Cover Page
Cover Page - shares | 3 Months Ended | |
Mar. 31, 2024 | May 03, 2024 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Mar. 31, 2024 | |
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 | 29,473,725 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2024 | |
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, $0.01 par value per share | |
Trading Symbol | MITT | |
Security Exchange Name | NYSE | |
8.25% Series A Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 8.25% Series A Cumulative Redeemable Preferred Stock | |
Trading Symbol | MITT PrA | |
Security Exchange Name | NYSE | |
8.00% Series B Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 8.00% Series B Cumulative Redeemable Preferred Stock | |
Trading Symbol | MITT PrB | |
Security Exchange Name | NYSE | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |
Trading Symbol | MITT PrC | |
Security Exchange Name | NYSE | |
Senior Notes Due 2029 | ||
Document Information [Line Items] | ||
Title of 12(b) Security | 9.500% Senior Notes due 2029 | |
Trading Symbol | MITN | |
Security Exchange Name | NYSE |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Assets | |||
Real estate securities, at fair value - $223,949 and $155,115 pledged as collateral, respectively | $ 271,868 | $ 162,821 | |
Cash and cash equivalents | 100,287 | 111,534 | |
Restricted cash | 16,347 | 14,039 | |
Other assets | 41,495 | 40,716 | |
Total Assets | 6,400,668 | 6,126,428 | |
Liabilities | |||
Securitized debt, at fair value | [1] | 4,980,942 | 4,711,623 |
Financing arrangements | 734,001 | 767,592 | |
Convertible senior unsecured notes | 78,530 | 85,266 | |
Senior unsecured notes | 32,810 | 0 | |
Dividend payable | 5,301 | 1,472 | |
Other liabilities | [2] | 29,519 | 32,107 |
Total Liabilities | 5,861,103 | 5,598,060 | |
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 29,453 and 29,437 shares issued and outstanding at March 31, 2024 and December 31, 2023, respectively | 295 | 294 | |
Additional paid-in capital | 823,908 | 823,715 | |
Retained earnings/(deficit) | (505,110) | (516,113) | |
Total Stockholders’ Equity | 539,565 | 528,368 | |
Total Liabilities and Stockholders’ Equity | 6,400,668 | 6,126,428 | |
Investment, Affiliated Issuer | |||
Assets | |||
Investments in debt and equity of affiliates | 54,842 | 55,103 | |
Legacy WMC Commercial Loans | |||
Assets | |||
Mortgage loans | 66,474 | 66,303 | |
Total Residential Investments | |||
Assets | |||
Real estate securities, at fair value - $223,949 and $155,115 pledged as collateral, respectively | 271,868 | 162,821 | |
Securitized Residential Mortgage Loans | Residential Mortgage | |||
Assets | |||
Mortgage loans | [1] | 5,645,004 | 5,358,281 |
VIE, Not Primary Beneficiary | |||
Assets | |||
Real estate securities, at fair value - $223,949 and $155,115 pledged as collateral, respectively | 39,163 | 37,533 | |
VIE, Not Primary Beneficiary | Residential Mortgage | |||
Assets | |||
Mortgage loans | $ 204,351 | $ 317,631 | |
[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 securitizations as the Company was determined to be the primary beneficiary. See Note 3 for additional details. Refer to Note 7 and Note 10 for additional details on amounts payable to affiliates. |
Consolidated Balance Sheets (_2
Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Preferred stock, liquidation preference | $ 227,991 | $ 227,991 |
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) | 29,453,000 | 29,437,000 |
Common stock, shares outstanding (in shares) | 29,453,000 | 29,437,000 |
Residential Portfolio Segment | ||
Fair Value | $ 5,849,355 | $ 5,675,912 |
Residential Mortgage | ||
Fair Value | 204,351 | 317,631 |
Residential Mortgage | Residential Portfolio Segment | ||
Fair Value | 204,351 | 317,631 |
Residential Mortgage | Securitized Residential Mortgage Loans | ||
Fair Value | 5,645,004 | 5,358,281 |
Residential Mortgage | Securitized Residential Mortgage Loans | Residential Portfolio Segment | ||
Fair Value | 5,645,004 | 5,358,281 |
Residential Mortgage | Securitized Residential Mortgage Loans | Asset Pledged as Collateral | Residential Portfolio Segment | ||
Fair Value | 663,327 | 645,876 |
Residential Mortgage | VIE, Not Primary Beneficiary | Asset Pledged as Collateral | Residential Portfolio Segment | ||
Fair Value | 196,752 | 315,225 |
Legacy WMC Commercial Loans | ||
Fair Value | 66,474 | 66,303 |
Legacy WMC Commercial Loans | Commercial Portfolio Segment | ||
Fair Value | 66,474 | 66,303 |
Legacy WMC Commercial Loans | Asset Pledged as Collateral | Commercial Portfolio Segment | ||
Fair Value | 66,474 | 66,303 |
Total Residential Investments | ||
Real estate securities, at fair value, pledged as collateral | $ 223,949 | $ 155,115 |
Consolidated Statements of Oper
Consolidated Statements of Operations (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 | Mar. 31, 2023 | ||
Net Interest Income | |||
Interest income | $ 95,572 | $ 57,803 | |
Interest expense | 78,393 | 46,188 | |
Total Net Interest Income | 17,179 | 11,615 | |
Other Income/(Loss) | |||
Net interest component of interest rate swaps | 1,900 | 1,020 | |
Net realized gain/(loss) | (1,103) | 100 | |
Net unrealized gain/(loss) | 10,014 | 8,717 | |
Total Other Income/(Loss) | 10,811 | 9,837 | |
Expenses | |||
Non-investment related expenses | [1] | 3,114 | 2,820 |
Investment related expenses | [1] | 3,283 | 2,326 |
Transaction related expenses | [1] | 999 | 1,707 |
Total Expenses | 9,137 | 8,928 | |
Income/(loss) before equity in earnings/(loss) from affiliates | 18,853 | 12,524 | |
Equity in earnings/(loss) from affiliates | 2,037 | 16 | |
Net Income/(Loss) | 20,890 | 12,540 | |
Dividends on preferred stock | (4,586) | (4,586) | |
Net Income/(Loss) Available to Common Stockholders | $ 16,304 | $ 7,954 | |
Earnings/(Loss) Per Share of Common Stock | |||
Basic (in dollars per share) | $ 0.55 | $ 0.38 | |
Diluted (in dollars per share) | $ 0.55 | $ 0.38 | |
Weighted Average Number of Shares of Common Stock Outstanding | |||
Basic (in shares) | 29,453 | 21,066 | |
Diluted (in shares) | 29,479 | 21,066 | |
Affiliated Entity | |||
Expenses | |||
Management fee to affiliate | [1] | $ 1,741 | $ 2,075 |
[1]Refer to Note 10 for additional details on related party transactions. |
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, 2022 | 21,284 | ||||
Beginning balance at Dec. 31, 2022 | $ 462,800 | $ 212 | $ 220,472 | $ 778,606 | $ (536,490) |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Grant of restricted stock and amortization of equity based compensation (in shares) | 16 | ||||
Grant of restricted stock and amortization of equity based compensation | 87 | $ 1 | 86 | ||
Repurchase of common stock (in shares) | (923) | ||||
Repurchase of common stock | (5,244) | $ (9) | (5,235) | ||
Common dividends declared | (3,684) | (3,684) | |||
Preferred dividends declared | (4,586) | (4,586) | |||
Net Income/(Loss) | 12,540 | 12,540 | |||
Ending balance (in shares) at Mar. 31, 2023 | 20,377 | ||||
Ending balance at Mar. 31, 2023 | $ 461,913 | $ 204 | 220,472 | 773,457 | (532,220) |
Beginning balance (in shares) at Dec. 31, 2023 | 29,437 | 29,437 | |||
Beginning balance at Dec. 31, 2023 | $ 528,368 | $ 294 | 220,472 | 823,715 | (516,113) |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Grant of restricted stock and amortization of equity based compensation (in shares) | 16 | ||||
Grant of restricted stock and amortization of equity based compensation | 194 | $ 1 | 193 | ||
Common dividends declared | (5,301) | (5,301) | |||
Preferred dividends declared | (4,586) | (4,586) | |||
Net Income/(Loss) | $ 20,890 | 20,890 | |||
Ending balance (in shares) at Mar. 31, 2024 | 29,453 | 29,453 | |||
Ending balance at Mar. 31, 2024 | $ 539,565 | $ 295 | $ 220,472 | $ 823,908 | $ (505,110) |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Cash Flows from Operating Activities | ||
Net income/(loss) | $ 20,890 | $ 12,540 |
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: | ||
Net amortization of premium/(discount) | 2,428 | 1,492 |
Net realized (gain)/loss | 1,103 | (100) |
Net unrealized (gain)/loss | (10,014) | (8,717) |
Grant of restricted stock and amortization of equity based compensation | 194 | 87 |
Equity in (earnings)/loss from affiliates | (2,037) | (16) |
Distributions of income from investments in debt and equity of affiliates | 887 | 158 |
Change in operating assets/liabilities: | ||
Other assets | 3,056 | 977 |
Other liabilities | (4,535) | 108 |
Net cash provided by (used in) operating activities | 11,972 | 6,529 |
Cash Flows from Investing Activities | ||
Purchases of residential mortgage loans | (288,145) | (22,834) |
Purchases of real estate securities | (127,991) | (276,265) |
Investments in debt and equity of affiliates | 0 | (700) |
Proceeds from sales of residential mortgage loans | 0 | 66,551 |
Proceeds from sales of real estate securities | 19,318 | 0 |
Principal repayments on residential mortgage loans | 140,625 | 73,956 |
Principal repayments on real estate securities | 869 | 712 |
Distributions received in excess of income from investments in debt and equity of affiliates | 1,611 | 1,983 |
Net settlement of interest rate swaps and other instruments | 4,390 | (1,175) |
Net settlement of TBAs | 10 | 179 |
Cash flows provided by other investing activities | 1,082 | 371 |
Net cash provided by (used in) investing activities | (248,231) | (157,222) |
Cash Flows from Financing Activities | ||
Repurchase of common stock | 0 | (5,244) |
Net borrowings under (repayments of) financing arrangements | (30,295) | 8,271 |
Principal repayments on fixed-rate long-term financing arrangements | (2,895) | 0 |
Proceeds from issuance of senior unsecured notes | 32,763 | 0 |
Repurchases of convertible senior unsecured notes | (7,059) | 0 |
Deferred financing costs paid | (142) | (9) |
Proceeds from issuance of securitized debt | 365,602 | 235,709 |
Principal repayments on securitized debt | (124,596) | (66,957) |
Net collateral received from (paid to) derivative counterparty | 0 | (9,026) |
Dividends paid on common stock | (1,472) | (3,846) |
Dividends paid on preferred stock | (4,586) | (4,586) |
Net cash provided by (used in) financing activities | 227,320 | 154,312 |
Net change in cash and cash equivalents and restricted cash | (8,939) | 3,619 |
Cash and cash equivalents and restricted cash, Beginning of Period | 125,573 | 98,803 |
Cash and cash equivalents and restricted cash, End of Period | 116,634 | 102,422 |
Supplemental disclosure of cash flow information: | ||
Cash paid for interest on financing arrangements and securitized debt | 72,178 | 42,932 |
Cash paid for income taxes | 121 | 0 |
Supplemental disclosure of non-cash financing and investing activities: | ||
Common stock dividends declared but not paid | 5,301 | 3,684 |
Transfer from residential mortgage loans to other assets | $ 255 | $ 915 |
Consolidated Statements of Ca_2
Consolidated Statements of Cash Flows (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2024 | Mar. 31, 2023 |
Statement of Cash Flows [Abstract] | ||
Cash and cash equivalents | $ 100,287 | $ 87,876 |
Restricted cash | 16,347 | 14,546 |
Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows | $ 116,634 | $ 102,422 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2024 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization AG Mortgage Investment Trust, Inc. (the "Company" or "MITT") 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 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 the Company owns an approximate 44.6% interest, and through other third-party origination partners. On December 6, 2023, the Company acquired Western Asset Mortgage Capital Corporation ("WMC"), an externally managed mortgage REIT that focused on investing in, financing and managing a portfolio of residential mortgage loans, real estate related securities, and commercial real estate loans. For more information, refer to the "WMC Acquisition" section below. The Company’s assets, excluding its ownership in Arc Home, include Residential Investments, Agency RMBS and Legacy WMC Commercial Investments. Currently, its Residential Investments primarily consist of newly originated 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 interests 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 (1) • 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. Agency-Eligible Loans (1) • Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties, but are not guaranteed by a GSE. Although these loans are underwritten in accordance with GSE guidelines and can be delivered to Fannie Mae and Freddie Mac, the Company includes these loans within its Non-Agency securitizations. Re- and Non-Performing Loans (1) • Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property. Non-Agency RMBS (2) • Non-Agency Residential Mortgage-Backed Securities ("RMBS") represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. Agency RMBS (2) • 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. Legacy WMC Commercial Investments (3) Commercial Loans • Commercial loans represent first lien commercial mortgage loans participations. CMBS (2) • Commercial Mortgage-Backed Securities ("CMBS") represent investments of fixed-rate and floating-rate CMBS, secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans. (1) These investments are included in the "Securitized residential mortgage loans, at fair value" and "Residential mortgage loans, at fair value" line items on the consolidated balance sheets. (2) These investments are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets. (3) The Company's investments include commercial loans, CMBS and other securities (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition. The Company expects to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments. 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. ("TPG Angelo Gordon"), a diversified credit and real estate investing platform within TPG Inc. ("TPG"). The Manager has delegated to TPG 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. WMC Acquisition On December 6, 2023 (the "Closing Date"), the Company completed its acquisition of WMC, a Delaware corporation. WMC was an externally managed mortgage REIT that focused on investing in, financing and managing a portfolio of residential mortgage loans, real estate related securities, and commercial real estate loans. On the Closing Date, WMC merged with and into AGMIT Merger Sub, LLC, a Delaware limited liability company and wholly owned subsidiary of the Company ("Merger Sub"), with Merger Sub continuing as the surviving company (the "Merger"). As contemplated by the Agreement and Plan of Merger, dated as of August 8, 2023 (the "Merger Agreement"), the certificate of merger was filed with the Secretary of State of the State of Delaware, and the Merger was effective at 8:15 a.m., Eastern Time, on the Closing Date (the "Effective Time"). Pursuant to the terms and subject to the conditions set forth in the Merger Agreement, at the Effective Time, each outstanding share of WMC common stock, par value $0.01 per share ("WMC Common Stock"), was converted into the right to receive the following (the "Per Share Merger Consideration"): (i) from MITT, 1.498 shares of MITT common stock; and (ii) from the Manager, a cash amount equal to $0.92 (the "Per Share Additional Manager Consideration"). No fractional shares of MITT common stock were issued in the Merger, and the value of any fractional interests to which a former holder of WMC Common Stock was otherwise entitled was paid in cash. Pursuant to the Merger Agreement, the amount of the Per Share Additional Manager Consideration was reduced by the smallest amount (rounded to the nearest cent) necessary to cause the Per Share Additional Manager Consideration to be less than 10% of the total value of the Per Share Merger Consideration received by a holder of WMC Common Stock under the Merger Agreement. Pursuant to the previously disclosed amendment to the Company's management agreement, dated as of August 8, 2023, by and between MITT and the Manager (the "MITT Management Agreement Amendment"), which became effective on the Closing Date and amends the existing management agreement, dated as of June 29, 2011 (as amended, the "Existing MITT Management Agreement"), (i) the Manager will waive its right to seek reimbursement from MITT for any expenses otherwise reimbursable by MITT under the Existing MITT Management Agreement in an amount equal to approximately $1.3 million, which is the excess of $7.0 million over the aggregate Per Share Additional Manager Consideration paid by the Manager to the holders of WMC Common Stock under the Merger Agreement, and (ii) the Manager’s base management fee will be reduced by $0.6 million for the first four quarters following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurred (i.e., resulting in an aggregate $2.4 million waiver of base management fees). Additionally, each outstanding share of WMC’s restricted common stock and each WMC restricted stock unit (each, a "WMC Equity Award") vested in full immediately prior to the Effective Time and, as of the Effective Time, was considered outstanding for all purposes of the Merger Agreement, including the right to receive the Per Share Merger Consideration, except that WMC Equity Awards granted to certain members of the WMC board of directors at WMC’s 2023 annual stockholders’ meeting (collectively, the "2023 WMC Director Awards") were treated as follows: (i) for M. Christian Mitchell and Lisa G. Quateman, who were appointed to the MITT board of directors as of the Effective Time, the 2023 WMC Director Awards were equitably adjusted effective as of the Effective Time into awards relating to shares of MITT common stock that have the same value, vesting terms and other terms and conditions as applied to the corresponding WMC restricted stock units immediately prior to the Effective Time and (ii) for the other members of the WMC board of directors, the 2023 WMC Director Awards accelerated and vested pro-rata effective as of immediately prior to the Effective Time based on a fraction, the numerator of which was 166 (the number of days between the grant date and the Closing Date) and the denominator of which was 365, and the remaining unvested portion of such 2023 WMC Director Awards was cancelled without any consideration. Pursuant to the Merger Agreement, approximately 9.2 million shares of MITT common stock were issued to former WMC common stockholders and, following the consummation of the Merger, former WMC common stockholders owned approximately 31% of the common equity of MITT. Purchase Price Allocation The Company completed the WMC acquisition on December 6, 2023 to support continued growth of the Company and to create efficiency and scale for stockholders. The Company accounted for this transaction in accordance with Accounting Standards Codification ("ASC") 805, "Business Combinations" using the acquisition method of accounting , which requires, among other things, that the assets acquired and liabilities assumed be recognized at fair value as of the acquisition date. The following table summarizes the allocation of the total consideration paid to acquire the assets and assume the liabilities of WMC (in thousands, except exchange ratio and per share amounts). Consideration WMC shares outstanding at December 5, 2023 (1) 6,143 Exchange Ratio 1.498 Shares of MITT Common Stock Issued 9,202 MITT Common Stock Price as of December 5, 2023 $ 5.56 MITT Total Consideration (2) $ 51,163 Assets Securitized residential mortgage loans (3) $ 971,781 Residential mortgage loans (3) 6,046 Commercial loans 78,459 Non-Agency RMBS 48,200 CMBS 56,301 Other securities 1,159 Agency RMBS 745 Cash and cash equivalents 5,316 Restricted cash 873 Other assets 24,654 Total Assets $ 1,193,534 Liabilities Securitized debt $ 837,317 Financing arrangements 171,170 Convertible senior unsecured notes 85,172 Other liabilities 18,522 Total Liabilities $ 1,112,181 Net Assets Acquired $ 81,353 Bargain purchase gain $ 30,190 (1) For time-based restricted stock units granted by WMC that fully vested as of the Closing Date, the fair value of the Company’s common stock issued in the satisfaction of these units was included in equity consideration transferred as no post acquisition service was required. (2) MITT Total Consideration does not include the Per Share Additional Manager Consideration paid by the Manager to former holders of WMC Common Stock. (3) The unpaid principal balance of residential mortgage loans acquired in connection with the Merger was $1.1 billion. The fair value of the assets acquired and liabilities assumed required the use of significant assumptions and estimates. Critical estimates included, but were not limited to, future expected cash flows related to these assets and liabilities and the applicable discount rates. These estimates were based on assumptions that management believes to be reasonable; however, actual results may differ from these estimates. The assessment of fair value is based on information that was available to management at the time the consolidated financial statements were prepared. Those estimates and assumptions are subject to change as management obtains additional information related to those estimates during the applicable measurement period. The final determination must occur within one year of the acquisition date. Under the acquisition method of accounting, merger-related transaction costs (such as advisory, legal, valuation, and other professional fees) are not included as components of consideration transferred but are expensed in the periods in which the costs are incurred. The Company incurred transaction costs of $6.0 million during the third and fourth quarters of 2023, which were included in the "Transaction related expenses" line item in the consolidated statements of operations. At acquisition, the Company recognized a bargain purchase gain of $30.2 million which was separately recorded in the consolidated statements of operations. The bargain purchase gain represents the amount by which the fair value of the net assets acquired in the acquisition exceeds the fair value of the shares of MITT common stock issued as consideration at the Effective Time. As a result of macroeconomic factors and interest rate volatility, the prices per share of common stock of certain companies within the mortgage REIT industry have traded at discounts to book values per share in recent periods, which contributed to the bargain purchase gain recorded on the WMC acquisition. Unaudited Supplemental Pro Forma Financial Information The following table presents unaudited pro forma combined interest income and net income/(loss) available to common stockholders for the three months ended March 31, 2023 prepared as if the Merger had been consummated on January 1, 2023 (in thousands). Three months ended March 31, 2023 Interest income $ 77,235 Net Income/(Loss) Available to Common Stockholders 15,104 |
Summary of significant accounti
Summary of significant accounting policies | 3 Months Ended |
Mar. 31, 2024 | |
Accounting Policies [Abstract] | |
Summary of significant accounting policies | Summary of significant accounting policies Consolidation and basis of presentation 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. 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. 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. Significant accounting policies There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2023 . These unaudited consolidated financial statements and related notes should be read in conjunction with the consolidated financial statements and related notes for the year ended December 31, 2023 included in the Company’s Form 10-K. 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. Investment consolidation An entity is a variable interest entity ("VIE") 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 Accounting Standards Codification ("ASC") 810-10, "Consolidation" 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 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/Agency-Eligible Loans and re- and non-performing loans (the trusts in which these loans are deposited are referred to as "Non-Agency VIEs" and "RPL/NPL VIEs", respectively), which may result in the Company consolidating the respective VIEs that are created to facilitate these securitizations. 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 Non-Agency VIEs and RPL/NPL 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 Non-Agency VIEs and RPL/NPL 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 Non-Agency VIEs and RPL/NPL 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 Non-Agency VIEs and RPL/NPL 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. Debt issuance costs Debt issuance costs are costs incurred by the Company in connection with the issuance of Senior Unsecured Notes or other financing where the fair value option has not been elected. These costs may include underwriting commissions, rating agency, legal, accounting, and other fees. Debt issuance costs are included on the Company’s consolidated balance sheets as a direct reduction from the related financing liability. These costs are deferred and amortized over the life of the related financing as an adjustment to interest expense using the effective interest method. Recent accounting pronouncements Debt with conversion and other options In August 2020, FASB issued ASU 2020-06, "Debt-Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging- Contracts in Entity's Own Equity (Subtopic 815-40)." The amendments in this update affect entities that issue convertible instruments and/or contracts in an entity's own equity. For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed. This ASU is effective for the year ended December 31, 2024. The Company's adoption of ASU 2020-06 during the three months ended March 31, 2024 did not have a material impact on the consolidated financial statements. Segment Reporting In November 2023, the FASB issued ASU 2023-07, "Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures." ASU 2023-07 intends to improve reportable segment disclosure requirements, primarily through enhanced disclosures related to significant segment expenses. In addition, this standard is expected to enhance interim disclosure requirements, clarify circumstances in which an entity can disclose multiple segment measures of profit or loss and provides new segment disclosure requirements for entities with a single reportable segment. ASU 2023-07 is effective on a retrospective basis for annual periods beginning after December 15, 2023, for interim periods within fiscal years beginning after December 15, 2024, and early adoption is permitted. The Company does not expect the adoption of the new standard to have a material effect on its consolidated financial statements. |
Loans
Loans | 3 Months Ended |
Mar. 31, 2024 | |
Receivables [Abstract] | |
Loans | Loans Residential mortgage loans The tables below detail information regarding the Company’s residential mortgage loan portfolio as of March 31, 2024 and December 31, 2023 ($ 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, 2024 Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Securitized residential mortgage loans, at fair value (2) Non-Agency Loans (3) $ 5,854,878 $ (25,250) $ 5,829,628 $ 33,960 $ (396,033) $ 5,467,555 5.33 % 5.64 % 9.63 Re- and Non-Performing Loans 212,525 (16,622) 195,903 — (18,454) 177,449 3.97 % 6.27 % 5.78 Total Securitized residential mortgage loans, at fair value $ 6,067,403 $ (41,872) $ 6,025,531 $ 33,960 $ (414,487) $ 5,645,004 5.28 % 5.66 % 9.49 Residential mortgage loans, at fair value Non-Agency Loans $ 97,544 $ 1,112 $ 98,656 $ 1,131 $ (643) $ 99,144 8.16 % 7.15 % 3.09 Agency-Eligible Loans 99,930 2,397 102,327 658 (30) 102,955 7.72 % 6.98 % 3.67 Re- and Non-Performing Loans 2,439 (1,519) 920 1,332 — 2,252 N/A 116.45 % 1.62 Total Residential mortgage loans, at fair value $ 199,913 $ 1,990 $ 201,903 $ 3,121 $ (673) $ 204,351 7.94 % 8.27 % 3.36 Total as of March 31, 2024 $ 6,267,316 $ (39,882) $ 6,227,434 $ 37,081 $ (415,160) $ 5,849,355 5.36 % 5.75 % 9.30 Unpaid Principal Balance Gross Unrealized Weighted Average December 31, 2023 Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Securitized residential mortgage loans, at fair value (2) Non-Agency Loans (3) $ 5,599,960 $ (32,250) $ 5,567,710 $ 29,603 $ (422,144) $ 5,175,169 5.19 % 5.51 % 10.37 Re- and Non-Performing Loans 217,098 (17,465) 199,633 199 (16,720) 183,112 3.88 % 6.30 % 6.10 Total Securitized residential mortgage loans, at fair value $ 5,817,058 $ (49,715) $ 5,767,343 $ 29,802 $ (438,864) $ 5,358,281 5.14 % 5.54 % 10.21 Residential mortgage loans, at fair value Non-Agency Loans $ 92,033 $ 835 $ 92,868 $ 2,222 $ (574) $ 94,516 8.10 % 7.29 % 3.14 Agency-Eligible Loans 212,350 3,535 215,885 4,824 — 220,709 7.94 % 7.28 % 3.37 Re- and Non-Performing Loans 2,604 (1,630) 974 1,432 — 2,406 N/A 112.97 % 1.69 Total Residential mortgage loans, at fair value $ 306,987 $ 2,740 $ 309,727 $ 8,478 $ (574) $ 317,631 7.99 % 8.08 % 3.29 Total as of December 31, 2023 $ 6,124,045 $ (46,975) $ 6,077,070 $ 38,280 $ (439,438) $ 5,675,912 5.28 % 5.68 % 9.86 (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 mortgage loans, periodic payments of principal, and prepayments of principal. (2) Refer to the "Variable interest entities" section below for additional details related to the assets and liabilities of VIEs consolidated on the Company's consolidated balance sheets. (3) Securitized Non-Agency Loans include loans that were considered to be Agency-Eligible prior to the Company's securitization. The following tables present information regarding credit quality of the Company's residential mortgage loans ($ in thousands). Unpaid Principal Balance Weighted Average (1)(2) Aging by Unpaid Principal Balance (1)(3) March 31, 2024 Loan Count (1) Original LTV Ratio (4) Current FICO (5) Current 30-59 Days 60-89 Days 90+ Days Securitized residential mortgage loans Non-Agency Loans $ 5,854,878 14,239 67.03 % 748 $ 5,674,716 $ 68,456 $ 41,483 $ 70,223 Re- and Non-Performing Loans 212,525 1,459 79.78 % 659 149,877 17,683 7,690 37,275 Total Securitized residential mortgage loans $ 6,067,403 15,698 67.48 % 745 $ 5,824,593 $ 86,139 $ 49,173 $ 107,498 Residential mortgage loans Non-Agency Loans $ 97,544 182 74.36 % 726 $ 91,110 $ 731 $ — $ 5,703 Agency-Eligible Loans 99,930 258 72.86 % 771 99,930 — — — Re- and Non-Performing Loans (1) 2,439 N/A N/A N/A N/A N/A N/A N/A Total Residential mortgage loans $ 199,913 440 73.60 % 749 $ 191,040 $ 731 $ — $ 5,703 Total as of March 31, 2024 $ 6,267,316 16,138 67.67 % 745 $ 6,015,633 $ 86,870 $ 49,173 $ 113,201 Unpaid Principal Balance Weighted Average (1)(2) Aging by Unpaid Principal Balance (1)(3) December 31, 2023 Loan Count (1) Original LTV Ratio (4) Current FICO (5) Current 30-59 Days 60-89 Days 90+ Days Securitized residential mortgage loans Non-Agency Loans $ 5,599,960 13,460 66.65 % 748 $ 5,446,631 $ 68,242 $ 30,873 $ 54,214 Re- and Non-Performing Loans 217,098 1,495 79.80 % 657 154,632 17,145 4,780 40,541 Total Securitized residential mortgage loans $ 5,817,058 14,955 67.14 % 744 $ 5,601,263 $ 85,387 $ 35,653 $ 94,755 Residential mortgage loans Non-Agency Loans $ 92,033 170 74.79 % 730 $ 83,582 $ 1,010 $ 615 $ 6,826 Agency-Eligible Loans 212,350 536 71.99 % 777 211,499 851 — — Re- and Non-Performing Loans (1) 2,604 N/A N/A N/A N/A N/A N/A N/A Total Residential mortgage loans $ 306,987 706 72.83 % 764 $ 295,081 $ 1,861 $ 615 $ 6,826 Total as of December 31, 2023 $ 6,124,045 15,661 67.42 % 745 $ 5,896,344 $ 87,248 $ 36,268 $ 101,581 (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) Amounts are weighted based on unpaid principal balance. (3) As of March 31, 2024, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $52.2 million and loans in the process of foreclosure with a fair value of $52.6 million. As of December 31, 2023, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $41.7 million and loans in the process of foreclosure with a fair value of $51.8 million. (4) Represents the original LTV or, for Re- and Non-Performing Loans and Non-Agency Loans acquired from WMC, the LTV at acquisition. (5) Weighted average current FICO excludes borrowers where FICO scores were not available. Data is based on the latest available information, which is primarily as of February 29, 2024 and November 30, 2023, respectively. As of March 31, 2024 and December 31, 2023, 11.4% and 12.0%, respectively, of the unpaid principal balance of the Company's securitized residential mortgage loans and residential mortgage loans were adjustable rate mortgages. During the three months ended March 31, 2024 and 2023, the Company purchased residential mortgage loans, as detailed below (in thousands). Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value Non-Agency Loans $ 14,046 $ 14,214 $ 22,550 $ 22,954 Agency-Eligible Loans 268,086 271,084 — — Total $ 282,132 $ 285,298 $ 22,550 $ 22,954 The Company did not sell any residential mortgage loans during the three months ended March 31, 2024. For the three months ended March 31, 2023, the Company sold residential mortgage loans as detailed below ($ in thousands). Number of Loans Proceeds Realized Gains Realized Losses Non-Agency Loans 116 $ 46,909 $ — $ (9,745) Agency-Eligible Loans 47 18,474 69 (85) The Company’s residential mortgage loan portfolio consists 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, 2024 and December 31, 2023 and includes states where the exposure is greater than 5% of the fair value of the Company's residential mortgage loan portfolio. Geographic Concentration of Credit Risk (1) March 31, 2024 December 31, 2023 California 37 % 38 % New York 13 % 13 % Florida 10 % 10 % Texas 6 % 6 % New Jersey 5 % 5 % (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. Variable interest entities The Company entered into securitization transactions collateralized by its Non-Agency Loans/Agency-Eligible Loans and re- and non-performing loans, which are considered VIEs. The Company was determined to be the primary beneficiary of the VIEs and, as a result, consolidated the assets and liabilities of the VIEs on its consolidated balance sheets. In a securitization transaction, a pool of loans is transferred to a wholly-owned subsidiary of the Company and the loans are deposited into a newly created securitization trust. The securitization trust issues various classes of mortgage pass-through certificates backed by the cash flows from the underlying residential mortgage loans (the "Certificates"). As the sponsor of the securitization, the Company retains certain Certificates issued by the securitization trusts in order to satisfy risk retention rules, which generally require the sponsor to retain at least 5% of the fair value of the Certificates issued in the securitization . The Company's continuing involvement in these securitizations represents its retained Certificates and the ability to purchase all of the outstanding Certificates upon the occurrence of certain events through an optional redemption right held by the Company. The Company has also engaged a related party of the Manager and direct subsidiary of TPG Angelo Gordon to act as the servicing administrator of certain securitization trusts. The following table details certain information related to the assets and liabilities of the Non-Agency VIEs as of March 31, 2024 and December 31, 2023 ($ in thousands). March 31, 2024 December 31, 2023 Carrying Value Weighted Average Carrying Value Weighted Average Yield Life (Years) (1) Yield Life (Years) (1) Assets Securitized residential mortgage loans, at fair value (2) $ 5,467,555 5.64 % 9.63 $ 5,175,169 5.51 % 10.37 Other assets 26,870 25,105 Total Assets $ 5,494,425 $ 5,200,274 Liabilities Securitized debt, at fair value (2) (3) $ 4,871,205 5.07 % 7.10 $ 4,597,490 4.94 % 7.52 Other liabilities 18,740 17,269 Total Liabilities $ 4,889,945 $ 4,614,759 Total Equity (4) $ 604,480 $ 585,515 (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) Securitized residential mortgage loans in Non-Agency VIEs include loans that were considered to be Agency-Eligible prior to the Company's securitization. (3) 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 Non-Agency VIEs. (4) As of March 31, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $315.0 million and $301.2 million, respectively, collateralized by $597.4 million and $578.8 million of the Company's retained interests in the Non-Agency VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements. The following table details certain information related to the assets and liabilities of the RPL/NPL VIEs as of March 31, 2024 and December 31, 2023 ($ in thousands). March 31, 2024 December 31, 2023 Carrying Value Weighted Average Carrying Value Weighted Average Yield Life (Years) (1) Yield Life (Years) (1) Assets Securitized residential mortgage loans, at fair value $ 177,449 6.27 % 5.78 $ 183,112 6.30 % 6.10 Restricted cash 17 10 Other assets 1,736 2,056 Total Assets $ 179,202 $ 185,178 Liabilities Securitized debt, at fair value (2) $ 109,737 3.28 % 3.86 $ 114,133 3.25 % 3.77 Other liabilities 322 328 Total Liabilities $ 110,059 $ 114,461 Total Equity (3) $ 69,143 $ 70,717 (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 RPL/NPL VIEs. (3) As of March 31, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $43.6 million and $44.9 million, respectively, collateralized by $66.0 million and $67.1 million of the Company's retained interests in the RPL/NPL VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements. Revolving Mortgage Investment Trust 2015-1QR2 Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") was acquired in the WMC acquisition and holds Non-Agency Loans and real estate owned ("REO"). RMI 2015 Trust issued a trust certificate that is wholly-owned by the Company and represents the entire beneficial interest in Non-Agency Loans and REO held by the trust. The Company consolidates the trust since it meets the definition of a VIE and the Company was determined to be the primary beneficiary. The Company classifies the underlying Non-Agency Loans and REO owned by the trust in the "Residential mortgage loans, at fair value" and "Other assets" line items on the consolidated balance sheets, respectively, and has eliminated the intercompany trust certificate in consolidation. As of March 31, 2024, the RMI 2015 Trust holds Non-Agency Loans with a fair value of $5.3 million and REO with a carrying value of $3.4 million. As of December 31, 2023, the RMI 2015 Trust held Non-Agency Loans with a fair value of $6.6 million and REO with a carrying value of $3.4 million. Legacy WMC Commercial loans The tables below detail information regarding the Company's Legacy WMC Commercial loan portfolio as of March 31, 2024 and December 31, 2023 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses). March 31, 2024 Premium / (Discount) Amortized Cost Gross Unrealized Gains Fair Value Weighted Average Maturity Date (5) LTV (6) Location Loan (1)(2)(3) Unpaid Principal Balance Coupon Yield Life (Years) (4) Loan A (7) $ 7,259 $ (124) $ 7,135 $ 25 $ 7,160 9.52 % 10.76 % 1.18 5/6/2025 61.63 % IL, FL Loan B (7) 13,206 (226) 12,980 47 13,027 9.52 % 10.76 % 1.18 5/6/2025 75.33 % CA Loan C (7) 24,535 (420) 24,115 86 24,201 9.52 % 10.76 % 1.18 5/6/2025 77.22 % NY Loan D (8) 22,204 (167) 22,037 49 22,086 8.70 % 8.67 % 1.44 8/6/2025 42.50 % CT Total $ 67,204 $ (937) $ 66,267 $ 207 $ 66,474 9.25 % 10.06 % 1.27 63.63 % December 31, 2023 Premium / (Discount) Amortized Cost Gross Unrealized Gains Fair Value Weighted Average Maturity Date (5) LTV (6) Location Loan (1)(2)(3) Unpaid Principal Balance Coupon Yield Life (Years) (4) Loan A (7) $ 7,259 $ (137) $ 7,122 $ 12 $ 7,134 9.55 % 10.16 % 1.44 5/6/2025 61.63 % IL, FL Loan B (7) 13,206 (249) 12,957 22 12,979 9.55 % 10.16 % 1.44 5/6/2025 75.33 % CA Loan C (7) 24,535 (463) 24,072 40 24,112 9.55 % 10.16 % 1.44 5/6/2025 77.22 % NY Loan D (8) 22,204 (147) 22,057 21 22,078 8.72 % 8.17 % 1.69 8/6/2025 42.50 % CT Total $ 67,204 $ (996) $ 66,208 $ 95 $ 66,303 9.27 % 9.50 % 1.52 63.61 % (1) The Company has the contractual right to receive a balloon payment for each loan. (2) Each commercial loan investment is a first mortgage loan. (3) Each commercial loan has a current payment status. (4) Actual maturities of commercial loans may be shorter or longer than stated contractual maturities. Maturities are affected by prepayments of principal. (5) Represents maturity date of the last possible extension option. (6) Represents the LTV at acquisition. (7) Loans A, B, and C have a floating rate coupon equal to 4.20% plus one-month SOFR and are collateralized by hotels. (8) |
Real Estate Securities
Real Estate Securities | 3 Months Ended |
Mar. 31, 2024 | |
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, 2024 and December 31, 2023 ($ in thousands). The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses). Current Face Premium / (Discount) Amortized Cost Gross Unrealized Weighted Average March 31, 2024 Gains Losses Fair Value Coupon (1) Yield Non-Agency RMBS GCAT Non-Agency RMBS (2) GCAT Non-Agency Securities $ 43,794 $ (2,179) $ 41,615 $ — $ (7,406) $ 34,209 4.67 % 6.01 % GCAT Non-Agency RMBS Interest Only (3) N/A N/A 2,455 2,499 — 4,954 0.54 % 37.04 % Total GCAT Non-Agency RMBS 43,794 (2,179) 44,070 2,499 (7,406) 39,163 2.53 % 9.94 % Non-Agency Securities 40,930 (9,856) 31,074 3,166 (107) 34,133 6.21 % 8.41 % Non-Agency RMBS Interest Only (3) N/A N/A 176 4 — 180 0.21 % 26.83 % Total Non-Agency RMBS 84,724 (12,035) 75,320 5,669 (7,513) 73,476 3.02 % 9.27 % Legacy WMC CMBS 103,399 (46,027) 57,372 944 (3,927) 54,389 7.38 % 20.97 % Legacy WMC Other Securities (4) N/A N/A 1,120 100 — 1,220 N/A 19.45 % Agency RMBS 30 Year Fixed Rate 121,708 123 121,831 — (111) 121,720 5.50 % 5.48 % Agency RMBS Interest Only (3) N/A N/A 22,104 99 (1,140) 21,063 4.01 % 10.59 % Total Agency RMBS 121,708 123 143,935 99 (1,251) 142,783 4.77 % 6.24 % Total as of March 31, 2024 $ 309,831 $ (57,939) $ 277,747 $ 6,812 $ (12,691) $ 271,868 4.74 % 10.06 % Current Face Premium / (Discount) Amortized Cost Gross Unrealized Weighted Average December 31, 2023 Gains Losses Fair Value Coupon (1) Yield Non-Agency RMBS GCAT Non-Agency RMBS (2) GCAT Non-Agency Securities $ 43,794 $ (2,281) $ 41,513 $ — $ (8,971) $ 32,542 4.67 % 5.99 % GCAT Non-Agency RMBS Interest Only (3) N/A N/A 2,541 2,450 — 4,991 — % 37.74 % Total GCAT Non-Agency RMBS 43,794 (2,281) 44,054 2,450 (8,971) 37,533 2.20 % 10.21 % Non-Agency Securities 82,390 (33,399) 48,991 2,139 (124) 51,006 4.99 % 9.11 % Non-Agency RMBS Interest Only (3) N/A N/A 1,116 1 (34) 1,083 0.35 % 16.04 % Total Non-Agency RMBS 126,184 (35,680) 94,161 4,590 (9,129) 89,622 2.17 % 9.66 % Legacy WMC CMBS 103,458 (46,925) 56,533 546 (730) 56,349 7.39 % 21.90 % Legacy WMC Other Securities (4) N/A N/A 1,174 — (18) 1,156 N/A 18.16 % Agency RMBS Interest Only (3) N/A N/A 16,714 115 (1,135) 15,694 3.74 % 10.20 % Total as of December 31, 2023 $ 229,642 $ (82,605) $ 168,582 $ 5,251 $ (11,012) $ 162,821 3.54 % 14.01 % (1) Equity residual investments with a zero coupon rate are excluded from this calculation. (2) GCAT Non-Agency RMBS are securities issued under Gold Creek Asset Trust ("GCAT"), which is the TPG Angelo Gordon securitization shelf under which the Company or private funds under the management of TPG Angelo Gordon securitize loans. Refer to the "Unconsolidated variable interest entities" section below for additional details on these securities. (3) Interest Only have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. As of March 31, 2024, the notional values of the GCAT Non-Agency RMBS Interest Only, Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $93.9 million, $30.6 million and $114.8 million, respectively. As of December 31, 2023, the notional values of the GCAT Non-Agency RMBS Interest Only, Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $98.3 million, $128.8 million and $92.2 million, respectively. (4) Legacy WMC Other securities include residual interests in asset-backed securities which have no principal balance. The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of March 31, 2024 and December 31, 2023 ($ in thousands). March 31, 2024 Non-Agency RMBS Legacy WMC CMBS Legacy WMC Other Securities Agency RMBS Weighted Average Life (1) Fair Value Amortized Fair Value Amortized Cost Fair Value Amortized Cost Fair Value Amortized Less than or equal to one year $ — $ — $ 18,348 $ 20,595 $ — $ — $ — $ — Greater than one year and less than or equal to five years 3,546 3,502 36,041 36,777 — — 609 632 Greater than five years and less than or equal to ten years 38,425 39,112 — — 1,220 1,120 142,174 143,303 Greater than ten years 31,505 32,706 — — — — — — Total as of March 31, 2024 $ 73,476 $ 75,320 $ 54,389 $ 57,372 $ 1,220 $ 1,120 $ 142,783 $ 143,935 December 31, 2023 Non-Agency RMBS Legacy WMC CMBS Legacy WMC Other Securities Agency RMBS Weighted Average Life (1) Fair Value Amortized Fair Value Amortized Cost Fair Value Amortized Cost Fair Value Amortized Less than or equal to one year $ — $ — $ 15,015 $ 15,010 $ — $ — $ — $ — Greater than one year and less than or equal to five years 4,631 4,669 41,334 41,523 — — 697 678 Greater than five years and less than or equal to ten years 38,792 40,539 — — 1,156 1,174 14,997 16,036 Greater than ten years 46,199 48,953 — — — — — — Total as of December 31, 2023 $ 89,622 $ 94,161 $ 56,349 $ 56,533 $ 1,156 $ 1,174 $ 15,694 $ 16,714 (1) This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The Company sold real estate securities during the three months ended March 31, 2024, as detailed below ($ in thousands). The Company did not sell any real estate securities during the three months ended March 31, 2023. Number of Securities Proceeds Realized Gains Realized Losses Three Months Ended March 31, 2024 7 $ 19,318 $ 1,160 $ (409) Unconsolidated variable interest entities The Company's Non-Agency RMBS includes certain securities retained from a rated Non-QM Loan securitization the Company participated in alongside a private fund under the management of TPG Angelo Gordon and issued under the GCAT shelf. 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. The Company has a 40.9% interest in the retained subordinate tranches which represents its continuing involvement in the securitization trust. During 2023, the Company purchased non-risk retention bonds from Mortgage Acquisition Holding I LLC ("MATH"), an entity the Company invests in alongside private funds under the management of TPG Angelo Gordon. Through its 44.6% investment in MATH, the Company participated in rated Non-QM Loan securitizations issued under the GCAT shelf. As of March 31, 2024 and December 31, 2023, the Company's Non-Agency RMBS includes the non-risk retention bonds from these securitizations acquired from MATH. Upon evaluating its investment in these VIEs, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trusts sponsored by MATH. The Company has a 57.7% interest in the non-risk retention bonds recorded on its consolidated balance sheets and a 47.0% interest in the risk retention bonds through its investment in MATH which together represent its continuing involvement in the securitization trusts. See Note 10 for additional details on the MATH transaction. The following table summarizes the Company’s investment in unconsolidated VIEs as of March 31, 2024 and December 31, 2023 (in thousands). March 31, 2024 December 31, 2023 Current Face Fair Value Current Face Fair Value Retained interest in unconsolidated VIEs GCAT Non-Agency Securities $ 43,794 $ 34,209 $ 43,794 $ 32,542 GCAT Non-Agency RMBS Interest Only (1) N/A 4,954 N/A 4,991 Total retained interest in unconsolidated VIEs (2) (3) $ 43,794 $ 39,163 $ 43,794 $ 37,533 (1) Interest Only have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. As of March 31, 2024 and December 31, 2023, the notional values of the GCAT Non-Agency RMBS Interest Only line item were $93.9 million and $98.3 million, respectively. (2) Maximum loss exposure from the Company’s involvement with unconsolidated VIEs pertains to the fair value of the securities retained from these VIEs. The Company has no obligation to provide any other explicit or implicit support to the securitization trust. (3) As of March 31, 2024 and December 31, 2023, the Company held securities exposed to the first loss of the securitization with a fair value of $4.1 million and $4.1 million, respectively. The following table summarizes information regarding the residential mortgage loans transferred to the Company’s unconsolidated VIEs as of March 31, 2024 and December 31, 2023 ($ in thousands). Assets transferred to unconsolidated VIEs: March 31, 2024 December 31, 2023 Total unpaid principal balance of loans outstanding (1) $ 436,585 $ 450,366 Weighted average coupon on loans outstanding 5.68 % 5.67 % Percent of unpaid principal balance greater than 90 days delinquent (2) 1.57 % 1.94 % (1) The Company contributed approximately 40.9% of the unpaid principal balance into one of the securitization trusts and, through the Company's investment in MATH, contributed approximately 44.6% of the unpaid principal balance into the remaining four securitization trusts. (2) As of March 31, 2024, 0.88% of loans were 90+ days delinquent and 0.69% of loans were in process of foreclosure. As of December 31, 2023, 0.70% of loans were 90+ days delinquent and 1.24% loans were in process of foreclosure. |
Fair value measurements
Fair value measurements | 3 Months Ended |
Mar. 31, 2024 | |
Fair Value Disclosures [Abstract] | |
Fair value measurements | Fair value measurements The fair value of the Company's financial instruments is determined in accordance with the provisions of 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. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices and may include quoted prices for similar assets and liabilities in active markets. Level 3 inputs are 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 and 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. In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2024 and December 31, 2023 (in thousands). Fair Value at March 31, 2024 Level 1 Level 2 Level 3 Total Assets: Securitized residential mortgage loans $ — $ — $ 5,645,004 $ 5,645,004 Residential mortgage loans — 795 203,556 204,351 Legacy WMC Commercial Loans — — 66,474 66,474 Non-Agency RMBS — 34,313 39,163 73,476 Legacy WMC CMBS — 51,121 3,268 54,389 Legacy WMC Other Securities — — 1,220 1,220 Agency RMBS — 142,783 — 142,783 Derivative assets (1) — 10,351 472 10,823 Cash equivalents (2) 96,628 — — 96,628 AG Arc (3) — — 33,190 33,190 Total Assets Measured at Fair Value $ 96,628 $ 239,363 $ 5,992,347 $ 6,328,338 Liabilities: Securitized debt $ — $ — $ (4,980,942) $ (4,980,942) Derivative liabilities (1) — (1,147) (159) (1,306) Total Liabilities Measured at Fair Value $ — $ (1,147) $ (4,981,101) $ (4,982,248) Fair value at December 31, 2023 Level 1 Level 2 Level 3 Total Assets: Securitized residential mortgage loans $ — $ — $ 5,358,281 $ 5,358,281 Residential mortgage loans — 777 316,854 317,631 Legacy WMC Commercial loans — — 66,303 66,303 Non-Agency RMBS — 52,089 37,533 89,622 Legacy WMC CMBS — 50,553 5,796 56,349 Legacy WMC Other Securities — — 1,156 1,156 Agency RMBS — 15,694 — 15,694 Derivative assets (1) — 9,433 1,172 10,605 Cash equivalents (2) 95,749 — — 95,749 AG Arc (3) — — 33,574 33,574 Total Assets Measured at Fair Value $ 95,749 $ 128,546 $ 5,820,669 $ 6,044,964 Liabilities: Securitized debt $ — $ — $ (4,711,623) $ (4,711,623) Derivative liabilities (1) — (7,783) (7) (7,790) Total Liabilities Measured at Fair Value $ — $ (7,783) $ (4,711,630) $ (4,719,413) (1) As of March 31, 2024, the Company applied a reduction in fair value of $10.1 million and $1.0 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. As of December 31, 2023, the Company applied a reduction in fair value of $9.3 million and $7.7 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively. Refer to Note 7 for more information on the Company's derivatives. (2) 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 and are carried at cost, which approximates fair value. (3) 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, securitized debt relating to the Non-Agency VIEs and RPL/NPL VIEs, commercial loans, certain securities, and forward purchase commitments 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, securitized debt, commercial loans, certain securities, and forward purchase commitments include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, loan-to-value ratios, recovery rates, reperformance rates, timeline to liquidation, and, for forward purchase commitments, pull-through rates. 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, securitized debt, commercial loans, certain securities, and forward purchase commitments 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 may be based upon prices obtained from third-party pricing services or broker quotations. The valuation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices, 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. 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, 2024 and 2023. The Company did not have any transfers between the Levels 2 and 3 of the fair value hierarchy during the three months ended March 31, 2024 and 2023. 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 (in thousands). Three Months Ended March 31, 2024 Residential Legacy WMC Commercial Loans Non-Agency Legacy WMC CMBS Legacy WMC Other Securities Derivative Assets (2) AG Arc Securitized Derivative Liabilities (2) Beginning balance $ 5,675,135 $ 66,303 $ 37,533 $ 5,796 $ 1,156 $ 1,172 $ 33,574 $ (4,711,623) $ (7) Purchases 287,617 — — — — — — — — Issuances of Securitized Debt — — — — — — — (363,899) — Capital distributions — — — — — — (312) — — Proceeds from sales or settlements — — — — — (1,181) — — 49 Principal repayments (140,625) — — — — — — 124,587 — Included in net income: Net premium and discount amortization (3) 4,197 60 16 (63) (54) — — (7,578) — Net realized gain/(loss) 2 — — — — 1,181 — — (49) Net unrealized gain/(loss) 23,056 111 1,614 (2,465) 118 (700) — (22,429) (152) Equity in earnings/(loss) from affiliates — — — — — — (72) — — Other (4) (822) — — — — — — — — Ending Balance $ 5,848,560 $ 66,474 $ 39,163 $ 3,268 $ 1,220 $ 472 $ 33,190 $ (4,980,942) $ (159) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2024 Net premium and discount amortization (3) 4,197 60 16 (63) (54) — — (7,578) — Net unrealized gain/(loss) 23,056 111 1,614 (2,465) 118 472 — (22,429) (159) Equity in earnings/(loss) from affiliates — — — — — — (72) — — Three Months Ended March 31, 2023 Residential Non-Agency Derivative assets (2) AG Arc Securitized Derivative liabilities (2) Beginning balance $ 4,127,843 $ 14,917 $ 98 $ 39,680 $ (3,262,352) $ (9) Purchases 22,755 — — — — — Issuances of Securitized Debt — — — — (234,754) — Proceeds from sales or settlements (65,383) — — — — — Principal repayments (73,956) — — — 66,957 — Included in net income: Net premium and discount amortization (3) 1,144 (76) — — (2,738) — Net realized gain/(loss) (9,758) — — — — — Net unrealized gain/(loss) 97,211 198 2,377 — (72,642) (66) Equity in earnings/(loss) from affiliates — — — (2,140) — — Other (4) (1,083) — — — — — Ending Balance $ 4,098,773 $ 15,039 $ 2,475 $ 37,540 $ (3,505,529) $ (75) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2023 Net premium and discount amortization (3) 1,144 (76) — — (2,738) — Net unrealized gain/(loss) 87,029 198 2,377 — (72,642) (66) Equity in earnings/(loss) from affiliates — — — (2,140) — — (1) Includes Securitized residential mortgage loans, Securitized residential mortgage loans held for sale, and Residential mortgage loans held for sale. (2) Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" line items, respectively, on the consolidated balance sheets. (3) Included in the "Interest income" and "Interest expense" line items on the consolidated statement of operations for assets and liabilities, respectively. (4) Includes transfers of residential mortgage loans to real estate owned as well as activity related to advances. The following table presents 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 as of March 31, 2024 and December 31, 2023 ($ in thousands). March 31, 2024 December 31, 2023 Valuation Technique Unobservable Input Fair Value Range Fair Value Range Securitized Residential Mortgage Loans Yield 5.68% - 9.56% (6.29%) 5.67% - 9.47% (6.23%) Discounted Cash Flow Projected Collateral Prepayments $ 5,645,004 4.05% - 14.40% (5.88%) $ 5,358,281 3.02% - 10.47% (4.72%) Projected Collateral Losses 0.02% - 1.88% (0.16%) 0.02% - 1.88% (0.16%) Projected Collateral Severities -14.97% - 26.00% (18.27%) -13.44% - 26.00% (17.38%) Residential Mortgage Loans Yield 6.32% - 13.75% (6.96%) 6.13% - 18.75% (6.64%) Discounted Cash Flow Projected Collateral Prepayments $ 203,556 2.84% - 37.25% (24.52%) $ 316,854 3.89% - 34.35% (24.88%) Projected Collateral Losses 0.00% - 21.78% (0.73%) 0.00% - 12.72% (0.15%) Projected Collateral Severities -25.00% - 44.02% (9.72%) -38.75% - 44.01% (9.62%) Legacy WMC Commercial Loans Yield 8.62% - 10.70% (10.01%) 8.16% - 10.13% (9.47%) Discounted Cash Flow Credit Spread $ 66,474 377 bps - 550 bps (493 bps) $ 66,303 377 bps - 556 bps (496 bps) Recovery Percentage (2) 100.00% - 100.00% (100.00%) 100.00% - 100.00% (100.00%) Loan-to-Value 42.50% - 77.22% (63.63%) 42.50% - 77.22% (63.61%) Non-Agency RMBS Yield 5.97% - 14.00% (9.18%) 6.23% - 14.00% (9.70%) Discounted Cash Flow Projected Collateral Prepayments $ 39,163 4.68% - 6.57% (5.49%) $ 37,533 4.55% - 5.26% (4.93%) Projected Collateral Losses 0.18% - 0.41% (0.29%) 0.17% - 0.28% (0.25%) Projected Collateral Severities 10.00% - 10.00% (10.00%) 10.00% - 10.00% (10.00%) Legacy WMC CMBS Consensus Pricing Offered Quotes $ 3,268 31.13 - 31.13 (31.13) $ 5,796 55.20 - 55.20 (55.20) Legacy WMC Other Securities Consensus Pricing Offered Quotes $ 1,220 7,199.26 - 7,199.26 (7,199.26) $ 1,156 6,821.32 - 6,821.32 (6,821.32) Derivative Assets (3) Yield 6.32% - 9.39% (7.23%) 6.29% - 8.32% (6.81%) Discounted Cash Flow Projected Collateral Prepayments $ 472 10.45% - 31.62% (22.42%) $ 1,172 18.20% - 33.78% (27.00%) Projected Collateral Losses 0.01% - 2.70% (0.75%) 0.00% - 0.82% (0.14%) Projected Collateral Severities 10.00% - 10.00% (10.00%) 10.00% - 10.00% (10.00%) Pull Through Percentages 60.00% - 100.00% (85.04%) 60.00% - 100.00% (92.21%) AG Arc Comparable Multiple Book Value Multiple $ 33,190 0.89x - 0.89x (0.89x) $ 33,574 0.89x - 0.89x (0.89x) Securitized Debt Yield 5.11% - 15.00% (5.80%) 4.92% - 15.00% (5.72%) Discounted Cash Flow Projected Collateral Prepayments $ (4,980,942) 4.05% - 14.40% (5.82%) $ (4,711,623) 3.02% - 10.47% (4.66%) Projected Collateral Losses 0.02% - 0.50% (0.14%) 0.02% - 0.40% (0.15%) Projected Collateral Severities 10.00% - 26.00% (18.63%) 3.71% - 26.00% (17.76%) Derivative Liabilities (3) Yield 6.41% - 7.17% (6.69%) 6.47% - 7.00% (6.51%) Discounted Cash Flow Projected Collateral Prepayments $ (159) 19.59% - 31.75% (27.59%) $ (7) 27.36% - 34.44% (34.30%) Projected Collateral Losses 0.01% - 0.31% (0.07%) 0.00% - 0.02% (0.00%) Projected Collateral Severities 10.00% - 10.00% (10.00%) 10.00% - 10.00% (10.00%) Pull Through Percentages 60.00% - 100.00% (76.84%) 60.00% - 100.00% (99.22%) (1) Amounts are weighted based on fair value. (2) Represents the proportion of the principal expected to be collected relative to the loan balances as of March 31, 2024 and December 31, 2023. (3) Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" line items, respectively, on the consolidated balance sheets. Other Fair Value Disclosures Short-term financing arrangements The fair value of certain of the Company's financing arrangements approximates the carrying value due to the floating interest rates that are based on an index plus a spread, which is typically consistent with those demanded in the market, and the short-term maturities of generally one year or less. These financing agreements are classified as Level 2. Legacy WMC Convertible Notes, Senior Unsecured Notes, and fixed-rate long-term financing arrangements The following table presents the carrying value and estimated fair value of the Company's Legacy WMC Convertible Notes, Senior Unsecured Notes, and fixed-rate financing arrangements with contractual maturities of greater than one year as of March 31, 2024 and December 31, 2023 (in thousands). The fair value of the Company's Legacy WMC Convertibles Notes and Senior Unsecured Notes is based upon prices obtained from third-party pricing services or broker quotations and are classified as Level 2. The fair value of the Company's fixed-rate long-term financing arrangements is based on a discounted cash flow valuation approach using valuation analyses of the underlying collateral sourced from third-party pricing service providers and is classified as Level 3. March 31, 2024 December 31, 2023 Carrying Value (1) Estimated Fair Value Carrying Value (1) Estimated Fair Value Legacy WMC Convertible Notes $ 78,530 $ 79,115 $ 85,266 $ 84,525 Senior Unsecured Notes 32,810 35,093 — — Financing arrangements 59,676 59,941 62,972 63,175 (1) The Legacy WMC Convertible Notes, Senior Unsecured Notes, and fixed-rate long-term financing arrangements are recorded at amortized cost in the Company's consolidated balance sheets. |
Financing
Financing | 3 Months Ended |
Mar. 31, 2024 | |
Disclosure of Repurchase Agreements [Abstract] | |
Financing | Financing The following table presents a summary of the Company's financing as of March 31, 2024 and December 31, 2023 ($ in thousands). March 31, 2024 December 31, 2023 Financing Weighted Average Collateral Fair Value (1)(2) Financing Current Face Carrying Value Stated Maturity Funding Cost Life (Years) Carrying Value Financing Arrangements by Asset Type Securitized Residential Mortgage Loans (3) Non-Agency Loans (4) $ 312,953 $ 315,007 Apr 2024 - Jul 2025 7.34 % 0.31 $ 597,357 $ 301,205 Re- and Non-Performing Loans 43,628 43,628 Apr 2024 7.27 % 0.03 65,970 44,928 Residential Mortgage Loans (5) Non-Agency Loans 77,191 77,191 Jun 2024 - Jan 2025 7.29 % 0.49 93,797 77,345 Agency-Eligible Loans 94,819 94,819 Dec 2024 - Mar 2025 7.18 % 0.91 102,955 200,617 Legacy WMC Commercial Loans (6) 47,222 47,222 Mar 2025 8.33 % 0.98 66,474 48,032 Non-Agency RMBS 36,415 36,415 Apr 2024 - May 2024 6.76 % 0.08 70,054 51,251 Legacy WMC CMBS 21,348 21,348 Apr 2024 7.28 % 0.01 51,121 31,620 Agency RMBS 98,371 98,371 Apr 2024 5.48 % 0.03 102,774 12,594 Total Financing Arrangements $ 731,947 $ 734,001 7.09 % 0.38 $ 1,150,502 $ 767,592 Securitized debt, at fair value (7) Non-Agency Loans (8) (9) $ 5,311,289 $ 4,871,205 N/A 5.07 % 7.10 N/A $ 4,597,490 Re- and Non-Performing Loans (10) 121,654 109,737 N/A 3.28 % 3.86 N/A 114,133 Total Securitized Debt $ 5,432,943 $ 4,980,942 5.03 % 7.03 N/A $ 4,711,623 Legacy WMC Convertible Notes $ 79,120 $ 78,530 Sep 2024 8.42 % 0.47 N/A $ 85,266 Senior Unsecured Notes $ 34,500 $ 32,810 Feb 2029 10.80 % 4.95 N/A $ — Total Financing $ 6,278,510 $ 5,826,283 5.37 % 6.18 $ 1,150,502 $ 5,564,481 (1) The Company also had $2.1 million and $1.7 million of cash pledged under repurchase agreements as of March 31, 2024 and December 31, 2023, 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 Non-Agency VIEs and RPL/NPL VIEs. (4) As of March 31, 2024, the weighted average stated rate on the financing arrangements on the Company's Securitized non-agency loans was 7.91%. (5) The Company's Residential mortgage loan financing arrangements include a maximum uncommitted borrowing capacity of $1.8 billion on facilities used to finance Non-Agency and Agency-Eligible Loans. (6) As of March 31, 2024, the weighted average stated rate on the financing arrangements on the Company's Legacy WMC Commercial Loans was 8.08%. (7) 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 Non-Agency VIEs and RPL/NPL VIEs. (8) As of March 31, 2024, the amortized cost of Securitized debt in the Company's Non-Agency VIEs was $5.2 billion. (9) The current face on the Company's Securitized debt in the Company's Non-Agency VIEs excludes Interest Only classes which have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. As of March 31, 2024, the notional value of interest only classes of Securitized debt was $131.3 million. (10) As of March 31, 2024, the amortized cost of Securitized debt in the Company's RPL/NPL VIEs was $119.8 million. Legacy WMC Convertible Notes In connection with the WMC acquisition, the Merger Sub assumed, and the Company guaranteed, $86.25 million aggregate principal of Legacy WMC Convertible Notes. The Legacy WMC Convertible Notes have an interest rate of 6.75% and interest is paid semiannually. The Legacy WMC Convertible Notes are convertible into, at the Company's election, cash, shares of the Company's common stock or a combination of both, subject to the satisfaction of certain conditions and during specified periods. The conversion rate is subject to further adjustment upon the occurrence of certain specified events and the holders may require the Company to repurchase all or any portion of their notes for cash equal to 100% of the principal amount of the Legacy WMC Convertible Notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the supplemental indenture for the Legacy WMC Convertible Notes. Immediately prior to the Effective Time of the WMC acquisition, holders of the Legacy WMC Convertible Notes had the right to convert each $1,000 principal amount into 33.7952 shares of WMC common stock. As a result of the WMC acquisition, and pursuant to the terms of the Legacy WMC Convertible Notes, the conversion rate was amended whereby each holder now has to the right to convert each $1,000 principal amount of Legacy WMC Convertible Notes into 50.6252 shares of common stock, representing a total conversion price of $19.75 per share. The total conversion price consists of common stock of $19.13 per share and cash of $0.62 per share. The Legacy WMC Convertible Notes can be redeemed at the Company's option on or after June 15, 2024, and mature on September 15, 2024, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms. For the three months ended March 31, 2024, total interest expense on the Legacy WMC Convertible Notes was $1.7 million, which included coupon interest expense of $1.4 million and amortization expense of $0.3 million. During the three months ended March 31, 2024, the Company repurchased $7.1 million of principal amount of its outstanding Legacy WMC Convertible Notes. Senior Unsecured Notes On January 26, 2024, the Company issued $34.5 million principal amount of its 9.500% Senior Notes due 2029 in a public offering for net proceeds of approximately $32.8 million. The Senior Unsecured Notes were issued at 100% of the principal amount, bear interest at a rate equal to 9.500% per year, payable in cash quarterly in arrears on February 15, May 15, August 15 and November 15 of each year, beginning on May 15, 2024, and mature February 15, 2029, unless redeemed earlier. The Company may redeem the Senior Unsecured Notes in whole or in part at any time or from time to time at the Company’s option on or after February 15, 2026, upon not less than 30 days written notice to holders prior to the redemption date, at a redemption price equal to 100% of the outstanding principal amount of the Senior Unsecured Notes to be redeemed plus accrued and unpaid interest to, but excluding, the redemption date. For the three months ended March 31, 2024, total interest expense on the Senior Unsecured Notes was $0.6 million, which includes coupon interest expense of $0.6 million and amortization expense of $47 thousand. Contractual maturities The following table allocates the current face of the Company's borrowings under financing arrangements, the Legacy WMC Convertible Notes, and Senior Unsecured Notes as of March 31, 2024 by contractual maturity (in thousands). Securitized debt is excluded from the below table as it does not have a contractual maturity. Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Over 12 Months Total Financing Arrangements by Asset Type Securitized Residential Mortgage Loans Non-Agency Loans $ 213,496 $ 41,836 $ — $ 57,621 $ 312,953 Re- and Non-Performing Loans 43,628 — — — 43,628 Residential Mortgage Loans Non-Agency Loans — 2,464 74,727 — 77,191 Agency-Eligible Loans — — 94,819 — 94,819 Legacy WMC Commercial Loans — — 47,222 — 47,222 Non-Agency RMBS 20,060 16,355 — — 36,415 Legacy WMC CMBS 21,348 — — — 21,348 Agency RMBS 98,371 — — — 98,371 Total Financing Arrangements $ 396,903 $ 60,655 $ 216,768 $ 57,621 $ 731,947 Legacy WMC Convertible Notes $ — $ — $ 79,120 $ — $ 79,120 Senior Unsecured Notes — — — 34,500 34,500 Counterparties The Company had outstanding financing arrangements with six and seven counterparties as of March 31, 2024 and December 31, 2023, respectively. The following table presents information as of March 31, 2024 and December 31, 2023 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, 2024 December 31, 2023 Counterparty Stockholders' Equity Weighted Average Percentage of Stockholders' Equity Weighted Average Percentage of BofA Securities, Inc. $ 130,896 118 24.3 % $ 131,128 236 24.8 % Barclays Capital Inc. 81,783 83 15.2 % 81,047 85 15.3 % Goldman Sachs Bank USA 80,089 9 14.8 % 73,893 9 14.0 % JP Morgan Securities, LLC 43,078 62 8.0 % 46,642 134 8.8 % Various (1) 72,040 486 13.4 % 69,637 577 13.2 % (1) Certain retained interests in securitizations are held in WMC RR 2023-1 Trust, a wholly owned subsidiary of the Company. WMC RR 2023-1 Trust issued certificates which were sold to various third-party investors. Financial Covenants The Company’s financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity and liquidity, leverage ratios, and performance triggers. In addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. To the extent that the Company fails to comply with the covenants contained in these financing arrangements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the associated agreement. Financings pursuant to financing arrangements are generally recourse to the Company. As of March 31, 2024, the Company is in compliance with all of its financial covenants. |
Other assets and liabilities
Other assets and liabilities | 3 Months Ended |
Mar. 31, 2024 | |
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 sheets as of March 31, 2024 and December 31, 2023 (in thousands). March 31, 2024 December 31, 2023 Other assets Interest receivable $ 31,436 $ 30,315 Real estate owned 5,428 5,644 Derivative assets, at fair value 739 1,321 Other assets 2,980 3,187 Due from broker 912 249 Total Other assets $ 41,495 $ 40,716 Other liabilities Due to affiliates (1) $ 3,724 $ 3,252 Interest payable 22,398 23,715 Derivative liabilities, at fair value 314 70 Accrued expenses 3,011 4,874 Due to broker 72 196 Total Other liabilities $ 29,519 $ 32,107 (1) Refer to Note 10 for more information. Derivatives The following table presents information related to the Company's derivatives and other instruments and their balance sheet location as of March 31, 2024 and December 31, 2023 (in thousands). All notional amounts are denominated in USD. March 31, 2024 December 31, 2023 Derivatives and Other Instruments (1) Balance Sheet Notional Fair Value Notional Fair Value Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other assets $ 377,250 $ 267 $ 165,000 $ 149 Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other liabilities 77,000 — 338,000 — Short TBAs Other liabilities 32,000 (155) 9,000 (63) Forward Purchase Commitments Other assets 79,152 472 70,145 1,172 Forward Purchase Commitments Other liabilities 28,032 (159) 2,566 (7) (1) As of March 31, 2024 and December 31, 2023, no derivatives held by the Company were designated as hedges for accounting purposes. (2) As of March 31, 2024, the Company applied a reduction in fair value of $10.1 million and $1.0 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. As of December 31, 2023, the Company applied a reduction in fair value of $9.3 million and $7.7 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. (3) As of March 31, 2024, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.74%, a weighted average receive-variable rate of 5.34%, and a weighted average years to maturity of 4.95 years. As of December 31, 2023, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.65%, a weighted average receive-variable rate of 5.38%, and a weighted average years to maturity of 4.01 years. Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of March 31, 2024 and December 31, 2023, 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 must post collateral. As of March 31, 2024, the Company's restricted cash balance included $14.2 million of collateral related to certain derivatives, of which $5.1 million represents cash collateral posted by the Company and $9.1 million represents amounts related to variation margin. As of December 31, 2023, the Company's restricted cash balance included $12.3 million of collateral related to certain derivatives, of which $10.7 million represents cash collateral posted by the Company and $1.6 million represents amounts related to variation margin. The following table summarizes total income related to derivatives and other instruments for the three months ended March 31, 2024 and 2023 (in thousands). Three Months Ended March 31, 2024 March 31, 2023 Included within Net interest component of interest rate swaps Interest Rate Swaps $ 1,900 $ 1,020 Included within Net unrealized gain/(loss) Interest Rate Swaps 10,313 (21,386) Long TBAs — 5 Short TBAs (92) (899) Forward Purchase Commitments (852) 2,311 9,369 (19,969) Included within Net realized gain/(loss) Interest Rate Swaps (3,141) 9,823 Short TBAs 10 179 Forward Purchase Commitments 1,132 — (1,999) 10,002 Total income/(loss) $ 9,270 $ (8,947) Derivative Activity The following tables present information about the Company’s derivatives for the three months ended March 31, 2024 and 2023 (in thousands). Beginning Notional Buys or Covers Sales or Shorts(1) Ending Notional Derivative Derivative Liability Three Months Ended March 31, 2024 Short TBAs (2) $ (9,000) $ 34,000 $ (57,000) $ (32,000) $ — $ (155) Interest Rate Swaps 503,000 219,750 (268,500) 454,250 267 — Three Months Ended March 31, 2023 Long TBAs $ — $ 10,000 $ (10,000) $ — $ 8 $ (3) Short TBAs (2) (40,000) 100,000 (60,000) — 2 (251) Interest Rate Swaps 335,000 342,000 (209,000) 468,000 — (280) (1) The sales or shorts includes $60.0 million of swaps that matured during the three months ended March 31, 2024. (2) |
Earnings per share
Earnings per share | 3 Months Ended |
Mar. 31, 2024 | |
Earnings Per Share [Abstract] | |
Earnings per share | 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, 2024 and 2023 (in thousands, except per share data). Three Months Ended March 31, 2024 March 31, 2023 Numerator: Net Income/(Loss) $ 20,890 $ 12,540 Dividends on preferred stock (4,586) (4,586) Net Income/(Loss) Available to Common Stockholders $ 16,304 $ 7,954 Denominator: Basic weighted average common shares outstanding 29,453 21,066 Diluted weighted average common shares outstanding 29,479 21,066 Earnings/(Loss) Per Share Basic $ 0.55 $ 0.38 Diluted $ 0.55 $ 0.38 For the three months ended March 31, 2024, the Company excluded the potential effects of the Legacy WMC Convertible Notes from the computation of diluted earnings per share because the market value per share of the Company's common stock was below the conversion price of the Legacy WMC Convertible Notes. Dividends The following tables detail the Company's common stock dividends declared during the three months ended March 31, 2024 and 2023. Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Declaration Date Record Date Payment Date Cash Dividend Per Share Declaration Date Record Date Payment Date Cash Dividend Per Share 3/15/2024 3/29/2024 4/30/2024 $ 0.18 3/15/2023 3/31/2023 4/28/2023 $ 0.18 The following tables detail the Company's preferred stock dividends declared and paid during the three months ended March 31, 2024 and 2023. 2024 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25% Series A 8.00% Series B 8.000% Series C 2/16/2024 2/29/2024 3/18/2024 $ 0.51563 $ 0.50 $ 0.50 2023 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25% Series A 8.00% Series B 8.000% Series C 2/16/2023 2/28/2023 3/17/2023 $ 0.51563 $ 0.50 $ 0.50 |
Income taxes
Income taxes | 3 Months Ended |
Mar. 31, 2024 | |
Income Tax Disclosure [Abstract] | |
Income taxes | Income taxes The Company conducts its operations to qualify and be taxed as a REIT. 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. The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise, or business taxes. On December 6, 2023, the Company acquired WMC, an externally managed mortgage REIT. Refer to "WMC Acquisition" in Note 1 for additional information related to the Merger. The Merger is intended to qualify as a reorganization within the meaning of Section 368(a) of the Internal Revenue Code. Excise Tax Excise tax represents a non-deductible 4% 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, 2024 and 2023, the Company did not record any excise tax. REIT Net Operating Loss and Net Capital Loss Carryforwards As of March 31, 2024 and December 31, 2023, the Company had federal net operating loss ("NOL") carryforwards of $2.1 million and $2.1 million, respectively, that can be used to offset future taxable ordinary income and reduce its REIT distribution requirements. These NOL carryforwards (which exclude NOLs acquired from WMC) do not have an expiration date and can be carried forward indefinitely. In connection with the Merger, the Company obtained NOL carryforwards of $321.6 million, of which $223.8 million do not have an expiration date and can be carried forward indefinitely. However, the Company’s use of these obtained NOLs is limited under Section 382 of the Internal Revenue Code. As of March 31, 2024 and December 31, 2023, the Company had estimated net capital loss ("NCL") carryforwards of $300.0 million and $293.7 million, respectively, the majority of which were generated during the year ended December 31, 2020 and will expire in 2025. These NCL carryforwards (which exclude the NCLs acquired from WMC) can be utilized to offset future net gains from the sale of capital assets. In connection with the Merger, the Company obtained NCL carryforwards of $143.1 million, of which a majority expire between 2027 and 2028. However, the Company’s use of these obtained NCLs is limited under Sections 382 and 383 of the Internal Revenue Code. Taxable REIT Subsidiaries The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs"). 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. Currently, the Company has wholly owned domestic TRSs that are taxable as corporations and subject to U.S. federal, state, and local income tax on net income at the applicable corporate rates. The federal statutory rate for the three months ended March 31, 2024 and 2023 was 21%. The Company’s effective tax rate differs from its combined U.S. federal, state, and local corporate statutory tax rate primarily due to income earned at the REIT, which is not subject to tax, due to the deduction for qualifying distributions made by the Company, and any change in the valuation allowance as disclosed in further detail below. The tax expense attributable to its TRSs is recorded in the "Non-investment related expenses" line item on the consolidated statement of operations. The below table details the tax expense attributable to its TRSs for the three months ended March 31, 2024 and 2023 (in thousands). Three Months Ended March 31, 2024 March 31, 2023 Income tax expense $ 25 $ 225 Deferred income taxes reflect the net tax effects of temporary differences between the carrying amount of assets and liabilities for financial reporting and tax reporting purposes at the TRS level. As of March 31, 2024 and December 31, 2023, the Company recorded a deferred tax asset of approximately $38.9 million and $37.3 million, respectively, relating to net operating loss carryforwards, capital loss carryforwards, and basis differences of certain investments held within TRSs. In assessing the realizability of deferred tax assets, the Company considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during periods in which temporary differences become deductible. The Company concluded it is more likely than not the deferred tax asset will not be realized and established a full valuation allowance as of March 31, 2024 and December 31, 2023. Uncertain Income Tax Positions 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, 2024 and December 31, 2023. The Company’s federal income tax returns for the last three tax years are open to examination by the Internal Revenue Service. There are no ongoing U.S. federal, state or local tax examinations related to the Company. 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. The Company did not incur any interest or penalties during the three months ended March 31, 2024 and 2023. |
Related party transactions
Related party transactions | 3 Months Ended |
Mar. 31, 2024 | |
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 TPG Angelo Gordon. The Company does not have any employees. The Manager has delegated to TPG 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. On November 1, 2023, TPG completed the previously announced acquisition of TPG Angelo Gordon (the "TPG Transaction"), pursuant to which TPG Angelo Gordon, including the Manager, became indirect subsidiaries of TPG. Pursuant to the management agreement with the Manager, the closing of the TPG Transaction resulted in an assignment of the management agreement. The independent directors of the Company's Board of Directors unanimously consented to such assignment on July 31, 2023 in advance of the TPG Transaction closing. There were no changes to the management agreement in connection with the TPG Transaction and the assignment of the management agreement became effective upon the closing of the TPG Transaction. In connection with the Merger with WMC, which was completed on December 6, 2023, and contemporaneously with the execution of the Merger Agreement, on August 8, 2023, the Company and the Manager entered into the MITT Management Agreement Amendment, pursuant to which (i) the Manager’s base management fee will be reduced by $0.6 million for the first four quarters following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurs (i.e., resulting in an aggregate $2.4 million waiver of base management fees), and (ii) the Manager will waive its right to seek reimbursement from the Company for any expenses otherwise reimbursable by the Company under the management agreement in an amount equal to approximately $1.3 million, which is the excess of $7.0 million over the aggregate Per Share Additional Manager Consideration paid by the Manager to the holders of WMC Common Stock under the Merger Agreement. The MITT Management Agreement Amendment became effective automatically upon the closing of the Merger. 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 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. The below table details the management fees incurred during the three months ended March 31, 2024 and 2023 (in thousands). Three Months Ended Consolidated statements of operations line item: March 31, 2024 March 31, 2023 Management fee to affiliate (1) $ 1,741 $ 2,075 (1) For the three months ended March 31, 2024, the Manager agreed to waive its right to receive management fees of $0.6 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger. As of March 31, 2024 and December 31, 2023, the Company recorded management fees payable of $1.7 million and $1.5 million, respectively. The management fee payable is included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets. Incentive fee The Manager is entitled to an annual incentive fee with respect to each applicable fiscal year, which will be equal to 15% of the amount by which the Company's cumulative adjusted net income from November 22, 2021 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) $341.5 million and (ii) 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. During the three months ended March 31, 2024 and 2023, the Company did not incur any incentive fee expense. 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, 2024 and December 31, 2023, 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. The below table details the expense reimbursement incurred during the three months ended March 31, 2024 and 2023 (in thousands). Three Months Ended Consolidated statements of operations line item: March 31, 2024 March 31, 2023 Non-investment related expenses (1) $ 1,664 $ 1,400 Investment related expenses 114 102 Transaction related expenses 68 63 Expense reimbursements to Manager or its affiliates $ 1,846 $ 1,565 (1) For the three months ended March 31, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.3 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger. As of March 31, 2024 and December 31, 2023, the Company recorded a reimbursement payable to the Manager or its affiliates of $1.8 million and $1.5 million, respectively. The reimbursement payable to the Manager or its affiliates is included within the "Due to affiliates" line item within the "Other liabilities" line item on the consolidated balance sheets. 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, 2024, 448,397 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan. Since inception of the 2020 Equity Incentive Plan and through March 31, 2024, the Company has granted an aggregate of 192,101 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested. On December 6, 2023, in connection with the WMC acquisition, the Company granted an aggregate 25,962 restricted stock units to the Company's two independent directors added to the Company's Board of Directors who previously served on WMC's board of directors. Through March 31, 2024, the two independent directors have also been granted an aggregate of 206 dividend equivalent units. These restricted stock units and associated dividend equivalent units will vest in full on June 23, 2024, and will be settled in shares of the Company's common stock upon each of the independent director's separation from service with the Company. 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, 2024, there were no shares or awards issued under the 2021 Manager Plan. Following the execution of the Third Amendment to the management agreement in November 2021 related to the incentive fee, the Company's compensation committee no longer expects to continue its historical practice of making periodic equity grants to the Manager pursuant to the 2021 Manager Equity Incentive Plan. Director compensation As of March 31, 2024, the Company's Board of Directors consisted of six independent directors. 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 common 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 of Directors. In addition to the annual base director's fee, the non-executive chair of the Board receives an annual fee of $60,000, of which $30,000 is payable in cash and $30,000 is payable in shares of restricted common stock, the chair of the Audit Committee receives an annual fee of $25,000, and the chairs of the Compensation and Nominating and Corporate Governance Committees each receive an annual fee of $10,000. 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 TPG Angelo Gordon, in such entities and has applied the equity method of accounting for such investments. Arc Home On December 9, 2015, the Company, alongside private funds managed by TPG 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 certain 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. MATH On August 29, 2017, the Company, alongside private funds managed by TPG Angelo Gordon, formed MATH to conduct a residential mortgage investment strategy. MATH in turn sponsored the formation of Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly Non-QM Loans. MATT made an election to be treated as a REIT beginning with the 2018 tax year. The Company has an approximate 47.0% interest in MATH. Refer to the "MATH Transaction" section below for additional details on the Company's increase in ownership interest during 2023. MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments. LOTS On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by TPG Angelo Gordon, formed LOT SP I LLC and LOT SP II LLC, respectively, (collectively, "LOTS"). The Company has an approximate 47.5% and 50.0% 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"). During the year ended December 31, 2023, the Land Related Financing assets held within LOTS paid off in full. Summary of investments in debt and equity of affiliates and related earnings The below table summarizes the components of the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of March 31, 2024 and December 31, 2023 (in thousands). March 31, 2024 December 31, 2023 Assets Liabilities Equity Assets Liabilities Equity Non-QM Securities (1) $ 16,523 $ — $ 16,523 $ 15,257 $ — $ 15,257 Re/Non-Performing Securities 7,337 (3,583) 3,754 7,569 (3,605) 3,964 Total Residential Investments 23,860 (3,583) 20,277 22,826 (3,605) 19,221 AG Arc, at fair value 33,190 — 33,190 33,574 — 33,574 Cash and Other assets/(liabilities) 1,431 (56) 1,375 2,361 (53) 2,308 Investments in debt and equity of affiliates $ 58,481 $ (3,639) $ 54,842 $ 58,761 $ (3,658) $ 55,103 (1) MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments. 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, 2024 and 2023 (in thousands). Three Months Ended March 31, 2024 March 31, 2023 Non-QM Securities $ 2,205 $ 1,625 Land Related Financing — 339 Re/Non-Performing Securities 105 192 AG Arc (1) (273) (2,140) Equity in earnings/(loss) from affiliates $ 2,037 $ 16 (1) Earnings/(loss) recognized by AG Arc do not include the Company's portion of gains or losses recorded by Arc Home in connection with the sale of residential mortgage loans to the Company. Refer to "Transactions with Arc Home" below 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 (the "Asset Manager"), a related party of the Manager and direct subsidiary of TPG Angelo Gordon, as the asset manager for certain of its residential mortgage loans. The Company pays the Asset Manager asset management fees which are assessed periodically by a third-party valuation firm. The below details the fees paid by the Company to the Asset Manager during the three months ended March 31, 2024 and 2023 (in thousands). Three Months Ended March 31, 2024 March 31, 2023 Fees paid to Asset Manager $ 658 $ 683 As of March 31, 2024 and December 31, 2023, the Company recorded asset management fees payable of $0.2 million and $0.2 million, respectively. Asset management fees payable are included within the "Due to affiliates" line item within the "Other liabilities" line item on the consolidated balance sheets. 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 private funds under the management of TPG Angelo Gordon during the three months ended March 31, 2024 and 2023 (in thousands). Three Months Ended March 31, 2024 March 31, 2023 Residential mortgage loans sold by Arc Home to the Company $ 79,791 $ — Residential mortgage loans sold by Arc Home to private funds under the management of TPG Angelo Gordon 156,401 90,584 In connection with the sale of loans from Arc Home to the Company, the Company eliminates any intra-entity 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 or losses on the underlying loans. The table below summarizes intra-entity profits eliminated during the three months ended March 31, 2024 and 2023 (in thousands). Three Months Ended March 31, 2024 March 31, 2023 Intra-Entity Profits Eliminated $ 201 $ — The Company enters into forward purchase commitments with Arc Home whereby the Company commits to purchase residential mortgage loans from Arc Home at a particular price on a best-efforts basis. Actual loan purchases are contingent upon successful loan closings. These commitments to purchase mortgage loans are classified as derivatives. From time to time, the Company may determine that certain loans it has previously committed to purchase will be sold to third parties and, as a result, the derivative will be settled on a net basis with Arc Home. See Note 7 and Note 12 for more detail. 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 ($ in millions). The transactions were executed in accordance with the Company's Affiliated Transaction Policy. There were no purchases or sales of assets from or to an affiliate of the Manager during three months ended March 31, 2024. Refer to the "Transactions with Arc Home" section above for additional information related to transactions with Arc Home, which are excluded from the table below. Date Transaction Fair Value (1) Pricing Methodology June 2023 Purchase of Real Estate Securities $ 0.3 Competitive bidding process (2) November 2023 Purchase of Real Estate Securities (4) 4.8 Third party pricing vendors (3) November 2023 Purchase of MATH (4) 0.9 Third party pricing vendors (3) (1) As of the transaction date. (2) The Company submitted an offer to purchase the securities from an affiliate 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) Refer to the "MATH Transaction" below. MATH Transaction In November 2023, the Company's 44.6% allocation of certain bonds retained from past securitizations and held through its investment in MATH was transferred directly to the Company and the Company purchased an additional 13.1% of these bonds from other funds managed by TPG Angelo Gordon who were invested in MATH alongside the Company. These bonds are currently recorded in the Company's "Real estate securities, at fair value" line item on the consolidated balance sheets. Additionally, the Company purchased an additional interest in MATH from other funds managed by TPG Angelo Gordon, increasing its ownership interest in MATH from 44.6% to 47.0%. Subsequent to this transaction, MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments. |
Equity
Equity | 3 Months Ended |
Mar. 31, 2024 | |
Equity [Abstract] | |
Equity | Equity Stock repurchase programs On August 3, 2022, the Company's Board of Directors authorized a stock repurchase program (the "2022 Repurchase Program") to repurchase up to $15.0 million of the Company’s outstanding common stock. The 2022 Repurchase Program does not have an expiration date and permits the Company to repurchase its shares through various methods, including open market repurchases, privately negotiated block transactions and Rule 10b5-1 plans. The Company may repurchase shares of its common stock from time to time in compliance with SEC regulations and other legal requirements. The extent to which the Company repurchases its shares, and the timing, manner, price, and amount of any such repurchases, will depend upon a variety of factors including market conditions and other corporate considerations as determined by the Company’s management, as well as the limits of the 2022 Repurchase Program and the Company's liquidity and business strategy. The 2022 Repurchase Program does not obligate the Company to acquire any particular amount of shares and may be modified or discontinued at any time. As of March 31, 2024, approximately $1.5 million of common stock remained authorized for future share repurchases under the 2022 Repurchase Program. There were no repurchases during the three months ended March 31, 2024. The table below details the Company's share repurchases under the 2022 Repurchase Program during the three months March 31, 2023. Three Months Ended (1) Total Number of Shares Purchased Weighted Average Price Paid per Share (2) Total Number of Shares Purchased as Part of Publicly Announced Program Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (2) March 31, 2023 923,261 $ 5.68 923,261 $ 2,569,940 (1) Based on trade date. (2) Includes brokerage commissions and clearing fees. On May 4, 2023, the Company's Board of Directors authorized a stock repurchase program (the "2023 Repurchase Program") to repurchase up to $15.0 million of the Company’s outstanding common stock on substantially the same terms as the 2022 Repurchase Program. As of March 31, 2024, the full $15.0 million authorized amount remains available for repurchase under the 2023 Repurchase Program. This authorization is in addition to the amount remaining under the 2022 Repurchase Program. On February 22, 2021, the Company's Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of Directors granted a repurchase authorization to acquire shares of 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") having an aggregate value of up to $20.0 million. No share repurchases under the Preferred Repurchase Program have been made since its authorization. Shares of stock repurchased by the Company under any repurchase program, if any, will be cancelled and, until reissued by the Company, will be deemed to be authorized but unissued shares of its stock as required by Maryland law. 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. Equity distribution agreements The Company has entered into an equity distribution agreement with each of Credit Suisse Securities (USA) LLC and JMP Securities LLC (collectively, the "Sales Agents"), which the Company refers to as the "Equity Distribution Agreements," pursuant to which the Company may sell up to $100.0 million aggregate offering price of shares of its common stock from time to time through the Sales Agents under the Securities Act of 1933. The Company did not issue any shares of common stock under the Equity Distribution Agreements during the three months ended March 31, 2024 and 2023. 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 March 26, 2024, the Company filed a new shelf registration statement, registering up to $1.0 billion of its securities, including capital stock (the "2024 Registration Statement"). The 2024 Registration Statement was declared effective on April 9, 2024 and will generally remain effective for three years. Upon effectiveness of the 2024 Registration Statement, the Company's previous S-3 registration statement filed in 2021 was terminated. Preferred stock The Company is authorized to designate and issue up to 50.0 million shares of preferred stock, par value $0.01 per share, in one or more classes or series. As of March 31, 2024 and December 31, 2023, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding. The following table includes a summary of preferred stock issued and outstanding as of March 31, 2024 ($ 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 stated rate per annum before holders of common stock are entitled to receive any cash dividends. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2024 | |
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, 2024, the Company was not involved in any material legal proceedings. The below table details the Company's outstanding commitments as of March 31, 2024 (in thousands). Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment Non-Agency and Agency-Eligible Loans (1) Various $ 109,655 $ — $ 109,655 (1) The Company entered into forward purchase commitments to acquire certain Non-Agency and Agency-Eligible Loans from Arc Home which have not yet settled as of March 31, 2024. Refer to Note 10 "Transactions with affiliates" for more information. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2024 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events The Company announced that on May 2, 2024, its Board of Directors declared second quarter 2024 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, 2024 to holders of record on May 31, 2024. |
Summary of significant accoun_2
Summary of significant accounting policies (Policies) | 3 Months Ended |
Mar. 31, 2024 | |
Accounting Policies [Abstract] | |
Consolidation and basis of presentation | 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. 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. 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 | 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. |
Investment consolidation | Investment consolidation An entity is a variable interest entity ("VIE") 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 Accounting Standards Codification ("ASC") 810-10, "Consolidation" 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 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/Agency-Eligible Loans and re- and non-performing loans (the trusts in which these loans are deposited are referred to as "Non-Agency VIEs" and "RPL/NPL VIEs", respectively), which may result in the Company consolidating the respective VIEs that are created to facilitate these securitizations. 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 Non-Agency VIEs and RPL/NPL 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 Non-Agency VIEs and RPL/NPL 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 Non-Agency VIEs and RPL/NPL 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 Non-Agency VIEs and RPL/NPL 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. |
Debt issuance costs | Debt issuance costs Debt issuance costs are costs incurred by the Company in connection with the issuance of Senior Unsecured Notes or other financing where the fair value option has not been elected. These costs may include underwriting commissions, rating agency, legal, accounting, and other fees. Debt issuance costs are included on the Company’s consolidated balance sheets as a direct reduction from the related financing liability. These costs are deferred and amortized over the life of the related financing as an adjustment to interest expense using the effective interest method. |
Recent accounting pronouncements | Recent accounting pronouncements Debt with conversion and other options In August 2020, FASB issued ASU 2020-06, "Debt-Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging- Contracts in Entity's Own Equity (Subtopic 815-40)." The amendments in this update affect entities that issue convertible instruments and/or contracts in an entity's own equity. For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed. This ASU is effective for the year ended December 31, 2024. The Company's adoption of ASU 2020-06 during the three months ended March 31, 2024 did not have a material impact on the consolidated financial statements. Segment Reporting In November 2023, the FASB issued ASU 2023-07, "Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures." ASU 2023-07 intends to improve reportable segment disclosure requirements, primarily through enhanced disclosures related to significant segment expenses. In addition, this standard is expected to enhance interim disclosure requirements, clarify circumstances in which an entity can disclose multiple segment measures of profit or loss and provides new segment disclosure requirements for entities with a single reportable segment. ASU 2023-07 is effective on a retrospective basis for annual periods beginning after December 15, 2023, for interim periods within fiscal years beginning after December 15, 2024, and early adoption is permitted. The Company does not expect the adoption of the new standard to have a material effect on its consolidated financial statements. |
Fair value measurements | The fair value of the Company's financial instruments is determined in accordance with the provisions of 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. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices and may include quoted prices for similar assets and liabilities in active markets. Level 3 inputs are 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 and 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. In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. |
Organization (Tables)
Organization (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Investment Groups | The Company's asset classes are primarily comprised of the following: Asset Class Description Residential Investments Non-Agency Loans (1) • 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. Agency-Eligible Loans (1) • Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties, but are not guaranteed by a GSE. Although these loans are underwritten in accordance with GSE guidelines and can be delivered to Fannie Mae and Freddie Mac, the Company includes these loans within its Non-Agency securitizations. Re- and Non-Performing Loans (1) • Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property. Non-Agency RMBS (2) • Non-Agency Residential Mortgage-Backed Securities ("RMBS") represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. Agency RMBS (2) • 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. Legacy WMC Commercial Investments (3) Commercial Loans • Commercial loans represent first lien commercial mortgage loans participations. CMBS (2) • Commercial Mortgage-Backed Securities ("CMBS") represent investments of fixed-rate and floating-rate CMBS, secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans. (1) These investments are included in the "Securitized residential mortgage loans, at fair value" and "Residential mortgage loans, at fair value" line items on the consolidated balance sheets. (2) These investments are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets. (3) The Company's investments include commercial loans, CMBS and other securities (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition. The Company expects to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments. |
Schedule of Recognized Identified Assets Acquired and Liabilities Assumed | The following table summarizes the allocation of the total consideration paid to acquire the assets and assume the liabilities of WMC (in thousands, except exchange ratio and per share amounts). Consideration WMC shares outstanding at December 5, 2023 (1) 6,143 Exchange Ratio 1.498 Shares of MITT Common Stock Issued 9,202 MITT Common Stock Price as of December 5, 2023 $ 5.56 MITT Total Consideration (2) $ 51,163 Assets Securitized residential mortgage loans (3) $ 971,781 Residential mortgage loans (3) 6,046 Commercial loans 78,459 Non-Agency RMBS 48,200 CMBS 56,301 Other securities 1,159 Agency RMBS 745 Cash and cash equivalents 5,316 Restricted cash 873 Other assets 24,654 Total Assets $ 1,193,534 Liabilities Securitized debt $ 837,317 Financing arrangements 171,170 Convertible senior unsecured notes 85,172 Other liabilities 18,522 Total Liabilities $ 1,112,181 Net Assets Acquired $ 81,353 Bargain purchase gain $ 30,190 (1) For time-based restricted stock units granted by WMC that fully vested as of the Closing Date, the fair value of the Company’s common stock issued in the satisfaction of these units was included in equity consideration transferred as no post acquisition service was required. (2) MITT Total Consideration does not include the Per Share Additional Manager Consideration paid by the Manager to former holders of WMC Common Stock. (3) The unpaid principal balance of residential mortgage loans acquired in connection with the Merger was $1.1 billion. |
Schedule of Business Acquisition, Pro Forma Information | The following table presents unaudited pro forma combined interest income and net income/(loss) available to common stockholders for the three months ended March 31, 2023 prepared as if the Merger had been consummated on January 1, 2023 (in thousands). Three months ended March 31, 2023 Interest income $ 77,235 Net Income/(Loss) Available to Common Stockholders 15,104 |
Loans (Tables)
Loans (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Receivables [Abstract] | |
Schedule of Company's Residential Mortgage Loan Portfolio and Commercial Loan Portfolio | The tables below detail information regarding the Company’s residential mortgage loan portfolio as of March 31, 2024 and December 31, 2023 ($ 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, 2024 Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Securitized residential mortgage loans, at fair value (2) Non-Agency Loans (3) $ 5,854,878 $ (25,250) $ 5,829,628 $ 33,960 $ (396,033) $ 5,467,555 5.33 % 5.64 % 9.63 Re- and Non-Performing Loans 212,525 (16,622) 195,903 — (18,454) 177,449 3.97 % 6.27 % 5.78 Total Securitized residential mortgage loans, at fair value $ 6,067,403 $ (41,872) $ 6,025,531 $ 33,960 $ (414,487) $ 5,645,004 5.28 % 5.66 % 9.49 Residential mortgage loans, at fair value Non-Agency Loans $ 97,544 $ 1,112 $ 98,656 $ 1,131 $ (643) $ 99,144 8.16 % 7.15 % 3.09 Agency-Eligible Loans 99,930 2,397 102,327 658 (30) 102,955 7.72 % 6.98 % 3.67 Re- and Non-Performing Loans 2,439 (1,519) 920 1,332 — 2,252 N/A 116.45 % 1.62 Total Residential mortgage loans, at fair value $ 199,913 $ 1,990 $ 201,903 $ 3,121 $ (673) $ 204,351 7.94 % 8.27 % 3.36 Total as of March 31, 2024 $ 6,267,316 $ (39,882) $ 6,227,434 $ 37,081 $ (415,160) $ 5,849,355 5.36 % 5.75 % 9.30 Unpaid Principal Balance Gross Unrealized Weighted Average December 31, 2023 Premium Amortized Cost Gains Losses Fair Value Coupon Yield Life Securitized residential mortgage loans, at fair value (2) Non-Agency Loans (3) $ 5,599,960 $ (32,250) $ 5,567,710 $ 29,603 $ (422,144) $ 5,175,169 5.19 % 5.51 % 10.37 Re- and Non-Performing Loans 217,098 (17,465) 199,633 199 (16,720) 183,112 3.88 % 6.30 % 6.10 Total Securitized residential mortgage loans, at fair value $ 5,817,058 $ (49,715) $ 5,767,343 $ 29,802 $ (438,864) $ 5,358,281 5.14 % 5.54 % 10.21 Residential mortgage loans, at fair value Non-Agency Loans $ 92,033 $ 835 $ 92,868 $ 2,222 $ (574) $ 94,516 8.10 % 7.29 % 3.14 Agency-Eligible Loans 212,350 3,535 215,885 4,824 — 220,709 7.94 % 7.28 % 3.37 Re- and Non-Performing Loans 2,604 (1,630) 974 1,432 — 2,406 N/A 112.97 % 1.69 Total Residential mortgage loans, at fair value $ 306,987 $ 2,740 $ 309,727 $ 8,478 $ (574) $ 317,631 7.99 % 8.08 % 3.29 Total as of December 31, 2023 $ 6,124,045 $ (46,975) $ 6,077,070 $ 38,280 $ (439,438) $ 5,675,912 5.28 % 5.68 % 9.86 (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 mortgage loans, periodic payments of principal, and prepayments of principal. (2) Refer to the "Variable interest entities" section below for additional details related to the assets and liabilities of VIEs consolidated on the Company's consolidated balance sheets. (3) Securitized Non-Agency Loans include loans that were considered to be Agency-Eligible prior to the Company's securitization. During the three months ended March 31, 2024 and 2023, the Company purchased residential mortgage loans, as detailed below (in thousands). Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value Non-Agency Loans $ 14,046 $ 14,214 $ 22,550 $ 22,954 Agency-Eligible Loans 268,086 271,084 — — Total $ 282,132 $ 285,298 $ 22,550 $ 22,954 Number of Loans Proceeds Realized Gains Realized Losses Non-Agency Loans 116 $ 46,909 $ — $ (9,745) Agency-Eligible Loans 47 18,474 69 (85) The tables below detail information regarding the Company's Legacy WMC Commercial loan portfolio as of March 31, 2024 and December 31, 2023 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses). March 31, 2024 Premium / (Discount) Amortized Cost Gross Unrealized Gains Fair Value Weighted Average Maturity Date (5) LTV (6) Location Loan (1)(2)(3) Unpaid Principal Balance Coupon Yield Life (Years) (4) Loan A (7) $ 7,259 $ (124) $ 7,135 $ 25 $ 7,160 9.52 % 10.76 % 1.18 5/6/2025 61.63 % IL, FL Loan B (7) 13,206 (226) 12,980 47 13,027 9.52 % 10.76 % 1.18 5/6/2025 75.33 % CA Loan C (7) 24,535 (420) 24,115 86 24,201 9.52 % 10.76 % 1.18 5/6/2025 77.22 % NY Loan D (8) 22,204 (167) 22,037 49 22,086 8.70 % 8.67 % 1.44 8/6/2025 42.50 % CT Total $ 67,204 $ (937) $ 66,267 $ 207 $ 66,474 9.25 % 10.06 % 1.27 63.63 % December 31, 2023 Premium / (Discount) Amortized Cost Gross Unrealized Gains Fair Value Weighted Average Maturity Date (5) LTV (6) Location Loan (1)(2)(3) Unpaid Principal Balance Coupon Yield Life (Years) (4) Loan A (7) $ 7,259 $ (137) $ 7,122 $ 12 $ 7,134 9.55 % 10.16 % 1.44 5/6/2025 61.63 % IL, FL Loan B (7) 13,206 (249) 12,957 22 12,979 9.55 % 10.16 % 1.44 5/6/2025 75.33 % CA Loan C (7) 24,535 (463) 24,072 40 24,112 9.55 % 10.16 % 1.44 5/6/2025 77.22 % NY Loan D (8) 22,204 (147) 22,057 21 22,078 8.72 % 8.17 % 1.69 8/6/2025 42.50 % CT Total $ 67,204 $ (996) $ 66,208 $ 95 $ 66,303 9.27 % 9.50 % 1.52 63.61 % (1) The Company has the contractual right to receive a balloon payment for each loan. (2) Each commercial loan investment is a first mortgage loan. (3) Each commercial loan has a current payment status. (4) Actual maturities of commercial loans may be shorter or longer than stated contractual maturities. Maturities are affected by prepayments of principal. (5) Represents maturity date of the last possible extension option. (6) Represents the LTV at acquisition. (7) Loans A, B, and C have a floating rate coupon equal to 4.20% plus one-month SOFR and are collateralized by hotels. (8) |
Schedule 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). Unpaid Principal Balance Weighted Average (1)(2) Aging by Unpaid Principal Balance (1)(3) March 31, 2024 Loan Count (1) Original LTV Ratio (4) Current FICO (5) Current 30-59 Days 60-89 Days 90+ Days Securitized residential mortgage loans Non-Agency Loans $ 5,854,878 14,239 67.03 % 748 $ 5,674,716 $ 68,456 $ 41,483 $ 70,223 Re- and Non-Performing Loans 212,525 1,459 79.78 % 659 149,877 17,683 7,690 37,275 Total Securitized residential mortgage loans $ 6,067,403 15,698 67.48 % 745 $ 5,824,593 $ 86,139 $ 49,173 $ 107,498 Residential mortgage loans Non-Agency Loans $ 97,544 182 74.36 % 726 $ 91,110 $ 731 $ — $ 5,703 Agency-Eligible Loans 99,930 258 72.86 % 771 99,930 — — — Re- and Non-Performing Loans (1) 2,439 N/A N/A N/A N/A N/A N/A N/A Total Residential mortgage loans $ 199,913 440 73.60 % 749 $ 191,040 $ 731 $ — $ 5,703 Total as of March 31, 2024 $ 6,267,316 16,138 67.67 % 745 $ 6,015,633 $ 86,870 $ 49,173 $ 113,201 Unpaid Principal Balance Weighted Average (1)(2) Aging by Unpaid Principal Balance (1)(3) December 31, 2023 Loan Count (1) Original LTV Ratio (4) Current FICO (5) Current 30-59 Days 60-89 Days 90+ Days Securitized residential mortgage loans Non-Agency Loans $ 5,599,960 13,460 66.65 % 748 $ 5,446,631 $ 68,242 $ 30,873 $ 54,214 Re- and Non-Performing Loans 217,098 1,495 79.80 % 657 154,632 17,145 4,780 40,541 Total Securitized residential mortgage loans $ 5,817,058 14,955 67.14 % 744 $ 5,601,263 $ 85,387 $ 35,653 $ 94,755 Residential mortgage loans Non-Agency Loans $ 92,033 170 74.79 % 730 $ 83,582 $ 1,010 $ 615 $ 6,826 Agency-Eligible Loans 212,350 536 71.99 % 777 211,499 851 — — Re- and Non-Performing Loans (1) 2,604 N/A N/A N/A N/A N/A N/A N/A Total Residential mortgage loans $ 306,987 706 72.83 % 764 $ 295,081 $ 1,861 $ 615 $ 6,826 Total as of December 31, 2023 $ 6,124,045 15,661 67.42 % 745 $ 5,896,344 $ 87,248 $ 36,268 $ 101,581 (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) Amounts are weighted based on unpaid principal balance. (3) As of March 31, 2024, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $52.2 million and loans in the process of foreclosure with a fair value of $52.6 million. As of December 31, 2023, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $41.7 million and loans in the process of foreclosure with a fair value of $51.8 million. (4) Represents the original LTV or, for Re- and Non-Performing Loans and Non-Agency Loans acquired from WMC, the LTV at acquisition. (5) |
Schedule of Certain Concentrations of Credit Risk Within the Company's Mortgage Loan Portfolio | The following is a summary of the geographic concentration of credit risk as of March 31, 2024 and December 31, 2023 and includes states where the exposure is greater than 5% of the fair value of the Company's residential mortgage loan portfolio. Geographic Concentration of Credit Risk (1) March 31, 2024 December 31, 2023 California 37 % 38 % New York 13 % 13 % Florida 10 % 10 % Texas 6 % 6 % New Jersey 5 % 5 % (1) |
Schedule of Variable Interest Entities | The following table details certain information related to the assets and liabilities of the Non-Agency VIEs as of March 31, 2024 and December 31, 2023 ($ in thousands). March 31, 2024 December 31, 2023 Carrying Value Weighted Average Carrying Value Weighted Average Yield Life (Years) (1) Yield Life (Years) (1) Assets Securitized residential mortgage loans, at fair value (2) $ 5,467,555 5.64 % 9.63 $ 5,175,169 5.51 % 10.37 Other assets 26,870 25,105 Total Assets $ 5,494,425 $ 5,200,274 Liabilities Securitized debt, at fair value (2) (3) $ 4,871,205 5.07 % 7.10 $ 4,597,490 4.94 % 7.52 Other liabilities 18,740 17,269 Total Liabilities $ 4,889,945 $ 4,614,759 Total Equity (4) $ 604,480 $ 585,515 (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) Securitized residential mortgage loans in Non-Agency VIEs include loans that were considered to be Agency-Eligible prior to the Company's securitization. (3) 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 Non-Agency VIEs. (4) As of March 31, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $315.0 million and $301.2 million, respectively, collateralized by $597.4 million and $578.8 million of the Company's retained interests in the Non-Agency VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements. The following table details certain information related to the assets and liabilities of the RPL/NPL VIEs as of March 31, 2024 and December 31, 2023 ($ in thousands). March 31, 2024 December 31, 2023 Carrying Value Weighted Average Carrying Value Weighted Average Yield Life (Years) (1) Yield Life (Years) (1) Assets Securitized residential mortgage loans, at fair value $ 177,449 6.27 % 5.78 $ 183,112 6.30 % 6.10 Restricted cash 17 10 Other assets 1,736 2,056 Total Assets $ 179,202 $ 185,178 Liabilities Securitized debt, at fair value (2) $ 109,737 3.28 % 3.86 $ 114,133 3.25 % 3.77 Other liabilities 322 328 Total Liabilities $ 110,059 $ 114,461 Total Equity (3) $ 69,143 $ 70,717 (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 RPL/NPL VIEs. (3) As of March 31, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $43.6 million and $44.9 million, respectively, collateralized by $66.0 million and $67.1 million of the Company's retained interests in the RPL/NPL VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements. The following table summarizes the Company’s investment in unconsolidated VIEs as of March 31, 2024 and December 31, 2023 (in thousands). March 31, 2024 December 31, 2023 Current Face Fair Value Current Face Fair Value Retained interest in unconsolidated VIEs GCAT Non-Agency Securities $ 43,794 $ 34,209 $ 43,794 $ 32,542 GCAT Non-Agency RMBS Interest Only (1) N/A 4,954 N/A 4,991 Total retained interest in unconsolidated VIEs (2) (3) $ 43,794 $ 39,163 $ 43,794 $ 37,533 (1) Interest Only have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. As of March 31, 2024 and December 31, 2023, the notional values of the GCAT Non-Agency RMBS Interest Only line item were $93.9 million and $98.3 million, respectively. (2) Maximum loss exposure from the Company’s involvement with unconsolidated VIEs pertains to the fair value of the securities retained from these VIEs. The Company has no obligation to provide any other explicit or implicit support to the securitization trust. (3) As of March 31, 2024 and December 31, 2023, the Company held securities exposed to the first loss of the securitization with a fair value of $4.1 million and $4.1 million, respectively. The following table summarizes information regarding the residential mortgage loans transferred to the Company’s unconsolidated VIEs as of March 31, 2024 and December 31, 2023 ($ in thousands). Assets transferred to unconsolidated VIEs: March 31, 2024 December 31, 2023 Total unpaid principal balance of loans outstanding (1) $ 436,585 $ 450,366 Weighted average coupon on loans outstanding 5.68 % 5.67 % Percent of unpaid principal balance greater than 90 days delinquent (2) 1.57 % 1.94 % (1) The Company contributed approximately 40.9% of the unpaid principal balance into one of the securitization trusts and, through the Company's investment in MATH, contributed approximately 44.6% of the unpaid principal balance into the remaining four securitization trusts. (2) As of March 31, 2024, 0.88% of loans were 90+ days delinquent and 0.69% of loans were in process of foreclosure. As of December 31, 2023, 0.70% of loans were 90+ days delinquent and 1.24% loans were in process of foreclosure. |
Real Estate Securities (Tables)
Real Estate Securities (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
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, 2024 and December 31, 2023 ($ in thousands). The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses). Current Face Premium / (Discount) Amortized Cost Gross Unrealized Weighted Average March 31, 2024 Gains Losses Fair Value Coupon (1) Yield Non-Agency RMBS GCAT Non-Agency RMBS (2) GCAT Non-Agency Securities $ 43,794 $ (2,179) $ 41,615 $ — $ (7,406) $ 34,209 4.67 % 6.01 % GCAT Non-Agency RMBS Interest Only (3) N/A N/A 2,455 2,499 — 4,954 0.54 % 37.04 % Total GCAT Non-Agency RMBS 43,794 (2,179) 44,070 2,499 (7,406) 39,163 2.53 % 9.94 % Non-Agency Securities 40,930 (9,856) 31,074 3,166 (107) 34,133 6.21 % 8.41 % Non-Agency RMBS Interest Only (3) N/A N/A 176 4 — 180 0.21 % 26.83 % Total Non-Agency RMBS 84,724 (12,035) 75,320 5,669 (7,513) 73,476 3.02 % 9.27 % Legacy WMC CMBS 103,399 (46,027) 57,372 944 (3,927) 54,389 7.38 % 20.97 % Legacy WMC Other Securities (4) N/A N/A 1,120 100 — 1,220 N/A 19.45 % Agency RMBS 30 Year Fixed Rate 121,708 123 121,831 — (111) 121,720 5.50 % 5.48 % Agency RMBS Interest Only (3) N/A N/A 22,104 99 (1,140) 21,063 4.01 % 10.59 % Total Agency RMBS 121,708 123 143,935 99 (1,251) 142,783 4.77 % 6.24 % Total as of March 31, 2024 $ 309,831 $ (57,939) $ 277,747 $ 6,812 $ (12,691) $ 271,868 4.74 % 10.06 % Current Face Premium / (Discount) Amortized Cost Gross Unrealized Weighted Average December 31, 2023 Gains Losses Fair Value Coupon (1) Yield Non-Agency RMBS GCAT Non-Agency RMBS (2) GCAT Non-Agency Securities $ 43,794 $ (2,281) $ 41,513 $ — $ (8,971) $ 32,542 4.67 % 5.99 % GCAT Non-Agency RMBS Interest Only (3) N/A N/A 2,541 2,450 — 4,991 — % 37.74 % Total GCAT Non-Agency RMBS 43,794 (2,281) 44,054 2,450 (8,971) 37,533 2.20 % 10.21 % Non-Agency Securities 82,390 (33,399) 48,991 2,139 (124) 51,006 4.99 % 9.11 % Non-Agency RMBS Interest Only (3) N/A N/A 1,116 1 (34) 1,083 0.35 % 16.04 % Total Non-Agency RMBS 126,184 (35,680) 94,161 4,590 (9,129) 89,622 2.17 % 9.66 % Legacy WMC CMBS 103,458 (46,925) 56,533 546 (730) 56,349 7.39 % 21.90 % Legacy WMC Other Securities (4) N/A N/A 1,174 — (18) 1,156 N/A 18.16 % Agency RMBS Interest Only (3) N/A N/A 16,714 115 (1,135) 15,694 3.74 % 10.20 % Total as of December 31, 2023 $ 229,642 $ (82,605) $ 168,582 $ 5,251 $ (11,012) $ 162,821 3.54 % 14.01 % (1) Equity residual investments with a zero coupon rate are excluded from this calculation. (2) GCAT Non-Agency RMBS are securities issued under Gold Creek Asset Trust ("GCAT"), which is the TPG Angelo Gordon securitization shelf under which the Company or private funds under the management of TPG Angelo Gordon securitize loans. Refer to the "Unconsolidated variable interest entities" section below for additional details on these securities. (3) Interest Only have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. As of March 31, 2024, the notional values of the GCAT Non-Agency RMBS Interest Only, Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $93.9 million, $30.6 million and $114.8 million, respectively. As of December 31, 2023, the notional values of the GCAT Non-Agency RMBS Interest Only, Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $98.3 million, $128.8 million and $92.2 million, respectively. (4) Legacy WMC Other securities include residual interests in asset-backed securities which have no principal balance. The Company sold real estate securities during the three months ended March 31, 2024, as detailed below ($ in thousands). The Company did not sell any real estate securities during the three months ended March 31, 2023. Number of Securities Proceeds Realized Gains Realized Losses Three Months Ended March 31, 2024 7 $ 19,318 $ 1,160 $ (409) |
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, 2024 and December 31, 2023 ($ in thousands). March 31, 2024 Non-Agency RMBS Legacy WMC CMBS Legacy WMC Other Securities Agency RMBS Weighted Average Life (1) Fair Value Amortized Fair Value Amortized Cost Fair Value Amortized Cost Fair Value Amortized Less than or equal to one year $ — $ — $ 18,348 $ 20,595 $ — $ — $ — $ — Greater than one year and less than or equal to five years 3,546 3,502 36,041 36,777 — — 609 632 Greater than five years and less than or equal to ten years 38,425 39,112 — — 1,220 1,120 142,174 143,303 Greater than ten years 31,505 32,706 — — — — — — Total as of March 31, 2024 $ 73,476 $ 75,320 $ 54,389 $ 57,372 $ 1,220 $ 1,120 $ 142,783 $ 143,935 December 31, 2023 Non-Agency RMBS Legacy WMC CMBS Legacy WMC Other Securities Agency RMBS Weighted Average Life (1) Fair Value Amortized Fair Value Amortized Cost Fair Value Amortized Cost Fair Value Amortized Less than or equal to one year $ — $ — $ 15,015 $ 15,010 $ — $ — $ — $ — Greater than one year and less than or equal to five years 4,631 4,669 41,334 41,523 — — 697 678 Greater than five years and less than or equal to ten years 38,792 40,539 — — 1,156 1,174 14,997 16,036 Greater than ten years 46,199 48,953 — — — — — — Total as of December 31, 2023 $ 89,622 $ 94,161 $ 56,349 $ 56,533 $ 1,156 $ 1,174 $ 15,694 $ 16,714 (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. |
Schedule of Variable Interest Entities | The following table details certain information related to the assets and liabilities of the Non-Agency VIEs as of March 31, 2024 and December 31, 2023 ($ in thousands). March 31, 2024 December 31, 2023 Carrying Value Weighted Average Carrying Value Weighted Average Yield Life (Years) (1) Yield Life (Years) (1) Assets Securitized residential mortgage loans, at fair value (2) $ 5,467,555 5.64 % 9.63 $ 5,175,169 5.51 % 10.37 Other assets 26,870 25,105 Total Assets $ 5,494,425 $ 5,200,274 Liabilities Securitized debt, at fair value (2) (3) $ 4,871,205 5.07 % 7.10 $ 4,597,490 4.94 % 7.52 Other liabilities 18,740 17,269 Total Liabilities $ 4,889,945 $ 4,614,759 Total Equity (4) $ 604,480 $ 585,515 (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) Securitized residential mortgage loans in Non-Agency VIEs include loans that were considered to be Agency-Eligible prior to the Company's securitization. (3) 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 Non-Agency VIEs. (4) As of March 31, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $315.0 million and $301.2 million, respectively, collateralized by $597.4 million and $578.8 million of the Company's retained interests in the Non-Agency VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements. The following table details certain information related to the assets and liabilities of the RPL/NPL VIEs as of March 31, 2024 and December 31, 2023 ($ in thousands). March 31, 2024 December 31, 2023 Carrying Value Weighted Average Carrying Value Weighted Average Yield Life (Years) (1) Yield Life (Years) (1) Assets Securitized residential mortgage loans, at fair value $ 177,449 6.27 % 5.78 $ 183,112 6.30 % 6.10 Restricted cash 17 10 Other assets 1,736 2,056 Total Assets $ 179,202 $ 185,178 Liabilities Securitized debt, at fair value (2) $ 109,737 3.28 % 3.86 $ 114,133 3.25 % 3.77 Other liabilities 322 328 Total Liabilities $ 110,059 $ 114,461 Total Equity (3) $ 69,143 $ 70,717 (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 RPL/NPL VIEs. (3) As of March 31, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $43.6 million and $44.9 million, respectively, collateralized by $66.0 million and $67.1 million of the Company's retained interests in the RPL/NPL VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements. The following table summarizes the Company’s investment in unconsolidated VIEs as of March 31, 2024 and December 31, 2023 (in thousands). March 31, 2024 December 31, 2023 Current Face Fair Value Current Face Fair Value Retained interest in unconsolidated VIEs GCAT Non-Agency Securities $ 43,794 $ 34,209 $ 43,794 $ 32,542 GCAT Non-Agency RMBS Interest Only (1) N/A 4,954 N/A 4,991 Total retained interest in unconsolidated VIEs (2) (3) $ 43,794 $ 39,163 $ 43,794 $ 37,533 (1) Interest Only have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. As of March 31, 2024 and December 31, 2023, the notional values of the GCAT Non-Agency RMBS Interest Only line item were $93.9 million and $98.3 million, respectively. (2) Maximum loss exposure from the Company’s involvement with unconsolidated VIEs pertains to the fair value of the securities retained from these VIEs. The Company has no obligation to provide any other explicit or implicit support to the securitization trust. (3) As of March 31, 2024 and December 31, 2023, the Company held securities exposed to the first loss of the securitization with a fair value of $4.1 million and $4.1 million, respectively. The following table summarizes information regarding the residential mortgage loans transferred to the Company’s unconsolidated VIEs as of March 31, 2024 and December 31, 2023 ($ in thousands). Assets transferred to unconsolidated VIEs: March 31, 2024 December 31, 2023 Total unpaid principal balance of loans outstanding (1) $ 436,585 $ 450,366 Weighted average coupon on loans outstanding 5.68 % 5.67 % Percent of unpaid principal balance greater than 90 days delinquent (2) 1.57 % 1.94 % (1) The Company contributed approximately 40.9% of the unpaid principal balance into one of the securitization trusts and, through the Company's investment in MATH, contributed approximately 44.6% of the unpaid principal balance into the remaining four securitization trusts. (2) As of March 31, 2024, 0.88% of loans were 90+ days delinquent and 0.69% of loans were in process of foreclosure. As of December 31, 2023, 0.70% of loans were 90+ days delinquent and 1.24% loans were in process of foreclosure. |
Fair value measurements (Tables
Fair value measurements (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
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, 2024 and December 31, 2023 (in thousands). Fair Value at March 31, 2024 Level 1 Level 2 Level 3 Total Assets: Securitized residential mortgage loans $ — $ — $ 5,645,004 $ 5,645,004 Residential mortgage loans — 795 203,556 204,351 Legacy WMC Commercial Loans — — 66,474 66,474 Non-Agency RMBS — 34,313 39,163 73,476 Legacy WMC CMBS — 51,121 3,268 54,389 Legacy WMC Other Securities — — 1,220 1,220 Agency RMBS — 142,783 — 142,783 Derivative assets (1) — 10,351 472 10,823 Cash equivalents (2) 96,628 — — 96,628 AG Arc (3) — — 33,190 33,190 Total Assets Measured at Fair Value $ 96,628 $ 239,363 $ 5,992,347 $ 6,328,338 Liabilities: Securitized debt $ — $ — $ (4,980,942) $ (4,980,942) Derivative liabilities (1) — (1,147) (159) (1,306) Total Liabilities Measured at Fair Value $ — $ (1,147) $ (4,981,101) $ (4,982,248) Fair value at December 31, 2023 Level 1 Level 2 Level 3 Total Assets: Securitized residential mortgage loans $ — $ — $ 5,358,281 $ 5,358,281 Residential mortgage loans — 777 316,854 317,631 Legacy WMC Commercial loans — — 66,303 66,303 Non-Agency RMBS — 52,089 37,533 89,622 Legacy WMC CMBS — 50,553 5,796 56,349 Legacy WMC Other Securities — — 1,156 1,156 Agency RMBS — 15,694 — 15,694 Derivative assets (1) — 9,433 1,172 10,605 Cash equivalents (2) 95,749 — — 95,749 AG Arc (3) — — 33,574 33,574 Total Assets Measured at Fair Value $ 95,749 $ 128,546 $ 5,820,669 $ 6,044,964 Liabilities: Securitized debt $ — $ — $ (4,711,623) $ (4,711,623) Derivative liabilities (1) — (7,783) (7) (7,790) Total Liabilities Measured at Fair Value $ — $ (7,783) $ (4,711,630) $ (4,719,413) (1) As of March 31, 2024, the Company applied a reduction in fair value of $10.1 million and $1.0 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. As of December 31, 2023, the Company applied a reduction in fair value of $9.3 million and $7.7 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively. Refer to Note 7 for more information on the Company's derivatives. (2) 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 and are carried at cost, which approximates fair value. (3) The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825. |
Schedule of Assets and Liabilities Measured on a Recurring Basis | The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value (in thousands). Three Months Ended March 31, 2024 Residential Legacy WMC Commercial Loans Non-Agency Legacy WMC CMBS Legacy WMC Other Securities Derivative Assets (2) AG Arc Securitized Derivative Liabilities (2) Beginning balance $ 5,675,135 $ 66,303 $ 37,533 $ 5,796 $ 1,156 $ 1,172 $ 33,574 $ (4,711,623) $ (7) Purchases 287,617 — — — — — — — — Issuances of Securitized Debt — — — — — — — (363,899) — Capital distributions — — — — — — (312) — — Proceeds from sales or settlements — — — — — (1,181) — — 49 Principal repayments (140,625) — — — — — — 124,587 — Included in net income: Net premium and discount amortization (3) 4,197 60 16 (63) (54) — — (7,578) — Net realized gain/(loss) 2 — — — — 1,181 — — (49) Net unrealized gain/(loss) 23,056 111 1,614 (2,465) 118 (700) — (22,429) (152) Equity in earnings/(loss) from affiliates — — — — — — (72) — — Other (4) (822) — — — — — — — — Ending Balance $ 5,848,560 $ 66,474 $ 39,163 $ 3,268 $ 1,220 $ 472 $ 33,190 $ (4,980,942) $ (159) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2024 Net premium and discount amortization (3) 4,197 60 16 (63) (54) — — (7,578) — Net unrealized gain/(loss) 23,056 111 1,614 (2,465) 118 472 — (22,429) (159) Equity in earnings/(loss) from affiliates — — — — — — (72) — — Three Months Ended March 31, 2023 Residential Non-Agency Derivative assets (2) AG Arc Securitized Derivative liabilities (2) Beginning balance $ 4,127,843 $ 14,917 $ 98 $ 39,680 $ (3,262,352) $ (9) Purchases 22,755 — — — — — Issuances of Securitized Debt — — — — (234,754) — Proceeds from sales or settlements (65,383) — — — — — Principal repayments (73,956) — — — 66,957 — Included in net income: Net premium and discount amortization (3) 1,144 (76) — — (2,738) — Net realized gain/(loss) (9,758) — — — — — Net unrealized gain/(loss) 97,211 198 2,377 — (72,642) (66) Equity in earnings/(loss) from affiliates — — — (2,140) — — Other (4) (1,083) — — — — — Ending Balance $ 4,098,773 $ 15,039 $ 2,475 $ 37,540 $ (3,505,529) $ (75) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2023 Net premium and discount amortization (3) 1,144 (76) — — (2,738) — Net unrealized gain/(loss) 87,029 198 2,377 — (72,642) (66) Equity in earnings/(loss) from affiliates — — — (2,140) — — (1) Includes Securitized residential mortgage loans, Securitized residential mortgage loans held for sale, and Residential mortgage loans held for sale. (2) Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" line items, respectively, on the consolidated balance sheets. (3) Included in the "Interest income" and "Interest expense" line items on the consolidated statement of operations for assets and liabilities, respectively. (4) Includes transfers of residential mortgage loans to real estate owned as well as activity related to advances. |
Schedule of Valuation Techniques | The following table presents 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 as of March 31, 2024 and December 31, 2023 ($ in thousands). March 31, 2024 December 31, 2023 Valuation Technique Unobservable Input Fair Value Range Fair Value Range Securitized Residential Mortgage Loans Yield 5.68% - 9.56% (6.29%) 5.67% - 9.47% (6.23%) Discounted Cash Flow Projected Collateral Prepayments $ 5,645,004 4.05% - 14.40% (5.88%) $ 5,358,281 3.02% - 10.47% (4.72%) Projected Collateral Losses 0.02% - 1.88% (0.16%) 0.02% - 1.88% (0.16%) Projected Collateral Severities -14.97% - 26.00% (18.27%) -13.44% - 26.00% (17.38%) Residential Mortgage Loans Yield 6.32% - 13.75% (6.96%) 6.13% - 18.75% (6.64%) Discounted Cash Flow Projected Collateral Prepayments $ 203,556 2.84% - 37.25% (24.52%) $ 316,854 3.89% - 34.35% (24.88%) Projected Collateral Losses 0.00% - 21.78% (0.73%) 0.00% - 12.72% (0.15%) Projected Collateral Severities -25.00% - 44.02% (9.72%) -38.75% - 44.01% (9.62%) Legacy WMC Commercial Loans Yield 8.62% - 10.70% (10.01%) 8.16% - 10.13% (9.47%) Discounted Cash Flow Credit Spread $ 66,474 377 bps - 550 bps (493 bps) $ 66,303 377 bps - 556 bps (496 bps) Recovery Percentage (2) 100.00% - 100.00% (100.00%) 100.00% - 100.00% (100.00%) Loan-to-Value 42.50% - 77.22% (63.63%) 42.50% - 77.22% (63.61%) Non-Agency RMBS Yield 5.97% - 14.00% (9.18%) 6.23% - 14.00% (9.70%) Discounted Cash Flow Projected Collateral Prepayments $ 39,163 4.68% - 6.57% (5.49%) $ 37,533 4.55% - 5.26% (4.93%) Projected Collateral Losses 0.18% - 0.41% (0.29%) 0.17% - 0.28% (0.25%) Projected Collateral Severities 10.00% - 10.00% (10.00%) 10.00% - 10.00% (10.00%) Legacy WMC CMBS Consensus Pricing Offered Quotes $ 3,268 31.13 - 31.13 (31.13) $ 5,796 55.20 - 55.20 (55.20) Legacy WMC Other Securities Consensus Pricing Offered Quotes $ 1,220 7,199.26 - 7,199.26 (7,199.26) $ 1,156 6,821.32 - 6,821.32 (6,821.32) Derivative Assets (3) Yield 6.32% - 9.39% (7.23%) 6.29% - 8.32% (6.81%) Discounted Cash Flow Projected Collateral Prepayments $ 472 10.45% - 31.62% (22.42%) $ 1,172 18.20% - 33.78% (27.00%) Projected Collateral Losses 0.01% - 2.70% (0.75%) 0.00% - 0.82% (0.14%) Projected Collateral Severities 10.00% - 10.00% (10.00%) 10.00% - 10.00% (10.00%) Pull Through Percentages 60.00% - 100.00% (85.04%) 60.00% - 100.00% (92.21%) AG Arc Comparable Multiple Book Value Multiple $ 33,190 0.89x - 0.89x (0.89x) $ 33,574 0.89x - 0.89x (0.89x) Securitized Debt Yield 5.11% - 15.00% (5.80%) 4.92% - 15.00% (5.72%) Discounted Cash Flow Projected Collateral Prepayments $ (4,980,942) 4.05% - 14.40% (5.82%) $ (4,711,623) 3.02% - 10.47% (4.66%) Projected Collateral Losses 0.02% - 0.50% (0.14%) 0.02% - 0.40% (0.15%) Projected Collateral Severities 10.00% - 26.00% (18.63%) 3.71% - 26.00% (17.76%) Derivative Liabilities (3) Yield 6.41% - 7.17% (6.69%) 6.47% - 7.00% (6.51%) Discounted Cash Flow Projected Collateral Prepayments $ (159) 19.59% - 31.75% (27.59%) $ (7) 27.36% - 34.44% (34.30%) Projected Collateral Losses 0.01% - 0.31% (0.07%) 0.00% - 0.02% (0.00%) Projected Collateral Severities 10.00% - 10.00% (10.00%) 10.00% - 10.00% (10.00%) Pull Through Percentages 60.00% - 100.00% (76.84%) 60.00% - 100.00% (99.22%) (1) Amounts are weighted based on fair value. (2) Represents the proportion of the principal expected to be collected relative to the loan balances as of March 31, 2024 and December 31, 2023. (3) Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" line items, respectively, on the consolidated balance sheets. |
Schedule of Carrying Values and Estimated Fair Values of Debt Instruments | The following table presents the carrying value and estimated fair value of the Company's Legacy WMC Convertible Notes, Senior Unsecured Notes, and fixed-rate financing arrangements with contractual maturities of greater than one year as of March 31, 2024 and December 31, 2023 (in thousands). The fair value of the Company's Legacy WMC Convertibles Notes and Senior Unsecured Notes is based upon prices obtained from third-party pricing services or broker quotations and are classified as Level 2. The fair value of the Company's fixed-rate long-term financing arrangements is based on a discounted cash flow valuation approach using valuation analyses of the underlying collateral sourced from third-party pricing service providers and is classified as Level 3. March 31, 2024 December 31, 2023 Carrying Value (1) Estimated Fair Value Carrying Value (1) Estimated Fair Value Legacy WMC Convertible Notes $ 78,530 $ 79,115 $ 85,266 $ 84,525 Senior Unsecured Notes 32,810 35,093 — — Financing arrangements 59,676 59,941 62,972 63,175 (1) The Legacy WMC Convertible Notes, Senior Unsecured Notes, and fixed-rate long-term financing arrangements are recorded at amortized cost in the Company's consolidated balance sheets. |
Financing (Tables)
Financing (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Financing Arrangements | The following table presents a summary of the Company's financing as of March 31, 2024 and December 31, 2023 ($ in thousands). March 31, 2024 December 31, 2023 Financing Weighted Average Collateral Fair Value (1)(2) Financing Current Face Carrying Value Stated Maturity Funding Cost Life (Years) Carrying Value Financing Arrangements by Asset Type Securitized Residential Mortgage Loans (3) Non-Agency Loans (4) $ 312,953 $ 315,007 Apr 2024 - Jul 2025 7.34 % 0.31 $ 597,357 $ 301,205 Re- and Non-Performing Loans 43,628 43,628 Apr 2024 7.27 % 0.03 65,970 44,928 Residential Mortgage Loans (5) Non-Agency Loans 77,191 77,191 Jun 2024 - Jan 2025 7.29 % 0.49 93,797 77,345 Agency-Eligible Loans 94,819 94,819 Dec 2024 - Mar 2025 7.18 % 0.91 102,955 200,617 Legacy WMC Commercial Loans (6) 47,222 47,222 Mar 2025 8.33 % 0.98 66,474 48,032 Non-Agency RMBS 36,415 36,415 Apr 2024 - May 2024 6.76 % 0.08 70,054 51,251 Legacy WMC CMBS 21,348 21,348 Apr 2024 7.28 % 0.01 51,121 31,620 Agency RMBS 98,371 98,371 Apr 2024 5.48 % 0.03 102,774 12,594 Total Financing Arrangements $ 731,947 $ 734,001 7.09 % 0.38 $ 1,150,502 $ 767,592 Securitized debt, at fair value (7) Non-Agency Loans (8) (9) $ 5,311,289 $ 4,871,205 N/A 5.07 % 7.10 N/A $ 4,597,490 Re- and Non-Performing Loans (10) 121,654 109,737 N/A 3.28 % 3.86 N/A 114,133 Total Securitized Debt $ 5,432,943 $ 4,980,942 5.03 % 7.03 N/A $ 4,711,623 Legacy WMC Convertible Notes $ 79,120 $ 78,530 Sep 2024 8.42 % 0.47 N/A $ 85,266 Senior Unsecured Notes $ 34,500 $ 32,810 Feb 2029 10.80 % 4.95 N/A $ — Total Financing $ 6,278,510 $ 5,826,283 5.37 % 6.18 $ 1,150,502 $ 5,564,481 (1) The Company also had $2.1 million and $1.7 million of cash pledged under repurchase agreements as of March 31, 2024 and December 31, 2023, 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 Non-Agency VIEs and RPL/NPL VIEs. (4) As of March 31, 2024, the weighted average stated rate on the financing arrangements on the Company's Securitized non-agency loans was 7.91%. (5) The Company's Residential mortgage loan financing arrangements include a maximum uncommitted borrowing capacity of $1.8 billion on facilities used to finance Non-Agency and Agency-Eligible Loans. (6) As of March 31, 2024, the weighted average stated rate on the financing arrangements on the Company's Legacy WMC Commercial Loans was 8.08%. (7) 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 Non-Agency VIEs and RPL/NPL VIEs. (8) As of March 31, 2024, the amortized cost of Securitized debt in the Company's Non-Agency VIEs was $5.2 billion. (9) The current face on the Company's Securitized debt in the Company's Non-Agency VIEs excludes Interest Only classes which have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. As of March 31, 2024, the notional value of interest only classes of Securitized debt was $131.3 million. (10) |
Schedule of Total Borrowings Under Repurchase Agreements | Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Over 12 Months Total Financing Arrangements by Asset Type Securitized Residential Mortgage Loans Non-Agency Loans $ 213,496 $ 41,836 $ — $ 57,621 $ 312,953 Re- and Non-Performing Loans 43,628 — — — 43,628 Residential Mortgage Loans Non-Agency Loans — 2,464 74,727 — 77,191 Agency-Eligible Loans — — 94,819 — 94,819 Legacy WMC Commercial Loans — — 47,222 — 47,222 Non-Agency RMBS 20,060 16,355 — — 36,415 Legacy WMC CMBS 21,348 — — — 21,348 Agency RMBS 98,371 — — — 98,371 Total Financing Arrangements $ 396,903 $ 60,655 $ 216,768 $ 57,621 $ 731,947 Legacy WMC Convertible Notes $ — $ — $ 79,120 $ — $ 79,120 Senior Unsecured Notes — — — 34,500 34,500 |
Schedule of Repurchase Agreement Counterparty | The following table presents information as of March 31, 2024 and December 31, 2023 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, 2024 December 31, 2023 Counterparty Stockholders' Equity Weighted Average Percentage of Stockholders' Equity Weighted Average Percentage of BofA Securities, Inc. $ 130,896 118 24.3 % $ 131,128 236 24.8 % Barclays Capital Inc. 81,783 83 15.2 % 81,047 85 15.3 % Goldman Sachs Bank USA 80,089 9 14.8 % 73,893 9 14.0 % JP Morgan Securities, LLC 43,078 62 8.0 % 46,642 134 8.8 % Various (1) 72,040 486 13.4 % 69,637 577 13.2 % (1) |
Other assets and liabilities (T
Other assets and liabilities (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
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 sheets as of March 31, 2024 and December 31, 2023 (in thousands). March 31, 2024 December 31, 2023 Other assets Interest receivable $ 31,436 $ 30,315 Real estate owned 5,428 5,644 Derivative assets, at fair value 739 1,321 Other assets 2,980 3,187 Due from broker 912 249 Total Other assets $ 41,495 $ 40,716 Other liabilities Due to affiliates (1) $ 3,724 $ 3,252 Interest payable 22,398 23,715 Derivative liabilities, at fair value 314 70 Accrued expenses 3,011 4,874 Due to broker 72 196 Total Other liabilities $ 29,519 $ 32,107 (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 information related to the Company's derivatives and other instruments and their balance sheet location as of March 31, 2024 and December 31, 2023 (in thousands). All notional amounts are denominated in USD. March 31, 2024 December 31, 2023 Derivatives and Other Instruments (1) Balance Sheet Notional Fair Value Notional Fair Value Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other assets $ 377,250 $ 267 $ 165,000 $ 149 Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other liabilities 77,000 — 338,000 — Short TBAs Other liabilities 32,000 (155) 9,000 (63) Forward Purchase Commitments Other assets 79,152 472 70,145 1,172 Forward Purchase Commitments Other liabilities 28,032 (159) 2,566 (7) (1) As of March 31, 2024 and December 31, 2023, no derivatives held by the Company were designated as hedges for accounting purposes. (2) As of March 31, 2024, the Company applied a reduction in fair value of $10.1 million and $1.0 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. As of December 31, 2023, the Company applied a reduction in fair value of $9.3 million and $7.7 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. (3) |
Schedule of Gains/(Losses) Related to Derivatives and Other Instruments | The following table summarizes total income related to derivatives and other instruments for the three months ended March 31, 2024 and 2023 (in thousands). Three Months Ended March 31, 2024 March 31, 2023 Included within Net interest component of interest rate swaps Interest Rate Swaps $ 1,900 $ 1,020 Included within Net unrealized gain/(loss) Interest Rate Swaps 10,313 (21,386) Long TBAs — 5 Short TBAs (92) (899) Forward Purchase Commitments (852) 2,311 9,369 (19,969) Included within Net realized gain/(loss) Interest Rate Swaps (3,141) 9,823 Short TBAs 10 179 Forward Purchase Commitments 1,132 — (1,999) 10,002 Total income/(loss) $ 9,270 $ (8,947) |
Schedule of To Be Announced Securities Activity | The following tables present information about the Company’s derivatives for the three months ended March 31, 2024 and 2023 (in thousands). Beginning Notional Buys or Covers Sales or Shorts(1) Ending Notional Derivative Derivative Liability Three Months Ended March 31, 2024 Short TBAs (2) $ (9,000) $ 34,000 $ (57,000) $ (32,000) $ — $ (155) Interest Rate Swaps 503,000 219,750 (268,500) 454,250 267 — Three Months Ended March 31, 2023 Long TBAs $ — $ 10,000 $ (10,000) $ — $ 8 $ (3) Short TBAs (2) (40,000) 100,000 (60,000) — 2 (251) Interest Rate Swaps 335,000 342,000 (209,000) 468,000 — (280) (1) The sales or shorts includes $60.0 million of swaps that matured during the three months ended March 31, 2024. (2) |
Earnings per share (Tables)
Earnings per share (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
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, 2024 and 2023 (in thousands, except per share data). Three Months Ended March 31, 2024 March 31, 2023 Numerator: Net Income/(Loss) $ 20,890 $ 12,540 Dividends on preferred stock (4,586) (4,586) Net Income/(Loss) Available to Common Stockholders $ 16,304 $ 7,954 Denominator: Basic weighted average common shares outstanding 29,453 21,066 Diluted weighted average common shares outstanding 29,479 21,066 Earnings/(Loss) Per Share Basic $ 0.55 $ 0.38 Diluted $ 0.55 $ 0.38 |
Schedule of Dividends Declared and Paid | The following tables detail the Company's common stock dividends declared during the three months ended March 31, 2024 and 2023. Three Months Ended March 31, 2024 Three Months Ended March 31, 2023 Declaration Date Record Date Payment Date Cash Dividend Per Share Declaration Date Record Date Payment Date Cash Dividend Per Share 3/15/2024 3/29/2024 4/30/2024 $ 0.18 3/15/2023 3/31/2023 4/28/2023 $ 0.18 The following tables detail the Company's preferred stock dividends declared and paid during the three months ended March 31, 2024 and 2023. 2024 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25% Series A 8.00% Series B 8.000% Series C 2/16/2024 2/29/2024 3/18/2024 $ 0.51563 $ 0.50 $ 0.50 2023 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25% Series A 8.00% Series B 8.000% Series C 2/16/2023 2/28/2023 3/17/2023 $ 0.51563 $ 0.50 $ 0.50 |
Income taxes (Tables)
Income taxes (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Income Tax Disclosure [Abstract] | |
Schedule of Tax Expense Attributable to the TRS | The below table details the tax expense attributable to its TRSs for the three months ended March 31, 2024 and 2023 (in thousands). Three Months Ended March 31, 2024 March 31, 2023 Income tax expense $ 25 $ 225 |
Related party transactions (Tab
Related party transactions (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Related Party Transactions [Abstract] | |
Schedule of Related Party Transactions | The below table details the management fees incurred during the three months ended March 31, 2024 and 2023 (in thousands). Three Months Ended Consolidated statements of operations line item: March 31, 2024 March 31, 2023 Management fee to affiliate (1) $ 1,741 $ 2,075 (1) For the three months ended March 31, 2024, the Manager agreed to waive its right to receive management fees of $0.6 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger. The below table details the expense reimbursement incurred during the three months ended March 31, 2024 and 2023 (in thousands). Three Months Ended Consolidated statements of operations line item: March 31, 2024 March 31, 2023 Non-investment related expenses (1) $ 1,664 $ 1,400 Investment related expenses 114 102 Transaction related expenses 68 63 Expense reimbursements to Manager or its affiliates $ 1,846 $ 1,565 (1) For the three months ended March 31, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.3 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger. Three Months Ended March 31, 2024 March 31, 2023 Fees paid to Asset Manager $ 658 $ 683 Three Months Ended March 31, 2024 March 31, 2023 Residential mortgage loans sold by Arc Home to the Company $ 79,791 $ — Residential mortgage loans sold by Arc Home to private funds under the management of TPG Angelo Gordon 156,401 90,584 Date Transaction Fair Value (1) Pricing Methodology June 2023 Purchase of Real Estate Securities $ 0.3 Competitive bidding process (2) November 2023 Purchase of Real Estate Securities (4) 4.8 Third party pricing vendors (3) November 2023 Purchase of MATH (4) 0.9 Third party pricing vendors (3) (1) As of the transaction date. (2) The Company submitted an offer to purchase the securities from an affiliate in a competitive bidding process, which allowed the Company to confirm third-party market pricing and best execution. (3) |
Schedule of Investments in Debt and Equity of Affiliates | The below table summarizes the components of the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of March 31, 2024 and December 31, 2023 (in thousands). March 31, 2024 December 31, 2023 Assets Liabilities Equity Assets Liabilities Equity Non-QM Securities (1) $ 16,523 $ — $ 16,523 $ 15,257 $ — $ 15,257 Re/Non-Performing Securities 7,337 (3,583) 3,754 7,569 (3,605) 3,964 Total Residential Investments 23,860 (3,583) 20,277 22,826 (3,605) 19,221 AG Arc, at fair value 33,190 — 33,190 33,574 — 33,574 Cash and Other assets/(liabilities) 1,431 (56) 1,375 2,361 (53) 2,308 Investments in debt and equity of affiliates $ 58,481 $ (3,639) $ 54,842 $ 58,761 $ (3,658) $ 55,103 (1) MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments. 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, 2024 and 2023 (in thousands). Three Months Ended March 31, 2024 March 31, 2023 Non-QM Securities $ 2,205 $ 1,625 Land Related Financing — 339 Re/Non-Performing Securities 105 192 AG Arc (1) (273) (2,140) Equity in earnings/(loss) from affiliates $ 2,037 $ 16 (1) Earnings/(loss) recognized by AG Arc do not include the Company's portion of gains or losses recorded by Arc Home in connection with the sale of residential mortgage loans to the Company. Refer to "Transactions with Arc Home" below for more information on this accounting policy. Three Months Ended March 31, 2024 March 31, 2023 Intra-Entity Profits Eliminated $ 201 $ — |
Equity (Tables)
Equity (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Equity [Abstract] | |
Schedule of Stock | The table below details the Company's share repurchases under the 2022 Repurchase Program during the three months March 31, 2023. Three Months Ended (1) Total Number of Shares Purchased Weighted Average Price Paid per Share (2) Total Number of Shares Purchased as Part of Publicly Announced Program Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (2) March 31, 2023 923,261 $ 5.68 923,261 $ 2,569,940 (1) Based on trade date. (2) Includes brokerage commissions and clearing fees. The following table includes a summary of preferred stock issued and outstanding as of March 31, 2024 ($ 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 stated rate per annum before holders of common stock are entitled to receive any cash dividends. |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Commitments and Contingencies Disclosure [Abstract] | |
Schedule of Outstanding Commitments | The below table details the Company's outstanding commitments as of March 31, 2024 (in thousands). Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment Non-Agency and Agency-Eligible Loans (1) Various $ 109,655 $ — $ 109,655 (1) The Company entered into forward purchase commitments to acquire certain Non-Agency and Agency-Eligible Loans from Arc Home which have not yet settled as of March 31, 2024. Refer to Note 10 "Transactions with affiliates" for more information. |
Organization - Narrative (Detai
Organization - Narrative (Details) $ / shares in Units, $ in Thousands | 3 Months Ended | ||||
Dec. 06, 2023 USD ($) qtr $ / shares shares | Aug. 08, 2023 USD ($) qtr | Mar. 31, 2024 segment $ / shares | Dec. 31, 2023 USD ($) $ / shares | Sep. 30, 2023 USD ($) | |
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||||
Number of reportable segments | segment | 1 | ||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | |||
AG Mortgage Investment Trust, Inc. | Western Asset Mortgage Capital Corporation Stockholders | |||||
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||||
Ownership percentage | 31% | ||||
MITT Management Agreement Amendment | Related Party | |||||
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||||
Amount to be waived | $ 1,300 | $ 1,300 | |||
Maximum cash consideration threshold | 7,000 | 7,000 | |||
Reduction in base management fee | $ 600 | $ 600 | |||
Number of quarters management fee reduction is effective | qtr | 4 | 4 | |||
Management fee waived | $ 2,400 | $ 2,400 | |||
WMC | |||||
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | ||||
Common stock, number of shares issued per acquiree share (in shares) | shares | 1.498 | ||||
Per share cash payment ( usd per share) | $ / shares | $ 0.92 | ||||
Number of shares issued (in shares) | shares | 9,202,000 | ||||
Transaction costs | $ 6,000 | $ 6,000 | |||
Bargain purchase gain | $ 30,190 | ||||
Arc Home | |||||
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||||
Loan securitization, ownership interest | 44.60% | ||||
Arc Home | Related Party | |||||
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||||
Loan securitization, ownership interest | 44.60% |
Organization - Schedule of Reco
Organization - Schedule of Recognized Identified Assets Acquired and Liabilities Assumed (Details) - USD ($) $ / shares in Units, $ in Thousands | Dec. 06, 2023 | Mar. 31, 2024 | Dec. 31, 2023 | Dec. 05, 2023 |
Consideration | ||||
Common stock, shares outstanding (in shares) | 29,453,000 | 29,437,000 | ||
WMC | ||||
Consideration | ||||
Common stock, number of shares issued per acquiree share (in shares) | 1.498 | |||
Number of shares issued (in shares) | 9,202,000 | |||
Share price (in dollars per share) | $ 5.56 | |||
MITT Total Consideration | $ 51,163 | |||
Assets | ||||
Cash and cash equivalents | 5,316 | |||
Restricted cash | 873 | |||
Other assets | 24,654 | |||
Total Assets | 1,193,534 | |||
Liabilities | ||||
Securitized debt | 837,317 | |||
Financing arrangements | 171,170 | |||
Convertible senior unsecured notes | 85,172 | |||
Other liabilities | 18,522 | |||
Total Liabilities | 1,112,181 | |||
Net Assets Acquired | 81,353 | |||
Bargain purchase gain | 30,190 | |||
WMC | Residential Mortgage | ||||
Assets | ||||
Financing arrangements | 6,046 | |||
WMC | Residential Mortgage | Securitized Residential Mortgage Loans | ||||
Assets | ||||
Financing arrangements | 971,781 | |||
WMC | Legacy WMC Commercial Loans | ||||
Assets | ||||
Financing arrangements | 78,459 | |||
WMC | Non-Agency RMBS | ||||
Assets | ||||
Securities | 48,200 | |||
WMC | Legacy WMC CMBS | ||||
Assets | ||||
Securities | 56,301 | |||
WMC | Legacy WMC Other Securities | ||||
Assets | ||||
Securities | 1,159 | |||
WMC | Agency RMBS | ||||
Assets | ||||
Securities | 745 | |||
WMC | Residential and Securitized Residential Mortgage Loans | ||||
Liabilities | ||||
Unpaid Principal Balance | $ 1,100,000 | |||
WMC | WMC | ||||
Consideration | ||||
Common stock, shares outstanding (in shares) | 6,143,000 |
Organization - Schedule of Busi
Organization - Schedule of Business Acquisition, Pro Forma Information (Details) - WMC $ in Thousands | 3 Months Ended |
Mar. 31, 2023 USD ($) | |
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |
Interest income | $ 77,235 |
Net Income/(Loss) Available to Common Stockholders | $ 15,104 |
Loans - Schedule of Company's R
Loans - Schedule of Company's Residential Mortgage Loan Portfolio and Commercial Loan Portfolio (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2024 | Dec. 31, 2023 | |
Residential Mortgage | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair Value | $ 204,351 | $ 317,631 |
Residential Mortgage | Securitized Residential Mortgage Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair Value | 5,645,004 | 5,358,281 |
Residential Portfolio Segment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 6,267,316 | 6,124,045 |
Premium (Discount) | (39,882) | (46,975) |
Amortized Cost | 6,227,434 | 6,077,070 |
Gross Unrealized Gains | 37,081 | 38,280 |
Gross Unrealized Losses | (415,160) | (439,438) |
Fair Value | $ 5,849,355 | $ 5,675,912 |
Weighted Average Coupon | 5.36% | 5.28% |
Weighted Average Yield | 5.75% | 5.68% |
Weighted Average Life (Years) | 9 years 3 months 18 days | 9 years 10 months 9 days |
Residential Portfolio Segment | Residential Mortgage | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 199,913 | $ 306,987 |
Premium (Discount) | 1,990 | 2,740 |
Amortized Cost | 201,903 | 309,727 |
Gross Unrealized Gains | 3,121 | 8,478 |
Gross Unrealized Losses | (673) | (574) |
Fair Value | $ 204,351 | $ 317,631 |
Weighted Average Coupon | 7.94% | 7.99% |
Weighted Average Yield | 8.27% | 8.08% |
Weighted Average Life (Years) | 3 years 4 months 9 days | 3 years 3 months 14 days |
Residential Portfolio Segment | Residential Mortgage | Securitized Residential Mortgage Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 6,067,403 | $ 5,817,058 |
Premium (Discount) | (41,872) | (49,715) |
Amortized Cost | 6,025,531 | 5,767,343 |
Gross Unrealized Gains | 33,960 | 29,802 |
Gross Unrealized Losses | (414,487) | (438,864) |
Fair Value | $ 5,645,004 | $ 5,358,281 |
Weighted Average Coupon | 5.28% | 5.14% |
Weighted Average Yield | 5.66% | 5.54% |
Weighted Average Life (Years) | 9 years 5 months 26 days | 10 years 2 months 15 days |
Residential Portfolio Segment | Non-Agency Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 97,544 | $ 92,033 |
Premium (Discount) | 1,112 | 835 |
Amortized Cost | 98,656 | 92,868 |
Gross Unrealized Gains | 1,131 | 2,222 |
Gross Unrealized Losses | (643) | (574) |
Fair Value | $ 99,144 | $ 94,516 |
Weighted Average Coupon | 8.16% | 8.10% |
Weighted Average Yield | 7.15% | 7.29% |
Weighted Average Life (Years) | 3 years 1 month 2 days | 3 years 1 month 20 days |
Residential Portfolio Segment | Non-Agency Loans | Securitized Residential Mortgage Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 5,854,878 | $ 5,599,960 |
Premium (Discount) | (25,250) | (32,250) |
Amortized Cost | 5,829,628 | 5,567,710 |
Gross Unrealized Gains | 33,960 | 29,603 |
Gross Unrealized Losses | (396,033) | (422,144) |
Fair Value | $ 5,467,555 | $ 5,175,169 |
Weighted Average Coupon | 5.33% | 5.19% |
Weighted Average Yield | 5.64% | 5.51% |
Weighted Average Life (Years) | 9 years 7 months 17 days | 10 years 4 months 13 days |
Residential Portfolio Segment | Agency-Eligible Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 99,930 | $ 212,350 |
Premium (Discount) | 2,397 | 3,535 |
Amortized Cost | 102,327 | 215,885 |
Gross Unrealized Gains | 658 | 4,824 |
Gross Unrealized Losses | (30) | 0 |
Fair Value | $ 102,955 | $ 220,709 |
Weighted Average Coupon | 7.72% | 7.94% |
Weighted Average Yield | 6.98% | 7.28% |
Weighted Average Life (Years) | 3 years 8 months 1 day | 3 years 4 months 13 days |
Residential Portfolio Segment | Re- and Non-Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 2,439 | $ 2,604 |
Premium (Discount) | (1,519) | (1,630) |
Amortized Cost | 920 | 974 |
Gross Unrealized Gains | 1,332 | 1,432 |
Gross Unrealized Losses | 0 | 0 |
Fair Value | $ 2,252 | $ 2,406 |
Weighted Average Yield | 116.45% | 112.97% |
Weighted Average Life (Years) | 1 year 7 months 13 days | 1 year 8 months 8 days |
Residential Portfolio Segment | Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 212,525 | $ 217,098 |
Premium (Discount) | (16,622) | (17,465) |
Amortized Cost | 195,903 | 199,633 |
Gross Unrealized Gains | 0 | 199 |
Gross Unrealized Losses | (18,454) | (16,720) |
Fair Value | $ 177,449 | $ 183,112 |
Weighted Average Coupon | 3.97% | 3.88% |
Weighted Average Yield | 6.27% | 6.30% |
Weighted Average Life (Years) | 5 years 9 months 10 days | 6 years 1 month 6 days |
Loans - Schedule of Credit Qual
Loans - Schedule of Credit Quality Information on Residential Mortgage Loans (Details) - Residential Portfolio Segment $ in Thousands | Mar. 31, 2024 USD ($) loan | Dec. 31, 2023 USD ($) loan |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 6,267,316 | $ 6,124,045 |
Loan Count | loan | 16,138 | 15,661 |
Weighted Average, Original LTV Ratio | 67.67% | 67.42% |
Weighted Average, Current FICO | 745 | 745 |
Mortgage loans 90+ days delinquent | $ 52,200 | $ 41,700 |
Mortgage loans in process of foreclosure | 52,600 | 51,800 |
Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 6,015,633 | 5,896,344 |
30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 86,870 | 87,248 |
60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 49,173 | 36,268 |
90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 113,201 | 101,581 |
Residential Mortgage | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 199,913 | $ 306,987 |
Loan Count | loan | 440 | 706 |
Weighted Average, Original LTV Ratio | 73.60% | 72.83% |
Weighted Average, Current FICO | 749 | 764 |
Residential Mortgage | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 191,040 | $ 295,081 |
Residential Mortgage | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 731 | 1,861 |
Residential Mortgage | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | 615 |
Residential Mortgage | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 5,703 | 6,826 |
Residential Mortgage | Securitized Residential Mortgage Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 6,067,403 | $ 5,817,058 |
Loan Count | loan | 15,698 | 14,955 |
Weighted Average, Original LTV Ratio | 67.48% | 67.14% |
Weighted Average, Current FICO | 745 | 744 |
Residential Mortgage | Securitized Residential Mortgage Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 5,824,593 | $ 5,601,263 |
Residential Mortgage | Securitized Residential Mortgage Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 86,139 | 85,387 |
Residential Mortgage | Securitized Residential Mortgage Loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 49,173 | 35,653 |
Residential Mortgage | Securitized Residential Mortgage Loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 107,498 | 94,755 |
Non-Agency Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 97,544 | $ 92,033 |
Loan Count | loan | 182 | 170 |
Weighted Average, Original LTV Ratio | 74.36% | 74.79% |
Weighted Average, Current FICO | 726 | 730 |
Non-Agency Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 91,110 | $ 83,582 |
Non-Agency Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 731 | 1,010 |
Non-Agency Loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | 615 |
Non-Agency Loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 5,703 | 6,826 |
Non-Agency Loans | Securitized Residential Mortgage Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 5,854,878 | $ 5,599,960 |
Loan Count | loan | 14,239 | 13,460 |
Weighted Average, Original LTV Ratio | 67.03% | 66.65% |
Weighted Average, Current FICO | 748 | 748 |
Non-Agency Loans | Securitized Residential Mortgage Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 5,674,716 | $ 5,446,631 |
Non-Agency Loans | Securitized Residential Mortgage Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 68,456 | 68,242 |
Non-Agency Loans | Securitized Residential Mortgage Loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 41,483 | 30,873 |
Non-Agency Loans | Securitized Residential Mortgage Loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 70,223 | 54,214 |
Agency-Eligible Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 99,930 | $ 212,350 |
Loan Count | loan | 258 | 536 |
Weighted Average, Original LTV Ratio | 72.86% | 71.99% |
Weighted Average, Current FICO | 771 | 777 |
Agency-Eligible Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 99,930 | $ 211,499 |
Agency-Eligible Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | 851 |
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 | 0 | 0 |
Re- and Non-Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 2,439 | 2,604 |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 212,525 | $ 217,098 |
Loan Count | loan | 1,459 | 1,495 |
Weighted Average, Original LTV Ratio | 79.78% | 79.80% |
Weighted Average, Current FICO | 659 | 657 |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 149,877 | $ 154,632 |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 17,683 | 17,145 |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 7,690 | 4,780 |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 37,275 | $ 40,541 |
Loans - Narrative (Details)
Loans - Narrative (Details) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 USD ($) loan | Mar. 31, 2023 loan | Dec. 31, 2023 USD ($) | |
Gain (Loss) on Securities [Line Items] | |||
Required percentage of fair value of certificates issued in the securitization | 5% | ||
Real estate owned | $ 5,428 | $ 5,644 | |
Securitized Residential Mortgage Loans | Revolving Mortgage Investment Trust 2015-1QR2 | |||
Gain (Loss) on Securities [Line Items] | |||
Real estate owned | $ 3,400 | $ 3,400 | |
Residential Portfolio Segment | |||
Gain (Loss) on Securities [Line Items] | |||
Percentage of unpaid principal balance with adjustable rate mortgages | 11.40% | 12% | |
Number of Loans | loan | 0 | ||
Fair Value | $ 5,849,355 | $ 5,675,912 | |
Residential Portfolio Segment | Non-Agency Loans | |||
Gain (Loss) on Securities [Line Items] | |||
Number of Loans | loan | 116 | ||
Fair Value | 99,144 | 94,516 | |
Residential Portfolio Segment | Securitized Residential Mortgage Loans | Non-Agency Loans | |||
Gain (Loss) on Securities [Line Items] | |||
Fair Value | 5,467,555 | 5,175,169 | |
Residential Portfolio Segment | Securitized Residential Mortgage Loans | Non-Agency Loans | Revolving Mortgage Investment Trust 2015-1QR2 | |||
Gain (Loss) on Securities [Line Items] | |||
Fair Value | $ 5,300 | $ 6,600 |
Loans - Schedule of Loans Purch
Loans - Schedule of Loans Purchased (Details) - Residential Portfolio Segment - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 282,132 | $ 22,550 |
Fair Value | 285,298 | 22,954 |
Non-Agency Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 14,046 | 22,550 |
Fair Value | 14,214 | 22,954 |
Agency-Eligible Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 268,086 | 0 |
Fair Value | $ 271,084 | $ 0 |
Loans - Schedule of Sold Reside
Loans - Schedule of Sold Residential Mortgage Loans (Details) - Residential Portfolio Segment $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 loan | Mar. 31, 2023 USD ($) loan | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 0 | |
Non-Agency Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 116 | |
Proceeds | $ 46,909 | |
Realized Gains | 0 | |
Realized Losses | $ (9,745) | |
Agency-Eligible Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 47 | |
Proceeds | $ 18,474 | |
Realized Gains | 69 | |
Realized Losses | $ (85) |
Loans - Schedule of Concentrati
Loans - Schedule of Concentrations of Credit Risk (Details) - Residential Portfolio Segment - Geographic Concentration Risk - Accounts Receivable | 3 Months Ended | 12 Months Ended |
Mar. 31, 2024 | Dec. 31, 2023 | |
California | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 37% | 38% |
New York | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 13% | 13% |
Florida | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 10% | 10% |
Texas | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 6% | 6% |
New Jersey | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 5% | 5% |
Loans - Schedule of Assets and
Loans - Schedule of Assets and Liabilities Related to VIEs (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 | ||
Assets | |||||
Restricted cash | $ 16,347 | $ 14,039 | |||
Other assets | 41,495 | 40,716 | |||
Total Assets | 6,400,668 | 6,126,428 | |||
Liabilities | |||||
Securitized debt, at fair value | [1] | 4,980,942 | 4,711,623 | ||
Other liabilities | [2] | 29,519 | 32,107 | ||
Total Liabilities | 5,861,103 | 5,598,060 | |||
Total Equity | 539,565 | 528,368 | $ 461,913 | $ 462,800 | |
Carrying Value | 5,826,283 | 5,564,481 | |||
Asset Pledged as Collateral | |||||
Assets | |||||
Securitized residential mortgage loans, at fair value | 1,150,502 | ||||
Securitized Residential Mortgage Loans | |||||
Liabilities | |||||
Carrying Value | |||||
Securitized Residential Mortgage Loans | Non-Agency Loans | Residential Portfolio Segment | |||||
Assets | |||||
Securitized residential mortgage loans, at fair value | 5,467,555 | 5,175,169 | |||
Other assets | 26,870 | 25,105 | |||
Total Assets | $ 5,494,425 | $ 5,200,274 | |||
Weighted Average Yield | 5.64% | 5.51% | |||
Weighted Average Life (Years) | 9 years 7 months 17 days | 10 years 4 months 13 days | |||
Liabilities | |||||
Securitized debt, at fair value | $ 4,871,205 | $ 4,597,490 | |||
Other liabilities | 18,740 | 17,269 | |||
Total Liabilities | $ 4,889,945 | $ 4,614,759 | |||
Weighted Average Yield | 5.07% | 4.94% | |||
Weighted Average Life (Years) | 7 years 1 month 6 days | 7 years 6 months 7 days | |||
Total Equity | $ 604,480 | $ 585,515 | |||
Carrying Value | 315,000 | 301,200 | |||
Securitized Residential Mortgage Loans | Non-Agency Loans | Residential Portfolio Segment | Asset Pledged as Collateral | |||||
Assets | |||||
Securitized residential mortgage loans, at fair value | 597,400 | 578,800 | |||
Securitized Residential Mortgage Loans | Re- and Non-Performing Loans | Residential Portfolio Segment | |||||
Assets | |||||
Securitized residential mortgage loans, at fair value | 177,449 | 183,112 | |||
Restricted cash | 17 | 10 | |||
Other assets | 1,736 | 2,056 | |||
Total Assets | $ 179,202 | $ 185,178 | |||
Weighted Average Yield | 6.27% | 6.30% | |||
Weighted Average Life (Years) | 5 years 9 months 10 days | 6 years 1 month 6 days | |||
Liabilities | |||||
Securitized debt, at fair value | $ 109,737 | $ 114,133 | |||
Other liabilities | 322 | 328 | |||
Total Liabilities | $ 110,059 | $ 114,461 | |||
Weighted Average Yield | 3.28% | 3.25% | |||
Weighted Average Life (Years) | 3 years 10 months 9 days | 3 years 9 months 7 days | |||
Total Equity | $ 69,143 | $ 70,717 | |||
Carrying Value | 43,600 | 44,900 | |||
Securitized Residential Mortgage Loans | Residential Mortgage | |||||
Assets | |||||
Securitized residential mortgage loans, at fair value | [1] | 5,645,004 | 5,358,281 | ||
Securitized Residential Mortgage Loans | Residential Mortgage | Residential Portfolio Segment | Asset Pledged as Collateral | |||||
Assets | |||||
Securitized residential mortgage loans, at fair value | $ 66,000 | $ 67,100 | |||
[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 securitizations as the Company was determined to be the primary beneficiary. See Note 3 for additional details. Refer to Note 7 and Note 10 for additional details on amounts payable to affiliates. |
Loans - Schedule of Commercial
Loans - Schedule of Commercial Loans Portfolio (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2024 | Dec. 31, 2023 | |
Legacy WMC Commercial Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair Value | $ 66,474 | $ 66,303 |
Loan A | Secured Overnight Financing Rate | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Floating coupon rate | 4.20% | 4.20% |
Loan B | Secured Overnight Financing Rate | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Floating coupon rate | 4.20% | 4.20% |
Loan C | Secured Overnight Financing Rate | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Floating coupon rate | 4.20% | 4.20% |
Loan D | Secured Overnight Financing Rate | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Floating coupon rate | 3.38% | 3.38% |
Commercial Portfolio Segment | Legacy WMC Commercial Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 67,204 | $ 67,204 |
Premium / (Discount) | (937) | (996) |
Amortized Cost | 66,267 | 66,208 |
Gross Unrealized Gains | 207 | 95 |
Fair Value | $ 66,474 | $ 66,303 |
Weighted Average Coupon | 9.25% | 9.27% |
Weighted Average Yield | 10.06% | 9.50% |
Weighted Average Life (Years) | 1 year 3 months 7 days | 1 year 6 months 7 days |
LTV | 63.63% | 63.61% |
Commercial Portfolio Segment | Loan A | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 7,259 | $ 7,259 |
Premium / (Discount) | (124) | (137) |
Amortized Cost | 7,135 | 7,122 |
Gross Unrealized Gains | 25 | 12 |
Fair Value | $ 7,160 | $ 7,134 |
Weighted Average Coupon | 9.52% | 9.55% |
Weighted Average Yield | 10.76% | 10.16% |
Weighted Average Life (Years) | 1 year 2 months 4 days | 1 year 5 months 8 days |
LTV | 61.63% | 61.63% |
Commercial Portfolio Segment | Loan B | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 13,206 | $ 13,206 |
Premium / (Discount) | (226) | (249) |
Amortized Cost | 12,980 | 12,957 |
Gross Unrealized Gains | 47 | 22 |
Fair Value | $ 13,027 | $ 12,979 |
Weighted Average Coupon | 9.52% | 9.55% |
Weighted Average Yield | 10.76% | 10.16% |
Weighted Average Life (Years) | 1 year 2 months 4 days | 1 year 5 months 8 days |
LTV | 75.33% | 75.33% |
Commercial Portfolio Segment | Loan C | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 24,535 | $ 24,535 |
Premium / (Discount) | (420) | (463) |
Amortized Cost | 24,115 | 24,072 |
Gross Unrealized Gains | 86 | 40 |
Fair Value | $ 24,201 | $ 24,112 |
Weighted Average Coupon | 9.52% | 9.55% |
Weighted Average Yield | 10.76% | 10.16% |
Weighted Average Life (Years) | 1 year 2 months 4 days | 1 year 5 months 8 days |
LTV | 77.22% | 77.22% |
Commercial Portfolio Segment | Loan D | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 22,204 | $ 22,204 |
Premium / (Discount) | (167) | (147) |
Amortized Cost | 22,037 | 22,057 |
Gross Unrealized Gains | 49 | 21 |
Fair Value | $ 22,086 | $ 22,078 |
Weighted Average Coupon | 8.70% | 8.72% |
Weighted Average Yield | 8.67% | 8.17% |
Weighted Average Life (Years) | 1 year 5 months 8 days | 1 year 8 months 8 days |
LTV | 42.50% | 42.50% |
Real Estate Securities - Schedu
Real Estate Securities - Schedule of Real Estate Securities Portfolio (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 309,831 | $ 229,642 |
Premium / (Discount) | (57,939) | (82,605) |
Amortized Cost | 277,747 | 168,582 |
Gross Unrealized Gains | 6,812 | 5,251 |
Gross Unrealized Losses | (12,691) | (11,012) |
Fair Value | $ 271,868 | $ 162,821 |
Weighted Average Coupon | 4.74% | 3.54% |
Weighted Average Yield | 10.06% | 14.01% |
VIE, Not Primary Beneficiary | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 43,794 | $ 43,794 |
Fair Value | $ 39,163 | $ 37,533 |
Weighted Average Coupon | 5.68% | 5.67% |
Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 84,724 | $ 126,184 |
Premium / (Discount) | (12,035) | (35,680) |
Amortized Cost | 75,320 | 94,161 |
Gross Unrealized Gains | 5,669 | 4,590 |
Gross Unrealized Losses | (7,513) | (9,129) |
Fair Value | $ 73,476 | $ 89,622 |
Weighted Average Coupon | 3.02% | 2.17% |
Weighted Average Yield | 9.27% | 9.66% |
Residential Portfolio Segment | VIE, Not Primary Beneficiary | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 43,794 | $ 43,794 |
Premium / (Discount) | (2,179) | (2,281) |
Amortized Cost | 44,070 | 44,054 |
Gross Unrealized Gains | 2,499 | 2,450 |
Gross Unrealized Losses | (7,406) | (8,971) |
Fair Value | $ 39,163 | $ 37,533 |
Weighted Average Coupon | 2.53% | 2.20% |
Weighted Average Yield | 9.94% | 10.21% |
Non-Agency Securities | VIE, Not Primary Beneficiary | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 43,794 | $ 43,794 |
Fair Value | 34,209 | 32,542 |
Non-Agency Securities | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | 40,930 | 82,390 |
Premium / (Discount) | (9,856) | (33,399) |
Amortized Cost | 31,074 | 48,991 |
Gross Unrealized Gains | 3,166 | 2,139 |
Gross Unrealized Losses | (107) | (124) |
Fair Value | $ 34,133 | $ 51,006 |
Weighted Average Coupon | 6.21% | 4.99% |
Weighted Average Yield | 8.41% | 9.11% |
Non-Agency Securities | Residential Portfolio Segment | VIE, Not Primary Beneficiary | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 43,794 | $ 43,794 |
Premium / (Discount) | (2,179) | (2,281) |
Amortized Cost | 41,615 | 41,513 |
Gross Unrealized Gains | 0 | 0 |
Gross Unrealized Losses | (7,406) | (8,971) |
Fair Value | $ 34,209 | $ 32,542 |
Weighted Average Coupon | 4.67% | 4.67% |
Weighted Average Yield | 6.01% | 5.99% |
Non-Agency RMBS Interest Only | VIE, Not Primary Beneficiary | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | $ 4,954 | $ 4,991 |
Non-Agency RMBS Interest Only | Residential Portfolio Segment | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 176 | 1,116 |
Gross Unrealized Gains | 4 | 1 |
Gross Unrealized Losses | 0 | (34) |
Fair Value | $ 180 | $ 1,083 |
Weighted Average Coupon | 0.21% | 0.35% |
Weighted Average Yield | 26.83% | 16.04% |
Real estate securities notional amount | $ 30,600 | $ 128,800 |
Non-Agency RMBS Interest Only | Residential Portfolio Segment | VIE, Not Primary Beneficiary | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 2,455 | 2,541 |
Gross Unrealized Gains | 2,499 | 2,450 |
Gross Unrealized Losses | 0 | 0 |
Fair Value | $ 4,954 | $ 4,991 |
Weighted Average Coupon | 0.54% | 0% |
Weighted Average Yield | 37.04% | 37.74% |
Real estate securities notional amount | $ 93,900 | $ 98,300 |
Legacy WMC CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | 103,399 | 103,458 |
Premium / (Discount) | (46,027) | (46,925) |
Amortized Cost | 57,372 | 56,533 |
Gross Unrealized Gains | 944 | 546 |
Gross Unrealized Losses | (3,927) | (730) |
Fair Value | $ 54,389 | $ 56,349 |
Weighted Average Coupon | 7.38% | 7.39% |
Weighted Average Yield | 20.97% | 21.90% |
Legacy WMC Other Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 1,120 | $ 1,174 |
Gross Unrealized Gains | 100 | 0 |
Gross Unrealized Losses | 0 | (18) |
Fair Value | $ 1,220 | $ 1,156 |
Weighted Average Yield | 19.45% | 18.16% |
30 Year Fixed Rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 121,708 | |
Premium / (Discount) | 123 | |
Amortized Cost | 121,831 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | (111) | |
Fair Value | $ 121,720 | |
Weighted Average Coupon | 5.50% | |
Weighted Average Yield | 5.48% | |
Interest Only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 22,104 | $ 16,714 |
Gross Unrealized Gains | 99 | 115 |
Gross Unrealized Losses | (1,140) | (1,135) |
Fair Value | $ 21,063 | $ 15,694 |
Weighted Average Coupon | 4.01% | 3.74% |
Weighted Average Yield | 10.59% | 10.20% |
Real estate securities notional amount | $ 114,800 | $ 92,200 |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | 121,708 | |
Premium / (Discount) | 123 | |
Amortized Cost | 143,935 | |
Gross Unrealized Gains | 99 | |
Gross Unrealized Losses | (1,251) | |
Fair Value | $ 142,783 | |
Weighted Average Coupon | 4.77% | |
Weighted Average Yield | 6.24% |
Real Estate Securities - Sche_2
Real Estate Securities - Schedule of Weighted Average Life of Real Estate Securities (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Non-Agency RMBS | ||
Fair Value | ||
Less than or equal to one year | $ 0 | $ 0 |
Greater than one year and less than or equal to five years | 3,546 | 4,631 |
Greater than five years and less than or equal to ten years | 38,425 | 38,792 |
Greater than ten years | 31,505 | 46,199 |
Total as of December | 73,476 | 89,622 |
Amortized Cost | ||
Less than or equal to one year | 0 | 0 |
Greater than one year and less than or equal to five years | 3,502 | 4,669 |
Greater than five years and less than or equal to ten years | 39,112 | 40,539 |
Greater than ten years | 32,706 | 48,953 |
Total as of December | 75,320 | 94,161 |
Legacy WMC CMBS | ||
Fair Value | ||
Less than or equal to one year | 18,348 | 15,015 |
Greater than one year and less than or equal to five years | 36,041 | 41,334 |
Greater than five years and less than or equal to ten years | 0 | 0 |
Greater than ten years | 0 | 0 |
Total as of December | 54,389 | 56,349 |
Amortized Cost | ||
Less than or equal to one year | 20,595 | 15,010 |
Greater than one year and less than or equal to five years | 36,777 | 41,523 |
Greater than five years and less than or equal to ten years | 0 | 0 |
Greater than ten years | 0 | 0 |
Total as of December | 57,372 | 56,533 |
Legacy WMC Other Securities | ||
Fair Value | ||
Less than or equal to one 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 | 1,220 | 1,156 |
Greater than ten years | 0 | 0 |
Total as of December | 1,220 | 1,156 |
Amortized Cost | ||
Less than or equal to one 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 | 1,120 | 1,174 |
Greater than ten years | 0 | 0 |
Total as of December | 1,120 | 1,174 |
Agency RMBS | ||
Fair Value | ||
Less than or equal to one year | 0 | 0 |
Greater than one year and less than or equal to five years | 609 | 697 |
Greater than five years and less than or equal to ten years | 142,174 | 14,997 |
Greater than ten years | 0 | 0 |
Total as of December | 142,783 | 15,694 |
Amortized Cost | ||
Less than or equal to one year | 0 | 0 |
Greater than one year and less than or equal to five years | 632 | 678 |
Greater than five years and less than or equal to ten years | 143,303 | 16,036 |
Greater than ten years | 0 | 0 |
Total as of December | $ 143,935 | $ 16,714 |
Real Estate Securities - Sale o
Real Estate Securities - Sale of Real Estate Securities (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 USD ($) security | Mar. 31, 2023 USD ($) | |
Debt Securities, Available-for-sale [Line Items] | ||
Proceeds | $ 19,318 | $ 0 |
Settled Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Number of Securities | security | 7 | |
Proceeds | $ 19,318 | |
Realized Gains | 1,160 | |
Realized Losses | $ (409) |
Real Estate Securities - Uncons
Real Estate Securities - Unconsolidated Variable Interest Entities (Details) - VIE, Not Primary Beneficiary | Mar. 31, 2024 |
TPG Angelo Gordon | |
Variable Interest Entity [Line Items] | |
Ownership interest in subordinate tranches | 40.90% |
Mortgage Acquisition Trust I LLC, Four Securitizations | |
Variable Interest Entity [Line Items] | |
Ownership interest in subordinate tranches | 44.60% |
Mortgage Acquisition Trust I LLC, Non-Risk Retention Bonds | |
Variable Interest Entity [Line Items] | |
Ownership interest in subordinate tranches | 57.70% |
MATH | |
Variable Interest Entity [Line Items] | |
Ownership interest in subordinate tranches | 47% |
Real Estate Securities - Sche_3
Real Estate Securities - Schedule of Unconsolidated variable interest entities (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Variable Interest Entity [Line Items] | ||
Current Face | $ 309,831 | $ 229,642 |
Fair Value | 271,868 | 162,821 |
Residential Portfolio Segment | ||
Variable Interest Entity [Line Items] | ||
Current Face | 84,724 | 126,184 |
Fair Value | 73,476 | 89,622 |
Non-Agency Securities | Residential Portfolio Segment | ||
Variable Interest Entity [Line Items] | ||
Current Face | 40,930 | 82,390 |
Fair Value | 34,133 | 51,006 |
Non-Agency RMBS Interest Only | Residential Portfolio Segment | ||
Variable Interest Entity [Line Items] | ||
Fair Value | 180 | 1,083 |
Real estate securities notional amount | 30,600 | 128,800 |
VIE, Not Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Current Face | 43,794 | 43,794 |
Fair Value | 39,163 | 37,533 |
First loss exposure, fair value | 4,100 | 4,100 |
VIE, Not Primary Beneficiary | Residential Portfolio Segment | ||
Variable Interest Entity [Line Items] | ||
Current Face | 43,794 | 43,794 |
Fair Value | 39,163 | 37,533 |
VIE, Not Primary Beneficiary | Non-Agency Securities | ||
Variable Interest Entity [Line Items] | ||
Current Face | 43,794 | 43,794 |
Fair Value | 34,209 | 32,542 |
VIE, Not Primary Beneficiary | Non-Agency Securities | Residential Portfolio Segment | ||
Variable Interest Entity [Line Items] | ||
Current Face | 43,794 | 43,794 |
Fair Value | 34,209 | 32,542 |
VIE, Not Primary Beneficiary | Non-Agency RMBS Interest Only | ||
Variable Interest Entity [Line Items] | ||
Fair Value | 4,954 | 4,991 |
VIE, Not Primary Beneficiary | Non-Agency RMBS Interest Only | Residential Portfolio Segment | ||
Variable Interest Entity [Line Items] | ||
Fair Value | 4,954 | 4,991 |
Real estate securities notional amount | $ 93,900 | $ 98,300 |
Real Estate Securities - Sche_4
Real Estate Securities - Schedule of unconsolidated VIEs (Details) $ in Thousands | Mar. 31, 2024 USD ($) trust | Dec. 31, 2023 USD ($) |
Variable Interest Entity [Line Items] | ||
Weighted average coupon on loans outstanding | 4.74% | 3.54% |
VIE, Not Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Unpaid Principal Balance | $ | $ 436,585 | $ 450,366 |
Weighted average coupon on loans outstanding | 5.68% | 5.67% |
Percent of unpaid principal balance greater than 90 days delinquent | 1.57% | 1.94% |
Loans 90 days or more delinquent, not in foreclosure | 0.88% | 0.70% |
Loans 90 days or more delinquent, in process of foreclosure | 0.69% | 1.24% |
VIE, Not Primary Beneficiary | TPG Angelo Gordon, One Securitization | ||
Variable Interest Entity [Line Items] | ||
Ownership interest in subordinate tranches | 40.90% | |
Number of securitization trusts | 1 | |
VIE, Not Primary Beneficiary | Mortgage Acquisition Trust I LLC, Four Securitizations | ||
Variable Interest Entity [Line Items] | ||
Ownership interest in subordinate tranches | 44.60% | |
Number of securitization trusts | 4 |
Fair value measurements - Sched
Fair value measurements - Schedule of Financial Instruments Measured at Fair Value (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 | |
Assets: | |||
Derivative Asset, Statement of Financial Position [Extensible Enumeration] | Other assets | Other assets | |
Derivative Asset | $ 10,823 | $ 10,605 | |
Cash equivalents | 96,628 | 95,749 | |
AG Arc | 33,190 | 33,574 | |
Total Assets Measured at Fair Value | 6,328,338 | 6,044,964 | |
Liabilities: | |||
Securitized debt | (4,980,942) | (4,711,623) | |
Derivative liabilities | (1,306) | (7,790) | |
Total Liabilities Measured at Fair Value | (4,982,248) | (4,719,413) | |
Interest Rate Swaps | |||
Assets: | |||
Derivative Asset | 267 | $ 0 | |
Liabilities: | |||
Derivative asset, reduction in fair value related to variation margin | 10,100 | 9,300 | |
Derivative liabilities, reduction related to variation margin | 1,000 | 7,700 | |
Residential Mortgage | |||
Assets: | |||
Fair Value | 204,351 | 317,631 | |
Residential Mortgage | Securitized Residential Mortgage Loans | |||
Assets: | |||
Fair Value | 5,645,004 | 5,358,281 | |
Legacy WMC Commercial Loans | |||
Assets: | |||
Fair Value | 66,474 | 66,303 | |
Non-Agency RMBS | |||
Assets: | |||
Debt securities, available for sale | 73,476 | 89,622 | |
Legacy WMC CMBS | |||
Assets: | |||
Debt securities, available for sale | 54,389 | 56,349 | |
Legacy WMC Other Securities | |||
Assets: | |||
Debt securities, available for sale | 1,220 | 1,156 | |
Agency RMBS | |||
Assets: | |||
Debt securities, available for sale | 142,783 | 15,694 | |
Level 1 | |||
Assets: | |||
Derivative Asset | 0 | 0 | |
Cash equivalents | 96,628 | 95,749 | |
AG Arc | 0 | 0 | |
Total Assets Measured at Fair Value | 96,628 | 95,749 | |
Liabilities: | |||
Securitized debt | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
Total Liabilities Measured at Fair Value | 0 | 0 | |
Level 1 | Residential Mortgage | |||
Assets: | |||
Fair Value | 0 | 0 | |
Level 1 | Residential Mortgage | Securitized Residential Mortgage Loans | |||
Assets: | |||
Fair Value | 0 | 0 | |
Level 1 | Legacy WMC Commercial Loans | |||
Assets: | |||
Fair Value | 0 | 0 | |
Level 1 | Non-Agency RMBS | |||
Assets: | |||
Debt securities, available for sale | 0 | 0 | |
Level 1 | Legacy WMC CMBS | |||
Assets: | |||
Debt securities, available for sale | 0 | 0 | |
Level 1 | Legacy WMC Other Securities | |||
Assets: | |||
Debt securities, available for sale | 0 | 0 | |
Level 1 | Agency RMBS | |||
Assets: | |||
Debt securities, available for sale | 0 | 0 | |
Level 2 | |||
Assets: | |||
Derivative Asset | 10,351 | 9,433 | |
Cash equivalents | 0 | 0 | |
AG Arc | 0 | 0 | |
Total Assets Measured at Fair Value | 239,363 | 128,546 | |
Liabilities: | |||
Securitized debt | 0 | 0 | |
Derivative liabilities | (1,147) | (7,783) | |
Total Liabilities Measured at Fair Value | (1,147) | (7,783) | |
Level 2 | Residential Mortgage | |||
Assets: | |||
Fair Value | 795 | 777 | |
Level 2 | Residential Mortgage | Securitized Residential Mortgage Loans | |||
Assets: | |||
Fair Value | 0 | 0 | |
Level 2 | Legacy WMC Commercial Loans | |||
Assets: | |||
Fair Value | 0 | 0 | |
Level 2 | Non-Agency RMBS | |||
Assets: | |||
Debt securities, available for sale | 34,313 | 52,089 | |
Level 2 | Legacy WMC CMBS | |||
Assets: | |||
Debt securities, available for sale | 51,121 | 50,553 | |
Level 2 | Legacy WMC Other Securities | |||
Assets: | |||
Debt securities, available for sale | 0 | 0 | |
Level 2 | Agency RMBS | |||
Assets: | |||
Debt securities, available for sale | 142,783 | 15,694 | |
Level 3 | |||
Assets: | |||
Derivative Asset | 472 | 1,172 | |
Cash equivalents | 0 | 0 | |
AG Arc | 33,190 | 33,574 | |
Total Assets Measured at Fair Value | 5,992,347 | 5,820,669 | |
Liabilities: | |||
Securitized debt | (4,980,942) | (4,711,623) | |
Derivative liabilities | (159) | (7) | |
Total Liabilities Measured at Fair Value | (4,981,101) | (4,711,630) | |
Level 3 | Residential Mortgage | |||
Assets: | |||
Fair Value | 203,556 | 316,854 | |
Level 3 | Residential Mortgage | Securitized Residential Mortgage Loans | |||
Assets: | |||
Fair Value | 5,645,004 | 5,358,281 | |
Level 3 | Legacy WMC Commercial Loans | |||
Assets: | |||
Fair Value | 66,474 | 66,303 | |
Level 3 | Non-Agency RMBS | |||
Assets: | |||
Debt securities, available for sale | 39,163 | 37,533 | |
Level 3 | Legacy WMC CMBS | |||
Assets: | |||
Debt securities, available for sale | 3,268 | 5,796 | |
Level 3 | Legacy WMC Other Securities | |||
Assets: | |||
Debt securities, available for sale | 1,220 | 1,156 | |
Level 3 | Agency RMBS | |||
Assets: | |||
Debt securities, available for sale | $ 0 | $ 0 |
Fair value measurements - Sch_2
Fair value measurements - Schedule of Assets and Liabilities Measured on a Recurring Basis (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Securitized Debt | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | $ (4,711,623) | $ (3,262,352) |
Purchases | 0 | 0 |
Issuances of Securitized Debt | (363,899) | (234,754) |
Capital distributions | 0 | |
Proceeds from sales or settlements | 0 | 0 |
Principal repayments | 124,587 | 66,957 |
Total net gains/(losses) | ||
Other | 0 | 0 |
Ending Balance | (4,980,942) | (3,505,529) |
Securitized Debt | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (7,578) | (2,738) |
Securitized Debt | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Securitized Debt | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (22,429) | (72,642) |
Securitized Debt | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Derivative Liabilities | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | (7) | (9) |
Purchases | 0 | 0 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | |
Proceeds from sales or settlements | 49 | 0 |
Principal repayments | 0 | 0 |
Total net gains/(losses) | ||
Other | 0 | 0 |
Ending Balance | (159) | (75) |
Derivative Liabilities | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Derivative Liabilities | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (49) | 0 |
Derivative Liabilities | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (152) | (66) |
Derivative Liabilities | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Level 3 | Securitized Debt | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (7,578) | (2,738) |
Level 3 | Securitized Debt | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (22,429) | (72,642) |
Level 3 | Securitized Debt | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Level 3 | Derivative Liabilities | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Level 3 | Derivative Liabilities | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (159) | (66) |
Level 3 | Derivative Liabilities | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Residential Mortgage Loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 5,675,135 | 4,127,843 |
Purchases | 287,617 | 22,755 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | |
Proceeds from sales or settlements | 0 | (65,383) |
Principal repayments | (140,625) | (73,956) |
Total net gains/(losses) | ||
Other | (822) | (1,083) |
Ending Balance | 5,848,560 | 4,098,773 |
Residential Mortgage Loans | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 4,197 | 1,144 |
Residential Mortgage Loans | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 2 | (9,758) |
Residential Mortgage Loans | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 23,056 | 97,211 |
Residential Mortgage Loans | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Residential Mortgage Loans | Level 3 | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 4,197 | 1,144 |
Residential Mortgage Loans | Level 3 | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 23,056 | 87,029 |
Residential Mortgage Loans | Level 3 | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Legacy WMC Commercial Loans | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 66,303 | |
Purchases | 0 | |
Issuances of Securitized Debt | 0 | |
Capital distributions | 0 | |
Proceeds from sales or settlements | 0 | |
Principal repayments | 0 | |
Total net gains/(losses) | ||
Other | 0 | |
Ending Balance | 66,474 | |
Legacy WMC Commercial Loans | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 60 | |
Legacy WMC Commercial Loans | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | |
Legacy WMC Commercial Loans | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 111 | |
Legacy WMC Commercial Loans | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | |
Legacy WMC Commercial Loans | Level 3 | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 60 | |
Legacy WMC Commercial Loans | Level 3 | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 111 | |
Legacy WMC Commercial Loans | Level 3 | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | |
Non-Agency RMBS | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 37,533 | 14,917 |
Purchases | 0 | 0 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | |
Proceeds from sales or settlements | 0 | 0 |
Principal repayments | 0 | 0 |
Total net gains/(losses) | ||
Other | 0 | 0 |
Ending Balance | 39,163 | 15,039 |
Non-Agency RMBS | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 16 | (76) |
Non-Agency RMBS | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Non-Agency RMBS | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 1,614 | 198 |
Non-Agency RMBS | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Non-Agency RMBS | Level 3 | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 16 | (76) |
Non-Agency RMBS | Level 3 | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 1,614 | 198 |
Non-Agency RMBS | Level 3 | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Legacy WMC CMBS | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 5,796 | |
Purchases | 0 | |
Issuances of Securitized Debt | 0 | |
Capital distributions | 0 | |
Proceeds from sales or settlements | 0 | |
Principal repayments | 0 | |
Total net gains/(losses) | ||
Other | 0 | |
Ending Balance | 3,268 | |
Legacy WMC CMBS | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (63) | |
Legacy WMC CMBS | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | |
Legacy WMC CMBS | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (2,465) | |
Legacy WMC CMBS | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | |
Legacy WMC CMBS | Level 3 | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (63) | |
Legacy WMC CMBS | Level 3 | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (2,465) | |
Legacy WMC CMBS | Level 3 | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | |
Legacy WMC Other Securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 1,156 | |
Purchases | 0 | |
Issuances of Securitized Debt | 0 | |
Capital distributions | 0 | |
Proceeds from sales or settlements | 0 | |
Principal repayments | 0 | |
Total net gains/(losses) | ||
Other | 0 | |
Ending Balance | 1,220 | |
Legacy WMC Other Securities | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (54) | |
Legacy WMC Other Securities | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | |
Legacy WMC Other Securities | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 118 | |
Legacy WMC Other Securities | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | |
Legacy WMC Other Securities | Level 3 | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (54) | |
Legacy WMC Other Securities | Level 3 | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 118 | |
Legacy WMC Other Securities | Level 3 | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | |
Derivative Assets | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 1,172 | 98 |
Purchases | 0 | 0 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | |
Proceeds from sales or settlements | (1,181) | 0 |
Principal repayments | 0 | 0 |
Total net gains/(losses) | ||
Other | 0 | 0 |
Ending Balance | 472 | 2,475 |
Derivative Assets | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Derivative Assets | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 1,181 | 0 |
Derivative Assets | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (700) | 2,377 |
Derivative Assets | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Derivative Assets | Level 3 | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
Derivative Assets | Level 3 | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 472 | 2,377 |
Derivative Assets | Level 3 | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
AG Arc | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 33,574 | 39,680 |
Purchases | 0 | 0 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | (312) | |
Proceeds from sales or settlements | 0 | 0 |
Principal repayments | 0 | 0 |
Total net gains/(losses) | ||
Other | 0 | 0 |
Ending Balance | 33,190 | 37,540 |
AG Arc | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
AG Arc | Net realized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
AG Arc | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
AG Arc | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (72) | (2,140) |
AG Arc | Level 3 | Net premium and discount amortization | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
AG Arc | Level 3 | Net unrealized gain/(loss) | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | 0 |
AG Arc | Level 3 | Equity in earnings/(loss) from affiliates | ||
Total net gains/(losses) | ||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ (72) | $ (2,140) |
Fair value measurements - Sch_3
Fair value measurements - Schedule of Valuation Techniques (Details) $ in Thousands | Mar. 31, 2024 USD ($) quote | Dec. 31, 2023 USD ($) quote |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 271,868 | $ 162,821 |
Derivative assets, at fair value | 10,823 | 10,605 |
Derivative Liability | (314) | (70) |
Legacy WMC CMBS | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | 54,389 | 56,349 |
Legacy WMC Other Securities | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | 1,220 | 1,156 |
Level 3 | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative assets, at fair value | 472 | 1,172 |
Level 3 | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative assets, at fair value | 472 | 1,172 |
Derivative Liability | $ (159) | $ (7) |
Level 3 | Yield | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0632 | 0.0629 |
Derivative liability, measurement input | 0.0641 | 0.0647 |
Level 3 | Yield | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0939 | 0.0832 |
Derivative liability, measurement input | 0.0717 | 0.0700 |
Level 3 | Yield | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0723 | 0.0681 |
Derivative liability, measurement input | 0.0669 | 0.0651 |
Level 3 | Projected Collateral Prepayments | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.1045 | 0.1820 |
Derivative liability, measurement input | 0.1959 | 0.2736 |
Level 3 | Projected Collateral Prepayments | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.3162 | 0.3378 |
Derivative liability, measurement input | 0.3175 | 0.3444 |
Level 3 | Projected Collateral Prepayments | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.2242 | 0.2700 |
Derivative liability, measurement input | 0.2759 | 0.3430 |
Level 3 | Projected Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0001 | 0 |
Derivative liability, measurement input | 0.0001 | 0 |
Level 3 | Projected Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0270 | 0.0082 |
Derivative liability, measurement input | 0.0031 | 0.0002 |
Level 3 | Projected Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0075 | 0.0014 |
Derivative liability, measurement input | 0.0007 | 0 |
Level 3 | Projected Collateral Severities | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.1000 | 0.1000 |
Derivative liability, measurement input | 0.1000 | 0.1000 |
Level 3 | Projected Collateral Severities | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.1000 | 0.1000 |
Derivative liability, measurement input | 0.1000 | 0.1000 |
Level 3 | Projected Collateral Severities | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.1000 | 0.1000 |
Derivative liability, measurement input | 0.1000 | 0.1000 |
Level 3 | Pull Through Percentages | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.6000 | 0.6000 |
Derivative liability, measurement input | 0.6000 | 0.6000 |
Level 3 | Pull Through Percentages | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 1 | 1 |
Derivative liability, measurement input | 1 | 1 |
Level 3 | Pull Through Percentages | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.8504 | 0.9221 |
Derivative liability, measurement input | 0.7684 | 0.9922 |
Level 3 | Residential Mortgage | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 203,556 | $ 316,854 |
Level 3 | Residential Mortgage | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 5,645,004 | $ 5,358,281 |
Level 3 | Residential Mortgage | Yield | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0632 | 0.0613 |
Level 3 | Residential Mortgage | Yield | Minimum | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0568 | 0.0567 |
Level 3 | Residential Mortgage | Yield | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1375 | 0.1875 |
Level 3 | Residential Mortgage | Yield | Maximum | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0956 | 0.0947 |
Level 3 | Residential Mortgage | Yield | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0696 | 0.0664 |
Level 3 | Residential Mortgage | Yield | Weighted Average | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0629 | 0.0623 |
Level 3 | Residential Mortgage | Projected Collateral Prepayments | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0284 | 0.0389 |
Level 3 | Residential Mortgage | Projected Collateral Prepayments | Minimum | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0405 | 0.0302 |
Level 3 | Residential Mortgage | Projected Collateral Prepayments | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.3725 | 0.3435 |
Level 3 | Residential Mortgage | Projected Collateral Prepayments | Maximum | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1440 | 0.1047 |
Level 3 | Residential Mortgage | Projected Collateral Prepayments | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.2452 | 0.2488 |
Level 3 | Residential Mortgage | Projected Collateral Prepayments | Weighted Average | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0588 | 0.0472 |
Level 3 | Residential Mortgage | Projected 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 | Projected Collateral Losses | Minimum | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0002 | 0.0002 |
Level 3 | Residential Mortgage | Projected Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.2178 | 0.1272 |
Level 3 | Residential Mortgage | Projected Collateral Losses | Maximum | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0188 | 0.0188 |
Level 3 | Residential Mortgage | Projected Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0073 | 0.0015 |
Level 3 | Residential Mortgage | Projected Collateral Losses | Weighted Average | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0016 | 0.0016 |
Level 3 | Residential Mortgage | Projected Collateral Severities | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | (0.2500) | (0.3875) |
Level 3 | Residential Mortgage | Projected Collateral Severities | Minimum | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | (0.1497) | (0.1344) |
Level 3 | Residential Mortgage | Projected Collateral Severities | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.4402 | 0.4401 |
Level 3 | Residential Mortgage | Projected Collateral Severities | Maximum | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.2600 | 0.2600 |
Level 3 | Residential Mortgage | Projected Collateral Severities | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0972 | 0.0962 |
Level 3 | Residential Mortgage | Projected Collateral Severities | Weighted Average | Securitized Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1827 | 0.1738 |
Level 3 | Legacy WMC Commercial Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 66,474 | $ 66,303 |
Level 3 | Legacy WMC Commercial Loans | Yield | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0862 | 0.0816 |
Level 3 | Legacy WMC Commercial Loans | Yield | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1070 | 0.1013 |
Level 3 | Legacy WMC Commercial Loans | Yield | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1001 | 0.0947 |
Level 3 | Legacy WMC Commercial Loans | Credit Spread | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0377 | 0.0377 |
Level 3 | Legacy WMC Commercial Loans | Credit Spread | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0550 | 0.0556 |
Level 3 | Legacy WMC Commercial Loans | Credit Spread | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0493 | 0.0496 |
Level 3 | Legacy WMC Commercial Loans | Recovery Percentage | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | 1 |
Level 3 | Legacy WMC Commercial Loans | Recovery Percentage | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | 1 |
Level 3 | Legacy WMC Commercial Loans | Recovery Percentage | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1 | 1 |
Level 3 | Legacy WMC Commercial Loans | Loan-to-Value | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.4250 | 0.4250 |
Level 3 | Legacy WMC Commercial Loans | Loan-to-Value | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.7722 | 0.7722 |
Level 3 | Legacy WMC Commercial Loans | Loan-to-Value | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.6363 | 0.6361 |
Level 3 | Non-Agency RMBS | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 39,163 | $ 37,533 |
Level 3 | Non-Agency RMBS | Yield | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0597 | 0.0623 |
Level 3 | Non-Agency RMBS | Yield | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1400 | 0.1400 |
Level 3 | Non-Agency RMBS | Yield | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0918 | 0.0970 |
Level 3 | Non-Agency RMBS | Projected Collateral Prepayments | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0468 | 0.0455 |
Level 3 | Non-Agency RMBS | Projected Collateral Prepayments | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0657 | 0.0526 |
Level 3 | Non-Agency RMBS | Projected Collateral Prepayments | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0549 | 0.0493 |
Level 3 | Non-Agency RMBS | Projected Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0018 | 0.0017 |
Level 3 | Non-Agency RMBS | Projected Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0041 | 0.0028 |
Level 3 | Non-Agency RMBS | Projected Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0029 | 0.0025 |
Level 3 | Non-Agency RMBS | Projected Collateral Severities | Minimum | 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 | Projected Collateral Severities | 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 | Projected Collateral Severities | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1000 | 0.1000 |
Level 3 | Legacy WMC CMBS | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 3,268 | $ 5,796 |
Level 3 | Legacy WMC CMBS | Offered Quotes | Minimum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | quote | 31.13 | 55.20 |
Level 3 | Legacy WMC CMBS | Offered Quotes | Maximum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | quote | 31.13 | 55.20 |
Level 3 | Legacy WMC CMBS | Offered Quotes | Weighted Average | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | quote | 31.13 | 55.20 |
Level 3 | Legacy WMC Other Securities | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 1,220 | $ 1,156 |
Level 3 | Legacy WMC Other Securities | Offered Quotes | Minimum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | quote | 7,199.26 | 6,821.32 |
Level 3 | Legacy WMC Other Securities | Offered Quotes | Maximum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | quote | 7,199.26 | 6,821.32 |
Level 3 | Legacy WMC Other Securities | Offered Quotes | Weighted Average | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | quote | 7,199.26 | 6,821.32 |
Level 3 | AG Arc | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 33,190 | $ 33,574 |
Level 3 | AG Arc | Book Value Multiple | Minimum | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.89 | 0.89 |
Level 3 | AG Arc | Book Value Multiple | Maximum | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.89 | 0.89 |
Level 3 | AG Arc | Book Value Multiple | Weighted Average | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.89 | 0.89 |
Level 3 | Securitized Debt | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, fair value | $ (4,980,942) | $ (4,711,623) |
Level 3 | Securitized Debt | Yield | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0511 | 0.0492 |
Level 3 | Securitized Debt | Yield | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1500 | 0.1500 |
Level 3 | Securitized Debt | Yield | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0580 | 0.0572 |
Level 3 | Securitized Debt | Projected Collateral Prepayments | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0405 | 0.0302 |
Level 3 | Securitized Debt | Projected Collateral Prepayments | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1440 | 0.1047 |
Level 3 | Securitized Debt | Projected Collateral Prepayments | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0582 | 0.0466 |
Level 3 | Securitized Debt | Projected Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0002 | 0.0002 |
Level 3 | Securitized Debt | Projected Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0050 | 0.0040 |
Level 3 | Securitized Debt | Projected Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0014 | 0.0015 |
Level 3 | Securitized Debt | Projected Collateral Severities | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1000 | 0.0371 |
Level 3 | Securitized Debt | Projected Collateral Severities | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.2600 | 0.2600 |
Level 3 | Securitized Debt | Projected Collateral Severities | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1863 | 0.1776 |
Fair value measurements - Sch_4
Fair value measurements - Schedule of Carrying Values and Estimated Fair Values of Debt Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Senior unsecured notes | $ 32,810 | $ 0 |
Financing arrangements | 4,980,942 | 4,711,623 |
Carrying Value | Fair Value, Recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Legacy WMC Convertible Notes | 78,530 | 85,266 |
Senior unsecured notes | 32,810 | 0 |
Financing arrangements | 59,676 | 62,972 |
Estimated Fair Value | Fair Value, Recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Legacy WMC Convertible Notes | 79,115 | 84,525 |
Senior unsecured notes | 35,093 | 0 |
Financing arrangements | $ 59,941 | $ 63,175 |
Financing - Schedule of Financi
Financing - Schedule of Financing Arrangements (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Dec. 31, 2023 | |
Repurchase Agreements [Abstract] | ||
Current Face | $ 6,278,510 | |
Carrying Value | $ 5,826,283 | $ 5,564,481 |
Weighted Average Funding Cost | 5.37% | |
Weighted Average Life | 6 years 2 months 4 days | |
Cash pledged under repurchase agreement | $ 2,100 | 1,700 |
Asset Pledged as Collateral | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | 1,150,502 | |
Securitized Residential Mortgage Loans | ||
Repurchase Agreements [Abstract] | ||
Carrying Value | ||
Securitized Residential Mortgage Loans | Securitized Debt | ||
Repurchase Agreements [Abstract] | ||
Current Face | 5,432,943 | |
Carrying Value | $ 4,980,942 | 4,711,623 |
Weighted Average Funding Cost | 5.03% | |
Weighted Average Life | 7 years 10 days | |
Total Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | $ 731,947 | |
Total Financing Arrangements | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 731,947 | |
Carrying Value | $ 734,001 | 767,592 |
Weighted Average Funding Cost | 7.09% | |
Weighted Average Life | 4 months 17 days | |
Total Financing Arrangements | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | $ 1,150,502 | |
Non-Agency Loans | ||
Repurchase Agreements [Abstract] | ||
Current Face | 77,191 | |
Non-Agency Loans | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 77,191 | |
Carrying Value | $ 77,191 | 77,345 |
Weighted Average Funding Cost | 7.29% | |
Weighted Average Life | 5 months 26 days | |
Non-Agency Loans | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | $ 93,797 | |
Non-Agency Loans | Securitized Residential Mortgage Loans | ||
Repurchase Agreements [Abstract] | ||
Current Face | 312,953 | |
Non-Agency Loans | Securitized Residential Mortgage Loans | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 312,953 | |
Carrying Value | $ 315,007 | 301,205 |
Weighted Average Funding Cost | 7.34% | |
Weighted Average Life | 3 months 21 days | |
Financing arrangements, weighted average yield | 7.91% | |
Non-Agency Loans | Securitized Residential Mortgage Loans | Securitized Debt | ||
Repurchase Agreements [Abstract] | ||
Current Face | $ 5,311,289 | |
Carrying Value | $ 4,871,205 | 4,597,490 |
Weighted Average Funding Cost | 5.07% | |
Weighted Average Life | 7 years 1 month 6 days | |
Amortized cost of debt | $ 5,200,000 | |
Non-Agency Loans | Securitized Residential Mortgage Loans | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | 597,357 | |
Non-Agency Loans | Counterparty One and Two | ||
Repurchase Agreements [Abstract] | ||
Line of credit facility, maximum borrowing capacity | 1,800,000 | |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | ||
Repurchase Agreements [Abstract] | ||
Current Face | 43,628 | |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 43,628 | |
Carrying Value | $ 43,628 | 44,928 |
Weighted Average Funding Cost | 7.27% | |
Weighted Average Life | 10 days | |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | Securitized Debt | ||
Repurchase Agreements [Abstract] | ||
Current Face | $ 121,654 | |
Carrying Value | $ 109,737 | 114,133 |
Weighted Average Funding Cost | 3.28% | |
Weighted Average Life | 3 years 10 months 9 days | |
Amortized cost of debt | $ 119,800 | |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | 65,970 | |
Agency-Eligible Loans | ||
Repurchase Agreements [Abstract] | ||
Current Face | 94,819 | |
Agency-Eligible Loans | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 94,819 | |
Carrying Value | $ 94,819 | 200,617 |
Weighted Average Funding Cost | 7.18% | |
Weighted Average Life | 10 months 28 days | |
Agency-Eligible Loans | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | $ 102,955 | |
Legacy WMC Commercial Loans | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | 66,474 | 66,303 |
Legacy WMC Commercial Loans | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 47,222 | |
Carrying Value | $ 47,222 | 48,032 |
Weighted Average Funding Cost | 8.33% | |
Weighted Average Life | 11 months 23 days | |
Legacy WMC Commercial Loans | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | $ 66,474 | |
Legacy WMC Commercial Loans | Securitized Residential Mortgage Loans | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Financing arrangements, weighted average yield | 8.08% | |
Non-Agency RMBS | ||
Repurchase Agreements [Abstract] | ||
Current Face | $ 36,415 | |
Non-Agency RMBS | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 36,415 | |
Carrying Value | $ 36,415 | 51,251 |
Weighted Average Funding Cost | 6.76% | |
Weighted Average Life | 29 days | |
Non-Agency RMBS | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | $ 70,054 | |
Legacy WMC CMBS | ||
Repurchase Agreements [Abstract] | ||
Current Face | 21,348 | |
Legacy WMC CMBS | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 21,348 | |
Carrying Value | $ 21,348 | 31,620 |
Weighted Average Funding Cost | 7.28% | |
Weighted Average Life | 3 days | |
Legacy WMC CMBS | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | $ 51,121 | |
Agency RMBS | ||
Repurchase Agreements [Abstract] | ||
Current Face | 98,371 | |
Agency RMBS | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Current Face | 98,371 | |
Carrying Value | $ 98,371 | 12,594 |
Weighted Average Funding Cost | 5.48% | |
Weighted Average Life | 10 days | |
Agency RMBS | Asset Pledged as Collateral | Financing Arrangements | ||
Repurchase Agreements [Abstract] | ||
Collateral Fair Value | $ 102,774 | |
Legacy WMC Convertible Notes | ||
Repurchase Agreements [Abstract] | ||
Current Face | 79,120 | |
Carrying Value | $ 78,530 | 85,266 |
Weighted Average Funding Cost | 8.42% | |
Weighted Average Life | 5 months 19 days | |
Senior Unsecured Notes | ||
Repurchase Agreements [Abstract] | ||
Current Face | $ 34,500 | |
Carrying Value | $ 32,810 | $ 0 |
Weighted Average Funding Cost | 10.80% | |
Weighted Average Life | 4 years 11 months 12 days | |
Interest Only | Securitized Residential Mortgage Loans | ||
Repurchase Agreements [Abstract] | ||
Notional balance | $ 131,300 |
Financing - Narrative (Details)
Financing - Narrative (Details) | 3 Months Ended | ||||
Jan. 26, 2024 USD ($) | Dec. 06, 2023 USD ($) $ / shares | Dec. 05, 2023 | Mar. 31, 2024 USD ($) counterparty | Dec. 31, 2023 counterparty | |
Debt Instrument [Line Items] | |||||
Number of counterparties with outstanding debt | counterparty | 6 | 7 | |||
Legacy Convertible Senior Unsecured Notes Due in September 2024 | Convertible Debt | |||||
Debt Instrument [Line Items] | |||||
Repurchased face amount | $ 7,100,000 | ||||
Senior Notes Due 2029 | Senior Unsecured Notes | |||||
Debt Instrument [Line Items] | |||||
Debt face amount | $ 34,500,000 | ||||
Debt interest rate | 9.50% | ||||
Redemption price, percentage | 100% | ||||
Interest expense | 600,000 | ||||
Coupon interest expense | 600,000 | ||||
Amortization expense | 47,000 | ||||
Proceeds from senior notes | $ 32,800,000 | ||||
Percentage of principal amount | 100% | ||||
WMC | Legacy Convertible Senior Unsecured Notes Due in September 2024 | Convertible Debt | |||||
Debt Instrument [Line Items] | |||||
Debt face amount | $ 86,250,000 | ||||
Debt interest rate | 6.75% | ||||
Redemption price, percentage | 100% | ||||
Conversion ratio | 0.0506252 | 0.0337952 | |||
Conversion price (in dollars per share) | $ / shares | $ 19.75 | ||||
Conversion price, common stock component (in dollars per share) | $ / shares | 19.13 | ||||
Conversion price, common stock component (in dollars per share) | $ / shares | $ 0.62 | ||||
Interest expense | 1,700,000 | ||||
Coupon interest expense | 1,400,000 | ||||
Amortization expense | $ 300,000 |
Financing - Schedule of Total B
Financing - Schedule of Total Borrowings Under Repurchase Agreements (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | $ 6,278,510 | |
Carrying Value | 5,826,283 | $ 5,564,481 |
Securitized Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | ||
Total Financing Arrangements | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 731,947 | |
Total Financing Arrangements | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 396,903 | |
Total Financing Arrangements | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 60,655 | |
Total Financing Arrangements | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 216,768 | |
Total Financing Arrangements | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 57,621 | |
Non-Agency Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 77,191 | |
Non-Agency Loans | Securitized Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 312,953 | |
Non-Agency Loans | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Non-Agency Loans | Within 30 Days | Securitized Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 213,496 | |
Non-Agency Loans | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 2,464 | |
Non-Agency Loans | Over 30 Days to 3 Months | Securitized Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 41,836 | |
Non-Agency Loans | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 74,727 | |
Non-Agency Loans | Over 3 Months to 12 Months | Securitized Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Non-Agency Loans | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Non-Agency Loans | Over 12 Months | Securitized Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 57,621 | |
Re- and Non-Performing Loans | Securitized Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 43,628 | |
Re- and Non-Performing Loans | Within 30 Days | Securitized Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 43,628 | |
Re- and Non-Performing Loans | Over 30 Days to 3 Months | Securitized Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Re- and Non-Performing Loans | Over 3 Months to 12 Months | Securitized Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Re- and Non-Performing Loans | Over 12 Months | Securitized Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Agency-Eligible Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 94,819 | |
Agency-Eligible Loans | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Agency-Eligible Loans | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Agency-Eligible Loans | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 94,819 | |
Agency-Eligible Loans | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Legacy WMC Commercial Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 47,222 | |
Legacy WMC Commercial Loans | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Legacy WMC Commercial Loans | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Legacy WMC Commercial Loans | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 47,222 | |
Legacy WMC Commercial Loans | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Non-Agency RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 36,415 | |
Non-Agency RMBS | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 20,060 | |
Non-Agency RMBS | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 16,355 | |
Non-Agency RMBS | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Non-Agency RMBS | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Legacy WMC CMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 21,348 | |
Legacy WMC CMBS | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 21,348 | |
Legacy WMC CMBS | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Legacy WMC CMBS | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Legacy WMC CMBS | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Agency RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 98,371 | |
Agency RMBS | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 98,371 | |
Agency RMBS | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Agency RMBS | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Agency RMBS | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Legacy WMC Convertible Notes | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 79,120 | |
Carrying Value | 78,530 | 85,266 |
Legacy WMC Convertible Notes | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Legacy WMC Convertible Notes | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Legacy WMC Convertible Notes | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 79,120 | |
Legacy WMC Convertible Notes | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Senior Unsecured Notes | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 34,500 | |
Carrying Value | 32,810 | $ 0 |
Senior Unsecured Notes | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Senior Unsecured Notes | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Senior Unsecured Notes | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | 0 | |
Senior Unsecured Notes | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Current Face | $ 34,500 |
Financing - Schedule of Repurch
Financing - Schedule of Repurchase Agreement Counterparty (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2024 | Dec. 31, 2023 | |
BofA Securities, Inc. | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 130,896 | $ 131,128 |
Weighted Average Maturity (days) | 118 days | 236 days |
Percentage of Stockholders' Equity | 24.30% | 24.80% |
Barclays Capital Inc. | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 81,783 | $ 81,047 |
Weighted Average Maturity (days) | 83 days | 85 days |
Percentage of Stockholders' Equity | 15.20% | 15.30% |
Goldman Sachs Bank USA | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 80,089 | $ 73,893 |
Weighted Average Maturity (days) | 9 days | 9 days |
Percentage of Stockholders' Equity | 14.80% | 14% |
JP Morgan Securities, LLC | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 43,078 | $ 46,642 |
Weighted Average Maturity (days) | 62 days | 134 days |
Percentage of Stockholders' Equity | 8% | 8.80% |
Various | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 72,040 | $ 69,637 |
Weighted Average Maturity (days) | 486 days | 577 days |
Percentage of Stockholders' Equity | 13.40% | 13.20% |
Other assets and liabilities -
Other assets and liabilities - Schedule of Other Assets and Other Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Other assets | |||
Interest receivable | $ 31,436 | $ 30,315 | |
Real estate owned | 5,428 | 5,644 | |
Derivative assets, at fair value | 739 | 1,321 | |
Other assets | 2,980 | 3,187 | |
Due from broker | 912 | 249 | |
Total Other assets | 41,495 | 40,716 | |
Other liabilities | |||
Interest payable | 22,398 | 23,715 | |
Derivative liabilities, at fair value | 314 | 70 | |
Accrued expenses | 3,011 | 4,874 | |
Due to broker | 72 | 196 | |
Total Other liabilities | [1] | 29,519 | 32,107 |
Related Party | |||
Other liabilities | |||
Due to affiliates | $ 3,724 | $ 3,252 | |
[1] Refer to Note 7 and Note 10 for additional details on amounts payable to affiliates. |
Other assets and liabilities _2
Other assets and liabilities - Schedule of Company's Derivative and Other Instruments and their Balance Sheet Location (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2024 | Dec. 31, 2023 | |
Derivatives, Fair Value [Line Items] | ||
Derivative pay interest rate | 3.74% | 3.65% |
Derivative receivable interest rate | 5.34% | 5.38% |
Derivative, remaining maturity | 4 years 11 months 12 days | 4 years 3 days |
Interest Rate Swaps | ||
Derivatives, Fair Value [Line Items] | ||
Derivative asset, reduction in fair value related to variation margin | $ 10,100 | $ 9,300 |
Derivative liabilities, reduction related to variation margin | 1,000 | 7,700 |
Interest Rate Swaps | Other assets | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 377,250 | 165,000 |
Derivative assets, at fair value | 267 | 149 |
Interest Rate Swaps | Other liabilities | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 77,000 | 338,000 |
Derivative liabilities, at fair value | 0 | 0 |
Forward Purchase Commitments | Other assets | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 79,152 | 70,145 |
Derivative assets, at fair value | 472 | 1,172 |
Forward Purchase Commitments | Other liabilities | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 28,032 | 2,566 |
Derivative liabilities, at fair value | (159) | (7) |
Short | TBAs | Other liabilities | ||
Derivatives, Fair Value [Line Items] | ||
Notional amount | 32,000 | 9,000 |
Derivative liabilities, at fair value | $ (155) | $ (63) |
Other assets and liabilities _3
Other assets and liabilities - Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2024 | Dec. 31, 2023 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Cash as collateral for certain derivatives | $ 14.2 | $ 12.3 |
Cash collateral posted by company | 5.1 | 10.7 |
Cash pledged as collateral against derivatives related to variation margin | $ 9.1 | $ 1.6 |
Other assets and liabilities _4
Other assets and liabilities - Schedule of Company's Derivative and Other Instruments and their Balance Sheet Location (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Included within Net interest component of interest rate swaps | $ (1,900) | $ (1,020) |
Included within Net unrealized gain/(loss) | 9,369 | (19,969) |
Included within Net realized gain/(loss) | (1,999) | 10,002 |
Total income/(loss) | 9,270 | (8,947) |
Interest Rate Swaps | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Included within Net interest component of interest rate swaps | 1,900 | 1,020 |
Included within Net unrealized gain/(loss) | 10,313 | (21,386) |
Included within Net realized gain/(loss) | (3,141) | 9,823 |
TBAs | Long | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Included within Net unrealized gain/(loss) | 0 | 5 |
TBAs | Short | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Included within Net unrealized gain/(loss) | (92) | (899) |
Included within Net realized gain/(loss) | 10 | 179 |
Forward Purchase Commitments | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Included within Net unrealized gain/(loss) | (852) | 2,311 |
Included within Net realized gain/(loss) | $ 1,132 | $ 0 |
Other assets and liabilities _5
Other assets and liabilities - Summary of Derivative Activity (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | |
To Be Announced Securities, Assets [Roll Forward] | |||
Derivative Asset | $ 10,823 | $ 10,605 | |
Derivative Liability | (314) | (70) | |
Due from broker | 912 | 249 | |
Due to broker | 72 | $ 196 | |
Interest Rate Swaps | |||
To Be Announced Securities, Liability [Roll Forward] | |||
Buys or Covers | 219,750 | $ 342,000 | |
Sales or Shorts | (268,500) | (209,000) | |
To Be Announced Securities, Assets [Roll Forward] | |||
Beginning Notional Amount | 503,000 | 335,000 | |
Buys or Covers | 219,750 | 342,000 | |
Sales or Shorts | (268,500) | (209,000) | |
Ending Notional Amount | 454,250 | 468,000 | |
Derivative Asset | 267 | 0 | |
Derivative Liability | 0 | (280) | |
Notional amount, matured in period | 60,000 | ||
Short | TBAs | |||
To Be Announced Securities, Liability [Roll Forward] | |||
Beginning Notional Amount | (9,000) | (40,000) | |
Buys or Covers | 34,000 | 100,000 | |
Sales or Shorts | (57,000) | (60,000) | |
Ending Notional Amount | (32,000) | 0 | |
To Be Announced Securities, Assets [Roll Forward] | |||
Buys or Covers | 34,000 | 100,000 | |
Sales or Shorts | (57,000) | (60,000) | |
Derivative Asset | 0 | 2 | |
Derivative Liability | (155) | (251) | |
Due from broker | 32,500 | ||
Fair Value as of Period End | $ 32,700 | ||
Due to broker | 300 | ||
Long | TBAs | |||
To Be Announced Securities, Liability [Roll Forward] | |||
Buys or Covers | 10,000 | ||
Sales or Shorts | (10,000) | ||
To Be Announced Securities, Assets [Roll Forward] | |||
Beginning Notional Amount | 0 | ||
Buys or Covers | 10,000 | ||
Sales or Shorts | (10,000) | ||
Ending Notional Amount | 0 | ||
Derivative Asset | 8 | ||
Derivative Liability | $ (3) |
Earnings per share - Schedule o
Earnings per share - Schedule of Basic and Diluted Earnings Per Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Numerator: | ||
Net Income/(Loss) | $ 20,890 | $ 12,540 |
Dividends on preferred stock | (4,586) | (4,586) |
Net Income/(Loss) Available to Common Stockholders | $ 16,304 | $ 7,954 |
Denominator: | ||
Basic weighted average common shares outstanding (in shares) | 29,453 | 21,066 |
Diluted weighted average common shares outstanding (in shares) | 29,479 | 21,066 |
Earnings/(Loss) Per Share | ||
Basic (in dollars per share) | $ 0.55 | $ 0.38 |
Diluted (in dollars per share) | $ 0.55 | $ 0.38 |
Earnings per share - Schedule_2
Earnings per share - Schedule of Common Stock Dividends (Details) | Mar. 15, 2024 $ / shares |
Earnings Per Share [Abstract] | |
Dividends declared per share (in dollars per share) | $ 0.18 |
Earnings per share - Schedule_3
Earnings per share - Schedule of Preferred Stock Dividends (Details) - $ / shares | 3 Months Ended | |||
Feb. 22, 2021 | Mar. 31, 2024 | Feb. 16, 2024 | Feb. 16, 2023 | |
8.25% Series A Cumulative Redeemable Preferred Stock | ||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||
Dividends payable (in dollars per share) | $ 0.51563 | $ 0.51563 | ||
Dividend percentage | 8.25% | 8.25% | ||
8.00% Series B Cumulative Redeemable Preferred Stock | ||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||
Dividends payable (in dollars per share) | 0.50 | 0.50 | ||
Dividend percentage | 8% | 8% | ||
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] | ||||
Dividends payable (in dollars per share) | $ 0.50 | $ 0.50 | ||
Dividend percentage | 8% | 8% |
Income taxes - Narrative (Detai
Income taxes - Narrative (Details) - USD ($) | 3 Months Ended | |||
Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | Dec. 06, 2023 | |
Operating Loss Carryforwards [Line Items] | ||||
Excise tax expense | $ 0 | $ 0 | ||
Operating loss carryforwards | 2,100,000 | $ 2,100,000 | ||
Deferred tax assets | 38,900,000 | 37,300,000 | ||
Uncertain tax position, interest and penalties expense | 0 | $ 0 | ||
Capital Loss Carryforward | ||||
Operating Loss Carryforwards [Line Items] | ||||
Tax credit carryforward | $ 300,000,000 | $ 293,700,000 | ||
WMC | ||||
Operating Loss Carryforwards [Line Items] | ||||
Operating loss carryforwards | $ 321,600,000 | |||
Operating loss carryforwards, not subject to expiration | 223,800,000 | |||
WMC | Capital Loss Carryforward | ||||
Operating Loss Carryforwards [Line Items] | ||||
Tax credit carryforward | $ 143,100,000 |
Income taxes - Schedule of Tax
Income taxes - Schedule of Tax Expense Attributable to the TRS (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Income Tax Disclosure [Abstract] | ||
Income tax expense | $ 25 | $ 225 |
Related party transactions - Ma
Related party transactions - Manager (Details) | 3 Months Ended | |||||
Dec. 06, 2023 USD ($) qtr | Aug. 08, 2023 USD ($) qtr | Nov. 22, 2021 USD ($) | Mar. 31, 2024 USD ($) | Mar. 31, 2023 USD ($) | Dec. 31, 2023 USD ($) | |
Related Party | ||||||
Related Party Transaction [Line Items] | ||||||
Renewal term | 1 year | |||||
Management fee percentage | 1.50% | |||||
Related Party | MITT Management Agreement Amendment | ||||||
Related Party Transaction [Line Items] | ||||||
Reduction in base management fee | $ 600,000 | $ 600,000 | ||||
Number of quarters management fee reduction is effective | qtr | 4 | 4 | ||||
Management fee waived | $ 2,400,000 | $ 2,400,000 | ||||
Amount to be waived | 1,300,000 | 1,300,000 | ||||
Maximum cash consideration threshold | $ 7,000,000 | $ 7,000,000 | ||||
Related Party | Termination Fee With Manager | ||||||
Related Party Transaction [Line Items] | ||||||
Termination fee multiplier | 3 | |||||
Termination fee multiplier, measurement period | 24 months | |||||
Affiliated Entity | ||||||
Related Party Transaction [Line Items] | ||||||
Management fee payable | $ 1,700,000 | $ 1,500,000 | ||||
Affiliated Entity | Reimbursement To Manager | ||||||
Related Party Transaction [Line Items] | ||||||
Due to affiliates | 1,800,000 | $ 1,500,000 | ||||
Limited Liability Company | Incentive Fee To Manager | ||||||
Related Party Transaction [Line Items] | ||||||
Annual incentive fee percentage | 15% | |||||
Cumulative hurdle percentage | 8% | |||||
Equity hurdle base amount | $ 341,500,000 | |||||
Incentive fee expense | $ 0 | $ 0 |
Related party transactions - _2
Related party transactions - Management Fee to Affiliate (Details) - Affiliated Entity - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 | Mar. 31, 2023 | ||
Related Party Transaction [Line Items] | |||
Management fee to affiliate | [1] | $ 1,741 | $ 2,075 |
WMC | |||
Related Party Transaction [Line Items] | |||
Management fee amount waived | $ 600 | ||
[1]Refer to Note 10 for additional details on related party transactions. |
Related party transactions - Ex
Related party transactions - Expense Reimbursement to Manager or Its Affiliates (Details) - Related Party - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Expense reimbursements to Manager or its affiliates | ||
Related Party Transaction [Line Items] | ||
Expense reimbursements to Manager or its affiliates | $ 1,846 | $ 1,565 |
Expense reimbursements to Manager or its affiliates | Non-investment related expenses | ||
Related Party Transaction [Line Items] | ||
Expense reimbursements to Manager or its affiliates | 1,664 | 1,400 |
Expense reimbursements to Manager or its affiliates | Investment related expenses | ||
Related Party Transaction [Line Items] | ||
Expense reimbursements to Manager or its affiliates | 114 | 102 |
Expense reimbursements to Manager or its affiliates | Transaction related expenses | ||
Related Party Transaction [Line Items] | ||
Expense reimbursements to Manager or its affiliates | 68 | $ 63 |
Reimbursement To Manager Waived | ||
Related Party Transaction [Line Items] | ||
Amount of expense reimbursements | $ 300 |
Related party transactions - Re
Related party transactions - Restricted stock grants (Details) | 3 Months Ended | 4 Months Ended | 36 Months Ended | 48 Months Ended | |||
Dec. 06, 2023 director shares | Apr. 07, 2021 shares | Apr. 15, 2020 shares | Mar. 31, 2024 USD ($) shares | Mar. 31, 2024 director shares | Mar. 31, 2024 shares | Mar. 31, 2024 shares | |
Related Party Transaction [Line Items] | |||||||
Number of dividend equivalent units granted (in shares) | 206 | ||||||
WMC | |||||||
Related Party Transaction [Line Items] | |||||||
Number of directors added to the company's board of directors | director | 2 | 2 | |||||
Director | Restricted Stock | WMC | |||||||
Related Party Transaction [Line Items] | |||||||
Shares of restricted common stock under equity incentive plans (in shares) | 25,962 | ||||||
Manager Equity Incentive Plan | Related Party | |||||||
Related Party Transaction [Line Items] | |||||||
Shares of common stock company can award (in shares) | 666,666 | ||||||
Shares available to be awarded under equity incentive plans (in shares) | 448,397 | 448,397 | 448,397 | 448,397 | |||
Manager Equity Incentive Plan | Related Party | Maximum | |||||||
Related Party Transaction [Line Items] | |||||||
Value of shares granted in fiscal year | $ | $ 300,000 | ||||||
2020 Equity Incentive Plan | Director | Restricted Stock | |||||||
Related Party Transaction [Line Items] | |||||||
Shares of restricted common stock under equity incentive plans (in shares) | 192,101 | ||||||
2021 Equity Incentive Plan | Related Party | |||||||
Related Party Transaction [Line Items] | |||||||
Shares of common stock company can award (in shares) | 573,425 | ||||||
Shares of restricted common stock under equity incentive plans (in shares) | 0 |
Related party transactions - Di
Related party transactions - Director compensation (Details) - Related Party $ in Thousands | 3 Months Ended |
Mar. 31, 2024 USD ($) director | |
Related Party Transaction [Line Items] | |
Number of independent directors | director | 6 |
Director's fee | $ 150 |
Directors fees paid in cash | 70 |
Directors fees paid in common stock | 80 |
Non-Executive Chair | |
Related Party Transaction [Line Items] | |
Director's fee | 60 |
Directors fees paid in cash | 30 |
Directors fees paid in common stock | 30 |
Audit Committee Chairman | |
Related Party Transaction [Line Items] | |
Additional annual fees | 25 |
Compensation And Nomination Committee Chairman | |
Related Party Transaction [Line Items] | |
Additional annual fees | 10 |
Corporate Governance Committee Chairman | |
Related Party Transaction [Line Items] | |
Additional annual fees | $ 10 |
Related party transactions - In
Related party transactions - Investments in debt and equity affiliates (Details) | Mar. 31, 2024 | Nov. 30, 2023 |
Related Party | LOTS I | ||
Related Party Transaction [Line Items] | ||
Loan securitization, ownership interest | 47.50% | |
Related Party | LOTS II | ||
Related Party Transaction [Line Items] | ||
Loan securitization, ownership interest | 50% | |
Arc Home | ||
Related Party Transaction [Line Items] | ||
Loan securitization, ownership interest | 44.60% | |
Arc Home | Related Party | ||
Related Party Transaction [Line Items] | ||
Loan securitization, ownership interest | 44.60% | |
MATH | Related Party | ||
Related Party Transaction [Line Items] | ||
Loan securitization, ownership interest | 47% | 44.60% |
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, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | |
Related Party Transaction [Line Items] | |||
Equity in earnings/(loss) from affiliates | $ 2,037 | $ 16 | |
Arc Home | |||
Related Party Transaction [Line Items] | |||
Equity in earnings/(loss) from affiliates | (273) | (2,140) | |
Non-QM Loans | |||
Related Party Transaction [Line Items] | |||
Equity in earnings/(loss) from affiliates | 2,205 | 1,625 | |
Re- and Non-Performing Loans | |||
Related Party Transaction [Line Items] | |||
Equity in earnings/(loss) from affiliates | 105 | 192 | |
Land Related Financing | |||
Related Party Transaction [Line Items] | |||
Equity in earnings/(loss) from affiliates | 0 | $ 339 | |
Assets | Related Party | |||
Related Party Transaction [Line Items] | |||
Investments, assets | 58,481 | $ 58,761 | |
Cash and Other assets/(liabilities) | 1,431 | 2,361 | |
Assets | Arc Home | Related Party | |||
Related Party Transaction [Line Items] | |||
Investments, assets | 33,190 | 33,574 | |
Assets | Total Residential Investments | Related Party | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | 23,860 | 22,826 | |
Assets | Non-QM Loans | Related Party | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | 16,523 | 15,257 | |
Assets | Re- and Non-Performing Loans | Related Party | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | 7,337 | 7,569 | |
Liabilities | Related Party | |||
Related Party Transaction [Line Items] | |||
Investments, liabilities | (3,639) | (3,658) | |
Cash and Other assets/(liabilities) | (56) | (53) | |
Liabilities | Arc Home | Related Party | |||
Related Party Transaction [Line Items] | |||
Investments, liabilities | 0 | 0 | |
Liabilities | Total Residential Investments | Related Party | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | (3,583) | (3,605) | |
Liabilities | Non-QM Loans | Related Party | |||
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 | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | (3,583) | (3,605) | |
Equity | Related Party | |||
Related Party Transaction [Line Items] | |||
Investments, equity | 54,842 | 55,103 | |
Cash and Other assets/(liabilities) | 1,375 | 2,308 | |
Equity | Arc Home | Related Party | |||
Related Party Transaction [Line Items] | |||
Investments, equity | 33,190 | 33,574 | |
Equity | Total Residential Investments | Related Party | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | 20,277 | 19,221 | |
Equity | Non-QM Loans | Related Party | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | 16,523 | 15,257 | |
Equity | Re- and Non-Performing Loans | Related Party | |||
Related Party Transaction [Line Items] | |||
Real Estate Securities, Excess MSRs and Loans, at fair value | $ 3,754 | $ 3,964 |
Related party transactions - Tr
Related party transactions - Transactions with Red Creek Asset Management LLC (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | |
Affiliated Entity | |||
Related Party Transaction [Line Items] | |||
Management fee payable | $ 1,700 | $ 1,500 | |
Transactions with Red Creek Asset Management LLC | Related Party | |||
Related Party Transaction [Line Items] | |||
Fees paid to Asset Manager | 658 | $ 683 | |
Transactions with Red Creek Asset Management LLC | Affiliated Entity | |||
Related Party Transaction [Line Items] | |||
Management fee payable | $ 200 | $ 200 |
Related party transactions - _3
Related party transactions - Transactions with Arc Home (Details) - Residential Mortgage - AG Arc LLC - Related Party - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Residential mortgage loans sold by Arc Home to the Company | ||
Related Party Transaction [Line Items] | ||
Balance of loans sold during period | $ 79,791 | $ 0 |
Residential mortgage loans sold by Arc Home to private funds under the management of TPG Angelo Gordon | ||
Related Party Transaction [Line Items] | ||
Balance of loans sold during period | $ 156,401 | $ 90,584 |
Related party transactions - _4
Related party transactions - Schedule of intra-entity profits eliminated (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Eliminations | Arc Home | Related Party | ||
Related Party Transaction [Line Items] | ||
Intra-Entity Profits Eliminated | $ 201 | $ 0 |
Related party transactions - _5
Related party transactions - Schedule of affiliated transactions (Details) - USD ($) $ in Millions | Nov. 30, 2023 | Sep. 30, 2023 |
June 2023 Acquiring Affiliate | Affiliated Entity | Total Residential Investments | ||
Related Party Transaction [Line Items] | ||
Investments in debt and equity of affiliates | $ 0.3 | |
November 2023 Acquiring Affiliate | Affiliated Entity | Total Residential Investments | ||
Related Party Transaction [Line Items] | ||
Investments in debt and equity of affiliates | $ 4.8 | |
November 2023 Acquiring Affiliate | Related Party | MATH | ||
Related Party Transaction [Line Items] | ||
Investments in debt and equity of affiliates | $ 0.9 |
Related party transactions - _6
Related party transactions - MATH Transaction (Details) - MATH - Related Party | Mar. 31, 2024 | Nov. 30, 2023 |
Related Party Transaction [Line Items] | ||
Loan securitization, ownership interest | 47% | 44.60% |
Additional percentage of bonds purchased | 13.10% |
Equity - Narrative (Details)
Equity - Narrative (Details) | 3 Months Ended | 37 Months Ended | 83 Months Ended | |||||||
Feb. 22, 2021 USD ($) | May 05, 2017 USD ($) | Mar. 31, 2024 USD ($) period director $ / shares shares | Mar. 31, 2023 USD ($) shares | Mar. 31, 2024 USD ($) period $ / shares shares | Mar. 31, 2024 USD ($) period $ / shares shares | Mar. 26, 2024 USD ($) | Dec. 31, 2023 shares | May 04, 2023 USD ($) | Aug. 03, 2022 USD ($) | |
Class of Stock [Line Items] | ||||||||||
Securities and capital available for issuance | $ | $ 1,000,000,000 | |||||||||
Capital available for issuance, effective period | 3 years | |||||||||
Preferred shares authorized (in shares) | 50,000,000 | 50,000,000 | 50,000,000 | |||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | |||||||
Preferred stock, shares outstanding (in shares) | 9,120,000 | 9,120,000 | 9,120,000 | |||||||
Quarterly periods required to grant preferred stock voting rights | period | 6 | 6 | 6 | |||||||
Number of directors | director | 2 | |||||||||
Percent of votes needed to pass | 66.67% | 66.67% | 66.67% | |||||||
Sale Agents | ||||||||||
Class of Stock [Line Items] | ||||||||||
Net proceeds from issuance of common stock | $ | $ 100,000,000 | $ 48,300,000 | ||||||||
Net proceeds from issuance of stock (in shares) | 0 | 0 | 2,200,000 | |||||||
2022 Repurchase Program | ||||||||||
Class of Stock [Line Items] | ||||||||||
Authorized amount for stock repurchase | $ | $ 15,000,000 | |||||||||
Value of common stock remained authorized for future share repurchases | $ | $ 1,500,000 | $ 2,569,940 | $ 1,500,000 | $ 1,500,000 | ||||||
Shares repurchased (in shares) | 0 | 923,261 | ||||||||
2023 Repurchase Program | ||||||||||
Class of Stock [Line Items] | ||||||||||
Authorized amount for stock repurchase | $ | $ 15,000,000 | |||||||||
Value of common stock remained authorized for future share repurchases | $ | $ 15,000,000 | $ 15,000,000 | $ 15,000,000 | |||||||
Preferred Repurchase Program | ||||||||||
Class of Stock [Line Items] | ||||||||||
Authorized amount for stock repurchase | $ | $ 20,000,000 | |||||||||
Shares repurchased (in shares) | 0 | |||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend percentage | 8.25% | 8.25% | ||||||||
Preferred stock, shares issued (in shares) | 1,700,000 | 1,700,000 | 1,700,000 | 1,700,000 | ||||||
Preferred stock, shares outstanding (in shares) | 1,663,000 | 1,663,000 | 1,663,000 | 1,700,000 | ||||||
8.00% Series B Cumulative Redeemable Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend percentage | 8% | 8% | ||||||||
Preferred stock, shares issued (in shares) | 3,700,000 | 3,700,000 | 3,700,000 | 3,700,000 | ||||||
Preferred stock, shares outstanding (in shares) | 3,728,000 | 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 dividend percentage | 8% | 8% | ||||||||
Preferred stock, shares issued (in shares) | 3,700,000 | 3,700,000 | 3,700,000 | 3,700,000 | ||||||
Preferred stock, shares outstanding (in shares) | 3,729,000 | 3,729,000 | 3,729,000 | 3,700,000 |
Equity - Schedule of Stock Repu
Equity - Schedule of Stock Repurchase Programs (Details) - 2022 Repurchase Program - USD ($) | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Class of Stock [Line Items] | ||
Total Number of Shares Purchased (in shares) | 0 | 923,261 |
Weighted Average Price Paid per Share (in dollars per share) | $ 5.68 | |
Total Number of Shares Purchased as Part of Publicly Announced Program (in shares) | 923,261 | |
Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program | $ 1,500,000 | $ 2,569,940 |
Equity - Schedule of Preferred
Equity - Schedule of Preferred Stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | ||
Feb. 22, 2021 | Mar. 31, 2024 | Dec. 31, 2023 | |
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 | |
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% | 8.25% | |
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% | 8% | |
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% | 8% | |
Liquidation preference (in dollars per share) | $ 25 | ||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | 3 Month LIBOR | |||
Class of Stock [Line Items] | |||
Preferred stock dividend percentage | 6.476% |
Commitments and Contingencies_2
Commitments and Contingencies (Details) - Non-Agency and Agency-Eligible Loans $ in Thousands | 3 Months Ended |
Mar. 31, 2024 USD ($) | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | $ 109,655 |
Funded Commitment | 0 |
Remaining Commitment | $ 109,655 |
Subsequent Events (Details)
Subsequent Events (Details) - $ / shares | May 02, 2024 | Feb. 16, 2024 | Feb. 16, 2023 |
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 | ||
Series C Fixed to Floating Rate Cumulative Redeemable Preferred | Subsequent Event | |||
Subsequent Event [Line Items] | |||
Dividends payable (in dollars per share) | $ 0.50 |