Cover Page
Cover Page - shares | 3 Months Ended | |
Mar. 31, 2022 | May 02, 2022 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Mar. 31, 2022 | |
Document Transition Report | false | |
Entity File Number | 001-35151 | |
Entity Registrant Name | AG MORTGAGE INVESTMENT TRUST, INC. | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 27-5254382 | |
Entity Address, Address Line One | 245 Park Avenue | |
Entity Address, Address Line Two | 26th Floor | |
Entity Address, City or Town | New York | |
Entity Address, State or Province | NY | |
Entity Address, Postal Zip Code | 10167 | |
City Area Code | 212 | |
Local Phone Number | 692-2000 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Small Business | true | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 23,924,005 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2022 | |
Document Fiscal Period Focus | Q1 | |
Entity Central Index Key | 0001514281 | |
Current Fiscal Year End Date | --12-31 | |
Common Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | Common Stock, $0.01 par value per share | |
Trading Symbol | MITT | |
Security Exchange Name | NYSE | |
8.25% Series A Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 8.25% Series A Cumulative Redeemable Preferred Stock | |
Trading Symbol | MITT PrA | |
Security Exchange Name | NYSE | |
8.00% Series B Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 8.00% Series B Cumulative Redeemable Preferred Stock | |
Trading Symbol | MITT PrB | |
Security Exchange Name | NYSE | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | MITT PrC | |
Security Exchange Name | NYSE |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 | |
Assets | |||
Real estate securities, at fair value - $196,911 and $444,481 pledged as collateral, respectively | $ 246,004 | $ 514,470 | |
Investments in debt and equity of affiliates | 87,086 | 92,023 | |
Cash and cash equivalents | 50,541 | 68,079 | |
Restricted cash | 45,630 | 32,150 | |
Receivable on unsettled trades - $68,747 and $0 pledged as collateral, respectively | 107,788 | 0 | |
Other assets | 29,274 | 20,900 | |
Total Assets | 3,838,956 | 3,362,728 | |
Liabilities | |||
Securitized debt, at fair value | [1] | 1,859,917 | 999,215 |
Financing arrangements | 1,411,493 | 1,777,743 | |
Dividend payable | 5,022 | 5,021 | |
Other liabilities | 14,874 | 10,369 | |
Total Liabilities | 3,291,306 | 2,792,348 | |
Commitments and Contingencies (Note 12) | |||
Stockholders’ Equity | |||
Preferred stock - $227,991 aggregate liquidation preference | 220,472 | 220,472 | |
Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 23,915 and 23,908 shares issued and outstanding at March 31, 2022 and December 31, 2021, respectively | 239 | 239 | |
Additional paid in capital | 796,549 | 796,469 | |
Retained earnings/(deficit) | (469,610) | (446,800) | |
Total Stockholders’ Equity | 547,650 | 570,380 | |
Total Liabilities & Stockholders’ Equity | 3,838,956 | 3,362,728 | |
Residential Mortgage | |||
Assets | |||
Residential mortgage loans, at fair value | 1,167,061 | 1,476,972 | |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | |||
Assets | |||
Residential mortgage loans, at fair value | [1] | 2,105,572 | 1,158,134 |
Real Estate Securities | |||
Assets | |||
Real estate securities, at fair value - $196,911 and $444,481 pledged as collateral, respectively | $ 246,004 | $ 514,470 | |
[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. |
Consolidated Balance Sheets (_2
Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) | Mar. 31, 2022 | Dec. 31, 2021 |
Receivables on unsettled trades | $ 107,788,000 | $ 0 |
Preferred stock, liquidation preference | $ 227,991,000 | $ 227,991,000 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 450,000,000 | 450,000,000 |
Common stock, shares issued (in shares) | 23,915,000 | 23,908,000 |
Common stock, shares outstanding (in shares) | 23,915,000 | 23,908,000 |
Asset Pledged as Collateral | ||
Receivables on unsettled trades | $ 68,747,000 | $ 0 |
Residential Mortgage | ||
Residential mortgage loans, at fair value, pledged as collateral | 1,160,870,000 | 1,469,358,000 |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Residential mortgage loans, at fair value, pledged as collateral | 208,312,000 | 119,947,000 |
Real Estate Securities | ||
Fair value of investments pledged as collateral under repurchase agreements | $ 196,911,000 | $ 444,481,000 |
Consolidated Statements of Oper
Consolidated Statements of Operations (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | ||
Net Interest Income | |||
Interest income | $ 33,417 | $ 12,119 | |
Interest expense | 16,122 | 4,061 | |
Total Net Interest Income | 17,295 | 8,058 | |
Other Income/(Loss) | |||
Net interest component of interest rate swaps | (2,270) | (741) | |
Net realized gain/(loss) | 8,783 | (4,038) | |
Net unrealized gain/(loss) | (22,420) | 19,849 | |
Other income/(loss), net | 0 | 37 | |
Total Other Income/(Loss) | (15,907) | 15,107 | |
Expenses | |||
Management fee to affiliate | 1,962 | 1,654 | |
Other operating expenses | 3,688 | 4,150 | |
Transaction related expenses | 5,879 | (167) | |
Servicing fees | 1,007 | 615 | |
Total Expenses | 12,536 | 6,252 | |
Income/(loss) before equity in earnings/(loss) from affiliates | (11,148) | 16,913 | |
Equity in earnings/(loss) from affiliates | (2,054) | 26,336 | |
Net Income/(Loss) | (13,202) | 43,249 | |
Gain on Exchange Offers, net | 0 | 358 | |
Dividends on preferred stock | (4,586) | (4,924) | |
Net Income/(Loss) Available to Common Stockholders | $ (17,788) | $ 38,683 | |
Earnings/(Loss) Per Share of Common Stock | |||
Basic (in dollars per share) | [1] | $ (0.74) | $ 2.74 |
Diluted (in dollars per share) | [1] | $ (0.74) | $ 2.74 |
Weighted Average Number of Shares of Common Stock Outstanding | |||
Basic (in shares) | [1] | 23,915 | 14,116 |
Diluted (in shares) | [1] | 23,915 | 14,116 |
[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 Stoc
Consolidated Statements of Stockholders’ Equity (Unaudited) - USD ($) shares in Thousands, $ in Thousands | Total | Common Stock | Preferred Stock | Additional Paid-in Capital | Retained Earnings/(Deficit) | |||
Beginning balance (in shares) at Dec. 31, 2020 | [1] | 13,811 | ||||||
Beginning balance at Dec. 31, 2020 | $ 409,705 | $ 138 | [1] | $ 238,478 | $ 689,147 | [1] | $ (518,058) | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Net proceeds from issuance of common stock (in shares) | [1] | 745 | ||||||
Net proceeds from issuance of common stock | 10,033 | $ 8 | [1] | 10,025 | [1] | |||
Grant of restricted stock (in shares) | [1] | 7 | ||||||
Grant of restricted stock | 80 | 80 | [1] | |||||
Common dividends declared | (2,791) | (2,791) | ||||||
Preferred dividends declared | (4,961) | (4,961) | ||||||
Exchange offers (in shares) | [1] | 937 | ||||||
Exchange Offers | (10) | $ 10 | [1] | (12,181) | 11,803 | [1] | 358 | |
Net Income/(Loss) | 43,249 | 43,249 | ||||||
Ending balance (in shares) at Mar. 31, 2021 | [1] | 15,500 | ||||||
Ending balance at Mar. 31, 2021 | 455,305 | $ 156 | [1] | 226,297 | 711,055 | [1] | (482,203) | |
Beginning balance (in shares) at Dec. 31, 2021 | 23,908 | |||||||
Beginning balance at Dec. 31, 2021 | 570,380 | $ 239 | 220,472 | 796,469 | (446,800) | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Grant of restricted stock (in shares) | 7 | |||||||
Grant of restricted stock | 80 | 80 | ||||||
Common dividends declared | (5,022) | (5,022) | ||||||
Preferred dividends declared | (4,586) | (4,586) | ||||||
Net Income/(Loss) | (13,202) | (13,202) | ||||||
Ending balance (in shares) at Mar. 31, 2022 | 23,915 | |||||||
Ending balance at Mar. 31, 2022 | $ 547,650 | $ 239 | $ 220,472 | $ 796,549 | $ (469,610) | |||
[1] | Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. See Note 2 and Note 11 for additional details. |
Consolidated Statements of St_2
Consolidated Statements of Stockholders’ Equity (Unaudited) (Parenthetical) | Jul. 22, 2021 | Jul. 12, 2021 |
Statement of Stockholders' Equity [Abstract] | ||
Reverse stock split ratio | 0.3333 | 0.3333 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Cash Flows from Operating Activities | ||
Net Income/(Loss) | $ (13,202) | $ 43,249 |
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: | ||
Net amortization of premium/(discount) | 1,818 | (802) |
Net realized (gain)/loss | (8,783) | 4,038 |
Net unrealized (gain)/loss | 22,420 | (19,849) |
Equity based compensation expense | 80 | 80 |
(Income)/Loss from investments in debt and equity of affiliates in excess of distributions received | 2,393 | (20,403) |
Change in operating assets/liabilities: | ||
Other assets | (1,924) | 321 |
Other liabilities | 1,726 | (157) |
Net cash provided by (used in) operating activities | 4,528 | 6,477 |
Cash Flows from Investing Activities | ||
Purchase of residential mortgage loans | (948,966) | (208,927) |
Purchase of real estate securities | (79,564) | (566,731) |
Origination of commercial loans | 0 | (1,881) |
Purchase of commercial loans | 0 | (1,788) |
Investments in debt and equity of affiliates | (417) | (1,122) |
Proceeds from sales of real estate securities | 197,232 | 111,954 |
Proceeds from sales of commercial loans | 0 | 74,579 |
Principal repayments on residential mortgage loans | 146,388 | 12,294 |
Principal repayments on real estate securities | 14,596 | 14,337 |
Principal repayments on commercial loans | 0 | 195 |
Distributions received in excess of income from investments in debt and equity of affiliates | 5,318 | 12,325 |
Net settlement of interest rate swaps and other instruments | 30,473 | 27,469 |
Net settlement of TBAs | 9,946 | 0 |
Cash flows provided by (used in) other investing activities | 797 | 842 |
Net cash provided by (used in) investing activities | (624,197) | (526,454) |
Cash Flows from Financing Activities | ||
Net proceeds from issuance of common stock | 0 | 10,033 |
Net borrowings under (repayments of) financing arrangements | (366,250) | 568,153 |
Deferred financing costs paid | (17) | 0 |
Repayments of secured debt | 0 | (10,000) |
Proceeds from issuance of securitized debt | 1,078,189 | 0 |
Principal repayments on securitized debt | (116,866) | (12,777) |
Net collateral received from (paid to) derivative counterparty | 30,162 | 0 |
Dividends paid on common stock | (5,021) | (1,243) |
Dividends paid on preferred stock | (4,586) | (4,961) |
Net cash provided by (used in) financing activities | 615,611 | 549,205 |
Net change in cash and cash equivalents and restricted cash | (4,058) | 29,228 |
Cash and cash equivalents and restricted cash, Beginning of Period | 100,229 | 62,318 |
Effect of exchange rate changes on cash | 0 | 9 |
Cash and cash equivalents and restricted cash, End of Period | 96,171 | 91,555 |
Supplemental disclosure of cash flow information: | ||
Cash paid for interest on financing arrangements | 13,532 | 3,979 |
Cash paid for excise and income taxes | 3 | 0 |
Supplemental disclosure of non-cash financing and investing activities: | ||
Receivable on unsettled trades | 107,788 | 0 |
Common stock dividends declared but not paid | 5,022 | 2,791 |
Exchange Offers | 0 | 12,181 |
Transfer from residential mortgage loans to other assets | $ 707 | $ 571 |
Consolidated Statements of Ca_2
Consolidated Statements of Cash Flows (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | Dec. 31, 2020 |
Statement of Cash Flows [Abstract] | ||||
Cash and cash equivalents | $ 50,541 | $ 68,079 | $ 51,637 | |
Restricted cash | 45,630 | 32,150 | 39,918 | |
Total cash and cash equivalents and restricted cash shown in the consolidated statements of cash flows | $ 96,171 | $ 100,229 | $ 91,555 | $ 62,318 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2022 | |
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-Agency Loans and Agency-Eligible 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-Agency Loans • Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE"). Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans"). QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Finance Protection Bureau ("CFPB"). Non-QM Loans are residential mortgage loans that do not satisfy the requirements for QM Loans and are therefore not deemed to be a "qualified mortgage" under the rules of the CFPB. ◦ These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on the consolidated balance sheets. Agency-Eligible Loans • Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties. ◦ These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on the 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 the 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 the 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 the consolidated balance sheets. The Company conducts its business through one reportable segment, Loans and Securities, 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. Although market conditions have improved since 2020, 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 | 3 Months Ended |
Mar. 31, 2022 | |
Accounting Policies [Abstract] | |
Summary of significant accounting policies | Summary of significant accounting policies The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for-three reverse stock split which was effected following the close of business on July 22, 2021. In the opinion of management, all adjustments considered necessary for a fair statement of the Company’s financial position, results of operations, and cash flows have been included for the interim period and are of a normal and recurring nature. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. 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. 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. 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. 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 three months ended March 31, 2022 and 2021, the Company eliminated $2.4 million and $0.5 million of intra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company. 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 March 31, 2022, 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 collateralized by its Non-Agency Loans ("Non-Agency VIEs"), Agency-Eligible Loans ("Agency-Eligible VIEs"), and re- and non-performing loans ("RPL/NPL VIEs") (collectively, "Residential Mortgage Loan VIEs"), 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. 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 ASC 810-10 (Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity) whereby the Company determines whether the fair value of the assets or liabilities of the Residential Mortgage Loan VIEs are more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the liabilities of the Residential Mortgage Loan VIEs are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIEs. See Note 3 for more detail regarding the Residential Mortgage Loan VIEs and Note 5 for more detail related to the Company's determination of fair value for the assets and liabilities included within these VIEs. 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 "Securitized 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. Restricted cash also includes variation margin pledged on centrally cleared derivatives. Refer to the "Accounting for derivative financial instruments" policy below for additional detail. Financing arrangements The Company finances the acquisition of certain assets within its portfolio through the use of financing arrangements. Financing arrangements primarily include repurchase agreements, but may also include revolving facilities. Repurchase agreements 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 loans or securities 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 March 31, 2022 and December 31, 2021, the Company had met all margin call requirements. 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 March 31, 2022 and December 31, 2021, 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, 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, "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 on the Company’s loan portfolio and real estate securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans or securities. The Company has elected to record interest in accordance with ASC 835-30-35-2, "Imputation of Interest," using the effective interest method for all loans and securities 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 loans or securities in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs," ASC 320-10 or ASC 325-40, as applicable. Total interest income is recorded in the "Interest income" line item on the consolidated statement of operations. 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 loans and securities, including Non-Agency Loans, Agency-Eligible 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. ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities acquired in a transfer if those differences are attributable, at least in part, to credit qual |
Loans
Loans | 3 Months Ended |
Mar. 31, 2022 | |
Receivables [Abstract] | |
Loans | Loans Residential mortgage loans The table below details information regarding the Company’s residential mortgage loan portfolio as of March 31, 2022 and December 31, 2021 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses). Unpaid Principal Balance Gross Unrealized Weighted Average March 31, 2022 Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Securitized residential mortgage loans, at fair value (2) Non-Agency Loans $ 1,368,470 $ 53,404 $ 1,421,874 $ — $ (67,538) $ 1,354,336 4.85 % 4.07 % 6.36 Agency-Eligible Loans 452,213 10,134 462,347 — (31,330) 431,017 3.59 % 3.24 % 8.43 Re- and Non-Performing Loans 364,103 (43,164) 320,939 7,776 (8,496) 320,219 3.31 % 5.92 % 7.76 Total Securitized residential mortgage loans, at fair value $ 2,184,786 $ 20,374 $ 2,205,160 $ 7,776 $ (107,364) $ 2,105,572 4.33 % 4.18 % 7.02 Residential mortgage loans, at fair value Non-Agency Loans $ 878,438 $ 17,153 $ 895,591 $ 1,387 $ (18,725) $ 878,253 4.67 % 4.18 % 5.87 Agency-Eligible Loans 293,765 6,158 299,923 2 (15,862) 284,063 3.65 % 3.32 % 8.69 Re- and Non-Performing Loans 5,977 (3,408) 2,569 2,176 — 4,745 N/A 44.49 % 2.11 Total Residential mortgage loans, at fair value $ 1,178,180 $ 19,903 $ 1,198,083 $ 3,565 $ (34,587) $ 1,167,061 4.42 % 4.14 % 6.56 Total as of March 31, 2022 $ 3,362,966 $ 40,277 $ 3,403,243 $ 11,341 $ (141,951) $ 3,272,633 4.36 % 4.17 % 6.86 Unpaid Principal Balance Gross Unrealized Weighted Average December 31, 2021 Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Securitized residential mortgage loans, at fair value (2) Non-Agency 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 Residential mortgage loans, at fair value Non-Agency Loans $ 987,290 $ 35,647 $ 1,022,937 $ 9,336 $ (1,458) $ 1,030,815 4.75 % 3.76 % 5.01 Agency-Eligible 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 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 (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). March 31, 2022 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 Securitized residential mortgage loans Non-Agency Loans $ 1,368,470 2,741 68.67 % 732 $ 1,338,123 $ 22,057 $ 2,458 $ 5,832 Agency-Eligible Loans 452,213 1,570 65.25 % 757 449,506 1,972 539 196 Re- and Non-Performing Loans 364,103 2,459 79.31 % 639 243,340 30,564 15,681 74,518 Total Securitized residential mortgage loans 2,184,786 6,770 69.73 % 720 2,030,969 54,593 18,678 80,546 Residential mortgage loans Non-Agency Loans 878,438 1,658 70.34 % 734 861,420 7,396 1,276 8,346 Agency-Eligible Loans 293,765 705 63.93 % 757 288,710 3,868 — 1,187 Re- and Non-Performing Loans (1) 5,977 N/A N/A N/A N/A N/A N/A N/A Total Residential mortgage loans 1,178,180 2,363 68.74 % 740 1,150,130 11,264 1,276 9,533 Total as of March 31, 2022 $ 3,362,966 9,133 69.39 % 728 $ 3,181,099 $ 65,857 $ 19,954 $ 90,079 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 Securitized residential mortgage loans Non-Agency 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 Securitized residential mortgage loans 1,155,751 4,102 71.68 % 697 1,023,828 42,469 13,360 76,094 Residential mortgage loans Non-Agency Loans 987,290 1,886 69.39 % 737 967,910 9,101 1,630 8,649 Agency-Eligible Loans 429,424 1,339 65.44 % 754 425,594 3,830 — — Re- and Non-Performing Loans (1) 6,528 N/A N/A N/A N/A N/A N/A N/A Total Residential mortgage loans 1,423,242 3,225 68.19 % 742 1,393,504 12,931 1,630 8,649 Total as of December 31, 2021 $ 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 March 31, 2022, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $51.4 million and $28.3 million, respectively. 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 $29.0 million, respectively. (3) Weighted average current FICO excludes borrowers where FICO scores were not available. During the three months ended March 31, 2022, the Company purchased Non-Agency Loans and Agency-Eligible Loans, as detailed below ($ in thousands). A portion of these loans were purchased from Arc Home. See Note 10 for more detail. Unpaid Principal Balance Fair Value Non-Agency Loans $ 595,288 $ 604,562 Agency-Eligible Loans 336,277 343,342 The Company did not sell any residential mortgage loans during the three months ended March 31, 2022 and 2021. 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 March 31, 2022 and December 31, 2021 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) March 31, 2022 December 31, 2021 California 34 % 35 % New York 17 % 15 % Florida 10 % 11 % New Jersey 6 % 6 % (1) 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. 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 three months ended March 31, 2022 and 2021, 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). Three Months Ended March 31, 2022 March 31, 2021 Beginning Balance $ 46,521 $ 56,907 Accretion (1,650) (1,562) Reclassifications from/(to) non-accretable difference 1,386 (278) Disposals — (64) Ending Balance $ 46,257 $ 55,003 Variable interest entities The following table details certain information related to the assets and liabilities of the Residential Mortgage Loan VIEs as of March 31, 2022 and December 31, 2021 ($ in thousands). March 31, 2022 December 31, 2021 Carrying Value Weighted Average Carrying Value Weighted Average Yield Life (Years) (1) Yield Life (Years) (1) Assets Non-Agency VIEs $ 1,354,336 4.07 % 6.36 $ 813,383 3.96 % 4.50 Agency-Eligible VIEs 431,017 3.24 % 8.43 — — % — RPL/NPL VIEs 320,219 5.92 % 7.76 344,751 5.90 % 7.17 Securitized residential mortgage loans, at fair value $ 2,105,572 $ 1,158,134 Restricted cash 1,450 1,467 Other assets 9,896 6,457 Total Assets $ 2,116,918 $ 1,166,058 Liabilities Non-Agency VIEs $ 1,228,382 2.49 % 3.69 $ 746,970 1.63 % 2.36 Agency-Eligible VIEs 399,128 2.81 % 8.10 — — % — RPL/NPL VIEs 232,407 3.09 % 2.65 252,245 3.06 % 3.75 Securitized debt, at fair value (2) $ 1,859,917 $ 999,215 Financing arrangements (3) 125,533 71,308 Other liabilities 4,283 1,543 Total Liabilities $ 1,989,733 $ 1,072,066 Total Equity $ 127,185 $ 93,992 (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 As of March 31, 2022 and December 31, 2021, the Company did not hold any commercial loans. |
Real Estate Securities
Real Estate Securities | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 and December 31, 2021 ($ in thousands). The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses). March 31, 2022 Current Face Premium / (Discount) Amortized Cost Gross Unrealized Weighted Average Gains Losses Fair Value Coupon (1) Yield Agency RMBS 30 Year Fixed Rate $ 223,604 $ 6,304 $ 229,908 $ — $ (18,059) $ 211,849 2.50 % 2.08 % Interest Only 103,290 (87,635) 15,655 — (281) 15,374 3.00 % 6.46 % Total Agency RMBS 326,894 (81,331) 245,563 — (18,340) 227,223 2.66 % 2.38 % Residential Securities Non-Agency Securities (2) 14,892 (226) 14,666 — (1,335) 13,331 4.35 % 4.64 % Non-Agency RMBS Interest Only (2) 139,080 (135,779) 3,301 1,564 — 4,865 0.38 % 31.33 % Re/Non-Performing Securities 616 15 631 42 (88) 585 5.25 % 23.85 % Total Residential Securities 154,588 (135,990) 18,598 1,606 (1,423) 18,781 1.10 % 12.15 % Total $ 481,482 $ (217,321) $ 264,161 $ 1,606 $ (19,763) $ 246,004 2.34 % 3.12 % December 31, 2021 Current Face Premium / (Discount) Amortized Cost Gross Unrealized Weighted Average 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 % Residential Securities Non-Agency Securities (2) 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 Residential Securities 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 securities and Non-QM interest-only bonds. The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of March 31, 2022 and December 31, 2021 ($ in thousands). March 31, 2022 Agency RMBS Residential Securities Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon (2) Less than or equal to 1 year $ — $ — — % $ 585 $ 631 5.25 % Greater than one year and less than or equal to five years — — — % 4,865 3,301 0.38 % Greater than five years and less than or equal to ten years 227,223 245,563 2.66 % 13,331 14,666 4.35 % Total $ 227,223 $ 245,563 2.66 % $ 18,781 $ 18,598 1.10 % December 31, 2021 Agency RMBS Residential Securities Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon (2) Less than or equal to 1 year $ — $ — — % $ 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 % (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. During the three months ended March 31, 2022 and 2021, the Company sold real estate securities, as summarized below ($ in thousands). Three months ended Number of Securities Proceeds Realized Gains Realized Losses March 31, 2022 (1) 13 $ 304,665 $ 568 $ (17,408) March 31, 2021 27 111,824 2,458 (2,958) (1) Includes $107.7 million of proceeds on six security sales which were unsettled as of March 31, 2022. |
Fair value measurements
Fair value measurements | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 and December 31, 2021 (in thousands). Fair Value at March 31, 2022 Level 1 Level 2 Level 3 Total Assets: Securitized residential mortgage loans $ — $ — $ 2,105,572 $ 2,105,572 Residential mortgage loans — 847 1,166,214 1,167,061 30 Year Fixed Rate Agency RMBS — 211,849 — 211,849 Agency Interest Only — 15,374 — 15,374 Non-Agency RMBS (1) — — 13,916 13,916 Non-Agency RMBS Interest Only — — 4,865 4,865 Derivative assets (2) — 71,767 — 71,767 AG Arc (3) — — 54,121 54,121 Total Assets Measured at Fair Value $ — $ 299,837 $ 3,344,688 $ 3,644,525 Liabilities: Securitized debt $ — $ — $ (1,859,917) $ (1,859,917) Derivative liabilities — (3,313) — (3,313) Total Liabilities Measured at Fair Value $ — $ (3,313) $ (1,859,917) $ (1,863,230) Fair value at December 31, 2021 Level 1 Level 2 Level 3 Total Assets: Securitized residential mortgage loans $ — $ — $ 1,158,134 $ 1,158,134 Residential mortgage loans — 915 1,476,057 1,476,972 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-Agency and Re/Non-Performing Securities. (2) As of March 31, 2022, the Company applied a reduction in fair value of $63.6 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties. 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 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 three months ended March 31, 2022 and 2021. Refer to the tables below for details on transfers between the Level 3 and Level 2 categories under ASC 820. Transfers into the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of reduced levels of market transparency. Transfers out of the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of increased levels of market transparency. Indications of increases or decreases in levels of market transparency include a change in observable transactions or executable quotes involving these instruments or similar instruments. Changes in these indications could impact price transparency, and thereby cause a change in level designations in future periods. The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value. Three Months Ended March 31, 2022 (in thousands) Residential Non-Agency Non-Agency AG Arc Securitized Derivative liabilities Beginning balance $ 2,634,191 $ 15,362 $ 3,395 $ 53,435 $ (999,215) $ (79) Purchases 944,630 — — — — — Issuances of Securitized Debt — — — — (1,074,852) — Proceeds from settlement (146,388) (78) — — 116,866 — Total net gains/(losses) (2) Included in net income (160,647) (1,368) 1,470 686 97,284 79 Ending Balance $ 3,271,786 $ 13,916 $ 4,865 $ 54,121 $ (1,859,917) $ — Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2022 (3) $ (161,896) $ (1,368) $ 1,470 $ 686 $ 97,284 $ — (1) Includes Securitized residential mortgage loans. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Net unrealized gain/(loss) $ (63,095) Net realized gain/(loss) (87) Equity in earnings/(loss) from affiliates 686 Total $ (62,496) (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Net unrealized gain/(loss) $ (64,510) Equity in earnings/(loss) from affiliates 686 Total $ (63,824) Three Months Ended March 31, 2021 (in thousands) Residential Non-Agency Commercial Excess Mortgage AG Arc Securitized Beginning balance $ 433,307 $ 3,100 $ 125,508 $ 3,158 $ 45,341 $ (355,159) Transfers (2): Transfers out of level 3 — (1,499) — — — — Purchases 208,060 — 3,669 — — — Proceeds from sales of assets — — (74,342) — — — Proceeds from settlement (12,294) (32) (195) — — 12,777 Total net gains/(losses) (3) Included in net income 11,666 72 3,569 (158) 6,797 (2,047) Ending Balance $ 640,739 $ 1,641 $ 58,209 $ 3,000 $ 52,138 $ (344,429) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2021 (4) $ 11,761 $ 72 $ 738 $ (158) $ 6,797 $ (2,047) (1) Includes Securitized residential mortgage loans. (2) Transfers are assumed to occur at the beginning of the period. During the three months ended March 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. (3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Net unrealized gain/(loss) $ 16,101 Net realized gain/(loss) (2,999) Equity in earnings/(loss) from affiliates 6,797 Total $ 19,899 (4) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Net unrealized gain/(loss) $ 10,366 Equity in earnings/(loss) from affiliates 6,797 Total $ 17,163 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 March 31, 2022 Valuation Technique Unobservable Input Range Yield 4.17% - 13.00% (4.75%) Securitized residential mortgage loans $ 2,105,572 Discounted Cash Flow Projected Collateral Prepayments 4.02% - 8.64% (7.87%) Projected Collateral Losses 0.07% - 4.35% (0.43%) Projected Collateral Severities -19.96% - 26.35% (12.28%) Yield 3.93% - 7.50% (4.51%) Residential mortgage loans $ 1,162,316 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 21.97% (12.81%) Projected Collateral Losses 0.00% - 18.14% (0.26%) Projected Collateral Severities -15.18% - 10.00% (9.87%) $ 3,898 Consensus Pricing Offered Quotes 91.82 - 112.22 (102.04) Yield 4.83% - 8.68% (6.44%) Non-Agency RMBS $ 13,916 Discounted Cash Flow Projected Collateral Prepayments 10.59% - 10.59% (10.59%) Projected Collateral Losses 0.24% - 0.24% (0.24%) Projected Collateral Severities 10.00% - 10.00% (10.00%) Yield 10.00% - 12.50% (12.11%) Non-Agency RMBS Interest Only $ 4,865 Discounted Cash Flow Projected Collateral Prepayments 10.59% - 10.59% (10.59%) Projected Collateral Losses 0.24% - 0.24% (0.24%) Projected Collateral Severities 10.00% - 10.00% (10.00%) AG Arc $ 54,121 Comparable Multiple Book Value Multiple 1.01x - 1.01x (1.01x) Liability Class Fair Value at March 31, 2022 Valuation Technique Unobservable Input Range Yield 3.75% - 6.42% (4.16%) Securitized debt $ (1,859,917) Discounted Cash Flow Projected Collateral Prepayments 5.80% - 14.26% (8.51%) Projected Collateral Losses 0.07% - 2.41% (0.40%) Projected Collateral Severities 3.73% - 15.00% (12.44%) (1) Amounts are weighted based on fair value. Asset Class Fair Value at December 31, 2021 Valuation Technique Unobservable Input Range Yield 2.26% - 13.00% (3.12%) Securitized residential mortgage loans $ 1,158,134 Discounted Cash Flow 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 2.77% - 7.50% (3.37%) Residential mortgage loans $ 1,465,523 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 25.89% (15.28%) Projected Collateral Losses 0.00% - 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 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 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. |
Financing arrangements
Financing arrangements | 3 Months Ended |
Mar. 31, 2022 | |
Debt Disclosure [Abstract] | |
Financing arrangements | Financing arrangements The following table presents a summary of the Company's financing arrangements as of March 31, 2022 and December 31, 2021 ($ in thousands). March 31, 2022 December 31, 2021 Weighted Average Collateral (1)(2) Repurchase Agreements Carrying Value Stated Maturity Funding Cost Life (Years) Amortized Cost Basis Fair Value Carrying Value Securitized residential mortgage loans (3) $ 125,533 Apr 2022 to June 2022 1.94 % 0.10 $ 207,014 $ 208,312 $ 71,308 Residential mortgage loans (4)(5) 1,035,248 July 2022 to Mar 2023 2.21 % 0.83 1,193,987 1,160,870 1,286,287 Agency RMBS (6) 240,653 Apr 2022 0.39 % 0.03 268,540 247,462 409,935 Non-Agency RMBS 10,059 Apr 2022 1.87 % 0.04 17,967 18,196 10,213 Total Financing Arrangements $ 1,411,493 1.87 % 0.62 $ 1,687,508 $ 1,634,840 $ 1,777,743 (1) The Company also had $5.4 million and $5.0 million of cash pledged under repurchase agreements as of March 31, 2022 and December 31, 2021, respectively. (2) Under the terms of the Company’s financing agreements, the Company's financing counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. (3) Amounts pledged as collateral under 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. (4) The Company's Residential mortgage loan financing arrangements include a maximum uncommitted borrowing capacity of $2.3 billion on facilities used to finance Non-Agency and Agency-Eligible Loans. (5) The funding cost includes deferred financing costs. The weighted average stated rate on the Residential mortgage loans repurchase agreements was 2.14% as of March 31, 2022. (6) As of March 31, 2022, financing arrangements on Agency RMBS included $66.4 million of repurchase agreements on unsettled sales that subsequently settled in April 2022. The following table presents contractual maturity information about the Company's borrowings under financing arrangements as of March 31, 2022 ($ in thousands). Repurchase Agreements Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Total Securitized residential mortgage loans $ 79,123 $ 46,410 $ — $ 125,533 Residential mortgage loans — — 1,035,248 1,035,248 Agency RMBS 240,653 — — 240,653 Non-Agency RMBS 10,059 — — 10,059 Total Financing Arrangements $ 329,835 $ 46,410 $ 1,035,248 $ 1,411,493 Counterparties The Company had exposure to five counterparties as of March 31, 2022 and December 31, 2021. The following tables present information as of March 31, 2022 and December 31, 2021 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). March 31, 2022 December 31, 2021 Counterparty Stockholders' Equity Weighted Average Percentage of Stockholders' Equity Weighted Average Percentage of Credit Suisse AG, Cayman Islands Branch $ 116,031 307 21.2 % $ 129,526 101 22.7 % Barclays Capital Inc. 70,032 253 12.8 % 89,230 23 15.6 % BofA Securities, Inc. 34,279 170 6.3 % 33,153 317 5.8 % 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 |
Other assets and liabilities
Other assets and liabilities | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 and December 31, 2021 (in thousands). March 31, 2022 December 31, 2021 Other assets Interest receivable $ 15,523 $ 14,263 Derivative assets, at fair value 8,171 231 Other assets 3,825 4,519 Due from broker 1,755 1,887 Total Other assets $ 29,274 $ 20,900 Other liabilities Due to affiliates (1) $ 4,051 $ 4,106 Interest payable 5,292 2,925 Derivative liabilities, at fair value 3,313 92 Purchase price payable on Agency-Eligible Loans (2) — 87 Accrued expenses 2,216 2,169 Due to broker 2 990 Total Other liabilities $ 14,874 $ 10,369 (1) Refer to Note 10 for more information. (2) Represents the portion of the purchase price on Agency-Eligible Loans that had 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 as of March 31, 2022 and December 31, 2021 (in thousands). Derivatives and Other Instruments (1) Balance Sheet March 31, 2022 December 31, 2021 Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other assets $ 1,438 $ 231 Long TBAs Other liabilities (211) — Short TBAs Other assets 6,733 — Short TBAs Other liabilities (3,102) (13) Forward Purchase Commitments Other liabilities — (79) (1) As of March 31, 2022 and December 31, 2021, all derivatives held by the Company are not designated as hedges. (2) As of March 31, 2022, the Company applied a reduction in fair value of $63.6 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties. 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. The following table summarizes information related to derivatives and other instruments (in thousands). Notional amount of non-hedge derivatives and other instruments: Notional Currency March 31, 2022 December 31, 2021 Pay Fix/Receive Float Interest Rate Swap Agreements (1) USD $ 1,419,000 $ 888,500 Long TBAs USD 150,000 — Short TBAs USD — 385,963 Forward Purchase Commitments USD — 25,292 (1) As of March 31, 2022, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 1.27%, a weighted average receive-variable rate of 0.30%, and a weighted average years to maturity of 5.33 years. 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. Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of March 31, 2022 and December 31, 2021, 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 March 31, 2022, the Company's restricted cash balance included $38.8 million of collateral related to certain derivatives, of which $5.4 million represents cash collateral posted by the Company and $33.4 million represents amounts related to variation margin. 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. The following table summarizes gains/(losses) related to derivatives and other instruments (in thousands). Three Months Ended March 31, 2022 March 31, 2021 Included within Net unrealized gain/(loss) Interest Rate Swaps $ 46,404 $ 28,420 Long TBAs (211) — Short TBAs 3,645 — Forward Purchase Commitments 79 — British Pound Futures — 64 49,917 28,484 Included within Net realized gain/(loss) Interest Rate Swaps 15,707 — Short TBAs 9,946 — British Pound Futures — (165) 25,653 (165) Total income/(loss) $ 75,570 $ 28,319 TBAs The following table presents information about the Company’s TBAs for the three months ended March 31, 2022 (in thousands). The Company did not hold any TBA positions during the three months ended March 31, 2021. Beginning Notional Amount Buys or Covers Sales or Shorts Ending Net Notional Amount Net Fair Value as of Period End Net Receivable/(Payable) from/to Broker Derivative Derivative Liability Long TBAs $ — $ 150,000 $ — $ 150,000 $ 150,270 $ (150,481) $ — $ (211) Short TBAs (385,963) 1,320,852 (934,889) — — 3,631 6,733 (3,102) |
Earnings per share
Earnings per share | 3 Months Ended |
Mar. 31, 2022 | |
Earnings Per Share [Abstract] | |
Earnings per share | Earnings per share Following the close of business on July 22, 2021, the Company effected a one-for-three reverse stock split of its outstanding shares of common stock. All per share amounts and common shares outstanding for all periods presented in the unaudited consolidated financial statements have been adjusted on a retroactive basis to reflect the Company’s one-for-three reverse stock split. Refer to Note 2 and Note 11 for additional information. The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three months ended March 31, 2022 and 2021 (in thousands, except per share data). Three Months Ended March 31, 2022 March 31, 2021 Numerator: Net Income/(Loss) $ (13,202) $ 43,249 Gain on Exchange Offers, net (Note 11) — 358 Dividends on preferred stock (4,586) (4,924) Net income/(loss) available to common stockholders $ (17,788) $ 38,683 Denominator: Basic weighted average common shares outstanding 23,915 14,116 Diluted weighted average common shares outstanding 23,915 14,116 Earnings/(Loss) Per Share of Common Stock Basic $ (0.74) $ 2.74 Diluted $ (0.74) $ 2.74 Dividends The following tables detail the Company's common stock dividends declared during the three months ended March 31, 2022 and 2021. 2022 Declaration Date Record Date Payment Date Cash Dividend Per Share 3/18/2022 3/31/2022 4/29/2022 $ 0.21 2021 Declaration Date Record Date Payment Date Cash Dividend Per Share 3/22/2021 4/1/2021 4/30/2021 $ 0.18 The following tables detail the Company's preferred stock dividends declared and paid during the three months ended March 31, 2022 and 2021. 2022 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25% Series A 8.00% Series B 8.000% Series C 2/18/2022 2/28/2022 3/17/2022 $ 0.51563 $ 0.50 $ 0.50 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 |
Income taxes
Income taxes | 3 Months Ended |
Mar. 31, 2022 | |
Income Tax Disclosure [Abstract] | |
Income taxes | Income taxes As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders, and provided it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. Most states follow U.S. federal income tax treatment of REITs. Excise tax represents a four percent tax on the required amount of the Company’s ordinary income and net capital gains not distributed during the year. The expense is calculated in accordance with applicable tax regulations. For the three months ended March 31, 2022 and 2021, the Company did not record any excise tax expense. 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 March 31, 2022. 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 | 3 Months Ended |
Mar. 31, 2022 | |
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 agreement. Management fee The Manager is entitled to a management fee equal to 1.50% per annum, calculated and paid quarterly, of the Company’s Stockholders’ Equity. For purposes of calculating the management fee, "Stockholders’ Equity" means the sum of the net proceeds from any issuances of equity securities (including preferred securities) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance, and excluding any future equity issuance to the Manager), plus the Company’s retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items described below incurred in current or prior periods), less any amount that the Company pays for repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in the Company’s financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors. Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on the Company’s financial statements. For the three months ended March 31, 2022 and 2021, the Company incurred management fees of approximately $2.0 million and $1.7 million, respectively. As of March 31, 2022 and December 31, 2021, the Company recorded management fees payable of $2.0 million and $1.8 million, respectively. 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 March 31, 2022 and December 31, 2021, 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 the three months ended March 31, 2022 and 2021, the Company has incurred $2.5 million and $1.5 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 March 31, 2022 and December 31, 2021, the Company recorded a reimbursement payable to the Manager of $1.9 million and $2.1 million, respectively. For the year ended December 31, 2021, the Manager agreed to waive its right to receive expense reimbursements of $0.8 million. For the three months ended March 31, 2021, the Company reduced its expense reimbursement amount by $0.2 million. 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 March 31, 2022, 591,532 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan. As of March 31, 2022, the Company has granted an aggregate of 75,134 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which 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 March 31, 2022, there were no shares or awards issued under the 2021 Manager Plan. Director compensation The annual base director's fee for each independent director is $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 March 31, 2022, the Company's Board of Directors consisted of four independent directors. 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 March 31, 2022 and December 31, 2021 (in thousands). March 31, 2022 December 31, 2021 Assets Liabilities Equity Assets Liabilities Equity MATT Non-QM Loans $ 41,270 $ (28,086) $ 13,184 $ 45,837 $ (30,471) $ 15,366 Land Related Financing 13,569 — 13,569 16,891 — 16,891 Re/Non-Performing Loans 8,045 (5,408) 2,637 9,298 (5,538) 3,760 Total Residential Investments 62,884 (33,494) 29,390 72,026 (36,009) 36,017 AG Arc, at fair value 54,121 — 54,121 53,435 — 53,435 Cash and Other assets/(liabilities) 4,340 (765) 3,575 3,698 (1,127) 2,571 Investments in debt and equity of affiliates $ 121,345 $ (34,259) $ 87,086 $ 129,159 $ (37,136) $ 92,023 The below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the three months ended March 31, 2022 and 2021 (in thousands). Three Months Ended March 31, 2022 March 31, 2021 MATT Non-QM Loans $ (889) $ 14,646 Land Related Financing 502 710 Re/Non-Performing Loans 3 4,623 AG Arc (1) (1,670) 6,340 Other — 17 Equity in earnings/(loss) from affiliates $ (2,054) $ 26,336 (1) The earnings/(loss) at AG Arc during the three months ended March 31, 2022 were primarily the result of $3.1 million related to changes in the fair value of the MSR portfolio held by Arc Home, offset by $(2.4) million of losses related to Arc Home's lending and servicing operations. 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 three months ended March 31, 2022 and 2021 , we eliminated $2.4 million and $0.5 million of intra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans the Company purchased by the same amount, respectively. Refer to Note 2 for more information on this accounting policy. 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 periodically by a third-party valuation firm. The fees paid by the Company to the Asset Manager totaled $0.6 million for the three months ended March 31, 2022 and 2021. As of March 31, 2022 and December 31, 2021, the Company recorded asset management fees payable of $0.2 million and $0.2 million, respectively. Transactions with Arc Home Arc Home may sell loans to the Company, third-parties, or affiliates of the Manager. The below table details the unpaid principal balance of Non-Agency Loans and Agency-Eligible Loans sold to the Company and a private fund under the management of Angelo Gordon during the three months ended March 31, 2022 and 2021 (in thousands). Three Months Ended March 31, 2022 March 31, 2021 Residential mortgage loans sold to the Company $ 377,832 $ 57,665 Residential mortgage loans sold to private funds under the management of Angelo Gordon 125,702 76,829 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, all of which were sold during 2021 as detailed below. 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 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 $44.0 million as of December 31, 2021. The Company has a 40.9% interest in the retained subordinate tranches which represents its continuing involvement in the securitization trust. These retained subordinate tranches are included within the "Real estate securities, at fair value" line item on its consolidated balance sheets. Transactions under the Company's Affiliated Transaction Policy The below table details transactions where the Company purchased or sold assets from or to an affiliate of the Manager, respectively ($ in millions). The transactions were executed in accordance with the Company's Affiliated Transaction Policy. Date Transaction Fair value (1) Pricing methodology March 2021 Sale of real estate securities $ 6.9 Competitive bidding process (2) April 2021 Sale of real estate securities 16.8 Third party pricing vendors (3) July 2021 Sale of real estate securities 17.6 Competitive bidding process (2) October 2021 Purchase of real estate securities (4) 3.5 Third party pricing vendors (3) November 2021 Purchase of residential mortgage loans (5) 181.8 Third party pricing vendors (3) (1) As of the transaction date. (2) The affiliate submitted an offer to purchase the securities from the Company in a competitive bidding process, which allowed the Company to confirm third-party market pricing and best execution. (3) Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy. (4) The Company purchased the real estate securities through one of its unconsolidated affiliated entities. |
Equity
Equity | 3 Months Ended |
Mar. 31, 2022 | |
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. All per share amounts and common shares outstanding for all periods presented in the unaudited consolidated financial statements have been adjusted on a retroactive basis to reflect the Company's one-for-three reverse stock split. Stock repurchase programs On November 3, 2015, the Company’s Board of Directors authorized a stock repurchase program ("Repurchase Program") to repurchase up to $25.0 million of the Company's outstanding common stock. Such authorization does not have an expiration date. As part of the Repurchase Program, shares may be purchased in open market transactions, including through block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Exchange Act. Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases. Subject to applicable securities laws, the timing, manner, price and amount of any repurchases of common stock under the Repurchase Program may be determined by the Company in its discretion, using available cash resources. Shares of common stock repurchased by the Company under the Repurchase Program, if any, will be cancelled and, until reissued by the Company, will be deemed to be authorized but unissued shares of its common stock as required by Maryland law. The Repurchase Program may be suspended or discontinued by the Company at any time and without prior notice and the authorization does not obligate the Company to acquire any particular amount of common stock. The cost of the acquisition by the Company of shares of its own stock in excess of the aggregate par value of the shares first reduces additional paid-in capital, to the extent available, with any residual cost applied against retained earnings. No shares were repurchased under the Repurchase Program during the three months ended March 31, 2022 and 2021. Approximately $11.0 million of common stock remained authorized for future share repurchases under the Repurchase Program as of March 31, 2022. 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 share repurchases under the Preferred Repurchase Program have been made since its authorization. Equity distribution agreements On May 5, 2017, the Company entered into an equity distribution agreement with each of Credit Suisse Securities (USA) LLC and JMP Securities LLC (collectively, the "Sales Agents"), which the Company refers to as the "Equity Distribution Agreements," pursuant to which the Company may sell up to $100.0 million aggregate offering price of shares of its common stock from time to time through the Sales Agents under the Securities Act of 1933. For the three months ended March 31, 2022, the Company did not issue any shares of common stock under the Equity Distribution Agreements. For the three months ended March 31, 2021, the Company sold 0.7 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $10.0 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 offering expenses. Preferred stock The Company is authorized to designate and issue up to 50.0 million shares of preferred stock, par value $0.01 per share, in one or more classes or series. As of March 31, 2022 and December 31, 2021, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding. The following table includes a summary of preferred stock issued and outstanding as of March 31, 2022 ($ 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 (or as replaced by the existing LIBOR cessation fallback language) 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 The below details privately negotiated exchange agreements with existing holders of the Company's preferred shares exchanged for common shares during 2021. The Company did not complete any exchange offers during the three months ended March 31, 2022. Subsequent to each transaction, 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 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
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022, the Company was not involved in any material legal proceedings. The below table details the Company's outstanding commitments as of March 31, 2022 (in thousands). Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment Land Related Financing (1) Various $ 17,640 $ 13,569 $ 4,071 MATT Non-QM Loans (1) January 28, 2022 15,607 — 15,607 Total $ 33,247 $ 13,569 $ 19,678 (1) Refer to Note 2 and Note 10 "Investments in debt and equity of affiliates" for more information regarding LOTS and MATH. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2022 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events The Company executed a rated Agency-Eligible securitization, in which loans with a fair value of $398.7 million were securitized. The securitization 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 May 2, 2022 its Board of Directors declared second 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 June 17, 2022 to holders of record on May 31, 2022. |
Summary of significant accoun_2
Summary of significant accounting policies (Policies) | 3 Months Ended |
Mar. 31, 2022 | |
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. 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. |
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. 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 three months ended March 31, 2022 and 2021, the Company eliminated $2.4 million and $0.5 million of intra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company. 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 March 31, 2022, 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 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 collateralized by its Non-Agency Loans ("Non-Agency VIEs"), Agency-Eligible Loans ("Agency-Eligible VIEs"), and re- and non-performing loans ("RPL/NPL VIEs") (collectively, "Residential Mortgage Loan VIEs"), 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. 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 ASC 810-10 (Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity) whereby the Company determines whether the fair value of the assets or liabilities of the Residential Mortgage Loan VIEs are more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the liabilities of the Residential Mortgage Loan VIEs are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIEs. See Note 3 for more detail regarding the Residential Mortgage Loan VIEs and Note 5 for more detail related to the Company's determination of fair value for the assets and liabilities included within these VIEs. 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. |
Cash and cash equivalents | Cash and cash equivalents Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents may include cash invested in money market funds. Cash and cash equivalents are carried at cost, which approximates fair value. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of "Cash and cash equivalents" on the consolidated balance sheets. Any cash held by the Company as collateral is included in the "Other liabilities" line item on the consolidated balance sheets and in cash flows from financing activities on the consolidated statement of cash flows. Any cash due to the Company in the form of principal payments is included in the "Other assets" line item on the consolidated balance sheets and in cash flows from operating activities on the consolidated statement of cash flows. |
Restricted cash | Restricted cash |
Financing arrangements | Financing arrangements The Company finances the acquisition of certain assets within its portfolio through the use of financing arrangements. Financing arrangements primarily include repurchase agreements, but may also include revolving facilities. Repurchase agreements 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. |
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 March 31, 2022 and December 31, 2021, 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, 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 |
Interest income recognition | Interest income recognition Interest income on the Company’s loan portfolio and real estate securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans or securities. The Company has elected to record interest in accordance with ASC 835-30-35-2, "Imputation of Interest," using the effective interest method for all loans and securities 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 loans or securities in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs," ASC 320-10 or ASC 325-40, as applicable. Total interest income is recorded in the "Interest income" line item on the consolidated statement of operations. 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 loans and securities, including Non-Agency Loans, Agency-Eligible 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. |
Manager compensation | Manager compensation |
Transaction related expenses | Transaction related expensesThe Company incurs transaction related expenses associated with purchasing and securitizing residential mortgage loans. In accordance with ASC 825 "Financial Instruments," nonrefundable fees and costs associated with originating or acquiring loans that are carried at fair value shall be recognized in earnings as incurred. Transaction related expenses are accrued and expensed during the period in which they are incurred and are included in the "Transaction related expenses" line item on the consolidated statement of operations. |
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 (or as replaced by the existing LIBOR cessation fallback language) 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. The Manager has an established cross-functional team that focuses on evaluating exposure to LIBOR and monitoring regulatory updates to assess the potential impact to the portfolios under management from the cessation set to occur in 2023 and has established a LIBOR transition plan to facilitate an orderly transition to alternative reference rates. As of March 31, 2022, the Company is continuing to assess the impact of the LIBOR transition and does not expect the transition or the adoption of ASU 2020-04 to have a material impact on the consolidated financial statements. The Company's primary exposure to LIBOR includes certain financing arrangements, interest rate swaps, and the Series C Preferred Stock. The Company's financing arrangements either have provisions in place that provide for an alternative to LIBOR upon its phase-out or contain maturities of one year or less and therefore would mature prior to the phase out of LIBOR in June 2023. In addition, the Company has begun amending terms of certain financing arrangements, where necessary, to transition or direct the transition to an alternative benchmark. Interest rate swaps will experience an orderly market transition upon the cessation of LIBOR, although the |
Organization (Tables)
Organization (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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-Agency Loans • Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE"). Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans"). QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Finance Protection Bureau ("CFPB"). Non-QM Loans are residential mortgage loans that do not satisfy the requirements for QM Loans and are therefore not deemed to be a "qualified mortgage" under the rules of the CFPB. ◦ These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on the consolidated balance sheets. Agency-Eligible Loans • Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties. ◦ These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on the 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 the 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 the 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 the consolidated balance sheets. |
Loans (Tables)
Loans (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Receivables [Abstract] | |
Schedule of Company's Residential Mortgage Loan Portfolio and Commercial Loan Portfolio | March 31, 2022 and December 31, 2021 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses). Unpaid Principal Balance Gross Unrealized Weighted Average March 31, 2022 Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Securitized residential mortgage loans, at fair value (2) Non-Agency Loans $ 1,368,470 $ 53,404 $ 1,421,874 $ — $ (67,538) $ 1,354,336 4.85 % 4.07 % 6.36 Agency-Eligible Loans 452,213 10,134 462,347 — (31,330) 431,017 3.59 % 3.24 % 8.43 Re- and Non-Performing Loans 364,103 (43,164) 320,939 7,776 (8,496) 320,219 3.31 % 5.92 % 7.76 Total Securitized residential mortgage loans, at fair value $ 2,184,786 $ 20,374 $ 2,205,160 $ 7,776 $ (107,364) $ 2,105,572 4.33 % 4.18 % 7.02 Residential mortgage loans, at fair value Non-Agency Loans $ 878,438 $ 17,153 $ 895,591 $ 1,387 $ (18,725) $ 878,253 4.67 % 4.18 % 5.87 Agency-Eligible Loans 293,765 6,158 299,923 2 (15,862) 284,063 3.65 % 3.32 % 8.69 Re- and Non-Performing Loans 5,977 (3,408) 2,569 2,176 — 4,745 N/A 44.49 % 2.11 Total Residential mortgage loans, at fair value $ 1,178,180 $ 19,903 $ 1,198,083 $ 3,565 $ (34,587) $ 1,167,061 4.42 % 4.14 % 6.56 Total as of March 31, 2022 $ 3,362,966 $ 40,277 $ 3,403,243 $ 11,341 $ (141,951) $ 3,272,633 4.36 % 4.17 % 6.86 Unpaid Principal Balance Gross Unrealized Weighted Average December 31, 2021 Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Securitized residential mortgage loans, at fair value (2) Non-Agency 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 Residential mortgage loans, at fair value Non-Agency Loans $ 987,290 $ 35,647 $ 1,022,937 $ 9,336 $ (1,458) $ 1,030,815 4.75 % 3.76 % 5.01 Agency-Eligible 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 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 (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 three months ended March 31, 2022, the Company purchased Non-Agency Loans and Agency-Eligible 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-Agency Loans $ 595,288 $ 604,562 Agency-Eligible Loans 336,277 343,342 |
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). March 31, 2022 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 Securitized residential mortgage loans Non-Agency Loans $ 1,368,470 2,741 68.67 % 732 $ 1,338,123 $ 22,057 $ 2,458 $ 5,832 Agency-Eligible Loans 452,213 1,570 65.25 % 757 449,506 1,972 539 196 Re- and Non-Performing Loans 364,103 2,459 79.31 % 639 243,340 30,564 15,681 74,518 Total Securitized residential mortgage loans 2,184,786 6,770 69.73 % 720 2,030,969 54,593 18,678 80,546 Residential mortgage loans Non-Agency Loans 878,438 1,658 70.34 % 734 861,420 7,396 1,276 8,346 Agency-Eligible Loans 293,765 705 63.93 % 757 288,710 3,868 — 1,187 Re- and Non-Performing Loans (1) 5,977 N/A N/A N/A N/A N/A N/A N/A Total Residential mortgage loans 1,178,180 2,363 68.74 % 740 1,150,130 11,264 1,276 9,533 Total as of March 31, 2022 $ 3,362,966 9,133 69.39 % 728 $ 3,181,099 $ 65,857 $ 19,954 $ 90,079 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 Securitized residential mortgage loans Non-Agency 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 Securitized residential mortgage loans 1,155,751 4,102 71.68 % 697 1,023,828 42,469 13,360 76,094 Residential mortgage loans Non-Agency Loans 987,290 1,886 69.39 % 737 967,910 9,101 1,630 8,649 Agency-Eligible Loans 429,424 1,339 65.44 % 754 425,594 3,830 — — Re- and Non-Performing Loans (1) 6,528 N/A N/A N/A N/A N/A N/A N/A Total Residential mortgage loans 1,423,242 3,225 68.19 % 742 1,393,504 12,931 1,630 8,649 Total as of December 31, 2021 $ 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 March 31, 2022, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $51.4 million and $28.3 million, respectively. 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. |
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 March 31, 2022 and December 31, 2021 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) March 31, 2022 December 31, 2021 California 34 % 35 % New York 17 % 15 % Florida 10 % 11 % New Jersey 6 % 6 % (1) 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. |
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 three months ended March 31, 2022 and 2021, 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). Three Months Ended March 31, 2022 March 31, 2021 Beginning Balance $ 46,521 $ 56,907 Accretion (1,650) (1,562) Reclassifications from/(to) non-accretable difference 1,386 (278) Disposals — (64) Ending Balance $ 46,257 $ 55,003 |
Schedule of Variable Interest Entities | March 31, 2022 and December 31, 2021 ($ in thousands). March 31, 2022 December 31, 2021 Carrying Value Weighted Average Carrying Value Weighted Average Yield Life (Years) (1) Yield Life (Years) (1) Assets Non-Agency VIEs $ 1,354,336 4.07 % 6.36 $ 813,383 3.96 % 4.50 Agency-Eligible VIEs 431,017 3.24 % 8.43 — — % — RPL/NPL VIEs 320,219 5.92 % 7.76 344,751 5.90 % 7.17 Securitized residential mortgage loans, at fair value $ 2,105,572 $ 1,158,134 Restricted cash 1,450 1,467 Other assets 9,896 6,457 Total Assets $ 2,116,918 $ 1,166,058 Liabilities Non-Agency VIEs $ 1,228,382 2.49 % 3.69 $ 746,970 1.63 % 2.36 Agency-Eligible VIEs 399,128 2.81 % 8.10 — — % — RPL/NPL VIEs 232,407 3.09 % 2.65 252,245 3.06 % 3.75 Securitized debt, at fair value (2) $ 1,859,917 $ 999,215 Financing arrangements (3) 125,533 71,308 Other liabilities 4,283 1,543 Total Liabilities $ 1,989,733 $ 1,072,066 Total Equity $ 127,185 $ 93,992 (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) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 and December 31, 2021 ($ in thousands). The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses). March 31, 2022 Current Face Premium / (Discount) Amortized Cost Gross Unrealized Weighted Average Gains Losses Fair Value Coupon (1) Yield Agency RMBS 30 Year Fixed Rate $ 223,604 $ 6,304 $ 229,908 $ — $ (18,059) $ 211,849 2.50 % 2.08 % Interest Only 103,290 (87,635) 15,655 — (281) 15,374 3.00 % 6.46 % Total Agency RMBS 326,894 (81,331) 245,563 — (18,340) 227,223 2.66 % 2.38 % Residential Securities Non-Agency Securities (2) 14,892 (226) 14,666 — (1,335) 13,331 4.35 % 4.64 % Non-Agency RMBS Interest Only (2) 139,080 (135,779) 3,301 1,564 — 4,865 0.38 % 31.33 % Re/Non-Performing Securities 616 15 631 42 (88) 585 5.25 % 23.85 % Total Residential Securities 154,588 (135,990) 18,598 1,606 (1,423) 18,781 1.10 % 12.15 % Total $ 481,482 $ (217,321) $ 264,161 $ 1,606 $ (19,763) $ 246,004 2.34 % 3.12 % December 31, 2021 Current Face Premium / (Discount) Amortized Cost Gross Unrealized Weighted Average 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 % Residential Securities Non-Agency Securities (2) 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 Residential Securities 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 securities and Non-QM interest-only bonds. During the three months ended March 31, 2022 and 2021, the Company sold real estate securities, as summarized below ($ in thousands). Three months ended Number of Securities Proceeds Realized Gains Realized Losses March 31, 2022 (1) 13 $ 304,665 $ 568 $ (17,408) March 31, 2021 27 111,824 2,458 (2,958) (1) Includes $107.7 million of proceeds on six security sales which were unsettled as of March 31, 2022. |
Schedule of Weighted Average Life of Real Estate Securities | The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of March 31, 2022 and December 31, 2021 ($ in thousands). March 31, 2022 Agency RMBS Residential Securities Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon (2) Less than or equal to 1 year $ — $ — — % $ 585 $ 631 5.25 % Greater than one year and less than or equal to five years — — — % 4,865 3,301 0.38 % Greater than five years and less than or equal to ten years 227,223 245,563 2.66 % 13,331 14,666 4.35 % Total $ 227,223 $ 245,563 2.66 % $ 18,781 $ 18,598 1.10 % December 31, 2021 Agency RMBS Residential Securities Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon (2) Less than or equal to 1 year $ — $ — — % $ 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 % (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) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 and December 31, 2021 (in thousands). Fair Value at March 31, 2022 Level 1 Level 2 Level 3 Total Assets: Securitized residential mortgage loans $ — $ — $ 2,105,572 $ 2,105,572 Residential mortgage loans — 847 1,166,214 1,167,061 30 Year Fixed Rate Agency RMBS — 211,849 — 211,849 Agency Interest Only — 15,374 — 15,374 Non-Agency RMBS (1) — — 13,916 13,916 Non-Agency RMBS Interest Only — — 4,865 4,865 Derivative assets (2) — 71,767 — 71,767 AG Arc (3) — — 54,121 54,121 Total Assets Measured at Fair Value $ — $ 299,837 $ 3,344,688 $ 3,644,525 Liabilities: Securitized debt $ — $ — $ (1,859,917) $ (1,859,917) Derivative liabilities — (3,313) — (3,313) Total Liabilities Measured at Fair Value $ — $ (3,313) $ (1,859,917) $ (1,863,230) Fair value at December 31, 2021 Level 1 Level 2 Level 3 Total Assets: Securitized residential mortgage loans $ — $ — $ 1,158,134 $ 1,158,134 Residential mortgage loans — 915 1,476,057 1,476,972 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-Agency and Re/Non-Performing Securities. (2) As of March 31, 2022, the Company applied a reduction in fair value of $63.6 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties. 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 AG Arc. The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825. |
Schedule of Assets Measured on a Recurring Basis | Three Months Ended March 31, 2022 (in thousands) Residential Non-Agency Non-Agency AG Arc Securitized Derivative liabilities Beginning balance $ 2,634,191 $ 15,362 $ 3,395 $ 53,435 $ (999,215) $ (79) Purchases 944,630 — — — — — Issuances of Securitized Debt — — — — (1,074,852) — Proceeds from settlement (146,388) (78) — — 116,866 — Total net gains/(losses) (2) Included in net income (160,647) (1,368) 1,470 686 97,284 79 Ending Balance $ 3,271,786 $ 13,916 $ 4,865 $ 54,121 $ (1,859,917) $ — Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2022 (3) $ (161,896) $ (1,368) $ 1,470 $ 686 $ 97,284 $ — (1) Includes Securitized residential mortgage loans. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Net unrealized gain/(loss) $ (63,095) Net realized gain/(loss) (87) Equity in earnings/(loss) from affiliates 686 Total $ (62,496) (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Net unrealized gain/(loss) $ (64,510) Equity in earnings/(loss) from affiliates 686 Total $ (63,824) Three Months Ended March 31, 2021 (in thousands) Residential Non-Agency Commercial Excess Mortgage AG Arc Securitized Beginning balance $ 433,307 $ 3,100 $ 125,508 $ 3,158 $ 45,341 $ (355,159) Transfers (2): Transfers out of level 3 — (1,499) — — — — Purchases 208,060 — 3,669 — — — Proceeds from sales of assets — — (74,342) — — — Proceeds from settlement (12,294) (32) (195) — — 12,777 Total net gains/(losses) (3) Included in net income 11,666 72 3,569 (158) 6,797 (2,047) Ending Balance $ 640,739 $ 1,641 $ 58,209 $ 3,000 $ 52,138 $ (344,429) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2021 (4) $ 11,761 $ 72 $ 738 $ (158) $ 6,797 $ (2,047) (1) Includes Securitized residential mortgage loans. (2) Transfers are assumed to occur at the beginning of the period. During the three months ended March 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. (3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Net unrealized gain/(loss) $ 16,101 Net realized gain/(loss) (2,999) Equity in earnings/(loss) from affiliates 6,797 Total $ 19,899 (4) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Net unrealized gain/(loss) $ 10,366 Equity in earnings/(loss) from affiliates 6,797 Total $ 17,163 |
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 March 31, 2022 Valuation Technique Unobservable Input Range Yield 4.17% - 13.00% (4.75%) Securitized residential mortgage loans $ 2,105,572 Discounted Cash Flow Projected Collateral Prepayments 4.02% - 8.64% (7.87%) Projected Collateral Losses 0.07% - 4.35% (0.43%) Projected Collateral Severities -19.96% - 26.35% (12.28%) Yield 3.93% - 7.50% (4.51%) Residential mortgage loans $ 1,162,316 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 21.97% (12.81%) Projected Collateral Losses 0.00% - 18.14% (0.26%) Projected Collateral Severities -15.18% - 10.00% (9.87%) $ 3,898 Consensus Pricing Offered Quotes 91.82 - 112.22 (102.04) Yield 4.83% - 8.68% (6.44%) Non-Agency RMBS $ 13,916 Discounted Cash Flow Projected Collateral Prepayments 10.59% - 10.59% (10.59%) Projected Collateral Losses 0.24% - 0.24% (0.24%) Projected Collateral Severities 10.00% - 10.00% (10.00%) Yield 10.00% - 12.50% (12.11%) Non-Agency RMBS Interest Only $ 4,865 Discounted Cash Flow Projected Collateral Prepayments 10.59% - 10.59% (10.59%) Projected Collateral Losses 0.24% - 0.24% (0.24%) Projected Collateral Severities 10.00% - 10.00% (10.00%) AG Arc $ 54,121 Comparable Multiple Book Value Multiple 1.01x - 1.01x (1.01x) Liability Class Fair Value at March 31, 2022 Valuation Technique Unobservable Input Range Yield 3.75% - 6.42% (4.16%) Securitized debt $ (1,859,917) Discounted Cash Flow Projected Collateral Prepayments 5.80% - 14.26% (8.51%) Projected Collateral Losses 0.07% - 2.41% (0.40%) Projected Collateral Severities 3.73% - 15.00% (12.44%) (1) Amounts are weighted based on fair value. Asset Class Fair Value at December 31, 2021 Valuation Technique Unobservable Input Range Yield 2.26% - 13.00% (3.12%) Securitized residential mortgage loans $ 1,158,134 Discounted Cash Flow 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 2.77% - 7.50% (3.37%) Residential mortgage loans $ 1,465,523 Discounted Cash Flow Projected Collateral Prepayments 0.00% - 25.89% (15.28%) Projected Collateral Losses 0.00% - 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 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 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. |
Financing arrangements (Tables)
Financing arrangements (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements | The following table presents a summary of the Company's financing arrangements as of March 31, 2022 and December 31, 2021 ($ in thousands). March 31, 2022 December 31, 2021 Weighted Average Collateral (1)(2) Repurchase Agreements Carrying Value Stated Maturity Funding Cost Life (Years) Amortized Cost Basis Fair Value Carrying Value Securitized residential mortgage loans (3) $ 125,533 Apr 2022 to June 2022 1.94 % 0.10 $ 207,014 $ 208,312 $ 71,308 Residential mortgage loans (4)(5) 1,035,248 July 2022 to Mar 2023 2.21 % 0.83 1,193,987 1,160,870 1,286,287 Agency RMBS (6) 240,653 Apr 2022 0.39 % 0.03 268,540 247,462 409,935 Non-Agency RMBS 10,059 Apr 2022 1.87 % 0.04 17,967 18,196 10,213 Total Financing Arrangements $ 1,411,493 1.87 % 0.62 $ 1,687,508 $ 1,634,840 $ 1,777,743 (1) The Company also had $5.4 million and $5.0 million of cash pledged under repurchase agreements as of March 31, 2022 and December 31, 2021, respectively. (2) Under the terms of the Company’s financing agreements, the Company's financing counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. (3) Amounts pledged as collateral under 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. (4) The Company's Residential mortgage loan financing arrangements include a maximum uncommitted borrowing capacity of $2.3 billion on facilities used to finance Non-Agency and Agency-Eligible Loans. (5) The funding cost includes deferred financing costs. The weighted average stated rate on the Residential mortgage loans repurchase agreements was 2.14% as of March 31, 2022. |
Schedule of Total Borrowings Under Repurchase Agreements | The following table presents contractual maturity information about the Company's borrowings under financing arrangements as of March 31, 2022 ($ in thousands). Repurchase Agreements Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Total Securitized residential mortgage loans $ 79,123 $ 46,410 $ — $ 125,533 Residential mortgage loans — — 1,035,248 1,035,248 Agency RMBS 240,653 — — 240,653 Non-Agency RMBS 10,059 — — 10,059 Total Financing Arrangements $ 329,835 $ 46,410 $ 1,035,248 $ 1,411,493 |
Schedule of Repurchase Agreement Counterparty | The following tables present information as of March 31, 2022 and December 31, 2021 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). March 31, 2022 December 31, 2021 Counterparty Stockholders' Equity Weighted Average Percentage of Stockholders' Equity Weighted Average Percentage of Credit Suisse AG, Cayman Islands Branch $ 116,031 307 21.2 % $ 129,526 101 22.7 % Barclays Capital Inc. 70,032 253 12.8 % 89,230 23 15.6 % BofA Securities, Inc. 34,279 170 6.3 % 33,153 317 5.8 % |
Other assets and liabilities (T
Other assets and liabilities (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 March 31, 2022 and December 31, 2021 (in thousands). March 31, 2022 December 31, 2021 Other assets Interest receivable $ 15,523 $ 14,263 Derivative assets, at fair value 8,171 231 Other assets 3,825 4,519 Due from broker 1,755 1,887 Total Other assets $ 29,274 $ 20,900 Other liabilities Due to affiliates (1) $ 4,051 $ 4,106 Interest payable 5,292 2,925 Derivative liabilities, at fair value 3,313 92 Purchase price payable on Agency-Eligible Loans (2) — 87 Accrued expenses 2,216 2,169 Due to broker 2 990 Total Other liabilities $ 14,874 $ 10,369 (1) Refer to Note 10 for more information. |
Schedule of Company's Derivative and Other Instruments and their Balance Sheet Location | The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location as of March 31, 2022 and December 31, 2021 (in thousands). Derivatives and Other Instruments (1) Balance Sheet March 31, 2022 December 31, 2021 Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other assets $ 1,438 $ 231 Long TBAs Other liabilities (211) — Short TBAs Other assets 6,733 — Short TBAs Other liabilities (3,102) (13) Forward Purchase Commitments Other liabilities — (79) (1) As of March 31, 2022 and December 31, 2021, all derivatives held by the Company are not designated as hedges. (2) As of March 31, 2022, the Company applied a reduction in fair value of $63.6 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties. 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. |
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 March 31, 2022 December 31, 2021 Pay Fix/Receive Float Interest Rate Swap Agreements (1) USD $ 1,419,000 $ 888,500 Long TBAs USD 150,000 — Short TBAs USD — 385,963 Forward Purchase Commitments USD — 25,292 |
Schedule of Gains/(Losses) Related to Derivatives and Other Instruments | The following table summarizes gains/(losses) related to derivatives and other instruments (in thousands). Three Months Ended March 31, 2022 March 31, 2021 Included within Net unrealized gain/(loss) Interest Rate Swaps $ 46,404 $ 28,420 Long TBAs (211) — Short TBAs 3,645 — Forward Purchase Commitments 79 — British Pound Futures — 64 49,917 28,484 Included within Net realized gain/(loss) Interest Rate Swaps 15,707 — Short TBAs 9,946 — British Pound Futures — (165) 25,653 (165) Total income/(loss) $ 75,570 $ 28,319 |
Schedule of To Be Announced Securities Activity | The following table presents information about the Company’s TBAs for the three months ended March 31, 2022 (in thousands). The Company did not hold any TBA positions during the three months ended March 31, 2021. Beginning Notional Amount Buys or Covers Sales or Shorts Ending Net Notional Amount Net Fair Value as of Period End Net Receivable/(Payable) from/to Broker Derivative Derivative Liability Long TBAs $ — $ 150,000 $ — $ 150,000 $ 150,270 $ (150,481) $ — $ (211) Short TBAs (385,963) 1,320,852 (934,889) — — 3,631 6,733 (3,102) |
Earnings per share (Tables)
Earnings per share (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
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 three months ended March 31, 2022 and 2021 (in thousands, except per share data). Three Months Ended March 31, 2022 March 31, 2021 Numerator: Net Income/(Loss) $ (13,202) $ 43,249 Gain on Exchange Offers, net (Note 11) — 358 Dividends on preferred stock (4,586) (4,924) Net income/(loss) available to common stockholders $ (17,788) $ 38,683 Denominator: Basic weighted average common shares outstanding 23,915 14,116 Diluted weighted average common shares outstanding 23,915 14,116 Earnings/(Loss) Per Share of Common Stock Basic $ (0.74) $ 2.74 Diluted $ (0.74) $ 2.74 |
Schedule of Dividends Declared and Paid | The following tables detail the Company's common stock dividends declared during the three months ended March 31, 2022 and 2021. 2022 Declaration Date Record Date Payment Date Cash Dividend Per Share 3/18/2022 3/31/2022 4/29/2022 $ 0.21 2021 Declaration Date Record Date Payment Date Cash Dividend Per Share 3/22/2021 4/1/2021 4/30/2021 $ 0.18 The following tables detail the Company's preferred stock dividends declared and paid during the three months ended March 31, 2022 and 2021. 2022 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25% Series A 8.00% Series B 8.000% Series C 2/18/2022 2/28/2022 3/17/2022 $ 0.51563 $ 0.50 $ 0.50 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 |
Related party transactions (Tab
Related party transactions (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Related Party Transactions [Abstract] | |
Schedule of investments in debt and equity of affiliates | The below table reconciles the fair value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of March 31, 2022 and December 31, 2021 (in thousands). March 31, 2022 December 31, 2021 Assets Liabilities Equity Assets Liabilities Equity MATT Non-QM Loans $ 41,270 $ (28,086) $ 13,184 $ 45,837 $ (30,471) $ 15,366 Land Related Financing 13,569 — 13,569 16,891 — 16,891 Re/Non-Performing Loans 8,045 (5,408) 2,637 9,298 (5,538) 3,760 Total Residential Investments 62,884 (33,494) 29,390 72,026 (36,009) 36,017 AG Arc, at fair value 54,121 — 54,121 53,435 — 53,435 Cash and Other assets/(liabilities) 4,340 (765) 3,575 3,698 (1,127) 2,571 Investments in debt and equity of affiliates $ 121,345 $ (34,259) $ 87,086 $ 129,159 $ (37,136) $ 92,023 The below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the three months ended March 31, 2022 and 2021 (in thousands). Three Months Ended March 31, 2022 March 31, 2021 MATT Non-QM Loans $ (889) $ 14,646 Land Related Financing 502 710 Re/Non-Performing Loans 3 4,623 AG Arc (1) (1,670) 6,340 Other — 17 Equity in earnings/(loss) from affiliates $ (2,054) $ 26,336 (1) The earnings/(loss) at AG Arc during the three months ended March 31, 2022 were primarily the result of $3.1 million related to changes in the fair value of the MSR portfolio held by Arc Home, offset by $(2.4) million of losses related to Arc Home's lending and servicing operations. 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 three months ended March 31, 2022 and 2021 |
Summary of Transactions With Related Parties | The below table details the unpaid principal balance of Non-Agency Loans and Agency-Eligible Loans sold to the Company and a private fund under the management of Angelo Gordon during the three months ended March 31, 2022 and 2021 (in thousands). Three Months Ended March 31, 2022 March 31, 2021 Residential mortgage loans sold to the Company $ 377,832 $ 57,665 Residential mortgage loans sold to private funds under the management of Angelo Gordon 125,702 76,829 The below table details transactions where the Company purchased or sold assets from or to an affiliate of the Manager, respectively ($ in millions). The transactions were executed in accordance with the Company's Affiliated Transaction Policy. Date Transaction Fair value (1) Pricing methodology March 2021 Sale of real estate securities $ 6.9 Competitive bidding process (2) April 2021 Sale of real estate securities 16.8 Third party pricing vendors (3) July 2021 Sale of real estate securities 17.6 Competitive bidding process (2) October 2021 Purchase of real estate securities (4) 3.5 Third party pricing vendors (3) November 2021 Purchase of residential mortgage loans (5) 181.8 Third party pricing vendors (3) (1) As of the transaction date. (2) The affiliate submitted an offer to purchase the securities from the Company in a competitive bidding process, which allowed the Company to confirm third-party market pricing and best execution. (3) Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy. (4) The Company purchased the real estate securities through one of its unconsolidated affiliated entities. |
Equity (Tables)
Equity (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Equity [Abstract] | |
Schedule of Preferred Stock | The following table includes a summary of preferred stock issued and outstanding as of March 31, 2022 ($ 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 $25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR (or as replaced by the existing LIBOR cessation fallback language) plus a spread of 6.476% per annum. (4) Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December and holders are entitled to receive cumulative cash dividends at the respective state rate per annum before holders of common stock are entitled to receive any cash dividends. The below details privately negotiated exchange agreements with existing holders of the Company's preferred shares exchanged for common shares during 2021. The Company did not complete any exchange offers during the three months ended March 31, 2022. Subsequent to each transaction, the Preferred Stock exchanged pursuant to the exchange agreement was reclassified as authorized but unissued shares of preferred stock without designation as to class or series ($ 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 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 (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
Schedule of Outstanding Commitments | The below table details the Company's outstanding commitments as of March 31, 2022 (in thousands). Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment Land Related Financing (1) Various $ 17,640 $ 13,569 $ 4,071 MATT Non-QM Loans (1) January 28, 2022 15,607 — 15,607 Total $ 33,247 $ 13,569 $ 19,678 (1) Refer to Note 2 and Note 10 "Investments in debt and equity of affiliates" for more information regarding LOTS and MATH. |
Organization - Narrative (Detai
Organization - Narrative (Details) - segment | 3 Months Ended | ||
Mar. 31, 2022 | Nov. 30, 2021 | Jul. 30, 2021 | |
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||
Loan securitization, ownership interest | 40.90% | 45.00% | |
Number of reportable segments | 1 | ||
Arc Home | |||
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||
Loan securitization, ownership interest | 44.60% |
Summary of significant accoun_3
Summary of significant accounting policies - Narrative (Details) $ / shares in Units, $ in Millions | Jul. 22, 2021 | Jul. 12, 2021 | Mar. 31, 2022USD ($)$ / shares | Mar. 31, 2021USD ($) | Nov. 30, 2021 | Jul. 30, 2021 |
Investments in and Advances to Affiliates [Line Items] | ||||||
Loan securitization, ownership interest | 40.90% | 45.00% | ||||
Reverse stock split ratio | 0.3333 | 0.3333 | ||||
Preferred stock dividend percentage | 8.00% | |||||
8.25% Series A Cumulative Redeemable Preferred Stock | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Preferred stock dividend percentage | 8.25% | |||||
Series B Cumulative Reedmable Preferred Stock | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Preferred stock dividend percentage | 8.00% | |||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Preferred stock dividend percentage | 8.00% | |||||
Liquidation preference (in dollars per share) | $ / shares | $ 25 | |||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | LIBOR Floating Rate | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Preferred stock dividend percentage | 6.476% | |||||
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% | |||||
Consolidation, Eliminations | Arc Home | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Gross profit | $ | $ 2.4 | $ 0.5 | ||||
Arc Home | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Loan securitization, ownership interest | 44.60% | |||||
MATH | ||||||
Investments in and Advances to Affiliates [Line Items] | ||||||
Loan securitization, ownership interest | 44.60% |
Loans - Summary of company's re
Loans - Summary of company's residential mortgage loan portfolio (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2022 | Dec. 31, 2021 | |
Residential Mortgage | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair Value | $ 1,167,061 | $ 1,476,972 |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair Value | 2,105,572 | 1,158,134 |
Residential Portfolio Segment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 3,362,966 | 2,578,993 |
Premium (Discount) | 40,277 | 27,918 |
Amortized Cost | 3,403,243 | 2,606,911 |
Gross Unrealized Gains | 11,341 | 34,122 |
Gross Unrealized Losses | (141,951) | (5,927) |
Fair Value | $ 3,272,633 | $ 2,635,106 |
Weighted Average Coupon | 4.36% | 4.50% |
Weighted Average Yield | 4.17% | 4.06% |
Weighted Average Life (Years) | 6 years 10 months 9 days | 5 years 5 months 19 days |
Residential Portfolio Segment | Residential Mortgage | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 1,178,180 | $ 1,423,242 |
Premium (Discount) | 19,903 | 42,150 |
Amortized Cost | 1,198,083 | 1,465,392 |
Gross Unrealized Gains | 3,565 | 13,387 |
Gross Unrealized Losses | (34,587) | (1,807) |
Fair Value | $ 1,167,061 | $ 1,476,972 |
Weighted Average Coupon | 4.42% | 4.41% |
Weighted Average Yield | 4.14% | 3.69% |
Weighted Average Life (Years) | 6 years 6 months 21 days | 5 years 6 months 18 days |
Residential Portfolio Segment | Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 2,184,786 | $ 1,155,751 |
Premium (Discount) | 20,374 | (14,232) |
Amortized Cost | 2,205,160 | 1,141,519 |
Gross Unrealized Gains | 7,776 | 20,735 |
Gross Unrealized Losses | (107,364) | (4,120) |
Fair Value | $ 2,105,572 | $ 1,158,134 |
Weighted Average Coupon | 4.33% | 4.61% |
Weighted Average Yield | 4.18% | 4.53% |
Weighted Average Life (Years) | 7 years 7 days | 5 years 4 months 13 days |
Residential Portfolio Segment | Non-Agency Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 878,438 | $ 987,290 |
Premium (Discount) | 17,153 | 35,647 |
Amortized Cost | 895,591 | 1,022,937 |
Gross Unrealized Gains | 1,387 | 9,336 |
Gross Unrealized Losses | (18,725) | (1,458) |
Fair Value | $ 878,253 | $ 1,030,815 |
Weighted Average Coupon | 4.67% | 4.75% |
Weighted Average Yield | 4.18% | 3.76% |
Weighted Average Life (Years) | 5 years 10 months 13 days | 5 years 3 days |
Residential Portfolio Segment | Non-Agency Loans | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 1,368,470 | $ 777,828 |
Premium (Discount) | 53,404 | 30,739 |
Amortized Cost | 1,421,874 | 808,567 |
Gross Unrealized Gains | 0 | 5,821 |
Gross Unrealized Losses | (67,538) | (1,005) |
Fair Value | $ 1,354,336 | $ 813,383 |
Weighted Average Coupon | 4.85% | 5.13% |
Weighted Average Yield | 4.07% | 3.96% |
Weighted Average Life (Years) | 6 years 4 months 9 days | 4 years 6 months |
Residential Portfolio Segment | Agency-Eligible Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 293,765 | $ 429,424 |
Premium (Discount) | 6,158 | 10,039 |
Amortized Cost | 299,923 | 439,463 |
Gross Unrealized Gains | 2 | 1,723 |
Gross Unrealized Losses | (15,862) | (349) |
Fair Value | $ 284,063 | $ 440,837 |
Weighted Average Coupon | 3.65% | 3.64% |
Weighted Average Yield | 3.32% | 3.19% |
Weighted Average Life (Years) | 8 years 8 months 8 days | 6 years 10 months 2 days |
Residential Portfolio Segment | Agency-Eligible Loans | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 452,213 | |
Premium (Discount) | 10,134 | |
Amortized Cost | 462,347 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | (31,330) | |
Fair Value | $ 431,017 | |
Weighted Average Coupon | 3.59% | |
Weighted Average Yield | 3.24% | |
Weighted Average Life (Years) | 8 years 5 months 4 days | |
Residential Portfolio Segment | Re- and Non-Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 5,977 | $ 6,528 |
Premium (Discount) | (3,408) | (3,536) |
Amortized Cost | 2,569 | 2,992 |
Gross Unrealized Gains | 2,176 | 2,328 |
Gross Unrealized Losses | 0 | 0 |
Fair Value | $ 4,745 | $ 5,320 |
Weighted Average Yield | 44.49% | 31.18% |
Weighted Average Life (Years) | 2 years 1 month 9 days | 2 years 2 months 26 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 | $ 364,103 | $ 377,923 |
Premium (Discount) | (43,164) | (44,971) |
Amortized Cost | 320,939 | 332,952 |
Gross Unrealized Gains | 7,776 | 14,914 |
Gross Unrealized Losses | (8,496) | (3,115) |
Fair Value | $ 320,219 | $ 344,751 |
Weighted Average Coupon | 3.31% | 3.55% |
Weighted Average Yield | 5.92% | 5.90% |
Weighted Average Life (Years) | 7 years 9 months 3 days | 7 years 2 months 1 day |
Loans - Summary of credit quali
Loans - Summary of credit quality information on residential mortgage loans (Details) - Residential Portfolio Segment $ in Thousands | Mar. 31, 2022USD ($)loanficoScore | Dec. 31, 2021USD ($)loanficoScore |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 3,362,966 | $ 2,578,993 |
Loan count | loan | 9,133 | 7,327 |
Weighted Average, Original LTV Ratio | 69.39% | 69.76% |
Weighted Average, Current FICO | ficoScore | 728 | 723 |
Mortgage loans 90+ days delinquent | $ 51,400 | $ 47,400 |
Mortgage loans in process of foreclosure | 28,300 | 29,000 |
Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 3,181,099 | 2,417,332 |
30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 65,857 | 55,400 |
60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 19,954 | 14,990 |
90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 90,079 | 84,743 |
Residential Mortgage | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 1,178,180 | $ 1,423,242 |
Loan count | loan | 2,363 | 3,225 |
Weighted Average, Original LTV Ratio | 68.74% | 68.19% |
Weighted Average, Current FICO | ficoScore | 740 | 742 |
Residential Mortgage | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 1,150,130 | $ 1,393,504 |
Residential Mortgage | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 11,264 | 12,931 |
Residential Mortgage | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 1,276 | 1,630 |
Residential Mortgage | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 9,533 | 8,649 |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 2,184,786 | $ 1,155,751 |
Loan count | loan | 6,770 | 4,102 |
Weighted Average, Original LTV Ratio | 69.73% | 71.68% |
Weighted Average, Current FICO | ficoScore | 720 | 697 |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 2,030,969 | $ 1,023,828 |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 54,593 | 42,469 |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 18,678 | 13,360 |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 80,546 | 76,094 |
Non-Agency Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 878,438 | $ 987,290 |
Loan count | loan | 1,658 | 1,886 |
Weighted Average, Original LTV Ratio | 70.34% | 69.39% |
Weighted Average, Current FICO | ficoScore | 734 | 737 |
Non-Agency Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 861,420 | $ 967,910 |
Non-Agency Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 7,396 | 9,101 |
Non-Agency Loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 1,276 | 1,630 |
Non-Agency Loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 8,346 | 8,649 |
Non-Agency Loans | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 1,368,470 | $ 777,828 |
Loan count | loan | 2,741 | 1,562 |
Weighted Average, Original LTV Ratio | 68.67% | 68.03% |
Weighted Average, Current FICO | ficoScore | 732 | 733 |
Non-Agency Loans | Variable Interest Entity, Primary Beneficiary | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 1,338,123 | $ 767,734 |
Non-Agency Loans | Variable Interest Entity, Primary Beneficiary | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 22,057 | 6,495 |
Non-Agency Loans | Variable Interest Entity, Primary Beneficiary | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 2,458 | 1,036 |
Non-Agency Loans | Variable Interest Entity, Primary Beneficiary | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 5,832 | 2,563 |
Agency-Eligible Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 293,765 | $ 429,424 |
Loan count | loan | 705 | 1,339 |
Weighted Average, Original LTV Ratio | 63.93% | 65.44% |
Weighted Average, Current FICO | ficoScore | 757 | 754 |
Agency-Eligible Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 288,710 | $ 425,594 |
Agency-Eligible Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 3,868 | 3,830 |
Agency-Eligible Loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | 0 |
Agency-Eligible Loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 1,187 | 0 |
Agency-Eligible Loans | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 452,213 | |
Loan count | loan | 1,570 | |
Weighted Average, Original LTV Ratio | 65.25% | |
Weighted Average, Current FICO | ficoScore | 757 | |
Agency-Eligible Loans | Variable Interest Entity, Primary Beneficiary | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 449,506 | |
Agency-Eligible Loans | Variable Interest Entity, Primary Beneficiary | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 1,972 | |
Agency-Eligible Loans | Variable Interest Entity, Primary Beneficiary | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 539 | |
Agency-Eligible Loans | Variable Interest Entity, Primary Beneficiary | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 196 | |
Re- and Non-Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 5,977 | 6,528 |
Re- and Non-Performing Loans | Variable Interest Entity, Primary Beneficiary | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 364,103 | $ 377,923 |
Loan count | loan | 2,459 | 2,540 |
Weighted Average, Original LTV Ratio | 79.31% | 79.20% |
Weighted Average, Current FICO | ficoScore | 639 | 639 |
Re- and Non-Performing Loans | Variable Interest Entity, Primary Beneficiary | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 243,340 | $ 256,094 |
Re- and Non-Performing Loans | Variable Interest Entity, Primary Beneficiary | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 30,564 | 35,974 |
Re- and Non-Performing Loans | Variable Interest Entity, Primary Beneficiary | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 15,681 | 12,324 |
Re- and Non-Performing Loans | Variable Interest Entity, Primary Beneficiary | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 74,518 | $ 73,531 |
Loans - Summary of loans purcha
Loans - Summary of loans purchased (Details) - Residential Portfolio Segment $ in Thousands | 3 Months Ended |
Mar. 31, 2022USD ($) | |
Non-Agency Loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | $ 595,288 |
Fair Value | 604,562 |
Agency-Eligible Loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | 336,277 |
Fair Value | $ 343,342 |
Loans - Summary of concentratio
Loans - Summary of concentrations of credit risk (Details) - Residential Portfolio Segment - Geographic Concentration Risk - Accounts Receivable | 3 Months Ended | 12 Months Ended |
Mar. 31, 2022 | Dec. 31, 2021 | |
California | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Geographic concentration of credit risk | 34.00% | 35.00% |
New York | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Geographic concentration of credit risk | 17.00% | 15.00% |
Florida | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Geographic concentration of credit risk | 10.00% | 11.00% |
New Jersey | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Geographic concentration of credit risk | 6.00% | 6.00% |
Loans - Summary of changes in t
Loans - Summary of changes in the accretable portion of discounts (Details) - Residential Portfolio Segment - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Changes in the accretable portion | ||
Beginning Balance | $ 46,521 | $ 56,907 |
Accretion | (1,650) | (1,562) |
Reclassifications from/(to) non-accretable difference | 1,386 | (278) |
Disposals | 0 | (64) |
Ending Balance | $ 46,257 | $ 55,003 |
Loans - Summary of assets and l
Loans - Summary of assets and liabilities related to VIEs (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | ||
Assets | |||||
Other assets | $ 29,274 | $ 20,900 | |||
Total Assets | 3,838,956 | 3,362,728 | |||
Liabilities | |||||
Securitized debt, at fair value | [1] | 1,859,917 | 999,215 | ||
Financing arrangements | 1,411,493 | 1,777,743 | |||
Other liabilities | 14,874 | 10,369 | |||
Total Liabilities | 3,291,306 | 2,792,348 | |||
Total Equity | $ 547,650 | $ 570,380 | $ 455,305 | $ 409,705 | |
Variable Interest Entity, Primary Beneficiary | |||||
Liabilities | |||||
Yield | 3.09% | 3.06% | |||
Weighted Average Life (Years) | 2 years 7 months 24 days | 3 years 9 months | |||
Variable Interest Entity, Primary Beneficiary | Residential Portfolio Segment | |||||
Assets | |||||
Securitized residential mortgage loans, at fair value | $ 2,105,572 | $ 1,158,134 | |||
Restricted cash | 1,450 | 1,467 | |||
Other assets | 9,896 | 6,457 | |||
Total Assets | 2,116,918 | 1,166,058 | |||
Liabilities | |||||
Securitized debt, at fair value | 1,859,917 | 999,215 | |||
Financing arrangements | 125,533 | 71,308 | |||
Other liabilities | 4,283 | 1,543 | |||
Total Liabilities | 1,989,733 | 1,072,066 | |||
Total Equity | $ 127,185 | $ 93,992 | |||
Yield | 5.92% | 5.90% | |||
Weighted Average Life (Years) | 7 years 9 months 3 days | 7 years 2 months 1 day | |||
Variable Interest Entity, Primary Beneficiary | Non-Agency Loans | |||||
Liabilities | |||||
Yield | 2.49% | 1.63% | |||
Weighted Average Life (Years) | 3 years 8 months 8 days | 2 years 4 months 9 days | |||
Variable Interest Entity, Primary Beneficiary | Non-Agency Loans | Residential Portfolio Segment | |||||
Assets | |||||
Securitized residential mortgage loans, at fair value | $ 1,354,336 | $ 813,383 | |||
Liabilities | |||||
Securitized debt, at fair value | $ 1,228,382 | $ 746,970 | |||
Yield | 4.07% | 3.96% | |||
Weighted Average Life (Years) | 6 years 4 months 9 days | 4 years 6 months | |||
Variable Interest Entity, Primary Beneficiary | Agency-Eligible Loans | |||||
Liabilities | |||||
Yield | 2.81% | 0.00% | |||
Weighted Average Life (Years) | 8 years 1 month 6 days | ||||
Variable Interest Entity, Primary Beneficiary | Agency-Eligible Loans | Residential Portfolio Segment | |||||
Assets | |||||
Securitized residential mortgage loans, at fair value | $ 431,017 | $ 0 | |||
Liabilities | |||||
Securitized debt, at fair value | $ 399,128 | $ 0 | |||
Yield | 3.24% | 0.00% | |||
Weighted Average Life (Years) | 8 years 5 months 4 days | ||||
Variable Interest Entity, Primary Beneficiary | Re- and Non-Performing Loans | Residential Portfolio Segment | |||||
Assets | |||||
Securitized residential mortgage loans, at fair value | $ 320,219 | $ 344,751 | |||
Liabilities | |||||
Securitized debt, at fair value | $ 232,407 | $ 252,245 | |||
[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 | |
Sep. 30, 2021USD ($)loan | Mar. 31, 2021USD ($)loan | |
Gain (Loss) on Securities [Line Items] | ||
Number of loans sold | loan | 2 | |
Proceeds from sale of loans | $ 74.1 | $ 74.3 |
Realized loss on sale of loan | $ 2.9 | |
Number of loans repaid | loan | 2 | |
Realized gain on sale of loan | $ 0.4 | |
Proceeds from interest | $ 3 |
Real Estate Securities - Summar
Real Estate Securities - Summary of real estate securities portfolio (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 481,482 | $ 666,179 |
Premium / (Discount) | (217,321) | (144,980) |
Amortized Cost | 264,161 | 521,199 |
Gross Unrealized Gains | 1,606 | 90 |
Gross Unrealized Losses | (19,763) | (6,819) |
Fair Value | $ 246,004 | $ 514,470 |
Weighted Average Coupon | 2.34% | 1.99% |
Weighted Average Yield | 3.12% | 1.96% |
Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 154,588 | $ 175,744 |
Premium / (Discount) | (135,990) | (156,907) |
Amortized Cost | 18,598 | 18,837 |
Gross Unrealized Gains | 1,606 | 90 |
Gross Unrealized Losses | (1,423) | (170) |
Fair Value | $ 18,781 | $ 18,757 |
Weighted Average Coupon | 1.10% | 1.02% |
Weighted Average Yield | 12.15% | 6.73% |
Total Agency RBMS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 326,894 | |
Premium / (Discount) | (81,331) | |
Amortized Cost | 245,563 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | (18,340) | |
Fair Value | $ 227,223 | |
Weighted Average Coupon | 2.66% | |
Weighted Average Yield | 2.38% | |
Agency RMBS: 30 Year Fixed Rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 223,604 | $ 490,435 |
Premium / (Discount) | 6,304 | 11,927 |
Amortized Cost | 229,908 | 502,362 |
Gross Unrealized Gains | 0 | 0 |
Gross Unrealized Losses | (18,059) | (6,649) |
Fair Value | $ 211,849 | $ 495,713 |
Weighted Average Coupon | 2.50% | 2.18% |
Weighted Average Yield | 2.08% | 1.78% |
Agency RMBS: Interest Only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 103,290 | |
Premium / (Discount) | (87,635) | |
Amortized Cost | 15,655 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | (281) | |
Fair Value | $ 15,374 | |
Weighted Average Coupon | 3.00% | |
Weighted Average Yield | 6.46% | |
Non-Agency Securities | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 14,892 | $ 14,894 |
Premium / (Discount) | (226) | (236) |
Amortized Cost | 14,666 | 14,658 |
Gross Unrealized Gains | 0 | 0 |
Gross Unrealized Losses | (1,335) | (58) |
Fair Value | $ 13,331 | $ 14,600 |
Weighted Average Coupon | 4.35% | 4.36% |
Weighted Average Yield | 4.64% | 4.74% |
Non-Agency RMBS Interest Only | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 139,080 | $ 160,154 |
Premium / (Discount) | (135,779) | (156,647) |
Amortized Cost | 3,301 | 3,507 |
Gross Unrealized Gains | 1,564 | 0 |
Gross Unrealized Losses | 0 | (112) |
Fair Value | $ 4,865 | $ 3,395 |
Weighted Average Coupon | 0.38% | 0.38% |
Weighted Average Yield | 31.33% | 10.12% |
Non-Agency, Re/Non-Performing Securities | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 616 | $ 696 |
Premium / (Discount) | 15 | (24) |
Amortized Cost | 631 | 672 |
Gross Unrealized Gains | 42 | 90 |
Gross Unrealized Losses | (88) | 0 |
Fair Value | $ 585 | $ 762 |
Weighted Average Coupon | 5.25% | 5.25% |
Weighted Average Yield | 23.85% | 29.69% |
Real Estate Securities - Summ_2
Real Estate Securities - Summary of weighted average life of real estate securities (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Agency RMBS | ||
Fair Value | ||
Less than or equal to 1 year | $ 0 | $ 0 |
Greater than one year and less than or equal to five years | 0 | 0 |
Greater than five years and less than or equal to ten years | 227,223 | 474,104 |
Greater than ten years | 21,609 | |
Total | 227,223 | 495,713 |
Amortized Cost | ||
Less than or equal to 1 year | 0 | 0 |
Greater than one year and less than or equal to five years | 0 | 0 |
Greater than five years and less than or equal to ten years | 245,563 | 480,204 |
Greater than ten years | 22,158 | |
Total | $ 245,563 | $ 502,362 |
Weighted Average Coupon | ||
Less than or equal to 1 year | 0.00% | 0.00% |
Greater than one year and less than or equal to five years | 0.00% | 0.00% |
Greater than five years and less than or equal to ten years | 2.66% | 2.19% |
Greater than ten years | 2.00% | |
Total | 2.66% | 2.18% |
Credit Investments | ||
Fair Value | ||
Less than or equal to 1 year | $ 585 | $ 543 |
Greater than one year and less than or equal to five years | 4,865 | 18,214 |
Greater than five years and less than or equal to ten years | 13,331 | 0 |
Greater than ten years | 0 | |
Total | 18,781 | 18,757 |
Amortized Cost | ||
Less than or equal to 1 year | 631 | 511 |
Greater than one year and less than or equal to five years | 3,301 | 18,326 |
Greater than five years and less than or equal to ten years | 14,666 | 0 |
Greater than ten years | 0 | |
Total | $ 18,598 | $ 18,837 |
Weighted Average Coupon | ||
Less than or equal to 1 year | 5.25% | 5.25% |
Greater than one year and less than or equal to five years | 0.38% | 1.00% |
Greater than five years and less than or equal to ten years | 4.35% | 0.00% |
Greater than ten years | 0.00% | |
Total | 1.10% | 1.02% |
Real Estate Securities - Sale o
Real Estate Securities - Sale of Real Estate Securities (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022USD ($)security | Mar. 31, 2021USD ($)security | |
Debt Securities, Available-for-sale [Line Items] | ||
Proceeds from sales of real estate securities | $ 197,232 | $ 111,954 |
Settled Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Number of securities sold | security | 13 | 27 |
Proceeds from sales of real estate securities | $ 304,665 | $ 111,824 |
Securities, gross realized gains | 568 | 2,458 |
Securities, gross realized losses | $ (17,408) | $ (2,958) |
Unsettled Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Number of securities sold | security | 6 | |
Proceeds from sales of real estate securities | $ 107,700 |
Fair value measurements - Summa
Fair value measurements - Summary of financial instruments measured at fair value (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2022 | Dec. 31, 2021 | |
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Derivative assets | $ 71,767 | $ 19,781 |
AG Arc | 54,121 | 53,435 |
Total Assets Measured at Fair Value | 3,644,525 | 3,222,792 |
Financial Instruments, Financial Liabilities, Balance Sheet Groupings [Abstract] | ||
Securitized debt | (1,859,917) | (999,215) |
Derivative liabilities | (3,313) | (976) |
Total Liabilities Measured at Fair Value | (1,863,230) | (1,000,191) |
Residential Mortgage | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Residential mortgage loans | 1,167,061 | 1,476,972 |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Residential mortgage loans | 2,105,572 | 1,158,134 |
Agency RMBS: 30 Year Fixed Rate | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 211,849 | 495,713 |
Agency RMBS: Interest Only | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 15,374 | |
Non-Agency RMBS | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 13,916 | 15,362 |
Non-Agency RMBS Interest Only | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 4,865 | 3,395 |
Interest Rate Swap | ||
Financial Instruments, Financial Liabilities, Balance Sheet Groupings [Abstract] | ||
Derivative asset, reduction in fair value related to variation margin | 63,600 | 19,600 |
Derivative liability, reduction in fair value related to variation margin | 900 | |
Level 1 | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Derivative assets | 0 | 0 |
AG Arc | 0 | 0 |
Total Assets Measured at Fair Value | 0 | 0 |
Financial Instruments, Financial Liabilities, Balance Sheet Groupings [Abstract] | ||
Securitized debt | 0 | 0 |
Derivative liabilities | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
Level 1 | Residential Mortgage | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Residential mortgage loans | 0 | 0 |
Level 1 | Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Residential mortgage loans | 0 | 0 |
Level 1 | Agency RMBS: 30 Year Fixed Rate | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 0 | 0 |
Level 1 | Agency RMBS: Interest Only | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 0 | |
Level 1 | Non-Agency RMBS | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 0 | 0 |
Level 1 | Non-Agency RMBS Interest Only | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 0 | 0 |
Level 2 | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Derivative assets | 71,767 | 19,781 |
AG Arc | 0 | 0 |
Total Assets Measured at Fair Value | 299,837 | 516,409 |
Financial Instruments, Financial Liabilities, Balance Sheet Groupings [Abstract] | ||
Securitized debt | 0 | 0 |
Derivative liabilities | (3,313) | (897) |
Total Liabilities Measured at Fair Value | (3,313) | (897) |
Level 2 | Residential Mortgage | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Residential mortgage loans | 847 | 915 |
Level 2 | Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Residential mortgage loans | 0 | 0 |
Level 2 | Agency RMBS: 30 Year Fixed Rate | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 211,849 | 495,713 |
Level 2 | Agency RMBS: Interest Only | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 15,374 | |
Level 2 | Non-Agency RMBS | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 0 | 0 |
Level 2 | Non-Agency RMBS Interest Only | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 0 | 0 |
Level 3 | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Derivative assets | 0 | 0 |
AG Arc | 54,121 | 53,435 |
Total Assets Measured at Fair Value | 3,344,688 | 2,706,383 |
Financial Instruments, Financial Liabilities, Balance Sheet Groupings [Abstract] | ||
Securitized debt | (1,859,917) | (999,215) |
Derivative liabilities | 0 | (79) |
Total Liabilities Measured at Fair Value | (1,859,917) | (999,294) |
Level 3 | Residential Mortgage | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Residential mortgage loans | 1,166,214 | 1,476,057 |
Level 3 | Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Residential mortgage loans | 2,105,572 | 1,158,134 |
Level 3 | Agency RMBS: 30 Year Fixed Rate | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 0 | 0 |
Level 3 | Agency RMBS: Interest Only | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 0 | |
Level 3 | Non-Agency RMBS | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | 13,916 | 15,362 |
Level 3 | Non-Agency RMBS Interest Only | ||
Financial Instruments, Financial Assets, Balance Sheet Groupings [Abstract] | ||
Debt securities, available for sale | $ 4,865 | $ 3,395 |
Fair value measurements - Sum_2
Fair value measurements - Summary of assets measured on a recurring basis (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022USD ($) | Mar. 31, 2021USD ($)security | |
Total net gains/(losses) | ||
Included in net income | $ (62,496) | $ 19,899 |
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (63,824) | 17,163 |
Level 3 | Securitized debt | ||
Total net gains/(losses) | ||
Included in net income | (2,047) | |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | (999,215) | (355,159) |
Transfers: | ||
Transfers out of level 3 | 0 | |
Purchases | 0 | 0 |
Issuances of Securitized Debt | (1,074,852) | |
Proceeds from sales of assets | 0 | |
Proceeds from settlement | 116,866 | 12,777 |
Total net gains/(losses) | ||
Included in net income | 97,284 | |
Ending Balance | (1,859,917) | (344,429) |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 97,284 | (2,047) |
Level 3 | Derivative liabilities | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | (79) | |
Transfers: | ||
Purchases | 0 | |
Issuances of Securitized Debt | 0 | |
Proceeds from settlement | 0 | |
Total net gains/(losses) | ||
Included in net income | 79 | |
Ending Balance | 0 | |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | |
Residential Mortgage Loans | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 2,634,191 | 433,307 |
Transfers | ||
Transfers out of level 3 | 0 | |
Purchases | 944,630 | 208,060 |
Issuances of Securitized Debt | 0 | |
Proceeds from sales of assets | 0 | |
Proceeds from settlement | (146,388) | (12,294) |
Total net gains/(losses) | ||
Included in net income | (160,647) | 11,666 |
Ending Balance | 3,271,786 | 640,739 |
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (161,896) | $ 11,761 |
Residential Mortgage Loans | Level 2 | ||
Total net gains/(losses) | ||
Number of securities transferred | security | 1 | |
Non-Agency RMBS | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 15,362 | $ 3,100 |
Transfers | ||
Transfers out of level 3 | (1,499) | |
Purchases | 0 | 0 |
Issuances of Securitized Debt | 0 | |
Proceeds from sales of assets | 0 | |
Proceeds from settlement | (78) | (32) |
Total net gains/(losses) | ||
Included in net income | (1,368) | 72 |
Ending Balance | 13,916 | 1,641 |
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (1,368) | 72 |
Non-Agency RMBS Interest Only | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 3,395 | |
Transfers | ||
Purchases | 0 | |
Issuances of Securitized Debt | 0 | |
Proceeds from settlement | 0 | |
Total net gains/(losses) | ||
Included in net income | 1,470 | |
Ending Balance | 4,865 | |
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 1,470 | |
Commercial Loans | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 125,508 | |
Transfers | ||
Transfers out of level 3 | 0 | |
Purchases | 3,669 | |
Proceeds from sales of assets | (74,342) | |
Proceeds from settlement | (195) | |
Total net gains/(losses) | ||
Included in net income | 3,569 | |
Ending Balance | 58,209 | |
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 738 | |
Excess Mortgage Servicing Rights | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 3,158 | |
Transfers | ||
Transfers out of level 3 | 0 | |
Purchases | 0 | |
Proceeds from sales of assets | 0 | |
Proceeds from settlement | 0 | |
Total net gains/(losses) | ||
Included in net income | (158) | |
Ending Balance | 3,000 | |
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (158) | |
AG Arc | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 53,435 | 45,341 |
Transfers | ||
Transfers out of level 3 | 0 | |
Purchases | 0 | 0 |
Issuances of Securitized Debt | 0 | |
Proceeds from sales of assets | 0 | |
Proceeds from settlement | 0 | 0 |
Total net gains/(losses) | ||
Included in net income | 686 | 6,797 |
Ending Balance | 54,121 | 52,138 |
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ 686 | $ 6,797 |
Fair value measurements - Sum_3
Fair value measurements - Summary of gains/(losses) recorded in the statement of operations (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Line Items] | ||
Included in net income | $ (62,496) | $ 19,899 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (63,824) | 17,163 |
Net unrealized gain/(loss) | ||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Line Items] | ||
Included in net income | (63,095) | 16,101 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (64,510) | 10,366 |
Net realized gain/(loss) | ||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Line Items] | ||
Included in net income | (87) | (2,999) |
Equity in earnings/(loss) from affiliates | ||
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Line Items] | ||
Included in net income | 686 | 6,797 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ 686 | $ 6,797 |
Fair value measurements - Sum_4
Fair value measurements - Summary of valuation techniques (Details) $ in Thousands | Mar. 31, 2022USD ($)$ / shares | Dec. 31, 2021USD ($)$ / shares |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 246,004 | $ 514,470 |
Derivative liabilities, at fair value | 3,313 | 92 |
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 | 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 | $ 2,105,572 | $ 1,158,134 |
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 | 0.0417 | 0.0226 |
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 | 0.1300 |
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 | 0.0475 | 0.0312 |
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 | 0.0402 | 0.0475 |
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 | 0.0864 | 0.1105 |
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 | 0.0787 | 0.0951 |
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 | 0.0007 | 0.0038 |
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 | 0.0435 | 0.0440 |
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 | 0.0043 | 0.0083 |
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 | (0.1996) | (0.1808) |
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 | 0.2635 | 0.2911 |
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 | 0.1228 | 0.1010 |
Level 3 | Residential Mortgage | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 1,162,316 | $ 1,465,523 |
Level 3 | Residential Mortgage | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 3,898 | 4,405 |
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 | 0.0393 | 0.0277 |
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 | 0.0750 |
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 | 0.0451 | 0.0337 |
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 |
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 | 0.2197 | 0.2589 |
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 | 0.1281 | 0.1528 |
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 |
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 | 0.1814 | 0.1537 |
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 | 0.0026 | 0.0030 |
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 | (0.1518) | (0.1486) |
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 | 0.1000 |
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 | 0.0987 | 0.0997 |
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 | $ / shares | 91.82 | 88.57 |
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 | $ / shares | 112.22 | 112.89 |
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 | $ / shares | 102.04 | 102.59 |
Level 3 | Non-Agency RMBS | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 13,916 | $ 15,362 |
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 | 0.0483 | 0.0342 |
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 | 0.0868 | 0.1500 |
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 | 0.0644 | 0.0532 |
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 | 0.1059 | 0.0570 |
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 | 0.1059 | 0.1299 |
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 | 0.1059 | 0.1263 |
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 | 0.0024 | 0.0023 |
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 | 0.0024 | 0.0266 |
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 | 0.0024 | 0.0035 |
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 | 0.1000 | (0.4398) |
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 | 0.1000 |
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 | 0.1000 | 0.0732 |
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 | $ 4,865 | $ 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 | 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 | 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 | 0.1211 | 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 | 0.1059 | 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 | 0.1059 | 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 | 0.1059 | 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 | 0.0024 | 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 | 0.0024 | 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 | 0.0024 | 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 | 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 | 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 | 0.1000 |
Level 3 | AG Arc | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 54,121 | $ 53,435 |
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 | 1.01 | 1.06 |
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 | 1.01 | 1.06 |
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 | 1.01 | 1.06 |
Level 3 | Securitized debt | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, fair value | $ (1,859,917) | $ (999,215) |
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 | 0.0375 | 0.0156 |
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 | 0.0642 | 0.0449 |
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 | 0.0416 | 0.0215 |
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 | 0.0580 | 0.0586 |
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 | 0.1426 | 0.1105 |
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 | 0.0851 | 0.0966 |
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 | 0.0007 | 0.0038 |
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 | 0.0241 | 0.0293 |
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 | 0.0040 | 0.0083 |
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 | 0.0373 | 0.0636 |
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 | 0.1500 | 0.1289 |
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 | 0.1244 | 0.1015 |
Financing arrangements - Summar
Financing arrangements - Summary of financing arrangements (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2022 | Dec. 31, 2021 | |
Repurchase Agreements | ||
Carrying Value | $ 1,411,493,000 | $ 1,777,743,000 |
Weighted Average Funding Cost | 1.87% | |
Weighted Average Life | 7 months 13 days | |
Collateral, Amortized Cost Basis | $ 1,687,508,000 | |
Collateral, Fair Value | 1,634,840,000 | |
Cash pledged under repurchase agreement | 5,400,000 | 5,000,000 |
Residential Mortgage | ||
Repurchase Agreements | ||
Carrying Value | $ 1,035,248,000 | 1,286,287,000 |
Weighted Average Funding Cost | 2.21% | |
Weighted Average Life | 9 months 29 days | |
Collateral, Amortized Cost Basis | $ 1,193,987,000 | |
Collateral, Fair Value | $ 1,160,870,000 | |
Debt interest rate | 2.14% | |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Repurchase Agreements | ||
Carrying Value | $ 125,533,000 | 71,308,000 |
Weighted Average Funding Cost | 1.94% | |
Weighted Average Life | 1 month 6 days | |
Collateral, Amortized Cost Basis | $ 207,014,000 | |
Collateral, Fair Value | 208,312,000 | |
Agency RMBS | ||
Repurchase Agreements | ||
Carrying Value | $ 240,653,000 | 409,935,000 |
Weighted Average Funding Cost | 0.39% | |
Weighted Average Life | 10 days | |
Collateral, Amortized Cost Basis | $ 268,540,000 | |
Collateral, Fair Value | 247,462,000 | |
Agency RMBS, Unsettled | ||
Repurchase Agreements | ||
Carrying Value | 66,400,000 | |
Non-Agency RMBS | ||
Repurchase Agreements | ||
Carrying Value | $ 10,059,000 | $ 10,213,000 |
Weighted Average Funding Cost | 1.87% | |
Weighted Average Life | 14 days | |
Collateral, Amortized Cost Basis | $ 17,967,000 | |
Collateral, Fair Value | 18,196,000 | |
Non-Agency Loans | Counterparty One and Two | ||
Repurchase Agreements | ||
Line of credit facility, maximum borrowing capacity | $ 2,300,000,000 |
Financing arrangements - Summ_2
Financing arrangements - Summary of repurchase agreements (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 1,411,493 | $ 1,777,743 |
Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 329,835 | |
Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 46,410 | |
Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 1,035,248 | |
Residential Mortgage | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 1,035,248 | 1,286,287 |
Residential Mortgage | Variable Interest Entity, Primary Beneficiary | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 125,533 | 71,308 |
Residential Mortgage | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Residential Mortgage | Within 30 Days | Variable Interest Entity, Primary Beneficiary | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 79,123 | |
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 | 46,410 | |
Residential Mortgage | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 1,035,248 | |
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 | 240,653 | 409,935 |
Agency RMBS | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 240,653 | |
Agency RMBS | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Agency RMBS | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Non-Agency RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 10,059 | $ 10,213 |
Non-Agency RMBS | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 10,059 | |
Non-Agency RMBS | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Non-Agency RMBS | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 0 |
Financing arrangements - Narrat
Financing arrangements - Narrative (Details) - counterparty | Mar. 31, 2022 | Dec. 31, 2021 |
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 | 3 Months Ended | 12 Months Ended |
Mar. 31, 2022 | Dec. 31, 2021 | |
Credit Suisse AG, Cayman Islands Branch | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 116,031 | $ 129,526 |
Weighted Average Maturity (days) | 307 days | 101 days |
Percentage of Stockholders' Equity | 21.20% | 22.70% |
Barclays Capital Inc. | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 70,032 | $ 89,230 |
Weighted Average Maturity (days) | 253 days | 23 days |
Percentage of Stockholders' Equity | 12.80% | 15.60% |
BofA Securities, Inc. | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 34,279 | $ 33,153 |
Weighted Average Maturity (days) | 170 days | 317 days |
Percentage of Stockholders' Equity | 6.30% | 5.80% |
Other assets and liabilities -
Other assets and liabilities - Summary of other assets and liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2022 | Dec. 31, 2021 |
Other assets | ||
Interest receivable | $ 15,523 | $ 14,263 |
Derivative assets, at fair value | 8,171 | 231 |
Other assets | 3,825 | 4,519 |
Due from broker | 1,755 | 1,887 |
Total Other assets | 29,274 | 20,900 |
Other liabilities | ||
Due to affiliates | 4,051 | 4,106 |
Interest payable | 5,292 | 2,925 |
Derivative liabilities, at fair value | 3,313 | 92 |
Purchase price payable on Agency-Eligible Loans | 0 | 87 |
Accrued expenses | 2,216 | 2,169 |
Due to broker | 2 | 990 |
Total Other liabilities | $ 14,874 | $ 10,369 |
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 | 3 Months Ended | 12 Months Ended |
Mar. 31, 2022 | Dec. 31, 2021 | |
Interest Rate Swap | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | $ 1,438 | $ 231 |
Derivative asset, reduction in fair value related to variation margin | 63,600 | 19,600 |
Derivative liability, reduction in fair value related to variation margin | 900 | |
TBAs | Short | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | 6,733 | 0 |
Derivative liabilities, at fair value | (3,102) | (13) |
TBAs | Long | ||
Derivatives, Fair Value [Line Items] | ||
Derivative liabilities, at fair value | (211) | 0 |
Forward Purchase Commitment | ||
Derivatives, Fair Value [Line Items] | ||
Derivative liabilities, at fair value | $ 0 | $ (79) |
Other assets and liabilities _3
Other assets and liabilities - Summary of information related to derivatives and other instruments (Details) - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2022 | Dec. 31, 2021 | |
Derivative [Line Items] | ||
Derivative pay interest rate | 1.27% | 0.85% |
Derivative receivable interest rate | 0.30% | 0.15% |
Derivative, remaining maturity | 5 years 3 months 29 days | 5 years 6 months 3 days |
Long | Interest Rate Swap | United States of America, Dollars | ||
Derivative [Line Items] | ||
Notional amount | $ 1,419,000,000 | $ 888,500,000 |
Long | TBAs | United States of America, Dollars | ||
Derivative [Line Items] | ||
Notional amount | 150,000,000 | 0 |
Long | Forward Purchase Commitment | United States of America, Dollars | ||
Derivative [Line Items] | ||
Notional amount | 0 | 25,292,000 |
Short | TBAs | United States of America, Dollars | ||
Derivative [Line Items] | ||
Notional amount | $ 0 | $ 385,963,000 |
Other assets and liabilities _4
Other assets and liabilities - Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2022 | Dec. 31, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Cash as collateral for certain derivatives | $ 38.8 | $ 25.7 |
Cash collateral posted by company | 5.4 | 7 |
Cash pledged as collateral against derivatives related to variation margin | $ 33.4 | $ 18.7 |
Other assets and liabilities _5
Other assets and liabilities - Summary of gains/(losses) related to derivatives and other instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Unrealized gain/(loss), net | $ 49,917 | $ 28,484 |
Net realized gain (loss) | 25,653 | (165) |
Total income/(loss) | 75,570 | 28,319 |
TBAs | Long | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Unrealized gain/(loss), net | (211) | 0 |
TBAs | Short | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Unrealized gain/(loss), net | 3,645 | 0 |
Net realized gain (loss) | 9,946 | 0 |
Forward Purchase Commitment | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Unrealized gain/(loss), net | 79 | 0 |
British Pound Futures | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Unrealized gain/(loss), net | 0 | 64 |
Net realized gain (loss) | 0 | (165) |
Interest Rate Swap | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Unrealized gain/(loss), net | 46,404 | 28,420 |
Net realized gain (loss) | $ 15,707 | $ 0 |
Other assets and liabilities _6
Other assets and liabilities - Summary of TBAs (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Dec. 31, 2021 | |
To Be Announced Securities [Roll Forward] | ||
Net Receivable/(Payable) from/to Broker | $ 1,755 | $ 1,887 |
Net Receivable/(Payable) from/to Broker | (2) | (990) |
Derivative Asset | 71,767 | 19,781 |
Derivative Liability | (3,313) | $ (92) |
TBAs | Short | ||
To Be Announced Securities [Roll Forward] | ||
Beginning Notional Amount | (385,963) | |
Buys or Covers | 1,320,852 | |
Sales or Shorts | (934,889) | |
Ending Net Notional Amount | 0 | |
Net Fair Value as of Period End | 0 | |
Net Receivable/(Payable) from/to Broker | 3,631 | |
Derivative Asset | 6,733 | |
Derivative Liability | (3,102) | |
TBAs | Long | ||
To Be Announced Securities [Roll Forward] | ||
Beginning Notional Amount | 0 | |
Buys or Covers | 150,000 | |
Sales or Shorts | 0 | |
Ending Net Notional Amount | (150,000) | |
Net Fair Value as of Period End | 150,270 | |
Net Receivable/(Payable) from/to Broker | (150,481) | |
Derivative Asset | 0 | |
Derivative Liability | $ (211) |
Earnings per share - Summary of
Earnings per share - Summary of earnings per share (Details) $ / shares in Units, shares in Thousands, $ in Thousands | Jul. 22, 2021 | Jul. 12, 2021 | Mar. 31, 2022USD ($)$ / sharesshares | Mar. 31, 2021USD ($)$ / sharesshares | |
Earnings Per Share [Abstract] | |||||
Reverse stock split ratio | 0.3333 | 0.3333 | |||
Numerator: | |||||
Net Income/(Loss) | $ (13,202) | $ 43,249 | |||
Gain on Exchange Offers, net | 0 | 358 | |||
Dividends on preferred stock | (4,586) | (4,924) | |||
Net income/(loss) available to common stockholders | $ (17,788) | $ 38,683 | |||
Denominator: | |||||
Basic weighted average common shares outstanding (in shares) | shares | [1] | 23,915 | 14,116 | ||
Diluted weighted average common shares outstanding (in shares) | shares | [1] | 23,915 | 14,116 | ||
Earnings/(Loss) Per Share of Common Stock | |||||
Basic (in dollars per share) | $ / shares | [1] | $ (0.74) | $ 2.74 | ||
Diluted (in dollars per share) | $ / shares | [1] | $ (0.74) | $ 2.74 | ||
[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 | Mar. 18, 2022 | Mar. 22, 2021 |
Earnings Per Share [Abstract] | ||
Dividends declared per share (in dollars per share) | $ 0.21 | $ 0.18 |
Earnings per share - Summary _3
Earnings per share - Summary of preferred stock dividends (Details) - $ / shares | 3 Months Ended | ||
Mar. 31, 2022 | Feb. 18, 2022 | Feb. 16, 2021 | |
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||
Dividend percentage | 8.00% | ||
8.25% Series A Cumulative Redeemable Preferred Stock | |||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||
Dividend percentage | 8.25% | ||
Dividends payable (in dollars per share) | $ 0.51563 | $ 0.51563 | |
8.00% Series B Cumulative Redeemable Preferred Stock | |||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||
Dividend percentage | 8.00% | ||
Dividends payable (in dollars per share) | 0.50 | 0.50 | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | |||
Dividend percentage | 8.00% | ||
Dividends payable (in dollars per share) | $ 0.50 | $ 0.50 |
Income taxes (Details)
Income taxes (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Income Tax Disclosure [Abstract] | ||
Excise tax expense | $ 0 | $ 0 |
Related party transactions - Na
Related party transactions - Narrative (Details) | Nov. 22, 2021USD ($)shares | Apr. 07, 2021shares | Jan. 01, 2021USD ($) | Apr. 15, 2020shares | Jul. 30, 2021USD ($) | Mar. 31, 2022USD ($)directorshares | Mar. 31, 2021USD ($) | Dec. 31, 2021USD ($) | Nov. 30, 2021USD ($) | Jun. 30, 2021USD ($) | May 05, 2021USD ($) |
Related Party Transaction [Line Items] | |||||||||||
Management fee percentage | 1.50% | ||||||||||
Management fee expense | $ 1,962,000 | $ 1,654,000 | |||||||||
Management fee payable | 2,000,000 | $ 1,800,000 | |||||||||
Common stock sold in public offering (in shares) | shares | 7,000,000 | ||||||||||
Reimbursement of expenses | $ 2,500,000 | 1,500,000 | |||||||||
Director's fee | $ 150,000 | ||||||||||
Directors fees paid in cash | 70,000 | ||||||||||
Director fees paid in stock | $ 80,000 | ||||||||||
Number of independent directors | director | 4 | ||||||||||
Loan securitization, ownership interest | 45.00% | 40.90% | |||||||||
Investments in debt and equity of affiliates | $ 87,086,000 | 92,023,000 | |||||||||
Agency Excess MSRs | |||||||||||
Related Party Transaction [Line Items] | |||||||||||
Proceeds from sale of excess mortgage servicing rights | $ 9,900,000 | ||||||||||
Unpaid principal balance | 2,000,000,000 | ||||||||||
AG Mortgage Investment Trust, Inc. | Agency Excess MSRs | |||||||||||
Related Party Transaction [Line Items] | |||||||||||
Proceeds from sale of excess mortgage servicing rights | $ 2,700,000 | ||||||||||
Non-Agency Loans | |||||||||||
Related Party Transaction [Line Items] | |||||||||||
Loan securitization, fair value | $ 225,900,000 | $ 25,700,000 | $ 171,400,000 | ||||||||
Senior Tranches | |||||||||||
Related Party Transaction [Line Items] | |||||||||||
Loan securitization, fair value | 44,000,000 | ||||||||||
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 | 591,532 | ||||||||||
Manager Equity Incentive Plan | Maximum | |||||||||||
Related Party Transaction [Line Items] | |||||||||||
Value of shares granted in fiscal year | $ 300,000 | ||||||||||
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 | ||||||||||
Director | 2020 Equity Incentive Plan | Restricted Stock | |||||||||||
Related Party Transaction [Line Items] | |||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 75,134 | ||||||||||
Incentive Fee To Manager | |||||||||||
Related Party Transaction [Line Items] | |||||||||||
Renewal period | 1 year | ||||||||||
Incentive Fee To Manager | Manager | |||||||||||
Related Party Transaction [Line Items] | |||||||||||
Common stock sold in public offering (in shares) | shares | 700,000 | ||||||||||
Reimbursement To Manager | |||||||||||
Related Party Transaction [Line Items] | |||||||||||
Due to related parties | $ 1,900,000 | 2,100,000 | |||||||||
Amount of expense reimbursements | 200,000 | ||||||||||
Reimbursement To Manager Waived | |||||||||||
Related Party Transaction [Line Items] | |||||||||||
Amount of expense reimbursements | 800,000 | ||||||||||
Transactions with Red Creek Asset Management LLC | |||||||||||
Related Party Transaction [Line Items] | |||||||||||
Fees paid to asset manager | 600,000 | $ 600,000 | |||||||||
Limited Liability Company | Incentive Fee To Manager | |||||||||||
Related Party Transaction [Line Items] | |||||||||||
Annual incentive fee | 15.00% | ||||||||||
Cumulative hurdle percentage | 8.00% | ||||||||||
Equity hurdle base amount | $ 80,000,000 | ||||||||||
Affiliated Entity | Transactions with Red Creek Asset Management LLC | |||||||||||
Related Party Transaction [Line Items] | |||||||||||
Management fee payable | $ 200,000 | $ 200,000 |
Related party transactions - Sc
Related party transactions - Schedule of investments in debt and equity of affiliates (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2022 | Mar. 31, 2021 | Dec. 31, 2021 | |
Related Party Transaction [Line Items] | |||
Investments in debt and equity of affiliates | $ 87,086 | $ 92,023 | |
Equity in earnings/(loss) from affiliates | (2,054) | $ 26,336 | |
Consolidation, Eliminations | Arc Home | |||
Related Party Transaction [Line Items] | |||
Gross profit | 2,400 | 500 | |
Arc Home | |||
Related Party Transaction [Line Items] | |||
Investments in debt and equity of affiliates | 54,121 | 53,435 | |
Equity in earnings/(loss) from affiliates | (1,670) | 6,340 | |
MSR change in fair value | 3,100 | ||
Arc Home | Lending And Servicing | |||
Related Party Transaction [Line Items] | |||
Equity in earnings/(loss) from affiliates | (2,400) | ||
Non-Agency Loans | |||
Related Party Transaction [Line Items] | |||
Equity in earnings/(loss) from affiliates | (889) | 14,646 | |
Non-Agency, Land Related Financing | |||
Related Party Transaction [Line Items] | |||
Equity in earnings/(loss) from affiliates | 502 | 710 | |
Re- and Non-Performing Loans | |||
Related Party Transaction [Line Items] | |||
Equity in earnings/(loss) from affiliates | 3 | 4,623 | |
Other | |||
Related Party Transaction [Line Items] | |||
Equity in earnings/(loss) from affiliates | 0 | $ 17 | |
Assets | |||
Related Party Transaction [Line Items] | |||
Investments in debt and equity of affiliates | 121,345 | 129,159 | |
Cash and Other assets/(liabilities) | 4,340 | 3,698 | |
Assets | Arc Home | |||
Related Party Transaction [Line Items] | |||
Investments in debt and equity of affiliates | 54,121 | 53,435 | |
Assets | Non-Agency Loans | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | 41,270 | 45,837 | |
Assets | Non-Agency, Land Related Financing | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | 13,569 | 16,891 | |
Assets | Re- and Non-Performing Loans | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | 8,045 | 9,298 | |
Assets | Real Estate Securities | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | 62,884 | 72,026 | |
Liabilities | |||
Related Party Transaction [Line Items] | |||
Investments in debt and equity of affiliates | 34,259 | 37,136 | |
Cash and Other assets/(liabilities) | 765 | 1,127 | |
Liabilities | Arc Home | |||
Related Party Transaction [Line Items] | |||
Investments in debt and equity of affiliates | 0 | 0 | |
Liabilities | Non-Agency Loans | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | 28,086 | 30,471 | |
Liabilities | Non-Agency, Land Related Financing | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | 0 | 0 | |
Liabilities | Re- and Non-Performing Loans | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | 5,408 | 5,538 | |
Liabilities | Real Estate Securities | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | 33,494 | 36,009 | |
Equity | |||
Related Party Transaction [Line Items] | |||
Investments in debt and equity of affiliates | 87,086 | 92,023 | |
Cash and Other assets/(liabilities) | 3,575 | 2,571 | |
Equity | Non-Agency Loans | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | 13,184 | 15,366 | |
Equity | Non-Agency, Land Related Financing | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | 13,569 | 16,891 | |
Equity | Re- and Non-Performing Loans | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | 2,637 | 3,760 | |
Equity | Real Estate Securities | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | $ 29,390 | $ 36,017 |
Related party transactions - Su
Related party transactions - Summary of loans sold (Details) - Residential Mortgage - AG Arc LLC - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2022 | Mar. 31, 2021 | |
Company | ||
Related Party Transaction [Line Items] | ||
Balance of loans sold during period | $ 377,832 | $ 57,665 |
Private Fund | ||
Related Party Transaction [Line Items] | ||
Balance of loans sold during period | $ 125,702 | $ 76,829 |
Related party transactions - _2
Related party transactions - Summary of affiliated transactions (Details) $ in Thousands | 1 Months Ended | ||||||
Nov. 30, 2021USD ($)trusts | Mar. 31, 2022USD ($) | Dec. 31, 2021USD ($) | Oct. 31, 2021USD ($) | Jul. 30, 2021USD ($) | Apr. 30, 2021USD ($) | Mar. 31, 2021USD ($) | |
Related Party Transaction [Line Items] | |||||||
Investments in debt and equity of affiliates | $ 87,086 | $ 92,023 | |||||
March 2021 Selling Affiliate | |||||||
Related Party Transaction [Line Items] | |||||||
Investments in debt and equity of affiliates | $ 6,900 | ||||||
April 2021 Selling Affiliates | |||||||
Related Party Transaction [Line Items] | |||||||
Investments in debt and equity of affiliates | $ 16,800 | ||||||
July 2021 Selling Affiliate | |||||||
Related Party Transaction [Line Items] | |||||||
Investments in debt and equity of affiliates | $ 17,600 | ||||||
October 2021 Acquiring Affiliate | |||||||
Related Party Transaction [Line Items] | |||||||
Investments in debt and equity of affiliates | $ 3,500 | ||||||
November 2021 Acquiring Affiliate | |||||||
Related Party Transaction [Line Items] | |||||||
Investments in debt and equity of affiliates | $ 181,800 | ||||||
Number of securitization trusts | trusts | 2 | ||||||
November 2021 Acquiring Affiliate | Private Fund | |||||||
Related Party Transaction [Line Items] | |||||||
Proceeds from sale of loans | $ 183,600 |
Equity - Narrative (Details)
Equity - Narrative (Details) | Nov. 22, 2021USD ($)$ / sharesshares | Jul. 22, 2021shares | Jul. 12, 2021 | May 05, 2017USD ($) | Mar. 31, 2022USD ($)period$ / sharesshares | Mar. 31, 2021USD ($)shares | Mar. 31, 2022USD ($)period$ / sharesshares | Dec. 31, 2021shares | Jul. 28, 2021shares | May 07, 2021USD ($) | Feb. 22, 2021USD ($) | Nov. 03, 2015USD ($) |
Class of Stock [Line Items] | ||||||||||||
Reverse stock split ratio | 0.3333 | 0.3333 | ||||||||||
Unvested restricted stock units previously granted to the Manager (in shares) | 48,510,978 | 23,915,000 | 23,915,000 | 23,908,000 | 16,170,312 | |||||||
Authorized amount for stock repurchase | $ | $ 25,000,000 | |||||||||||
Shares repurchased (in shares) | 0 | 0 | ||||||||||
Net proceeds from issuance of common stock | $ | $ 10,033,000 | |||||||||||
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 | $ 50,000,000 | ||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | ||||||||||
Preferred stock, shares outstanding (in shares) | 9,120,000 | 9,120,000 | ||||||||||
Quarterly periods required to grant preferred stock voting rights | period | 6 | 6 | ||||||||||
Percent of votes needed to pass | 66.67% | 66.67% | ||||||||||
Sale Agents | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Net proceeds from issuance of common stock | $ | $ 100,000,000 | $ 10,000,000 | $ 48,300,000 | |||||||||
Net proceeds from issuance of stock (in shares) | 0 | 700,000 | 2,200,000 | |||||||||
Preferred Repurchase Program | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Authorized amount for stock repurchase | $ | $ 20,000,000 | |||||||||||
Shares repurchased (in shares) | 0 | 0 | ||||||||||
Repurchase | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Value of common stock remained authorized for future share repurchases | $ | $ 11,000,000 | $ 11,000,000 | ||||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Preferred stock, shares issued (in shares) | 1,700,000 | 1,700,000 | 1,700,000 | |||||||||
Preferred stock, shares outstanding (in shares) | 1,663,000 | 1,663,000 | 1,700,000 | |||||||||
Series B Cumulative Reedmable Preferred Stock | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Preferred stock, shares issued (in shares) | 3,700,000 | 3,700,000 | 3,700,000 | |||||||||
Preferred stock, shares outstanding (in shares) | 3,728,000 | 3,728,000 | 3,700,000 | |||||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Preferred stock, shares issued (in shares) | 3,700,000 | 3,700,000 | 3,700,000 | |||||||||
Preferred stock, shares outstanding (in shares) | 3,729,000 | 3,729,000 | 3,700,000 |
Equity - Schedule of preferred
Equity - Schedule of preferred stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | ||
Mar. 31, 2022 | Dec. 31, 2021 | Mar. 31, 2021 | |
Class of Stock [Line Items] | |||
Preferred stock, shares outstanding (in shares) | 9,120 | ||
Carrying Value | $ 220,472 | $ 220,472 | |
Aggregate Liquidation Preference | $ 227,991 | $ 227,991 | $ 227,991 |
Preferred stock dividend percentage | 8.00% | ||
8.25% Series A Cumulative Redeemable Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred stock, shares outstanding (in shares) | 1,663 | 1,700 | |
Carrying Value | $ 40,110 | ||
Aggregate Liquidation Preference | $ 41,580 | ||
Preferred stock dividend percentage | 8.25% | ||
8.00% Series B Cumulative Redeemable Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred stock, shares outstanding (in shares) | 3,728 | 3,700 | |
Carrying Value | $ 90,187 | ||
Aggregate Liquidation Preference | $ 93,191 | ||
Preferred stock dividend percentage | 8.00% | ||
Redemption price (in dollars per share) | $ 25 | ||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||
Class of Stock [Line Items] | |||
Preferred stock, shares outstanding (in shares) | 3,729 | 3,700 | |
Carrying Value | $ 90,175 | ||
Aggregate Liquidation Preference | $ 93,220 | ||
Preferred stock dividend percentage | 8.00% | ||
Liquidation preference (in dollars per share) | $ 25 | ||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | LIBOR Floating Rate | |||
Class of Stock [Line Items] | |||
Preferred stock dividend percentage | 6.476% |
Equity - Summary of exchange of
Equity - Summary of exchange offers (Details) - USD ($) $ in Thousands | Jun. 14, 2021 | Mar. 17, 2021 | Mar. 31, 2021 | ||
Class of Stock [Line Items] | |||||
Total Preferred Stock Par Value | $ (10) | ||||
Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Total Preferred Stock Par Value | $ 6,022 | $ 12,598 | $ (12,181) | ||
Common Stock | |||||
Class of Stock [Line Items] | |||||
Exchange offers (in shares) | 429,802 | 937,462 | 937,000 | [1] | |
Total Preferred Stock Par Value | [1] | $ 10 | |||
8.25% Series A Cumulative Redeemable Preferred Stock | Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Exchange offers (in shares) | 0 | 153,325 | |||
Series B Cumulative Reedmable Preferred Stock | Preferred Stock | |||||
Class of Stock [Line Items] | |||||
Exchange offers (in shares) | 86,478 | 350,609 | |||
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 | |||
[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 - Schedule of outstanding commitments (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2022USD ($) | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | $ 33,247 |
Funded Commitment | 13,569 |
Remaining Commitment | 19,678 |
MATT Non-QM Loans | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | 15,607 |
Funded Commitment | 0 |
Remaining Commitment | 15,607 |
Land Related Financing | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | 17,640 |
Funded Commitment | 13,569 |
Remaining Commitment | $ 4,071 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Millions | May 05, 2022 | May 02, 2022 | Feb. 18, 2022 | Feb. 16, 2021 |
Subsequent Event | Agency-Eligible Loans | ||||
Subsequent Event [Line Items] | ||||
Loan securitization, fair value | $ 398.7 | |||
8.25% Series A Cumulative Redeemable Preferred Stock | ||||
Subsequent Event [Line Items] | ||||
Dividends payable (in dollars per share) | $ 0.51563 | $ 0.51563 | ||
8.25% Series A Cumulative Redeemable Preferred Stock | Subsequent Event | ||||
Subsequent Event [Line Items] | ||||
Dividends payable (in dollars per share) | $ 0.51563 | |||
8.00% Series B Cumulative Redeemable Preferred Stock | ||||
Subsequent Event [Line Items] | ||||
Dividends payable (in dollars per share) | 0.50 | 0.50 | ||
8.00% Series B Cumulative Redeemable Preferred Stock | Subsequent Event | ||||
Subsequent Event [Line Items] | ||||
Dividends payable (in dollars per share) | 0.50 | |||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||
Subsequent Event [Line Items] | ||||
Dividends payable (in dollars per share) | $ 0.50 | $ 0.50 | ||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Subsequent Event | ||||
Subsequent Event [Line Items] | ||||
Dividends payable (in dollars per share) | $ 0.50 |