revolving Credit Facility | Commercial Loans | ||
Repurchase Agreements | ||
Long-term Debt | $ 0 | 63,133,000 |
Weighted Average Funding Cost | 0.00% | |
Collateral, Amortized Cost Basis | $ 0 | |
Collateral, Fair Value | 0 | |
Residential Mortgage | ||
Repurchase Agreements | ||
Carrying Value | $ 1,286,287,000 | 0 |
Weighted Average Funding Cost | 2.25% | |
Weighted Average Life | 4 months 24 days | |
Collateral, Amortized Cost Basis | $ 1,459,876,000 | |
Collateral, Fair Value | $ 1,469,358,000 | |
Debt interest rate | 2.18% | |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Repurchase Agreements | ||
Carrying Value | $ 71,308,000 | 25,590,000 |
Weighted Average Funding Cost | 1.90% | |
Weighted Average Life | 1 month 20 days | |
Collateral, Amortized Cost Basis | $ 102,292,000 | |
Collateral, Fair Value | 119,947,000 | |
Agency RMBS | ||
Repurchase Agreements | ||
Carrying Value | $ 409,935,000 | 435,893,000 |
Weighted Average Funding Cost | 0.15% | |
Weighted Average Life | 1 month 17 days | |
Collateral, Amortized Cost Basis | $ 432,652,000 | |
Collateral, Fair Value | 426,486,000 | |
Non-Agency RMBS | ||
Repurchase Agreements | ||
Carrying Value | $ 10,213,000 | 14,550,000 |
Weighted Average Funding Cost | 1.85% | |
Weighted Average Life | 1 month 13 days | |
Collateral, Amortized Cost Basis | $ 18,165,000 | |
Collateral, Fair Value | 17,995,000 | |
Non-QM Loans | Counterparty One and Two | ||
Repurchase Agreements | ||
Line of credit facility, maximum borrowing capacity | 1,300,000,000 | |
GSE Non-Owner Occupied Loans | Counterparty One and Two | ||
Repurchase Agreements | ||
Line of credit facility, maximum borrowing capacity | 1,000,000,000 | |
CMBS | ||
Repurchase Agreements | ||
Carrying Value | $ 0 | $ 24,881,000 |
Weighted Average Funding Cost | 0.00% | |
Collateral, Amortized Cost Basis | $ 0 | |
Collateral, Fair Value | $ 0 |
Financing arrangements - Summ_2
Financing arrangements - Summary of repurchase agreements (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 1,777,743 | $ 500,914 |
Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 414,207 | |
Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 422,261 | |
Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 941,275 | |
Residential Mortgage | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 1,286,287 | 0 |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 71,308 | 25,590 |
Residential Mortgage | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 345,012 | |
Residential Mortgage | Within 30 Days | Variable Interest Entity, Primary Beneficiary | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 17,957 | |
Residential Mortgage | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Residential Mortgage | Over 30 Days to 3 Months | Variable Interest Entity, Primary Beneficiary | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 53,351 | |
Residential Mortgage | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 941,275 | |
Residential Mortgage | Over 3 Months to 12 Months | Variable Interest Entity, Primary Beneficiary | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Agency RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 409,935 | 435,893 |
Agency RMBS | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 51,238 | |
Agency RMBS | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 358,697 | |
Agency RMBS | Over 3 Months to 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 | 10,213 | $ 14,550 |
Non-Agency RMBS | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Non-Agency RMBS | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 10,213 | |
Non-Agency RMBS | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 0 |
Financing arrangements - Narrat
Financing arrangements - Narrative (Details) - counterparty | Dec. 31, 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 | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Credit Suisse AG, Cayman Islands Branch | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 129,526 | $ 26,305 |
Weighted Average Maturity (days) | 101 days | 35 days |
Percentage of Stockholders' Equity | 22.70% | 6.40% |
Barclays Capital Inc. | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 89,230 | $ 24,890 |
Weighted Average Maturity (days) | 23 days | 15 days |
Percentage of Stockholders' Equity | 15.60% | 6.10% |
BofA Securities, Inc. | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 33,153 | $ 28,091 |
Weighted Average Maturity (days) | 317 days | 19 days |
Percentage of Stockholders' Equity | 5.80% | 6.90% |
Other assets and liabilities -
Other assets and liabilities - Summary of other assets and liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020 |
Other assets | ||
Interest receivable | $ 14,263 | $ 2,962 |
Derivative assets, at fair value | 231 | 0 |
Due from broker | 1,887 | 907 |
Excess mortgage servicing rights, at fair value | 0 | 3,158 |
Other assets | 4,519 | 5,538 |
Total Other assets | 20,900 | 12,565 |
Other liabilities | ||
Due to affiliates | 4,106 | 14,041 |
Interest payable | 2,925 | 853 |
Derivative liabilities, at fair value | 92 | 68 |
Purchase Price Payable on GSE Non-Owner Occupied Loans | 87 | 0 |
Due to broker | 990 | 1,272 |
Accrued expenses | 2,169 | 2,521 |
Total Other liabilities | $ 10,369 | $ 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 | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Interest Rate Swap | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | $ 231 | $ 0 |
Derivative liabilities, at fair value | 0 | (68) |
Derivative asset, reduction related to variation margin | 19,600 | 1,400 |
Derivative liability, reduction related to variation margin | 900 | 200 |
TBAs | ||
Derivatives, Fair Value [Line Items] | ||
Derivative liabilities, at fair value | (13) | 0 |
Forward Purchase Commitment | ||
Derivatives, Fair Value [Line Items] | ||
Derivative liabilities, at fair value | $ (79) | $ 0 |
Other assets and liabilities _3
Other assets and liabilities - Summary of information related to derivatives and other instruments (Details) | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2021 | Dec. 31, 2021USD ($) | Dec. 31, 2021GBP (£) | Dec. 31, 2020USD ($) | |
Derivative [Line Items] | ||||
Derivative, remaining maturity | 5 years 11 months 26 days | 5 years 6 months 3 days | ||
Derivative pay interest rate | 0.85% | 0.85% | 0.49% | |
Derivative receivable interest rate | 0.15% | 0.15% | 0.23% | |
British Pound Futures | ||||
Derivative [Line Items] | ||||
Derivative, notional amount | £ | £ 62,500 | |||
Long | Interest Rate Swap | USD | ||||
Derivative [Line Items] | ||||
Derivative, notional amount | $ 888,500,000 | $ 417,000,000 | ||
Long | Forward Purchase Commitment | USD | ||||
Derivative [Line Items] | ||||
Derivative, notional amount | 25,292,000 | 0 | ||
Short | TBAs | USD | ||||
Derivative [Line Items] | ||||
Derivative, notional amount | 385,963,000 | 0 | ||
British Pound Futures | Short | GBP | ||||
Derivative [Line Items] | ||||
Derivative, notional amount | $ 0 | $ 3,313,000 |
Other assets and liabilities _4
Other assets and liabilities - Narrative (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Cash as collateral for certain derivatives | $ 25.7 | $ 10.8 |
Cash posted as collateral by company | 7 | 9.7 |
Cash pledged as collateral against derivatives related to variation margin | $ 18.7 | $ 1.1 |
Other assets and liabilities _5
Other assets and liabilities - Summary of gains/(losses) related to derivatives and other instruments (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net unrealized gain/(loss) | $ 19,137 | $ (9,864) |
Net realized gain/(loss) | 6,106 | (62,837) |
Total income/(loss) | 25,243 | (72,701) |
Interest Rate Swap | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net unrealized gain/(loss) | 19,165 | (10,276) |
Net realized gain/(loss) | 4,888 | (65,368) |
Swaptions, at fair value | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net unrealized gain/(loss) | 0 | 354 |
Net realized gain/(loss) | 0 | (2,437) |
TBAs | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net unrealized gain/(loss) | (13) | 0 |
Net realized gain/(loss) | 1,383 | 4,610 |
Forward Contracts | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net unrealized gain/(loss) | (79) | 0 |
British Pound Futures | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net unrealized gain/(loss) | 64 | 38 |
Net realized gain/(loss) | (165) | 259 |
Euro Future | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net unrealized gain/(loss) | 0 | 20 |
Net realized gain/(loss) | 0 | 68 |
US Treasury Securities | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net realized gain/(loss) | $ 0 | $ 31 |
Other assets and liabilities _6
Other assets and liabilities - Summary of TBAs (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
To Be Announced Securities [Roll Forward] | ||
Net Receivable/(Payable) from/to Broker | $ (990) | $ (1,272) |
Derivative Asset | 19,781 | 1,356 |
Derivative Liability | (92) | (68) |
TBAs | Short | ||
To Be Announced Securities [Roll Forward] | ||
Beginning Notional Amount | 0 | |
Buys or Covers | 1,390,550 | |
Sales or Shorts | (1,776,513) | |
Ending Net Notional Amount | (385,963) | 0 |
Net Fair Value as of Period End | (394,225) | |
Net Receivable/(Payable) from/to Broker | (394,212) | |
Derivative Liability | (13) | |
TBAs | Long | ||
To Be Announced Securities [Roll Forward] | ||
Beginning Notional Amount | $ 0 | 0 |
Buys or Covers | 728,000 | |
Sales or Shorts | (728,000) | |
Ending Net Notional Amount | 0 | |
Net Fair Value as of Period End | 0 | |
Net Receivable/(Payable) from/to Broker | 0 | |
Derivative Liability | $ 0 |
Earnings per share - Narrative
Earnings per share - Narrative (Details) | Dec. 15, 2021$ / shares | Sep. 15, 2021$ / shares | Jul. 22, 2021shares | Jul. 12, 2021 | Jun. 15, 2021$ / shares | Mar. 22, 2021$ / shares | Dec. 22, 2020$ / shares | Dec. 31, 2021$ / sharesshares | Nov. 05, 2021$ / shares | Jul. 30, 2021$ / shares | Jul. 28, 2021shares | May 17, 2021$ / shares | Feb. 16, 2021$ / shares | Dec. 31, 2020$ / sharesshares | Dec. 17, 2020$ / shares | Nov. 06, 2020$ / shares | Feb. 14, 2020$ / shares |
Class of Warrant or Right [Line Items] | |||||||||||||||||
Reverse stock split ratio | 0.3333 | 0.3333 | |||||||||||||||
Unvested restricted stock units previously granted to the manager (in shares) | shares | 48,510,978 | 23,908,000 | 16,170,312 | 13,811,000 | |||||||||||||
Dividends declared per share (in dollars per share) | $ 0.21 | $ 0.21 | $ 0.21 | $ 0.18 | $ 0.09 | $ 0.81 | |||||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | |||||||||||||||||
Class of Warrant or Right [Line Items] | |||||||||||||||||
Dividend per share (in dollars per share) | 2.06252 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 2.06252 | $ 1.54689 | $ 1.54689 | $ 0.51563 | ||||||||
8.00% Series B Cumulative Redeemable Preferred Stock | |||||||||||||||||
Class of Warrant or Right [Line Items] | |||||||||||||||||
Dividend per share (in dollars per share) | 2 | 0.50 | 0.50 | 0.50 | 0.50 | 2 | 1.50 | 1.50 | 0.50 | ||||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||||||||||||||
Class of Warrant or Right [Line Items] | |||||||||||||||||
Dividend per share (in dollars per share) | $ 2 | $ 0.50 | $ 0.50 | $ 0.50 | $ 0.50 | $ 2 | $ 1.50 | $ 1.50 | $ 0.50 | ||||||||
Manager | Restricted Stock Units (RSUs) | |||||||||||||||||
Class of Warrant or Right [Line Items] | |||||||||||||||||
Unvested restricted stock units previously granted to the manager (in shares) | shares | 0 | 0 |
Earnings per share - Summary of
Earnings per share - Summary of earnings per share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||||
Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | ||||
Numerator: | |||||||||||||
Net income/(loss) from continuing operations | $ 40,686 | $ 20,046 | $ 2,700 | $ (485,017) | $ 104,186 | $ (421,585) | |||||||
Gain on Exchange Offers, net | $ 0 | $ 0 | $ 114 | $ 358 | 10,035 | 539 | 0 | 0 | 472 | 10,574 | |||
Dividends on preferred stock | (18,785) | (20,549) | |||||||||||
Net income/(loss) from continuing operations available to common stockholders | 85,873 | (431,560) | |||||||||||
Net Income/(Loss) from Discontinued Operations | 305 | 0 | 361 | 0 | 0 | 666 | |||||||
Net Income/(Loss) Available to Common Stockholders | $ 6,279 | $ 29,993 | $ 10,918 | $ 38,683 | $ 47,374 | $ 15,022 | $ (2,606) | $ (490,684) | $ 85,873 | $ (430,894) | |||
Denominator: | |||||||||||||
Basic weighted average common shares outstanding (in shares) | [1] | 16,234 | 11,730 | ||||||||||
Diluted weighted average common shares outstanding (in shares) | [1] | 16,234 | 11,730 | ||||||||||
Earnings/(Loss) Per Share - Basic | |||||||||||||
Continuing Operations (in dollars per share) | $ 3.47 | $ 1.31 | $ (0.27) | $ (44.98) | $ 5.29 | [1] | $ (36.79) | [1] | |||||
Discontinued Operations (in dollars per share) | 0.02 | 0 | 0.03 | 0 | 0 | [1] | 0.06 | [1] | |||||
Basic Earnings/(Loss) Per Share of Common Stock (in dollars per share) | $ 0.33 | $ 1.87 | $ 0.70 | $ 2.74 | 3.49 | 1.31 | (0.24) | (44.98) | 5.29 | [1] | (36.73) | [1] | |
Earnings/(Loss) Per Share - Diluted | |||||||||||||
Continuing Operations (in dollars per share) | 3.47 | 1.31 | (0.27) | (44.98) | 5.29 | [1] | (36.79) | [1] | |||||
Discontinued Operations (in dollars per share) | 0.02 | 0 | 0.03 | 0 | 0 | [1] | 0.06 | [1] | |||||
Diluted Earnings/(Loss) Per Share of Common Stock (in dollars per share) | $ 0.33 | $ 1.87 | $ 0.70 | $ 2.74 | $ 3.49 | $ 1.31 | $ (0.24) | $ (44.98) | $ 5.29 | [1] | $ (36.73) | [1] | |
[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. |
Earnings per share - Summary _2
Earnings per share - Summary of common stock dividends (Details) - $ / shares | Dec. 15, 2021 | Sep. 15, 2021 | Jun. 15, 2021 | Mar. 22, 2021 | Dec. 22, 2020 | Dec. 31, 2021 |
Earnings Per Share [Abstract] | ||||||
Dividends declared per share (in dollars per share) | $ 0.21 | $ 0.21 | $ 0.21 | $ 0.18 | $ 0.09 | $ 0.81 |
Earnings per share - Summary _3
Earnings per share - Summary of preferred stock dividends (Details) - $ / shares | 12 Months Ended | ||||||||
Dec. 31, 2021 | Nov. 05, 2021 | Jul. 30, 2021 | May 17, 2021 | Feb. 16, 2021 | Dec. 31, 2020 | Dec. 17, 2020 | Nov. 06, 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% | ||||||||
Dividend per share (in dollars per share) | $ 2.06252 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 2.06252 | $ 1.54689 | $ 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% | ||||||||
Dividend per share (in dollars per share) | $ 2 | 0.50 | 0.50 | 0.50 | 0.50 | 2 | 1.50 | 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% | ||||||||
Dividend per share (in dollars per share) | $ 2 | $ 0.50 | $ 0.50 | $ 0.50 | $ 0.50 | $ 2 | $ 1.50 | $ 1.50 | $ 0.50 |
Income taxes - Narrative (Detai
Income taxes - Narrative (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Income Tax Disclosure [Abstract] | ||
Excise tax expenses (reversal) | $ 0 | $ (800,000) |
Related party transactions - Na
Related party transactions - Narrative (Details) | Nov. 22, 2021USD ($)shares | Apr. 07, 2021shares | Jan. 29, 2021USD ($) | Jan. 01, 2021USD ($) | Dec. 31, 2020USD ($) | Sep. 24, 2020USD ($)shares | Aug. 31, 2020USD ($)$ / shares | Apr. 15, 2020shares | Nov. 30, 2021USD ($)trusts | Jul. 30, 2021USD ($) | Feb. 24, 2022USD ($) | Dec. 31, 2021USD ($)directorshares | Sep. 30, 2021USD ($) | Jun. 30, 2021USD ($) | Mar. 31, 2021USD ($) | Dec. 31, 2020USD ($) | Sep. 30, 2020USD ($) | Jun. 30, 2020USD ($) | Mar. 31, 2020USD ($) | Dec. 31, 2021USD ($)directorshares | Dec. 31, 2020USD ($)shares | Oct. 31, 2021USD ($) | May 05, 2021USD ($) | Apr. 30, 2021USD ($) | Oct. 31, 2020USD ($) | Jul. 31, 2020USD ($) | Apr. 10, 2020USD ($) | Apr. 03, 2020 | Feb. 29, 2020USD ($) |
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Management fee percentage | 1.50% | 1.50% | |||||||||||||||||||||||||||
Management fee to affiliate | $ 1,800,000 | $ 1,693,000 | $ 1,667,000 | $ 1,654,000 | $ 1,656,000 | $ 1,698,000 | $ 1,678,000 | $ 2,149,000 | $ 6,814,000 | $ 7,181,000 | |||||||||||||||||||
Management fee payable | $ 1,700,000 | $ 1,800,000 | 1,700,000 | 1,800,000 | 1,700,000 | ||||||||||||||||||||||||
Value of shares issued for services (in dollars per share) | $ / shares | $ 9.45 | ||||||||||||||||||||||||||||
Common stock sold in public offering (in shares) | shares | 7,000,000 | ||||||||||||||||||||||||||||
Reimbursement of expenses | $ 6,300,000 | 7,400,000 | |||||||||||||||||||||||||||
Director's fee | $ 150,000 | 160,000 | |||||||||||||||||||||||||||
Directors fees paid in cash | 70,000 | ||||||||||||||||||||||||||||
Directors fees paid in common stock | $ 80,000 | ||||||||||||||||||||||||||||
Number of independent directors | director | 4 | 4 | |||||||||||||||||||||||||||
Remaining equity percentage | 35.00% | ||||||||||||||||||||||||||||
Total Commitment | $ 107,632,000 | ||||||||||||||||||||||||||||
Fees paid to asset manager | 2,200,000 | 2,700,000 | |||||||||||||||||||||||||||
Proceeds from sale of excess mortgage servicing rights | 2,246,000 | 8,038,000 | |||||||||||||||||||||||||||
Loan securitization, ownership interest | 45.00% | 40.90% | 45.00% | 44.60% | 44.60% | ||||||||||||||||||||||||
Investments in debt and equity of affiliates | 150,667,000 | $ 92,023,000 | 150,667,000 | 92,023,000 | 150,667,000 | ||||||||||||||||||||||||
Call right options exercised | trusts | 2 | ||||||||||||||||||||||||||||
MATH | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Total Commitment | 22,295,000 | ||||||||||||||||||||||||||||
Investments in debt and equity of affiliates | 17,708,000 | $ 17,708,000 | |||||||||||||||||||||||||||
MATH | Subsequent Event | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Total Commitment | $ 15,600,000 | ||||||||||||||||||||||||||||
Agency Excess MSRs | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Proceeds from sale of excess mortgage servicing rights | $ 18,900,000 | $ 9,900,000 | |||||||||||||||||||||||||||
Principal amount outstanding of Excess MSRs | 3,500,000,000 | 2,000,000,000 | |||||||||||||||||||||||||||
AG Arc LLC | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Excess MSRs, fair value | 3,500,000 | 3,500,000 | 3,500,000 | ||||||||||||||||||||||||||
AG Mortgage Investment Trust, Inc. | Agency Excess MSRs | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Proceeds from sale of excess mortgage servicing rights | 8,500,000 | 2,700,000 | |||||||||||||||||||||||||||
July 2020 Selling Affiliates | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Investments in debt and equity of affiliates | $ 1,900,000 | ||||||||||||||||||||||||||||
October 2020 Selling Affiliates | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Investments in debt and equity of affiliates | $ 500,000 | ||||||||||||||||||||||||||||
April 2021 Selling Affiliates | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Investments in debt and equity of affiliates | $ 16,800,000 | ||||||||||||||||||||||||||||
March 2021 Acquiring Affiliate | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Investments in debt and equity of affiliates | $ 6,900,000 | ||||||||||||||||||||||||||||
October 2021 Acquiring Affiliate | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Investments in debt and equity of affiliates | $ 3,500,000 | ||||||||||||||||||||||||||||
Base Management Fee Q1 & Q2 2020 | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Management fee payable | $ 3,800,000 | ||||||||||||||||||||||||||||
Base Management Fee Q3 2020 | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Management fee payable | $ 500,000 | ||||||||||||||||||||||||||||
Incentive Fee To Manager | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Renewal period | 1 year | ||||||||||||||||||||||||||||
Incentive Fee To Manager | Limited Liability Company | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Annual incentive fee | 15.00% | ||||||||||||||||||||||||||||
Cumulative hurdle percentage | 8.00% | ||||||||||||||||||||||||||||
Equity hurdle base amount | $ 80,000,000 | ||||||||||||||||||||||||||||
Reimbursement To Manager | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Amount due to related party | $ 1,800,000 | 2,100,000 | $ 1,800,000 | $ 2,100,000 | 1,800,000 | ||||||||||||||||||||||||
Reimbursement To Manager Waived | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Amount of related party transaction | 800,000 | ||||||||||||||||||||||||||||
MATH LLC Agreement | MATH | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Total Commitment | $ 50,000,000 | ||||||||||||||||||||||||||||
MATH LLC Agreement | MATH | Subsequent Event | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Total Commitment | 35,000,000 | ||||||||||||||||||||||||||||
Non-QM Loans | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Loan securitization, fair value | $ 226,000,000 | $ 225,900,000 | $ 25,700,000 | $ 171,400,000 | $ 348,200,000 | ||||||||||||||||||||||||
Non-QM Loans | Subsequent Event | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Loan securitization, fair value | 301,700,000 | ||||||||||||||||||||||||||||
Non-QM Loans | AG Arc LLC | Company | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Balance of loans with unpaid principal sold | 613,700,000 | ||||||||||||||||||||||||||||
Non-QM Loans | AG Arc LLC | Affiliate Of Manager | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Balance of loans with unpaid principal sold | 613,300,000 | 57,400,000 | |||||||||||||||||||||||||||
Senior Tranches | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Loan securitization, fair value | $ 44,000,000 | $ 24,300,000 | $ 26,600,000 | $ 44,000,000 | |||||||||||||||||||||||||
Excess Mortgage Servicing Rights | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Loan securitization, fair value | $ 20,000 | ||||||||||||||||||||||||||||
GSE Non-Owner Occupied Loans | Subsequent Event | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Loan securitization, fair value | $ 474,900,000 | ||||||||||||||||||||||||||||
GSE Non-Owner Occupied Loans | AG Arc LLC | Company | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Balance of loans with unpaid principal sold | 198,900,000 | ||||||||||||||||||||||||||||
CMBS | Affiliate Of Manager | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Proceeds from sale of loans | $ 17,600,000 | ||||||||||||||||||||||||||||
Residential Mortgage | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Debt interest rate | 2.18% | 2.18% | |||||||||||||||||||||||||||
Residential Mortgage | Company | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Proceeds from sale of loans | 181,800,000 | ||||||||||||||||||||||||||||
Residential Mortgage | Private Fund | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Proceeds from sale of loans | $ 183,600,000 | ||||||||||||||||||||||||||||
Restricted Stock | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Unrecognized compensation cost | $ 0 | $ 0 | |||||||||||||||||||||||||||
Fair value of units and shares vested | 300,000 | 800,000 | |||||||||||||||||||||||||||
Capitalized equity based compensation expense | $ 300,000 | $ 600,000 | |||||||||||||||||||||||||||
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 | 599,312 | 599,312 | |||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
Manager | Promissory Note | Senior Notes | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Debt face amount | $ 10,000,000 | ||||||||||||||||||||||||||||
Debt interest rate | 6.00% | ||||||||||||||||||||||||||||
Manager | Incentive Fee To Manager | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Common stock sold in public offering (in shares) | shares | 700,000 | ||||||||||||||||||||||||||||
Manager | 2011 Equity Incentive Plan | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 13,416 | ||||||||||||||||||||||||||||
Manager | 2011 Equity Incentive Plan | Restricted Stock | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 40,000 | ||||||||||||||||||||||||||||
Director | 2011 Equity Incentive Plan | Restricted Stock | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 35,264 | ||||||||||||||||||||||||||||
Director | 2020 Equity Incentive Plan | Restricted Stock | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 67,354 | ||||||||||||||||||||||||||||
Common Stock | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Total restricted stock and restricted stock units vested (in shares) | shares | 27,247 | 48,930 | |||||||||||||||||||||||||||
Common Stock | Base Management Fee Q1 & Q2 2020 | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Stock issued for services (in shares) | shares | 405,123 | ||||||||||||||||||||||||||||
Common Stock | Base Management Fee Q3 2020 | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Stock issued for services (in shares) | shares | 51,500 | ||||||||||||||||||||||||||||
Maximum | Manager Equity Incentive Plan | |||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||
Value of shares granted in fiscal year | $ 300,000 |
Related party transactions - Sc
Related party transactions - Schedule of restricted stock awards and restricted stock units activity (Details) - Restricted Stock - $ / shares | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2020 | |
Shares of Restricted Stock and Restricted Stock Units | ||
Outstanding at beginning of year (in shares) | 73,477 | 37,885 |
Granted (in shares) | 27,247 | 42,261 |
Cancelled/forfeited (in shares) | 0 | 0 |
Unrestricted (in shares) | 0 | (6,669) |
Outstanding at end of year (in shares) | 100,724 | 73,477 |
Unvested at end of year (in shares) | 0 | 0 |
Weighted Average Grant Date Fair Value | ||
Outstanding at beginning of year (in dollars per share) | $ 30.35 | $ 56.73 |
Granted (in dollars per share) | 11.26 | 10.68 |
Cancelled/forfeited (in dollars per share) | 0 | 0 |
Unrestricted (in dollars per share) | 0 | 55.59 |
Outstanding at end of year (in dollars per share) | 25.19 | 30.35 |
Unvested at end of year (in dollars per share) | $ 0 | $ 0 |
Related party transactions - _2
Related party transactions - Schedule of investments in debt and equity of affiliates (Details) - USD ($) | 3 Months Ended | 12 Months Ended | ||||||||
Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | ||||||||||
Investments in debt and equity of affiliates | $ 92,023,000 | $ 150,667,000 | $ 92,023,000 | $ 150,667,000 | ||||||
Equity in earnings/(loss) from affiliates | (2,607,000) | $ 6,882,000 | $ 1,278,000 | $ 26,336,000 | 21,942,000 | $ 17,187,000 | $ 3,434,000 | $ (44,192,000) | 31,889,000 | (1,629,000) |
Consolidation, Eliminations | ARC Home LLC | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Gross profit | 5,300,000 | 0 | ||||||||
ARC Home LLC | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Investments in debt and equity of affiliates | 53,435,000 | 45,341,000 | 53,435,000 | 45,341,000 | ||||||
Equity in earnings/(loss) from affiliates | 3,681,000 | 23,260,000 | ||||||||
MSR change in fair value | (2,300,000) | |||||||||
ARC Home LLC | Lending And Servicing | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Equity in earnings/(loss) from affiliates | 5,400,000 | |||||||||
Non-QM Loans | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Equity in earnings/(loss) from affiliates | 12,594,000 | (26,511,000) | ||||||||
Land Related Financing | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Equity in earnings/(loss) from affiliates | 2,455,000 | 2,620,000 | ||||||||
Re- and Non-Performing Loans | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Equity in earnings/(loss) from affiliates | 13,191,000 | 2,483,000 | ||||||||
Other | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Equity in earnings/(loss) from affiliates | (32,000) | (3,481,000) | ||||||||
Real Estate Securities | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Equity in earnings/(loss) from affiliates | 28,208,000 | (24,889,000) | ||||||||
Assets | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Investments in debt and equity of affiliates | 129,159,000 | 268,584,000 | 129,159,000 | 268,584,000 | ||||||
Cash and Other assets/(liabilities) | 3,698,000 | 5,279,000 | 3,698,000 | 5,279,000 | ||||||
Assets | ARC Home LLC | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Investments in debt and equity of affiliates | 53,435,000 | 45,341,000 | 53,435,000 | 45,341,000 | ||||||
Assets | Non-QM Loans | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 45,837,000 | 153,200,000 | 45,837,000 | 153,200,000 | ||||||
Assets | Land Related Financing | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 16,891,000 | 22,824,000 | 16,891,000 | 22,824,000 | ||||||
Assets | Re- and Non-Performing Loans | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 9,298,000 | 41,523,000 | 9,298,000 | 41,523,000 | ||||||
Assets | Other | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 0 | 417,000 | 0 | 417,000 | ||||||
Assets | Real Estate Securities | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 72,026,000 | 217,964,000 | 72,026,000 | 217,964,000 | ||||||
Liabilities | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Investments in debt and equity of affiliates | 37,136,000 | 117,917,000 | 37,136,000 | 117,917,000 | ||||||
Cash and Other assets/(liabilities) | 1,127,000 | 1,194,000 | 1,127,000 | 1,194,000 | ||||||
Liabilities | ARC Home LLC | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Investments in debt and equity of affiliates | 0 | 0 | 0 | 0 | ||||||
Liabilities | Non-QM Loans | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 30,471,000 | 111,135,000 | 30,471,000 | 111,135,000 | ||||||
Liabilities | Land Related Financing | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 0 | 0 | 0 | 0 | ||||||
Liabilities | Re- and Non-Performing Loans | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 5,538,000 | 5,588,000 | 5,538,000 | 5,588,000 | ||||||
Liabilities | Other | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 0 | 0 | 0 | 0 | ||||||
Liabilities | Real Estate Securities | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 36,009,000 | 116,723,000 | 36,009,000 | 116,723,000 | ||||||
Stockholders' Equity | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Investments in debt and equity of affiliates | 92,023,000 | 150,667,000 | 92,023,000 | 150,667,000 | ||||||
Cash and Other assets/(liabilities) | 2,571,000 | 4,085,000 | 2,571,000 | 4,085,000 | ||||||
Stockholders' Equity | Non-QM Loans | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 15,366,000 | 42,065,000 | 15,366,000 | 42,065,000 | ||||||
Stockholders' Equity | Land Related Financing | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 16,891,000 | 22,824,000 | 16,891,000 | 22,824,000 | ||||||
Stockholders' Equity | Re- and Non-Performing Loans | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 3,760,000 | 35,935,000 | 3,760,000 | 35,935,000 | ||||||
Stockholders' Equity | Other | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | 0 | 417,000 | 0 | 417,000 | ||||||
Stockholders' Equity | Real Estate Securities | ||||||||||
Related Party Transaction [Line Items] | ||||||||||
Real Estate Securities, Excess MSRs and Loans, at fair value | $ 36,017,000 | $ 101,241,000 | $ 36,017,000 | $ 101,241,000 |
Equity - Narrative (Details)
Equity - Narrative (Details) | Nov. 22, 2021USD ($)$ / sharesshares | Jul. 22, 2021shares | Jul. 12, 2021 | Jun. 14, 2021shares | Mar. 17, 2021shares | Oct. 02, 2020shares | Sep. 30, 2020shares | Sep. 24, 2020USD ($)shares | Aug. 14, 2020shares | May 05, 2017USD ($) | Oct. 31, 2021shares | Sep. 30, 2021shares | Aug. 31, 2021shares | Dec. 31, 2021USD ($)period$ / sharesshares | Dec. 31, 2020USD ($)shares | Dec. 31, 2020USD ($)shares | Jul. 28, 2021shares | Feb. 22, 2021USD ($) | Aug. 31, 2020$ / shares | May 02, 2018USD ($) | Nov. 03, 2015USD ($) | |||
Class of Stock [Line Items] | ||||||||||||||||||||||||
Reverse stock split ratio | 0.3333 | 0.3333 | ||||||||||||||||||||||
Common stock, shares outstanding (in shares) | 48,510,978 | 23,908,000 | 13,811,000 | 13,811,000 | 16,170,312 | |||||||||||||||||||
Authorized amount for stock repurchase | $ | $ 25,000,000 | |||||||||||||||||||||||
Shares repurchased (in shares) | 61,104 | 107,885 | 150,870 | 319,859 | 0 | |||||||||||||||||||
Net proceeds from issuance of common stock | $ | $ 93,134,000 | $ 11,333,000 | ||||||||||||||||||||||
Securities and capital available for issuance | $ | $ 1,000,000,000 | |||||||||||||||||||||||
Common stock sold in public offering (in shares) | 7,000,000 | |||||||||||||||||||||||
Common stock, shares issued (in shares) | 1,100,000 | |||||||||||||||||||||||
Share price (in dollars per share) | $ / shares | $ 9.98 | |||||||||||||||||||||||
Proceeds from offering | $ | $ 80,000,000 | |||||||||||||||||||||||
Value of preferred shares authorized | $ | $ 50,000,000 | |||||||||||||||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | |||||||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 9,120,000 | |||||||||||||||||||||||
Quarterly periods required to grant preferred stock voting rights | period | 6 | |||||||||||||||||||||||
Percent of votes needed to pass | 6667.00% | |||||||||||||||||||||||
Management fee payable | $ | $ 1,800,000 | 1,700,000 | $ 1,700,000 | |||||||||||||||||||||
Value of shares issued for services (in dollars per share) | $ / shares | $ 9.45 | |||||||||||||||||||||||
Preferred Repurchase Program | ||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||
Authorized amount for stock repurchase | $ | $ 20,000,000 | |||||||||||||||||||||||
Shares repurchased (in shares) | 0 | |||||||||||||||||||||||
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] | $ 90,000 | $ 12,000 | |||||||||||||||||||||
Net proceeds from issuance of stock (in shares) | [1] | 9,022,000 | 1,150,000 | |||||||||||||||||||||
Exchange offers (in shares) | 429,802 | 937,462 | 300,000 | 1,226,544 | 172,100 | 1,368,000 | [1] | 1,699,000 | [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 | |||||||||||||||||||||||
Sale Agents | ||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||
Net proceeds from issuance of common stock | $ | $ 100,000,000 | $ 13,100,000 | $ 7,100,000 | $ 48,300,000 | ||||||||||||||||||||
Net proceeds from issuance of stock (in shares) | 1,000,000 | 700,000 | 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 | 1,800,000 | 1,800,000 | |||||||||||||||||||||
Preferred stock, shares issued (in shares) | 1,700,000 | 1,800,000 | 1,800,000 | |||||||||||||||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | Preferred Stock | ||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||
Stock exchange offer, number of shares authorized to be exchanged (in shares) | 250,470 | |||||||||||||||||||||||
Exchange offers (in shares) | 0 | 153,325 | 0 | 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 | 4,200,000 | 4,200,000 | |||||||||||||||||||||
Preferred stock, shares issued (in shares) | 3,700,000 | 4,200,000 | 4,200,000 | |||||||||||||||||||||
8.00% Series B Cumulative Redeemable Preferred Stock | Preferred Stock | ||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||
Stock exchange offer, number of shares authorized to be exchanged (in shares) | 556,600 | |||||||||||||||||||||||
Exchange offers (in shares) | 86,478 | 350,609 | 0 | 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 | 3,900,000 | 3,900,000 | |||||||||||||||||||||
Preferred stock, shares issued (in shares) | 3,700,000 | 3,900,000 | 3,900,000 | |||||||||||||||||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Preferred Stock | ||||||||||||||||||||||||
Class of Stock [Line Items] | ||||||||||||||||||||||||
Stock exchange offer, number of shares authorized to be exchanged (in shares) | 556,600 | |||||||||||||||||||||||
Exchange offers (in shares) | 154,383 | 0 | 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 - Summary of Common Stoc
Equity - Summary of Common Stock Purchases (Details) | Jul. 22, 2021 | Jul. 12, 2021 | Oct. 31, 2021USD ($)$ / sharesshares | Sep. 30, 2021USD ($)$ / sharesshares | Aug. 31, 2021USD ($)$ / sharesshares | Dec. 31, 2021USD ($)$ / sharesshares | Dec. 31, 2020shares | Nov. 03, 2015USD ($) |
Equity [Abstract] | ||||||||
Total Number of Shares Purchased (in shares) | shares | 61,104 | 107,885 | 150,870 | 319,859 | 0 | |||
Weighted Average Price Paid per Share (in usd per share) | $ / shares | $ 11.59 | $ 11.39 | $ 10.72 | $ 11.11 | ||||
Total Number of Shares Purchased as Part of Publicly Announced Program (in shares) | shares | 566,995 | 505,891 | 398,006 | 566,995 | ||||
Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program | $ | $ 11,043,506 | $ 11,751,409 | $ 12,980,553 | $ 11,043,506 | ||||
Reverse stock split ratio | 0.3333 | 0.3333 | ||||||
Authorized amount for stock repurchase | $ | $ 25,000,000 |
Equity - Schedule of Preferred
Equity - Schedule of Preferred Stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 12 Months Ended | |
Dec. 31, 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 |
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 | |
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 | |
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 | |
Dividend percentage | 8.00% | |
Liquidation preference (in dollars per share) | $ 25 | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | London Interbank Offered Rate (LIBOR) | ||
Class of Stock [Line Items] | ||
Dividend percentage | 6.476% |
Equity - Summary of Exchange Of
Equity - Summary of Exchange Offers (Details) - USD ($) $ in Thousands | Jun. 14, 2021 | Mar. 17, 2021 | Oct. 02, 2020 | Sep. 30, 2020 | Aug. 14, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | |||
Class of Stock [Line Items] | ||||||||||
Total Preferred Stock Par Value | $ (10) | $ (8,545) | ||||||||
Repurchase of common stock | $ 0 | $ 0 | $ 1,670 | $ 6,337 | 3,555 | |||||
Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Exchange offers (in shares) | 103,260 | |||||||||
Total Preferred Stock Par Value | $ 6,022 | $ 12,598 | $ 6,500 | $ 26,058 | $ (18,006) | $ (33,979) | ||||
Common Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Exchange offers (in shares) | 429,802 | 937,462 | 300,000 | 1,226,544 | 172,100 | 1,368,000 | [1] | 1,699,000 | [1] | |
Total Preferred Stock Par Value | [1] | $ 14 | $ 17 | |||||||
Repurchase of common stock | [1] | $ 3 | ||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Exchange offers (in shares) | 0 | 153,325 | 0 | 210,662 | 42,820 | |||||
8.00% Series B Cumulative Redeemable Preferred Stock | Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Exchange offers (in shares) | 86,478 | 350,609 | 0 | 404,187 | 31,085 | |||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Exchange offers (in shares) | 154,383 | 0 | 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. |
Commitments and Contingencies -
Commitments and Contingencies - Narrative (Details) - USD ($) $ in Thousands | Mar. 25, 2020 | Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 |
Long-term Purchase Commitment [Line Items] | |||||||||||
Net realized gain/(loss) | $ (6,822) | $ 5,460 | $ (4,374) | $ 4,038 | $ (661) | $ 14,431 | $ 91,609 | $ 151,143 | $ (1,698) | $ 256,522 | |
Settled Litigation | |||||||||||
Long-term Purchase Commitment [Line Items] | |||||||||||
Net realized gain/(loss) | $ 11,600 | ||||||||||
AG MIT CMO v. RBC (Barbados) Trading Corp | Settled Litigation | |||||||||||
Long-term Purchase Commitment [Line Items] | |||||||||||
Payments for legal settlements | $ 5,000 | ||||||||||
Notes issued | $ 2,000 |
Commitments and Contingencies_2
Commitments and Contingencies - Schedule of Outstanding Commitments (Details) - USD ($) $ in Thousands | 2 Months Ended | 12 Months Ended |
Feb. 24, 2022 | Dec. 31, 2021 | |
Long-term Purchase Commitment [Line Items] | ||
Total Commitment | $ 107,632 | |
Funded Commitment | 54,978 | |
Remaining Commitment | 52,654 | |
MATH | ||
Long-term Purchase Commitment [Line Items] | ||
Total Commitment | 22,295 | |
Funded Commitment | 0 | |
Remaining Commitment | 22,295 | |
MATH | Subsequent Event | ||
Long-term Purchase Commitment [Line Items] | ||
Total Commitment | $ 15,600 | |
GSE Non-Owner Occupied Loans | ||
Long-term Purchase Commitment [Line Items] | ||
Total Commitment | 63,947 | |
Funded Commitment | 38,087 | |
Remaining Commitment | 25,860 | |
LOTS | ||
Long-term Purchase Commitment [Line Items] | ||
Total Commitment | 21,390 | |
Funded Commitment | 16,891 | |
Remaining Commitment | $ 4,499 |
Investments in unconsolidated_3
Investments in unconsolidated equity method affiliates - Schedule of Equity Method Investments (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Nov. 30, 2021 | Jul. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Aug. 31, 2020 | Feb. 29, 2020 | Dec. 31, 2019 | |
Assets: | |||||||||
Excess Mortgage Servicing Rights, At Fair Value | $ 0 | $ 3,158 | |||||||
Cash and cash equivalents | 68,079 | 47,926 | |||||||
Other assets | 20,900 | 12,565 | |||||||
Total Assets | 3,362,728 | 1,400,045 | |||||||
Liabilities: | |||||||||
Financing arrangements | 1,777,743 | 564,047 | |||||||
Securitized debt, at fair value (2) | [1] | 999,215 | 355,159 | ||||||
Other liabilities | 10,369 | 18,755 | |||||||
Total Liabilities | 2,792,348 | 990,340 | |||||||
Total Members' Equity | |||||||||
Total Equity | 570,380 | 409,705 | $ 849,046 | ||||||
Total Liabilities & Stockholders' Equity | 3,362,728 | 1,400,045 | |||||||
Investments in debt and equity of affiliates | 92,023 | 150,667 | |||||||
Loan securitization, ownership interest | 40.90% | 45.00% | 44.60% | 45.00% | 44.60% | ||||
Carrying Value | $ 1,777,743 | $ 500,914 | |||||||
LOTS I | |||||||||
Total Members' Equity | |||||||||
Loan securitization, ownership interest | 47.50% | ||||||||
LOTS II | |||||||||
Total Members' Equity | |||||||||
Loan securitization, ownership interest | 50.00% | ||||||||
ARC Home LLC | |||||||||
Total Members' Equity | |||||||||
Investments in debt and equity of affiliates | $ 53,435 | ||||||||
MATH | |||||||||
Total Members' Equity | |||||||||
Investments in debt and equity of affiliates | 17,708 | ||||||||
Land Related Financing | |||||||||
Total Members' Equity | |||||||||
Investments in debt and equity of affiliates | 16,448 | ||||||||
Other Investees | |||||||||
Total Members' Equity | |||||||||
Investments in debt and equity of affiliates | 4,432 | ||||||||
ARC Home LLC | |||||||||
Assets: | |||||||||
Real estate securities, at fair value: | 382,378 | ||||||||
Excess Mortgage Servicing Rights, At Fair Value | 67,859 | ||||||||
Cash and cash equivalents | 26,095 | ||||||||
Restricted cash | 800 | ||||||||
Other assets | 66,116 | ||||||||
Total Assets | 543,248 | ||||||||
Liabilities: | |||||||||
Financing arrangements | 355,565 | ||||||||
Securitized debt, at fair value (2) | 0 | ||||||||
Other liabilities | 71,190 | ||||||||
Total Liabilities | 426,755 | ||||||||
Total Members' Equity | |||||||||
Total Equity | 116,493 | ||||||||
Noncontrolling preferred interests | 0 | ||||||||
Total Member's equity | 116,493 | ||||||||
Total Liabilities & Stockholders' Equity | $ 543,248 | ||||||||
Loan securitization, ownership interest | 44.60% | 44.60% | |||||||
MATH | |||||||||
Assets: | |||||||||
Real estate securities, at fair value: | $ 102,798 | ||||||||
Excess Mortgage Servicing Rights, At Fair Value | 0 | ||||||||
Cash and cash equivalents | 5,056 | ||||||||
Restricted cash | 0 | ||||||||
Other assets | 1,729 | ||||||||
Total Assets | 109,583 | ||||||||
Liabilities: | |||||||||
Financing arrangements | 68,337 | ||||||||
Securitized debt, at fair value (2) | 0 | ||||||||
Other liabilities | 1,450 | ||||||||
Total Liabilities | 69,787 | ||||||||
Total Members' Equity | |||||||||
Total Equity | 39,796 | ||||||||
Noncontrolling preferred interests | 0 | ||||||||
Total Member's equity | 39,796 | ||||||||
Total Liabilities & Stockholders' Equity | $ 109,583 | ||||||||
Loan securitization, ownership interest | 44.60% | 44.60% | |||||||
Land Related Financing | |||||||||
Assets: | |||||||||
Real estate securities, at fair value: | $ 34,356 | ||||||||
Excess Mortgage Servicing Rights, At Fair Value | 0 | ||||||||
Cash and cash equivalents | 64 | ||||||||
Restricted cash | 0 | ||||||||
Other assets | 426 | ||||||||
Total Assets | 34,846 | ||||||||
Liabilities: | |||||||||
Financing arrangements | 0 | ||||||||
Securitized debt, at fair value (2) | 0 | ||||||||
Other liabilities | 74 | ||||||||
Total Liabilities | 74 | ||||||||
Total Members' Equity | |||||||||
Total Equity | 34,772 | ||||||||
Noncontrolling preferred interests | 0 | ||||||||
Total Member's equity | 34,772 | ||||||||
Total Liabilities & Stockholders' Equity | 34,846 | ||||||||
Other | |||||||||
Assets: | |||||||||
Real estate securities, at fair value: | 39,865 | ||||||||
Excess Mortgage Servicing Rights, At Fair Value | 0 | ||||||||
Cash and cash equivalents | 3,579 | ||||||||
Restricted cash | 1,170 | ||||||||
Other assets | 8,405 | ||||||||
Total Assets | 53,019 | ||||||||
Liabilities: | |||||||||
Financing arrangements | 24,440 | ||||||||
Securitized debt, at fair value (2) | 0 | ||||||||
Other liabilities | 5,531 | ||||||||
Total Liabilities | 29,971 | ||||||||
Total Members' Equity | |||||||||
Total Equity | 23,048 | ||||||||
Noncontrolling preferred interests | 0 | ||||||||
Total Member's equity | 23,048 | ||||||||
Total Liabilities & Stockholders' Equity | 53,019 | ||||||||
Equity Method Investment, Nonconsolidated Investee or Group of Investees | |||||||||
Assets: | |||||||||
Real estate securities, at fair value: | 559,397 | $ 931,643 | |||||||
Excess Mortgage Servicing Rights, At Fair Value | 67,859 | 57,414 | |||||||
Cash and cash equivalents | 34,794 | 53,713 | |||||||
Restricted cash | 1,970 | 260 | |||||||
Other assets | 76,676 | 93,637 | |||||||
Total Assets | 740,696 | 1,136,667 | |||||||
Liabilities: | |||||||||
Financing arrangements | 448,342 | 575,020 | |||||||
Securitized debt, at fair value (2) | 0 | 96,579 | |||||||
Other liabilities | 78,245 | 90,060 | |||||||
Total Liabilities | 526,587 | 761,659 | |||||||
Total Members' Equity | |||||||||
Total Equity | 214,109 | 372,946 | |||||||
Noncontrolling preferred interests | 0 | 2,062 | |||||||
Total Member's equity | 214,109 | 375,008 | |||||||
Total Liabilities & Stockholders' Equity | 740,696 | 1,136,667 | |||||||
Equity Method Investment, Nonconsolidated Investee or Group of Investees | Other Assets | |||||||||
Total Members' Equity | |||||||||
Carrying Value | 49,800 | 58,700 | |||||||
Equity Method Investment, Nonconsolidated Investee or Group of Investees | Other Liabilities | |||||||||
Total Members' Equity | |||||||||
Carrying Value | $ 49,800 | $ 58,700 | |||||||
[1] | These balances relate to certain residential mortgage loans which were securitized resulting in the Company consolidating the variable interest entities that were created to facilitate these transactions as the Company was determined to be the primary beneficiary. See Note 3 for additional details. |
Investments in unconsolidated_4
Investments in unconsolidated equity method affiliates (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||||
Dec. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2021 | Dec. 31, 2020 | Nov. 30, 2021 | Jul. 30, 2021 | Aug. 31, 2020 | Feb. 29, 2020 | |
Schedule of Equity Method Investments [Line Items] | ||||||||||||||
Interest income | $ 24,686 | $ 19,629 | $ 14,228 | $ 12,119 | $ 11,171 | $ 9,717 | $ 13,369 | $ 40,268 | $ 70,662 | $ 74,525 | ||||
Interest expense | 10,698 | 7,197 | 5,294 | 4,061 | 4,004 | 4,357 | 8,613 | 19,971 | 27,250 | 36,945 | ||||
Total Net Interest Income | 13,988 | 12,432 | 8,934 | 8,058 | 7,167 | 5,360 | 4,756 | 20,297 | 43,412 | 37,580 | ||||
Net interest component of interest rate swaps | (4,862) | 731 | ||||||||||||
Net realized gain/(loss) | 6,822 | (5,460) | 4,374 | (4,038) | 661 | (14,431) | (91,609) | (151,143) | 1,698 | (256,522) | ||||
Net unrealized gain/(loss) | 3,704 | 29,461 | 9,685 | 19,849 | 16,754 | 21,465 | 100,179 | (308,211) | 62,699 | (169,813) | ||||
Other income/(loss), net | 0 | 0 | 0 | 37 | 47 | (10) | (155) | 1,652 | 37 | 1,534 | ||||
Total Other Income/(Loss) | 9,162 | 22,817 | 12,486 | 15,107 | 17,283 | 7,011 | 8,415 | (456,779) | 59,572 | (424,070) | ||||
Other operating expenses | 3,229 | 2,997 | 2,981 | 4,150 | 3,238 | 4,340 | 4,184 | 4,149 | 13,357 | 15,911 | ||||
Net Income/(Loss) | 10,865 | 34,579 | 15,493 | 43,249 | 40,991 | 20,046 | 3,061 | (485,017) | 104,186 | (420,919) | ||||
Equity in earnings/(loss) from affiliates | $ (2,607) | $ 6,882 | $ 1,278 | $ 26,336 | $ 21,942 | $ 17,187 | $ 3,434 | $ (44,192) | 31,889 | $ (1,629) | ||||
Loan securitization, ownership interest | 44.60% | 40.90% | 45.00% | 45.00% | 44.60% | |||||||||
ARC Home LLC | ||||||||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||||||||
Equity in earnings/(loss) from affiliates | 3,681 | |||||||||||||
MATH | ||||||||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||||||||
Equity in earnings/(loss) from affiliates | 12,594 | |||||||||||||
Land Related Financing | ||||||||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||||||||
Equity in earnings/(loss) from affiliates | 2,455 | |||||||||||||
Other Investees | ||||||||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||||||||
Equity in earnings/(loss) from affiliates | 13,159 | |||||||||||||
ARC Home LLC | ||||||||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||||||||
Interest income | 9,715 | |||||||||||||
Interest expense | 10,671 | |||||||||||||
Total Net Interest Income | (956) | |||||||||||||
Net realized gain/(loss) | 67,849 | |||||||||||||
Net unrealized gain/(loss) | 1,808 | |||||||||||||
Other income/(loss), net | 26,598 | |||||||||||||
Total Other Income/(Loss) | 96,255 | |||||||||||||
Other operating expenses | 73,115 | |||||||||||||
Net Income/(Loss) | 22,184 | |||||||||||||
Net Income/(Loss) Attributable to Noncontrolling Preferred Interests | 610 | |||||||||||||
Net Income/(Loss) | $ 22,794 | |||||||||||||
Loan securitization, ownership interest | 44.60% | 44.60% | 44.60% | 44.60% | ||||||||||
MATH | ||||||||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||||||||
Interest income | $ 14,562 | |||||||||||||
Interest expense | 4,437 | |||||||||||||
Total Net Interest Income | 10,125 | |||||||||||||
Net realized gain/(loss) | (34,054) | |||||||||||||
Net unrealized gain/(loss) | 54,474 | |||||||||||||
Other income/(loss), net | 0 | |||||||||||||
Total Other Income/(Loss) | 20,420 | |||||||||||||
Other operating expenses | 2,320 | |||||||||||||
Net Income/(Loss) | 28,225 | |||||||||||||
Net Income/(Loss) Attributable to Noncontrolling Preferred Interests | 0 | |||||||||||||
Net Income/(Loss) | $ 28,225 | |||||||||||||
Loan securitization, ownership interest | 44.60% | 44.60% | 44.60% | 44.60% | ||||||||||
Land Related Financing | ||||||||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||||||||
Interest income | $ 5,826 | |||||||||||||
Interest expense | 0 | |||||||||||||
Total Net Interest Income | 5,826 | |||||||||||||
Net realized gain/(loss) | 0 | |||||||||||||
Net unrealized gain/(loss) | 0 | |||||||||||||
Other income/(loss), net | 98 | |||||||||||||
Total Other Income/(Loss) | 98 | |||||||||||||
Other operating expenses | 815 | |||||||||||||
Net Income/(Loss) | 5,109 | |||||||||||||
Net Income/(Loss) Attributable to Noncontrolling Preferred Interests | 0 | |||||||||||||
Net Income/(Loss) | 5,109 | |||||||||||||
Other | ||||||||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||||||||
Interest income | 46,406 | |||||||||||||
Interest expense | 2,904 | |||||||||||||
Total Net Interest Income | 43,502 | |||||||||||||
Net realized gain/(loss) | 10,255 | |||||||||||||
Net unrealized gain/(loss) | (15,144) | |||||||||||||
Other income/(loss), net | 1,487 | |||||||||||||
Total Other Income/(Loss) | (3,402) | |||||||||||||
Other operating expenses | 9,353 | |||||||||||||
Net Income/(Loss) | 30,747 | |||||||||||||
Net Income/(Loss) Attributable to Noncontrolling Preferred Interests | 0 | |||||||||||||
Net Income/(Loss) | 30,747 | |||||||||||||
Equity Method Investment, Nonconsolidated Investee or Group of Investees | ||||||||||||||
Schedule of Equity Method Investments [Line Items] | ||||||||||||||
Interest income | 76,509 | $ 73,167 | ||||||||||||
Interest expense | 18,012 | 49,190 | ||||||||||||
Total Net Interest Income | 58,497 | 23,977 | ||||||||||||
Net realized gain/(loss) | 44,050 | 95,268 | ||||||||||||
Net unrealized gain/(loss) | 41,138 | (151,514) | ||||||||||||
Other income/(loss), net | 28,183 | 52,166 | ||||||||||||
Total Other Income/(Loss) | 113,371 | (4,080) | ||||||||||||
Other operating expenses | 85,603 | 79,416 | ||||||||||||
Net Income/(Loss) | 86,265 | (59,519) | ||||||||||||
Net Income/(Loss) Attributable to Noncontrolling Preferred Interests | 610 | 248 | ||||||||||||
Net Income/(Loss) | $ 86,875 | $ (59,271) |
Quarterly financial informati_3
Quarterly financial information (Unaudited) (Details) $ / shares in Units, $ in Thousands | Jul. 22, 2021 | Jul. 12, 2021 | Dec. 31, 2021USD ($)$ / shares | Sep. 30, 2021USD ($)$ / shares | Jun. 30, 2021USD ($)$ / shares | Mar. 31, 2021USD ($)$ / shares | Dec. 31, 2020USD ($)$ / shares | Sep. 30, 2020USD ($)$ / shares | Jun. 30, 2020USD ($)$ / shares | Mar. 31, 2020USD ($)$ / shares | Dec. 31, 2021USD ($)$ / shares | Dec. 31, 2020USD ($)$ / shares | ||
Net Interest Income | ||||||||||||||
Interest income | $ 24,686 | $ 19,629 | $ 14,228 | $ 12,119 | $ 11,171 | $ 9,717 | $ 13,369 | $ 40,268 | $ 70,662 | $ 74,525 | ||||
Interest expense | 10,698 | 7,197 | 5,294 | 4,061 | 4,004 | 4,357 | 8,613 | 19,971 | 27,250 | 36,945 | ||||
Total Net Interest Income | 13,988 | 12,432 | 8,934 | 8,058 | 7,167 | 5,360 | 4,756 | 20,297 | 43,412 | 37,580 | ||||
Other Income/(Loss) | ||||||||||||||
Net interest component of interest rate swaps | (1,364) | (1,184) | (1,573) | (741) | (179) | (13) | 0 | 923 | ||||||
Net realized gain/(loss) | 6,822 | (5,460) | 4,374 | (4,038) | 661 | (14,431) | (91,609) | (151,143) | 1,698 | (256,522) | ||||
Net unrealized gain/(loss) | 3,704 | 29,461 | 9,685 | 19,849 | 16,754 | 21,465 | 100,179 | (308,211) | 62,699 | (169,813) | ||||
Other income/(loss), net | 0 | 0 | 0 | 37 | 47 | (10) | (155) | 1,652 | 37 | 1,534 | ||||
Total Other Income/(Loss) | 9,162 | 22,817 | 12,486 | 15,107 | 17,283 | 7,011 | 8,415 | (456,779) | 59,572 | (424,070) | ||||
Expenses | ||||||||||||||
Management fee to affiliate | 1,800 | 1,693 | 1,667 | 1,654 | 1,656 | 1,698 | 1,678 | 2,149 | 6,814 | 7,181 | ||||
Other operating expenses | 3,229 | 2,997 | 2,981 | 4,150 | 3,238 | 4,340 | 4,184 | 4,149 | 13,357 | 15,911 | ||||
Restructuring related expenses | 251 | 1,345 | 7,104 | 1,500 | 0 | 10,200 | ||||||||
Transaction related expenses | 3,597 | 2,013 | 1,885 | (167) | 22 | 1,589 | 373 | (3,219) | 7,328 | (1,235) | ||||
Excise tax | 0 | 0 | 0 | (815) | 0 | (815) | ||||||||
Servicing fees | 1,052 | 849 | 672 | 615 | 539 | 540 | 566 | 579 | 3,188 | 2,224 | ||||
Total Expenses | 9,678 | 7,552 | 7,205 | 6,252 | 5,706 | 9,512 | 13,905 | 4,343 | 30,687 | 33,466 | ||||
Income/(loss) before equity in earnings/(loss) from affiliates | 13,472 | 27,697 | 14,215 | 16,913 | 18,744 | 2,859 | (734) | (440,825) | 72,297 | (419,956) | ||||
Equity in earnings/(loss) from affiliates | (2,607) | 6,882 | 1,278 | 26,336 | 21,942 | 17,187 | 3,434 | (44,192) | 31,889 | (1,629) | ||||
Net Income/(Loss) from Continuing Operations | 40,686 | 20,046 | 2,700 | (485,017) | 104,186 | (421,585) | ||||||||
Net Income/(Loss) from Discontinued Operations | 305 | 0 | 361 | 0 | 0 | 666 | ||||||||
Net Income/(Loss) | 10,865 | 34,579 | 15,493 | 43,249 | 40,991 | 20,046 | 3,061 | (485,017) | 104,186 | (420,919) | ||||
Gain on Exchange Offers, net | 0 | 0 | 114 | 358 | 10,035 | 539 | 0 | 0 | 472 | 10,574 | ||||
Dividends on preferred stock | (4,586) | (4,586) | (4,689) | (4,924) | (3,652) | (5,563) | (5,667) | (5,667) | ||||||
Net Income/(Loss) Available to Common Stockholders | $ 6,279 | $ 29,993 | $ 10,918 | $ 38,683 | $ 47,374 | $ 15,022 | $ (2,606) | $ (490,684) | $ 85,873 | $ (430,894) | ||||
Earnings/(Loss) Per Share - Basic (1) | ||||||||||||||
Continuing Operations (in dollars per share) | $ / shares | $ 3.47 | $ 1.31 | $ (0.27) | $ (44.98) | $ 5.29 | [1] | $ (36.79) | [1] | ||||||
Discontinued Operations (in dollars per share) | $ / shares | 0.02 | 0 | 0.03 | 0 | 0 | [1] | 0.06 | [1] | ||||||
Basic Earnings/(Loss) Per Share of Common Stock (in dollars per share) | $ / shares | $ 0.33 | $ 1.87 | $ 0.70 | $ 2.74 | 3.49 | 1.31 | (0.24) | (44.98) | 5.29 | [1] | (36.73) | [1] | ||
Earnings/(Loss) Per Share - Diluted (1) | ||||||||||||||
Continuing Operations (in dollars per share) | $ / shares | 3.47 | 1.31 | (0.27) | (44.98) | 5.29 | [1] | (36.79) | [1] | ||||||
Discontinued Operations (in dollars per share) | $ / shares | 0.02 | 0 | 0.03 | 0 | 0 | [1] | 0.06 | [1] | ||||||
Diluted Earnings/(Loss) Per Share of Common Stock (in dollars per share) | $ / shares | $ 0.33 | $ 1.87 | $ 0.70 | $ 2.74 | $ 3.49 | $ 1.31 | $ (0.24) | $ (44.98) | $ 5.29 | [1] | $ (36.73) | [1] | ||
Dividends on preferred stock | $ 18,785 | $ 20,549 | ||||||||||||
Reverse stock split ratio | 0.3333 | 0.3333 | ||||||||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||||
Earnings/(Loss) Per Share - Diluted (1) | ||||||||||||||
Dividends on preferred stock | $ 5,600 | $ 5,700 | ||||||||||||
[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. |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Thousands | 2 Months Ended | 12 Months Ended | ||||||||||||||
Feb. 24, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Feb. 18, 2022 | Nov. 30, 2021 | Nov. 05, 2021 | Jul. 30, 2021 | Jun. 30, 2021 | May 17, 2021 | May 05, 2021 | Feb. 16, 2021 | Dec. 17, 2020 | Nov. 06, 2020 | Aug. 31, 2020 | Feb. 29, 2020 | Feb. 14, 2020 | |
Subsequent Event [Line Items] | ||||||||||||||||
Purchase of residential mortgage loans | $ 2,472,393 | $ 541,823 | ||||||||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Dividend per share (in dollars per share) | $ 2.06252 | $ 2.06252 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 1.54689 | $ 1.54689 | $ 0.51563 | |||||||
Series B Cumulative Reedmable Preferred Stock | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Dividend per share (in dollars per share) | 2 | 2 | 0.50 | 0.50 | 0.50 | 0.50 | 1.50 | 1.50 | 0.50 | |||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Dividend per share (in dollars per share) | $ 2 | $ 2 | $ 0.50 | $ 0.50 | $ 0.50 | $ 0.50 | $ 1.50 | $ 1.50 | $ 0.50 | |||||||
Subsequent Event | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Purchase of residential mortgage loans | $ 519,000 | |||||||||||||||
Subsequent Event | 8.25% Series A Cumulative Redeemable Preferred Stock | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Dividend per share (in dollars per share) | $ 0.51563 | |||||||||||||||
Subsequent Event | Series B Cumulative Reedmable Preferred Stock | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Dividend per share (in dollars per share) | 0.50 | |||||||||||||||
Subsequent Event | 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Dividend per share (in dollars per share) | $ 0.50 | |||||||||||||||
Subsequent Event | AG Arc LLC | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Purchase of residential mortgage loans | 233,000 | |||||||||||||||
GSE Non-Owner Occupied Loans | Subsequent Event | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Loan securitization, fair value | 474,900 | |||||||||||||||
Non-QM Loans | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Loan securitization, fair value | $ 225,900 | $ 25,700 | $ 171,400 | $ 226,000 | $ 348,200 | |||||||||||
Non-QM Loans | Subsequent Event | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Loan securitization, fair value | $ 301,700 |