Cover Page Document
Cover Page Document - shares | 6 Months Ended | |
Jun. 30, 2024 | Aug. 09, 2024 | |
Cover [Abstract] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Jun. 30, 2024 | |
Document Transition Report | false | |
Entity File Number | 001-35896 | |
Entity Registrant Name | Ellington Credit Company | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 46-0687599 | |
Entity Address, Address Line One | 53 Forest Avenue | |
Entity Address, City or Town | Old Greenwich | |
Entity Address, State or Province | CT | |
Entity Address, Postal Zip Code | 06870 | |
City Area Code | 203 | |
Local Phone Number | 698-1200 | |
Title of 12(b) Security | Common Shares of Beneficial Interest, $0.01 par value per share | |
Trading Symbol | EARN | |
Security Exchange Name | NYSE | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Small Business | true | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 25,326,991 | |
Entity Central Index Key | 0001560672 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2024 | |
Document Fiscal Period Focus | Q2 | |
Amendment Flag | false |
CONSOLIDATED BALANCE SHEET
CONSOLIDATED BALANCE SHEET - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 | |
ASSETS | |||
Cash and cash equivalents | $ 118,763 | $ 38,533 | |
Securities, at fair value(1) | [1] | 636,368 | 773,548 |
Due from brokers | 4,892 | 3,245 | |
Financial derivatives–assets, at fair value | 80,834 | 74,279 | |
Reverse repurchase agreements | 16,405 | 0 | |
Receivable for securities sold | 71,673 | 51,132 | |
Interest receivable | 3,983 | 4,522 | |
Other assets | 539 | 431 | |
Total Assets | 933,457 | 945,690 | |
LIABILITIES | |||
Repurchase agreements | 578,503 | 729,543 | |
Payable for securities purchased | 33,866 | 12,139 | |
Due to brokers | 146,010 | 54,476 | |
Financial derivatives–liabilities, at fair value | 6,720 | 7,329 | |
U.S. Treasury securities sold short, at fair value | 16,199 | 0 | |
Dividend payable | 1,691 | 1,488 | |
Accrued expenses | 1,688 | 1,153 | |
Management fee payable to affiliate | 550 | 513 | |
Interest payable | 2,101 | 2,811 | |
Total Liabilities | 787,328 | 809,452 | |
SHAREHOLDERS' EQUITY | |||
Preferred shares, par value $0.01 per share, 100,000,000 shares authorized; (0 shares issued and outstanding, respectively) | 0 | 0 | |
Common shares, par value $0.01 per share, 500,000,000 shares authorized; (21,134,976 and 18,601,464 shares issued and outstanding, respectively) | 211 | 186 | |
Additional paid-in-capital | 291,114 | 274,698 | |
Accumulated deficit | (145,196) | (138,646) | |
Total Shareholders' Equity | 146,129 | 136,238 | |
Total Liabilities and Shareholders' Equity | $ 933,457 | $ 945,690 | |
[1] Includes assets pledged as collateral to counterparties. See Note 6 for additional details on the Company's borrowings and related collateral. |
CONSOLIDATED BALANCE SHEET (Par
CONSOLIDATED BALANCE SHEET (Parenthetical) - $ / shares | Jun. 30, 2024 | Mar. 31, 2024 | Dec. 31, 2023 | Jun. 30, 2023 | Mar. 31, 2023 | Dec. 31, 2022 |
Statement of Financial Position [Abstract] | ||||||
Common stock, par value | $ 0.01 | $ 0.01 | ||||
Common stock, shares authorized | 500,000,000 | 500,000,000 | ||||
Common stock, shares issued | 21,134,976 | 18,601,464 | ||||
Common stock, shares outstanding | 21,134,976 | 19,819,610 | 18,601,464 | 14,378,193 | 13,830,403 | 13,377,840 |
Preferred stock, par value | $ 0.01 | $ 0.01 | ||||
Preferred stock, shares authorized | 100,000,000 | 100,000,000 | ||||
Preferred stock, shares issued | 0 | 0 | ||||
Preferred stock, shares outstanding | 0 | 0 |
CONSOLIDATED STATEMENT OF OPERA
CONSOLIDATED STATEMENT OF OPERATIONS - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
INTEREST INCOME (EXPENSE) | ||||
Interest income | $ 14,132 | $ 10,070 | $ 24,511 | $ 19,408 |
Interest expense | (10,235) | (11,686) | (20,335) | (21,396) |
Total net interest income (expense) | 3,897 | (1,616) | 4,176 | (1,988) |
EXPENSES | ||||
Management fees to affiliate | 550 | 439 | 1,088 | 872 |
Professional fees | 690 | 407 | 1,029 | 649 |
Compensation expense | 431 | 187 | 701 | 368 |
Insurance expense | 93 | 95 | 187 | 194 |
Other operating expenses | 400 | 372 | 786 | 722 |
Total expenses | 2,164 | 1,500 | 3,791 | 2,805 |
OTHER INCOME (LOSS) | ||||
Net realized gains (losses) on securities | (7,985) | (11,580) | (17,808) | (26,706) |
Net realized gains (losses) on financial derivatives | 6,565 | 24,227 | 10,024 | 25,970 |
Change in net unrealized gains (losses) on securities | 1,180 | (1,780) | 2,940 | 26,168 |
Change in net unrealized gains (losses) on financial derivatives | (2,367) | (6,548) | 7,849 | (17,099) |
Noninterest Income, Other Operating Income | (16) | 0 | (16) | 0 |
Total other income (loss) | (2,623) | 4,319 | 2,989 | 8,333 |
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | (890) | 1,203 | 3,374 | 3,540 |
Income Tax Expense (Benefit) | (75) | 0 | 228 | 0 |
NET INCOME (LOSS) | $ (815) | $ 1,203 | $ 3,146 | $ 3,540 |
NET INCOME (LOSS) PER COMMON SHARE: | ||||
Basic and Diluted (in dollars per share) | $ (0.04) | $ 0.09 | $ 0.16 | $ 0.26 |
CONSOLIDATED STATEMENT OF SHARE
CONSOLIDATED STATEMENT OF SHAREHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Common Shares [Member] | Preferred Stock [Member] | Additional Paid-in Capital [Member] | Accumulated (Deficit) Earnings [Member] | ||
Common stock, shares outstanding | 13,377,840 | 13,377,840 | |||||
Balance, in shares at Dec. 31, 2022 | 0 | ||||||
Balance at Dec. 31, 2022 | $ 112,409 | $ 134 | $ 0 | $ 240,940 | $ (128,665) | ||
Shares Issued, Shares | [1] | 455,671 | |||||
Stock Issued During Period, Value, New Issues | [1] | 3,491 | $ 4 | 3,487 | |||
Share based compensation | 45 | 45 | |||||
Share-based Payment Arrangement, Shares Withheld for Tax Withholding Obligation | (3,108) | ||||||
Share-based Payment Arrangement, Decrease for Tax Withholding Obligation | 0 | $ 0 | 0 | ||||
Dividends declared | [2] | (3,305) | (3,305) | ||||
NET INCOME (LOSS) | 2,337 | 2,337 | |||||
Balance at Mar. 31, 2023 | 114,977 | 138 | $ 0 | 244,472 | (129,633) | ||
Balance, in shares at Dec. 31, 2022 | 0 | ||||||
Balance at Dec. 31, 2022 | $ 112,409 | 134 | $ 0 | 240,940 | (128,665) | ||
Shares Issued, Shares | 1,003,461 | ||||||
Share-based Payment Arrangement, Shares Withheld for Tax Withholding Obligation | 3,108 | ||||||
NET INCOME (LOSS) | $ 3,540 | ||||||
Balance at Jun. 30, 2023 | $ 116,697 | $ 144 | $ 0 | 248,355 | (131,802) | ||
Common Stock, Dividends, Per Share, Declared | $ 0.48 | ||||||
Common stock, shares outstanding | 13,830,403 | 13,830,403 | |||||
Balance, in shares at Mar. 31, 2023 | 0 | ||||||
Balance at Mar. 31, 2023 | $ 114,977 | $ 138 | $ 0 | 244,472 | (129,633) | ||
Shares Issued, Shares | 547,790 | 547,790 | [1] | ||||
Stock Issued During Period, Value, New Issues | [1] | $ 3,808 | $ 6 | 3,802 | |||
Share based compensation | $ 81 | 81 | |||||
Share-based Payment Arrangement, Shares Withheld for Tax Withholding Obligation | 0 | ||||||
Dividends declared | [2] | $ (3,372) | (3,372) | ||||
NET INCOME (LOSS) | 1,203 | 1,203 | |||||
Balance at Jun. 30, 2023 | $ 116,697 | $ 144 | $ 0 | 248,355 | (131,802) | ||
Common Stock, Dividends, Per Share, Declared | $ 0.24 | ||||||
Common stock, shares outstanding | 14,378,193 | 14,378,193 | |||||
Common stock, shares outstanding | 18,601,464 | 18,601,464 | |||||
Balance, in shares at Dec. 31, 2023 | 0 | 0 | |||||
Balance at Dec. 31, 2023 | $ 136,238 | $ 186 | $ 0 | 274,698 | (138,646) | ||
Shares Issued, Shares | [1] | 1,218,146 | |||||
Stock Issued During Period, Value, New Issues | [1] | 7,403 | $ 12 | 7,391 | |||
Share based compensation | 72 | 72 | |||||
Dividends declared | [2] | (4,757) | (4,757) | ||||
NET INCOME (LOSS) | 3,961 | 3,961 | |||||
Balance at Mar. 31, 2024 | $ 142,917 | 198 | $ 0 | 282,161 | (139,442) | ||
Balance, in shares at Dec. 31, 2023 | 0 | 0 | |||||
Balance at Dec. 31, 2023 | $ 136,238 | 186 | $ 0 | 274,698 | (138,646) | ||
Shares Issued, Shares | 2,533,512 | ||||||
Share-based Payment Arrangement, Shares Withheld for Tax Withholding Obligation | 0 | ||||||
NET INCOME (LOSS) | $ 3,146 | ||||||
Balance at Jun. 30, 2024 | $ 146,129 | $ 211 | $ 0 | 291,114 | (145,196) | ||
Common Stock, Dividends, Per Share, Declared | $ 0.48 | ||||||
Common stock, shares outstanding | 19,819,610 | 19,819,610 | |||||
Balance, in shares at Mar. 31, 2024 | 0 | ||||||
Balance at Mar. 31, 2024 | $ 142,917 | $ 198 | $ 0 | 282,161 | (139,442) | ||
Shares Issued, Shares | 1,315,366 | 1,315,366 | [1] | ||||
Stock Issued During Period, Value, New Issues | [1] | $ 8,895 | $ 13 | 8,882 | |||
Share based compensation | $ 71 | 71 | |||||
Share-based Payment Arrangement, Shares Withheld for Tax Withholding Obligation | 0 | ||||||
Dividends declared | [2] | $ (4,939) | (4,939) | ||||
NET INCOME (LOSS) | (815) | (815) | |||||
Balance at Jun. 30, 2024 | $ 146,129 | $ 211 | $ 0 | $ 291,114 | $ (145,196) | ||
Common Stock, Dividends, Per Share, Declared | $ 0.24 | ||||||
Common stock, shares outstanding | 21,134,976 | 21,134,976 | |||||
[1]Net of discounts and commissions and offering costs.[2] For each of the three-month periods ended June 30, 2024 and 2023, dividends totaling $0.24, per common share outstanding, were declared. For each of the six-month periods ended June 30, 2024 and 2023, dividends totaling $0.48, per common share outstanding, were declared. |
CONSOLIDATED STATEMENT OF CASH
CONSOLIDATED STATEMENT OF CASH FLOWS - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | ||
Cash flows provided by (used in) operating activities: | |||
Net income (loss) | $ 3,146 | $ 3,540 | |
Reconciliation of net income (loss) to net cash provided by (used in) operating activities: | |||
Net realized (gains) losses on securities | 17,808 | 26,706 | |
Change in net unrealized (gains) losses on securities | (2,940) | (26,168) | |
Net realized (gains) losses on financial derivatives | (10,024) | (25,970) | |
Unrealized Gain (Loss), Foreign Currency Transaction, before Tax | 49 | 0 | |
Change in net unrealized gains (losses) on financial derivatives | (7,849) | 17,099 | |
Amortization of premiums and accretion of discounts, net | 900 | 1,382 | |
Share based compensation | 143 | 126 | |
(Increase) decrease in operating assets: | |||
Interest receivable | 539 | (812) | |
Other assets | (190) | (171) | |
Increase (decrease) in operating liabilities: | |||
Accrued expenses | 556 | 230 | |
Interest payable | (710) | (359) | |
Management fees payable to affiliate | 37 | 16 | |
Net cash provided by (used in) operating activities | 1,465 | (4,381) | |
Cash flows provided by (used in) investing activities: | |||
Purchases of securities | (798,500) | (1,088,817) | |
Proceeds from sale of securities | 874,496 | 1,019,477 | |
Principal repayments of securities | 46,216 | 46,618 | |
Proceeds from investments sold short | 151,020 | 339,797 | |
Repurchase of investments sold short | (134,483) | (337,801) | |
Proceeds from disposition of financial derivatives | 26,048 | 18,816 | |
Purchase of financial derivatives | (15,313) | (12,163) | |
Payments made on reverse repurchase agreements | (1,172,949) | (1,977,897) | |
Proceeds from reverse repurchase agreements | 1,156,544 | 1,966,205 | |
Due from brokers, net | (987) | (98) | |
Due to brokers, net | 11,981 | 7,317 | |
Net cash provided by (used in) investing activities | 144,073 | (18,546) | |
Cash flows provided by (used in) financing activities: | |||
Net proceeds from issuance of common shares | [1] | 16,495 | 7,360 |
Offering costs paid | (138) | (41) | |
Dividends paid | (9,493) | (6,597) | |
Borrowings under repurchase agreements | 5,541,177 | 2,735,552 | |
Repayments of repurchase agreements | (5,692,217) | (2,702,977) | |
Due from brokers, net | (960) | 1,413 | |
Due to brokers, net | 79,828 | (2,886) | |
Cash provided by (used in) financing activities | (65,308) | 31,824 | |
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | 80,230 | 8,897 | |
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD | 38,533 | 34,816 | |
CASH AND CASH EQUIVALENTS, END OF PERIOD | 118,763 | 43,713 | |
Supplemental disclosure of cash flow information: | |||
Interest paid | 21,045 | 21,755 | |
Income Taxes Paid | 170 | 0 | |
Dividend payable | $ 1,691 | $ 1,150 | |
[1] Net of discount and commissions. |
Organization and Investment Obj
Organization and Investment Objective | 6 Months Ended |
Jun. 30, 2024 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Investment Objective | Organization and Investment Objective Ellington Credit Company, or "EARN," (formerly Ellington Residential Mortgage REIT) was initially formed as a Maryland real estate investment trust, or "REIT," on August 2, 2012, and commenced operations on September 25, 2012, with a focus on acquiring, investing in, and managing residential mortgage- and real estate-related assets through its wholly owned subsidiaries. EARN conducts its business through its wholly owned subsidiaries, EARN OP GP LLC, or the "General Partner," and Ellington Residential Mortgage LP, or the "Operating Partnership," which were formed as a Delaware limited liability company and a Delaware limited partnership, respectively, on July 31, 2012 and commenced operations on September 25, 2012. The Operating Partnership conducts its business of acquiring, investing in, and managing targeted assets through its wholly owned subsidiaries. EARN, the General Partner, the Operating Partnership, and their consolidated subsidiaries are hereafter defined as the "Company." On March 29, 2024, the Company's Board of Trustees approved a strategic transformation, the "CLO Strategic Transformation," of the Company's investment strategy to focus on corporate collateralized loan obligations, or "CLOs." In connection with the CLO Strategic Transformation, the Company revoked its status as a REIT under the Internal Revenue Code of 1986, as amended, or "the Code," and, effective January 1, 2024, conducts its operations as a taxable C-Corp and maintains its exclusion from registration under the Investment Company Act of 1940, as amended, or the "Investment Company Act." On April 19, 2024, the Company changed its name and amended its declaration of trust and bylaws accordingly. Later in 2024, the Company intends to convert to a closed-end fund to be treated as a regulated investment company, or "RIC," subject to shareholder approval of certain matters. After such conversion to a closed-end fund, the Company would be required to comply with the rules and regulations of the Investment Company Act. The Company began acquiring and actively managing a portfolio of CLOs during the year ended December 31, 2023. The Company's targeted investments may range from unrated first loss securities to AAA senior securities. Prior to the CLO Strategic Transformation, the Company focused on acquiring and managing RMBS, for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity, or "Agency RMBS," and RMBS that do not carry such guarantees, or "non-Agency RMBS," such as RMBS backed by prime jumbo, Alternative A-paper, manufactured housing, and subprime residential mortgage loans. Agency RMBS include both Agency pools and Agency collateralized mortgage obligations, or "CMOs," and non-Agency RMBS primarily consist of non-Agency CMOs, both investment grade and non-investment grade. As a result of the CLO Strategic Transformation, the Company intends to gradually liquidate its portfolio of mortgage-related assets and invest its capital in CLOs. Ellington Credit Company Management LLC, formerly known as Ellington Residential Mortgage Management LLC, or the "Manager," serves as the Manager of the Company pursuant to the terms of a management agreement, as described in Note 9. The Manager is an affiliate of Ellington Management Group, L.L.C., or "EMG," an investment management firm that is an SEC-registered investment adviser with a longstanding history of investing in CLOs across a wide variety of market conditions. In accordance with the terms of the Management Agreement, the New Management Agreement, and the Services Agreement (each as defined and described in Note 9), the Manager is responsible for administering the Company's business activities and day-to-day operations, and performs certain services, subject to oversight by the Board of Trustees. |
Significant Accounting Policies
Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2024 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | Significant Accounting Policies (A) Basis of Presentation: The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP," and Regulation S-X. Entities in which the Company has a controlling financial interest, through ownership of the majority of the entities' voting equity interests, or through other contractual rights that give the Company control, are consolidated by the Company. All inter-company balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's interim consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2023. (B) Valuation: The Company applies ASC 820-10, Fair Value Measurement ("ASC 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows: • Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are exchange-traded derivatives and equities; • Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are Agency RMBS, U.S. Treasury securities, certain non-Agency RMBS, CLOs, and actively traded derivatives such as TBAs, interest rate swaps, swaptions, credit default swaps, or "CDS", foreign currency forwards, and other over-the-counter derivatives; and • Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. Currently, this category generally includes certain CLOs, CDS, and RMBS, such as certain non-Agency RMBS and certain Agency interest only securities, or "IOs," where there is less price transparency. For certain financial instruments, the various inputs that management uses to measure fair value may fall into different levels of the fair value hierarchy. For each such financial instrument, the determination of which category within the fair value hierarchy is appropriate is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value, with the highest priority given to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1), and the lowest priority given to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its assets and liabilities. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar assets or liabilities. The income approach uses projections of the future economic benefits of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for the various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. For the Company's investments in securities and TBAs, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, management may adjust the valuations it receives (e.g., downward adjustments for odd lots), and management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Given their relatively high level of price transparency, Agency RMBS pass-throughs, and TBAs are typically designated as Level 2 assets. Non-Agency RMBS, CLOs, and Agency interest only and inverse interest only RMBS are generally classified as either Level 2 or Level 3 based on the analysis of available market data and/or third-party valuations. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness; These financial derivatives are generally designated as Level 2 instruments. For financial derivatives with greater price transparency, such as CDS on corporate indices, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally classified as Level 2. In valuing its derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement. The Company's reverse repurchase agreements and repurchase agreements are carried at cost, which approximates fair value. Reverse repurchase agreements and repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature. The Company's valuation process, including the application of validation criteria, is directed by the Manager's Valuation Committee ("Valuation Committee") and overseen by the Company's audit committee. The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter the Valuation Committee reviews and approves the valuations of the Company's investments. The valuation process also includes a monthly review by the Company's third party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the consolidated financial statements. (C) Accounting for Securities: Purchases and sales of securities are recorded on trade date and realized and unrealized gains and losses are calculated based on identified cost. The Company has chosen to make a fair value election pursuant to ASC 825-10, Financial Instruments , for its securities portfolio. Electing the fair value option, or "FVO," allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities are recorded at fair value on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Consolidated Statement of Operations as a component of Change in net unrealized gains (losses) on securities. The Company evaluates the cost basis of its securities on at least a quarterly basis under ASC 326-30, Financial Instruments—Credit Losses: Available-for-Sale Debt Securities ("ASC 326-30"). When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired. The Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit related factors. In its assessment of whether a credit loss exists, the Company compares the present value of estimated future cash flows of the impaired security with the amortized cost basis of such security. The estimated future cash flows reflect those that a "market participant" would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default rates, collateral performance, and the timing and amount of projected credit losses, as well as incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a security's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the security's cost basis. This adjustment to the amortized cost basis of the security is reflected in Net realized gains (losses) on securities, on the Consolidated Statement of Operations. (D) Interest Income: Coupon interest income on investment securities is accrued based on the outstanding principal balance or notional amount and the current coupon rate on each security. The Company amortizes purchase premiums and accretes purchase discounts on its fixed-income securities. For RMBS that are deemed to be of high credit quality at the time of purchase, premiums and discounts are generally amortized/accreted into interest income over the life of such securities using the effective interest method. For such RMBS whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment, or "Catch-up Amortization Adjustment," is made to amortization to reflect the cumulative impact of the change in effective yield. For debt securities (generally RMBS and CLOs) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of estimating future expected cash flows, management uses assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices). These assumptions are re-evaluated not less than quarterly. Changes in estimated future cash flows, as applied to the current amortized cost of the security, may result in a prospective change in the yield/interest income recognized on such securities. Certain of the Company's debt securities, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination. If at the date of acquisition for a particular asset the Company projects a significant difference between contractual cash flows and expected cash flows, it establishes an initial estimate for credit losses as an upward adjustment to the acquisition cost of the asset for the purpose of calculating interest income using the effective yield method. The Company's accretion of discounts and amortization of premiums on securities for U.S. federal and other tax purposes is likely to differ from the accounting treatment under U.S. GAAP of these items as described above. (E) Cash and Cash Equivalents: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in interest bearing overnight accounts and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. (F) Due from brokers/Due to brokers: Due from brokers and Due to brokers accounts on the Consolidated Balance Sheet include collateral transferred to or received from counterparties, including clearinghouses, along with receivables and payables for open and/or closed derivative positions. (G) Financial Derivatives: The Company enters into various types of financial derivatives subject to its investment guidelines. The Company's financial derivatives are predominantly subject to bilateral master trade agreements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The Company may be required to deliver or may receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of financial derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared financial derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Collateral received by the Company is reflected on the Consolidated Balance Sheet as "Due to Brokers." Conversely, collateral posted by the Company is reflected as "Due from Brokers" on the Consolidated Balance Sheet. The types of financial derivatives that have been utilized by the Company to date include interest rate swaps, TBAs, swaptions, and futures. Swaps: The Company enters into various types of swaps including interest rate swaps and credit default swaps. The primary risk associated with the Company's interest rate swap activity is interest rate risk. The primary risk associated with the Company's credit default swaps and total return swaps is credit risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time. A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a "reference asset" (usually a bond, loan, or an index or basket of bonds or loans). The definition of a credit event may vary from contract to contract. A credit event may occur (i) when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) is downgraded below a certain rating level, or (iii) with respect to credit default swaps referencing corporate entities and indices, upon an event of default of the obligor of the reference asset (or underlying obligor, in the case of a reference asset that is an index). Swaps change in value with movements in interest rates or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses on the Consolidated Statement of Operations. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Balance Sheet and are recorded as a realized gain or loss on the termination date. TBA Securities: The Company transacts in the forward settling TBA market. A TBA position is a forward contract for the purchase ("long position") or sale ("short position") of Agency RMBS at a predetermined price, face amount, issuer, coupon, and maturity on an agreed-upon future delivery date. For each TBA contract and delivery month, a uniform settlement date for all market participants is determined by the Securities Industry and Financial Markets Association. The specific Agency RMBS to be delivered into the contract at the settlement date are not known at the time of the transaction. The Company typically does not take delivery of TBAs, but rather enters into offsetting transactions and settles the associated receivable and payable balances with its counterparties. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions. TBAs are accounted for by the Company as financial derivatives. The difference between the contract price and the fair value of the TBA position as of the reporting date is included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Upon settlement of the TBA contract, the realized gain (loss) on the TBA contract is equal to the net cash amount received (paid). Options : The Company enters into swaption contracts. It may purchase or write put, call, straddle, or other similar options contracts. The Company enters into options contracts primarily to help mitigate interest rate risk. When the Company purchases an options contract, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company writes an options contract, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. In general, the Company's options contracts contain forward-settling premiums. In this case, no money is exchanged upfront; instead, the agreed-upon premium is paid by the buyer upon expiration of the options contract, regardless of whether or not the options contract is exercised. Unrealized gains or (losses) resulting from the options contract being marked-to-market are included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Realized gains or (losses) are included in Net realized gains (losses) on financial derivatives on the Consolidated Statement of Operations. Futures Contracts : The Company enters into futures contract, typically U.S. Treasury futures contracts. A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. Unrealized gains or (losses) are included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Realized gains or (losses) are included in Net realized gains (losses) on financial derivatives on the Consolidated Statement of Operations. Forward Currency Contracts : A forward currency contract is an agreement between two parties to purchase or sell a specific quantity of currency with the delivery and settlement at a specific future date and exchange rate. During the period the forward currency contract is open, changes in the value of the contract are recognized as unrealized gains or losses. When the contract is settled, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Financial derivative assets are included in Financial derivatives–assets, at fair value on the Consolidated Balance Sheet while financial derivative liabilities are included in Financial derivatives–liabilities, at fair value on the Consolidated Balance Sheet. The Company has chosen to elect the FVO for its financial derivatives. Electing the FVO allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. Changes in unrealized gains and losses on financial derivatives are included in Change in net unrealized gains (losses) on financial derivatives, on the Consolidated Statement of Operations. Realized gains and losses on financial derivatives are included in Net realized gains (losses) on financial derivatives on the Consolidated Statement of Operations. (H) Repurchase Agreements: The Company enters into repurchase agreements with third-party broker-dealers, whereby it sells securities under agreements to repurchase at an agreed upon price and date. The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the amount borrowed over the term of the repurchase agreement. The interest rate on a repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature. (I) Reverse Repurchase Agreements: The Company enters into reverse repurchase agreement transactions with third-party broker-dealers, whereby it purchases securities under agreements to resell at an agreed upon price and date. The interest rate on a reverse repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Reverse repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature. Repurchase and reverse repurchase agreements that are conducted with the same counterparty can be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting . There are currently no repurchase and reverse repurchase agreements reported on a net basis in the Company's consolidated financial statements. (J) Securities Sold Short: The Company may purchase or engage in short sales of U.S. Treasury securities to mitigate the potential impact of changes in interest rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by borrowing or purchasing the security sold short from the same or a different counterparty. When borrowing a security sold short from a counterparty, the Company generally is required to deliver cash or securities to such counterparty as collateral for the Company's obligation to return the borrowed security. The Company has chosen to make the fair value election pursuant to ASC 825-10, Financial Instruments , for its securities sold short. Electing the FVO allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities sold short are recorded at fair value on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Consolidated Statement of Operations as a component of Change in net unrealized gains (losses) on securities. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the original sale price. Such realized gain or loss is recorded on the Company's Consolidated Statement of Operations in Net realized gains (losses) on securities. (K) Offering Costs/Deferred Offering Costs/Underwriters' Discounts: Offering costs, underwriters' discounts and commissions and fees, are charged against shareholders' equity within Additional paid-in-capital. Offering costs typically include legal, accounting, and other fees associated with the cost of raising equity capital. (L) Share Based Compensation: The Company applies the provisions of ASC 718, Compensation—Stock Compensation ("ASC 718"), with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including share options, restricted share plans, performance-based awards, share appreciation rights, and employee share purchase plans. ASC 718 requires that compensation cost relating to share-based payment transactions be recognized in the financial statements. The cost is measured based on the fair value, at the grant date, of the equity or liability instruments issued and is amortized over the vesting period. Restricted shares issued to the Company's independent trustees and partially dedicated personnel are participating securities and receive dividends prior to vesting. Fair value for such awards is based on the closing stock price on the New York Stock Exchange at the grant date. The vesting period for restricted share awards is typically one to two years. Shares issued to the Company's independent trustees and partially dedicated personnel are subject to tax withholding upon vesting. The Company's independent trustees and partially dedicated personnel are permitted to forfeit a portion of their vested shares to pay such withholding tax. Forfeited shares decrease the total number of shares issued and outstanding and are immediately retired upon settlement. (M) Dividends: Dividends payable are recorded on the declaration date. (N) Expenses: Expenses are recognized as incurred on the Consolidated Statement of Operations. (O) Earnings Per Share: In accordance with the provisions of ASC 260, Earnings per Share , the Company calculates basic income (loss) per share by dividing net income (loss) for the period by the weighted average of the Company's common shares outstanding for that period. Diluted income (loss) per share takes into account the effect of dilutive instruments, such as share options and warrants, and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding. (P) Foreign Currency : The functional currency of the Company is U.S. dollars. Assets and liabilities denominated in foreign currencies are remeasured into U.S. dollars at current exchange rates at the following dates: (i) assets, liabilities, and unrealized gains/losses—at the valuation date; and (ii) income, expenses, and realized gains/losses—at the accrual/transaction date. For investments and financial derivatives denominated in a foreign currency, the Company isolates the portion of realized and change in unrealized gain (loss) resulting from changes in the foreign currency exchange rate from the fluctuations arising from changes in fair value (as measured i |
Investment in Securities
Investment in Securities | 6 Months Ended |
Jun. 30, 2024 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment in Securities | Investment in Securities The Company's securities portfolio primarily consists of Agency and non-Agency RMBS and corporate CLOs, and may also include U.S. Treasury securities and corporate debt and equity securities. The Company's Agency RMBS include mortgage pass-through certificates and CMOs representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by a U.S. government agency or government-sponsored enterprise, or "GSE." The securities in the Company's non-Agency RMBS and CLO portfolios are not issued or guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, or any agency of the U.S. Government and are therefore subject to greater credit risk. The following tables present details of the Company's investments in securities as of June 30, 2024 and December 31, 2023. June 30, 2024: Unamortized Premium (Discount) Gross Unrealized Weighted Average ($ in thousands) Current Principal Amortized Cost Gains Losses Fair Value Coupon (1)(2) Yield Life (3) Long: RMBS: Agency: 15-year fixed-rate mortgages $ 4,115 $ 43 $ 4,158 $ 4 $ (78) $ 4,084 4.74% 4.27% 3.30 30-year fixed-rate mortgages 548,497 (10,046) 538,451 2,454 (13,920) 526,985 4.89% 5.04% 6.27 Reverse mortgages 34 3 37 — (4) 33 4.70% 3.19% 6.16 Interest only securities (4) n/a n/a 1,985 461 (91) 2,355 4.29% 7.95% 5.86 Non-Agency: Principal and interest securities 9,461 (1,518) 7,943 1,529 (9) 9,463 9.54% 11.49% 5.64 Interest only securities (4) n/a n/a 6,182 2,146 — 8,328 0.26% 15.95% 8.89 CLO Notes 54,186 (9,278) 44,908 1,027 (836) 45,099 12.48% 16.71% 5.53 CLO Equity n/a n/a 41,835 167 (2,013) 39,989 n/a 15.95% 7.72 Corporate equity n/a n/a 43 — (11) 32 n/a n/a n/a Total Long 616,293 (20,796) 645,542 7,788 (16,962) 636,368 5.63% 6.75% 6.31 Short: U.S. Treasury securities (16,350) 246 (16,104) — (95) (16,199) 4.23% 4.38% 9.92 Total Short (16,350) 246 (16,104) — (95) (16,199) 4.23% 4.38% 9.92 Total $ 599,943 $ (20,550) $ 629,438 $ 7,788 $ (17,057) $ 620,169 5.59% 6.69% 6.40 (1) Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the weighted average coupon rates on the underlying collateral. (2) Total long and total weighted average coupon excludes CLO equity securities, corporate equity, and interest only RMBS. (3) Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (4) Weighted average coupon is based on a notional principal amount of $18.0 million and $616.7 million, for Agency and non-Agency interest only securities, respectively. December 31, 2023: Unamortized Premium (Discount) Gross Unrealized Weighted Average ($ in thousands) Current Principal Amortized Cost Gains Losses Fair Value Coupon (1)(2) Yield Life (Years) (3) RMBS: Agency: 15-year fixed-rate mortgages $ 28,647 $ 118 $ 28,765 $ 32 $ (950) $ 27,847 3.46% 3.20% 2.90 20-year fixed-rate mortgages 8,524 509 9,033 4 (1,174) 7,863 3.30% 2.21% 5.68 30-year fixed-rate mortgages 697,510 (15,131) 682,379 8,180 (20,265) 670,294 4.26% 4.42% 6.51 Adjustable rate mortgages 7,127 933 8,060 — (941) 7,119 4.68% 2.74% 4.45 Reverse mortgages 14,406 2,183 16,589 — (1,715) 14,874 5.92% 2.94% 4.50 Interest only securities (4) n/a n/a 6,607 971 (163) 7,415 2.77% 15.64% 6.10 Non-Agency: Principal and interest securities 9,953 (1,764) 8,189 1,231 (11) 9,409 9.39% 10.72% 5.80 Interest only securities (4) n/a n/a 8,700 2,610 — 11,310 0.22% 16.69% 9.03 CLO Notes 16,876 (2,435) 14,441 123 (73) 14,491 12.16% 15.26% 5.66 CLO Equity n/a n/a 2,947 51 (72) 2,926 n/a 35.84% 5.87 Total $ 783,043 $ (15,587) $ 785,710 $ 13,202 $ (25,364) $ 773,548 4.49% 4.92% 6.32 (1) Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates on the underlying collateral. (2) Total weighted average coupon excludes CLO equity securities and interest only RMBS. (3) Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (4) Weighted average coupon is based on a notional principal amount of $83.8 million and $1.05 billion, for Agency and non-Agency interest only securities, respectively. By Estimated Weighted Average Life As of June 30, 2024: ($ in thousands) Agency RMBS Agency IOs Estimated Weighted Average Life (1) Fair Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Less than three years $ 35,035 $ 35,055 6.33 % $ 332 $ 341 4.04 % Greater than three years and less than seven years 278,519 279,827 5.55 % 807 580 4.50 % Greater than seven years and less than eleven years 217,548 227,764 3.91 % 1,216 1,064 4.30 % Total $ 531,102 $ 542,646 4.89 % $ 2,355 $ 1,985 4.29 % (1) Expected average lives of RMBS and Agency IOs are generally shorter than stated contractual maturities. (2) Weighted average coupon represents the weighted average coupons of the securities rather than the coupon rates on the underlying collateral. ($ in thousands) Non-Agency RMBS Non-Agency IOs CLOs (3) Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Less than three years $ 1,752 $ 1,731 7.45 % $ — $ — — % $ 1,514 $ 1,759 11.80 % Greater than three years and less than seven years 5,995 5,082 11.79 % — — — % 35,890 35,477 12.30 % Greater than seven years and less than eleven years 1,716 1,130 5.94 % 8,328 6,182 0.26 % 7,695 7,672 13.66 % Total $ 9,463 $ 7,943 9.54 % $ 8,328 $ 6,182 0.26 % $ 45,099 $ 44,908 12.48 % (1) Expected average lives of RMBS and CLOs are generally shorter than stated contractual maturities. (2) Weighted average coupon represents the weighted average coupons of the securities rather than the coupon rates on the underlying collateral. (3) CLOs excludes CLO Equity. As of December 31, 2023: ($ in thousands) Agency RMBS Agency IOs Estimated Weighted Average Life (1) Fair Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Less than three years $ 85,958 $ 85,990 5.67 % $ 1,774 $ 1,566 2.10 % Greater than three years and less than seven years 297,251 303,424 4.67 % 1,796 1,570 3.72 % Greater than seven years and less than eleven years 344,788 355,412 3.58 % 3,845 3,471 3.53 % Total $ 727,997 $ 744,826 4.25 % $ 7,415 $ 6,607 2.77 % (1) Expected average lives of RMBS and Agency IOs are generally shorter than stated contractual maturities. (2) Weighted average coupon represents the weighted average coupons of the securities rather than the coupon rates on the underlying collateral. ($ in thousands) Non-Agency RMBS Non-Agency IOs CLOs (3) Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Less than three years $ 1,764 $ 1,749 7.45 % $ — $ — — % $ — $ — — % Greater than three years and less than seven years 5,834 5,271 11.39 % — — — % 13,114 13,078 11.99 % Greater than seven years and less than eleven years 1,217 1,169 6.07 % 11,310 8,700 0.22 % 1,377 1,363 14.06 % Greater than eleven years 594 — 5.79 % — — — % — — — % Total $ 9,409 $ 8,189 9.39 % $ 11,310 $ 8,700 0.22 % $ 14,491 $ 14,441 12.16 % (1) Expected average lives of RMBS are generally shorter than stated contractual maturities. (2) Weighted average coupon represents the weighted average coupons of the securities rather than the coupon rates on the underlying collateral. (3) CLOs excludes CLO Equity. The following tables reflect the components of net interest income (expense) by security type for the three- and six-month period ended June 30, 2024 and 2023: Three-Month Period Ended Three-Month Period Ended ($ in thousands) Net Coupon Net Amortization Net Interest Net Coupon Net Amortization Net Interest Agency RMBS $ 8,139 $ 199 $ 8,338 $ 9,587 $ (846) $ 8,741 Non-Agency RMBS 729 (201) 528 735 (130) 605 CLOs 3,579 (59) 3,520 — — — U.S. Treasury securities 519 19 538 — — — Total $ 12,966 $ (42) $ 12,924 $ 10,322 $ (976) $ 9,346 Six-Month Period Ended Six-Month Period Ended ($ in thousands) Net Coupon Net Amortization Net Interest Net Coupon Net Amortization Net Interest Agency RMBS $ 16,596 $ (855) $ 15,741 $ 18,861 $ (1,930) $ 16,931 Non-Agency RMBS 1,626 (534) 1,092 1,394 (212) 1,182 CLOs 4,867 (103) 4,764 — — — U.S. Treasury securities 451 49 500 — — — Total $ 23,540 $ (1,443) $ 22,097 $ 20,255 $ (2,142) $ 18,113 For the three-month periods ended June 30, 2024 and 2023, the Catch-up Amortization Adjustment was $0.2 million and $(0.4) million, respectively. For each of the six-month periods ended June 30, 2024 and 2023, the Catch-up Amortization Adjustment was $(0.7) million. At June 30, 2024, the Company had gross unrealized losses on securities of $(17.1) million, of which $(1.5) million relates primarily to adverse changes in estimated future cash flows on CLOs and Agency IOs. At December 31, 2023, the Company had gross unrealized losses on securities of $(25.4) million, of which $(0.2) million relates primarily to adverse changes in estimated future cash flows on CLOs and Agency IOs. The Company determined for certain securities that a portion of such securities' cost basis is not collectible; for the three-month period ended June 30, 2023, the Company recognized realized losses on such securities of $(0.2) million. For the six-month periods ended June 30, 2024 and 2023, the Company recognized realized losses on such securities of $(13) thousand and $(0.4) million, respectively. Such realized losses are reflected in Net realized gains (losses) on securities, on the Consolidated Statement of Operations. |
Derivative Instruments
Derivative Instruments | 6 Months Ended |
Jun. 30, 2024 | |
Derivative Instrument Detail [Abstract] | |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | Financial Derivatives The Company manages certain risks associated with its investments and borrowings, including interest rate, credit, liquidity, and foreign exchange rate risk primarily by managing the amount, sources, and duration of its investments and borrowings, and through the use of derivative financial instruments. The Company's derivative financial instruments are used to manage differences in the amount, timing, and duration of its known or expected cash receipts and its known or expected cash payments principally related to its investments and borrowings, as well as to mitigate changes in the fair value of its investments that are caused by changes in overall market conditions. The following table details the fair value of the Company's holdings of financial derivatives as of June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 (In thousands) Financial derivatives–assets, at fair value: TBA securities purchase contracts $ 99 $ 654 TBA securities sale contracts 681 — Fixed payer interest rate swaps 78,674 67,719 Fixed receiver interest rate swaps 782 3,622 Futures 598 2,284 Total financial derivatives–assets, at fair value 80,834 74,279 Financial derivatives–liabilities, at fair value: TBA securities purchase contracts (956) (13) TBA securities sale contracts (63) (1,863) Fixed payer interest rate swaps (426) (4,182) Fixed receiver interest rate swaps (4,635) (576) Futures (22) (63) Credit default swaps (618) (632) Total financial derivatives–liabilities, at fair value (6,720) (7,329) Total, net $ 74,114 $ 66,950 Interest Rate Swaps The following tables provide information about the Company's fixed payer interest rate swaps as of June 30, 2024 and December 31, 2023. June 30, 2024: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2025 $ 100,268 $ 3,982 2.98 % 5.34 % 1.23 2027 40,545 2,202 3.01 5.33 3.22 2028 104,647 7,375 2.74 5.34 4.02 2029 79,000 6,292 2.40 5.33 4.73 2030 97,200 7,890 2.50 5.33 5.92 2031 123,515 18,371 1.81 5.33 6.98 2032 104,377 16,539 1.74 5.33 7.63 2033 76,900 1,984 3.69 5.33 8.75 2034 10,148 1 4.02 5.34 9.78 2037 35,000 4,697 2.85 5.33 13.07 2038 39,500 166 4.01 5.34 14.16 2040 500 194 0.90 5.33 16.32 2041 10,961 3,931 1.33 5.34 17.10 2049 3,564 1,338 1.63 5.34 25.33 2050 780 438 0.64 5.34 26.04 2052 10,000 2,848 2.28 5.33 27.81 Total $ 836,905 $ 78,248 2.60 % 5.33 % 6.76 December 31, 2023: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2024 $ 73,693 $ 2,161 2.27 % 5.38 % 0.33 2025 100,268 2,960 2.98 5.39 1.72 2027 40,545 1,164 3.01 5.38 3.71 2028 104,647 5,264 2.74 5.39 4.51 2029 65,987 5,528 2.17 5.38 5.25 2030 97,200 7,141 2.50 5.38 6.42 2031 123,515 16,138 1.81 5.38 7.48 2032 104,377 15,932 1.74 5.38 8.13 2033 76,900 (782) 3.69 5.38 9.25 2037 35,000 2,842 2.85 5.38 13.56 2038 39,500 (2,072) 4.01 5.39 14.66 2040 500 165 0.90 5.33 16.82 2041 10,961 3,395 1.33 5.39 17.60 2049 3,564 1,156 1.63 5.39 25.83 2050 780 394 0.64 5.39 26.54 2052 10,000 2,151 2.28 5.38 28.31 Total $ 887,437 $ 63,537 2.54 % 5.38 % 6.68 The following tables provide information about the Company's fixed receiver interest rate swaps as of June 30, 2024 and December 31, 2023. June 30, 2024: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2026 $ 4,787 $ (8) 5.34 % 4.72 % 1.77 2028 26,070 (780) 5.34 3.57 3.95 2029 72,354 174 5.34 4.27 4.80 2030 13,000 (536) 5.33 3.31 5.76 2031 40,700 (858) 5.34 3.78 6.62 2033 95,829 (497) 5.34 3.96 9.12 2034 25,401 (1,147) 5.34 3.48 9.54 2040 500 (201) 5.33 0.84 16.32 Total $ 278,641 $ (3,853) 5.34 % 3.91 % 6.92 December 31, 2023: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2026 $ 61 $ — 5.38 % 4.06 % 2.45 2028 10,070 (19) 5.39 3.50 5.00 2029 20,000 19 5.38 3.55 5.01 2030 13,000 (330) 5.38 3.31 6.26 2031 25,700 31 5.38 3.49 7.01 2033 95,829 3,572 5.39 3.96 9.62 2034 23,000 (54) 5.38 3.44 10.01 2040 500 (173) 5.38 0.84 16.82 Total $ 188,160 $ 3,046 5.38 % 3.71 % 8.36 Futures The following tables provide information about the Company's futures as of June 30, 2024 and December 31, 2023. June 30, 2024: Description Notional Amount Fair Value Remaining Months to Expiration ($ in thousands) Assets: Long Contracts: U.S. Treasury Futures $ 104,700 $ 428 3.01 Short Contracts: Euro FX Futures (12,375) 170 2.60 Liabilities: Short Contracts: U.S. Treasury Futures (5,400) (22) 3.07 Total, net $ 86,925 $ 576 2.97 December 31, 2023: Description Notional Amount Fair Value Remaining Months to Expiration ($ in thousands) Assets: Long Contracts: U.S. Treasury Futures $ 84,600 $ 2,284 2.69 Liabilities: Short Contracts: U.S. Treasury Futures (5,400) (63) 2.93 Total, net $ 79,200 $ 2,221 2.70 TBAs The Company transacts in the forward settling TBA market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are generally liquid, have quoted market prices, and represent the most actively traded class of MBS. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions. The Company does not generally take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished. As of June 30, 2024 and December 31, 2023, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows: June 30, 2024 December 31, 2023 TBA Securities Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) (In thousands) Purchase contracts: Assets $ 39,586 $ 35,486 $ 35,585 $ 99 $ 79,722 $ 78,709 $ 79,363 $ 654 Liabilities 177,142 164,378 163,422 (956) 27,700 28,398 28,385 (13) 216,728 199,864 199,007 (857) 107,422 107,107 107,748 641 Sale contracts: Assets (166,856) (165,357) (164,676) 681 — — — — Liabilities (6,218) (5,026) (5,089) (63) (78,285) (69,206) (71,069) (1,863) (173,074) (170,383) (169,765) 618 (78,285) (69,206) (71,069) (1,863) Total TBA securities, net $ 43,654 $ 29,481 $ 29,242 $ (239) $ 29,137 $ 37,901 $ 36,679 $ (1,222) (1) Notional amount represents the principal balance of the underlying Agency RMBS. (2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3) Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end. (4) Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis and is reported in Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet. The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the six-month period ended June 30, 2024 and the year ended December 31, 2023: Derivative Type Six-Month Period Ended Year Ended (In thousands) Interest rate swaps $ 1,091,539 $ 861,689 TBAs 245,622 289,786 Futures 66,989 67,592 Credit default swaps 24,763 14,989 Gains and losses on the Company's financial derivatives for the three- and six-month periods ended June 30, 2024 and 2023 are summarized in the tables below: Three-Month Period Ended June 30, 2024 Derivative Type Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps $ 9,524 $ (1,673) $ 7,851 $ (4,211) $ 1,506 $ (2,705) TBAs (515) (515) (165) (165) Futures (622) (622) 373 373 Credit Default Swaps (149) (149) 130 130 Total $ 9,524 $ (2,959) $ 6,565 $ (4,211) $ 1,844 $ (2,367) Three-Month Period Ended June 30, 2023 Derivative Type Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps $ 3,942 $ 19,703 $ 23,645 $ 1,118 $ (7,476) $ (6,358) TBAs 266 266 2,137 2,137 Futures 334 334 (2,209) (2,209) Credit Default Swaps (18) (18) (118) (118) Total $ 3,942 $ 20,285 $ 24,227 $ 1,118 $ (7,666) $ (6,548) Six-Month Period Ended June 30, 2024 Derivative Type Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps $ 15,336 $ (2,840) $ 12,496 $ (4,322) $ 12,617 $ 8,295 TBAs (1,223) (1,223) 983 983 Futures (796) (796) (1,645) (1,645) Credit Default Swaps (453) (453) 216 216 Total $ 15,336 $ (5,312) $ 10,024 $ (4,322) $ 12,171 $ 7,849 Six-Month Period Ended June 30, 2023 Derivative Type Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps $ 5,711 $ 16,643 $ 22,354 $ 3,550 $ (17,433) $ (13,883) TBAs 3,799 3,799 (2,613) (2,613) Futures (165) (165) (485) (485) Credit Default Swaps (18) (18) (118) (118) Total $ 5,711 $ 20,259 $ 25,970 $ 3,550 $ (20,649) $ (17,099) At June 30, 2024, the Company held credit default swaps representing purchased protection on corporate bond indices with a notional value of $23.8 million and a fair value of $(0.6) million; the weighted average remaining maturity on such contracts was 5.0 years. At December 31, 2023, the Company held credit default swaps representing purchased protection on corporate bond indices with a notional value of $25.9 million and a fair value of $(0.6) million; the weighted average remaining maturity on such contracts was 5.0 years. |
Borrowings under Repurchase Agr
Borrowings under Repurchase Agreements | 6 Months Ended |
Jun. 30, 2024 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements Disclosure [Text Block] | Borrowings under Repurchase Agreements The Company enters into repurchase agreements. A repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's repurchase agreements typically range in term from 30 to 364 days. The principal economic terms of each repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as relating to events of default, are typically governed under the Company's master repurchase agreements. Absent an event of default, the Company maintains beneficial ownership of the transferred securities during the term of the repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the repurchase agreement at which time the Company may enter into a new repurchase agreement at prevailing market rates with the same counterparty, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. In the event of increases in fair value of the transferred securities, the Company generally can require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral; however, upon termination of the repurchase agreement, or other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted. The contractual amount (loan amount) of the Company's repurchase agreements approximates fair value, based on the short-term nature of the debt and the adequacy of the collateral. At any given time, the Company seeks to have its outstanding borrowings under repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. As of June 30, 2024 and December 31, 2023, the Company had outstanding borrowings under repurchase agreements with 18 and 19 counterparties, respectively. The following table details the Company's outstanding borrowings under repurchase agreements as of June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 Weighted Average Weighted Average Remaining Days to Maturity Borrowings Outstanding Interest Rate Remaining Days to Maturity Borrowings Outstanding Interest Rate Remaining Days to Maturity Agency RMBS: (In thousands) (In thousands) 30 days or less $ 469,856 5.46 % 16 $ 676,074 5.54 % 17 31-60 days 19,262 5.45 44 1,256 6.23 44 61-90 days 603 6.15 68 2,933 6.23 67 181-360 days 45,911 5.50 185 — — — Total Agency RMBS 535,632 5.46 32 680,263 5.55 17 Non-Agency RMBS and CLOs: 30 days or less 13,801 6.64 17 6,782 6.89 15 31-60 days 27,342 6.43 45 4,875 6.80 46 61-90 days 1,728 6.54 68 6,801 6.58 67 Total Non-Agency RMBS and CLOs 42,871 6.50 37 18,458 6.75 42 U.S. Treasury Securities 30 days or less — — — 30,822 5.53 2 Total U.S. Treasury Securities — — — 30,822 5.53 2 Total $ 578,503 5.54 % 32 $ 729,543 5.58 % 17 Repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their contractual maturity dates even though such repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment. As of June 30, 2024 and December 31, 2023, the fair value of securities transferred as collateral under outstanding borrowings under repurchase agreements was $622.8 million and $791.5 million, respectively. Collateral transferred under outstanding borrowings under repurchase agreements as of June 30, 2024 and December 31, 2023, includes investments in the amount of $56.6 million and $51.0 million, respectively, that were sold prior to period end but for which such sale had not yet settled. In addition as of June 30, 2024 and December 31, 2023, the Company posted to/(received from) repurchase agreement counterparties net cash collateral of $(2.2) million and $(11.2) million, respectively, as a result of margin calls with various repurchase agreement counterparties. Additionally, as of June 30, 2024 and December 31, 2023, repurchase agreement counterparties posted/(received) RMBS of $(0.5) million and $0.8 million, respectively, to/(from) the Company as a result of margin calls. Amount at risk represents the excess, if any, for each counterparty of the fair value of collateral held by such counterparty over the amounts outstanding under repurchase agreements. There was no counterparty for which the amount at risk was greater than 10% of shareholders' equity as of either June 30, 2024 or December 31, 2023. |
Offsetting of Assets and Liabil
Offsetting of Assets and Liabilities | 6 Months Ended |
Jun. 30, 2024 | |
Offsetting of Assets and Liabilities [Abstract] | |
OffsettingOfAssetsAndLiabilities [Text Block] | Offsetting of Assets and Liabilities The Company records certain financial instruments at fair value as described in Note 2. In connection with its financial derivatives, repurchase agreements, and related trading agreements, the Company and its counterparties are required to pledge collateral. Cash or other collateral is exchanged as required with each of the Company's counterparties in connection with open derivative positions and repurchase agreements. The following tables present information about certain assets and liabilities representing financial instruments as of June 30, 2024 and December 31, 2023. The Company has not previously entered into master netting agreements with any of its counterparties. Certain of the Company's repurchase and reverse repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of net settlement, as well as a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. June 30, 2024: Description Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet (1) Financial Instruments Available for Offset Financial Instruments Transferred or Pledged as Collateral (2)(3) Cash Collateral (Received) Pledged (2)(3) Net Amount (In thousands) Assets: Financial derivatives–assets $ 80,834 $ (6,262) $ — $ (54,445) $ 20,127 Reverse repurchase agreements 16,405 — (16,405) — — Liabilities: Financial derivatives–liabilities (6,720) 6,262 — 375 (83) Repurchase agreements (578,503) — 580,654 (2,151) — (1) In the Company's Consolidated Balance Sheet, all balances associated with repurchase and reverse repurchase agreements and financial derivatives are presented on a gross basis. (2) For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. As of June 30, 2024, the fair value of financial instruments transferred or pledged as collateral on the Company's repurchase agreements, net of the fair value of any financial instruments received by the Company as the result of margin calls, were $623.2 million. As of June 30, 2024, total cash collateral (received) pledged on financial derivative assets and financial derivative liabilities excludes $2.0 million and $0.6 million, respectively, of net excess cash collateral. (3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows. December 31, 2023: Description Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet (1) Financial Instruments Available for Offset Financial Instruments Transferred or Pledged as Collateral (2)(3) Cash Collateral (Received) Pledged (2)(3) Net Amount (In thousands) Assets: Financial derivatives–assets $ 74,279 $ (6,851) $ — $ (42,344) $ 25,084 Liabilities: Financial derivatives–liabilities (7,329) 6,851 — 374 (104) Repurchase agreements (729,543) — 740,748 (11,205) — (1) In the Company's Consolidated Balance Sheet, all balances associated with repurchase and reverse repurchase agreements and financial derivatives are presented on a gross basis. (2) For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. As of December 31, 2023, the fair value of financial instruments transferred or pledged as collateral on the Company's repurchase agreements, net of the fair value of any financial instruments received by the Company as a result of margin calls, were $790.6 million. As of December 31, 2023, total cash collateral (received) pledged on financial derivative assets and financial derivative liabilities excludes $1.4 million and $0.1 million, respectively, of net excess cash collateral. (3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Earnings per Share
Earnings per Share | 6 Months Ended |
Jun. 30, 2024 | |
Earnings Per Share [Abstract] | |
Earnings per Share | Earnings Per Share Basic earnings per share, or "EPS," is calculated by dividing net income (loss) for the period by the weighted average of the Company's common shares outstanding for the period. Diluted EPS takes into account the effect of outstanding dilutive instruments, such as share options and warrants, if any, and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding. As of June 30, 2024 and December 31, 2023, the Company did not have any dilutive instruments outstanding. The following table presents a reconciliation of the earnings/(losses) and shares used in calculating basic EPS for the three- and six-month periods ended June 30, 2024 and 2023: Three-Month Period Ended Six-Month Period Ended (In thousands except for share amounts) June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Numerator: Net income (loss) $ (815) $ 1,203 $ 3,146 $ 3,540 Denominator: Basic and diluted weighted average shares outstanding 20,354,062 13,935,821 19,951,235 13,802,007 Basic and diluted earnings per share $ (0.04) $ 0.09 $ 0.16 $ 0.26 |
Related Party Transactions
Related Party Transactions | 6 Months Ended |
Jun. 30, 2024 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Management Agreement The Company is party to the Fifth Amended and Restated Management Agreement, (the "Management Agreement"). On June 25, 2024, the Company Board of Trustees unanimously approved the Sixth Amended and Restated Management Agreement, (the "New Management Agreement") which replaces the Management Agreement. The New Management Agreement is effective beginning July 1, 2024. The Company is externally managed and advised by the Manager. Pursuant to the terms of the Management Agreement and the New Management Agreement, the Manager provides the Company with its management team, including its officers, and appropriate support personnel. The Company does not have any employees. The Manager is responsible for the day-to-day operations of the Company. For periods prior to July 1, 2024, under the terms of the Management Agreement, the Manager received an annual management fee in an amount equal to 1.50% per annum of shareholders' equity (as defined in the Management Agreement) as of the end of each fiscal quarter (before deductions for any management fee with respect to such fiscal period). The management fee is payable quarterly in arrears. For the three-month periods ended June 30, 2024 and 2023, the total management fee incurred was $0.6 million and $0.4 million, respectively. For the six-month periods ended June 30, 2024 and 2023, the total management fee incurred was $1.1 million and $0.9 million, respectively. Under the terms of the New Management Agreement, for periods beginning after June 30, 2024, the Manager receives an annual management fee in an amount equal to 1.50% per annum of the Company's Net Asset Value, calculated as the Company's total assets minus its total liabilities (the "Base Management Fee"). The Base Management Fee is payable quarterly in arrears. In addition to the Base Management Fee, pursuant to the New Management Agreement, the Company will pay the Manager a performance fee (the "Performance Fee"). The Performance Fee is calculated and payable quarterly in arrears based upon the Company's Pre-Performance Fee Net Investment Income, with respect to each fiscal quarter. Pre-Performance Fee Net Investment Income for any fiscal quarter means, interest income (including accretions of discounts, amortization of premiums, and payment-in-kind income), dividend income, and any other income (including any fee income) earned or accrued by the Company during such fiscal quarter, minus the Company’s operating expenses for such quarter (which, for this purpose, will not include any litigation-related expenses, any extraordinary expenses, or Performance Fee). Pre-Performance Fee Net Investment Income does not include any realized capital gains, realized capital losses or unrealized capital appreciation or depreciation. For purposes of computing Pre-Performance Fee Net Investment Income, the calculation methodology will look through total return swaps as if the Company owned the referenced assets directly. As a result, Pre-Performance Fee Net Investment Income includes net interest (whether positive or negative) associated with a total return swap, which is the difference between (a) the interest income and transaction fees related to the reference assets and (b) all interest and other expenses paid by the Company to the total return swap counterparty. In the case of an interest rate swap, Pre-Performance Fee Net Investment Income includes the net payments and net accruals of periodic payments. The Performance Fee is subject to a hurdle rate of 2.00% per quarter, or 8.00% per annum (the "Hurdle Rate"), and is subject to a "catch-up" feature. Specifically: • If the Company’s Pre-Performance Fee Net Investment Income for a fiscal quarter does not exceed the result obtained by multiplying the Net Asset Value attributable to common equity at the end of the immediately preceding fiscal quarter by the Hurdle Rate (the "Hurdle Amount") for such quarter, then no Performance Fee is payable to the Manager with respect to such quarter; • If the Company’s Pre-Performance Fee Net Investment Income for a fiscal quarter exceeds the Hurdle Amount for such quarter but is less than or equal to 121.21% of the Hurdle Amount, then 100% of the portion of the Company’s Pre-Performance Fee Net Investment Income that exceeds the Hurdle Amount (the “Catch-Up”) is payable to the Manager as the Performance Fee with respect to such quarter. Therefore, once the Company’s Pre-Performance Fee Net Investment Income for such quarter exactly reaches 121.21% of the Hurdle Amount, the Manager will have accrued a Performance Fee with respect to such quarter that is exactly equal to 17.5% of the Pre-Performance Fee Net Investment Income (because 21.21% of the Hurdle Amount (which is the Pre-Performance Fee Net Investment Income captured by the Manager during the Catch-Up phase) is equal to 17.5% of 121.21% of the Hurdle Amount (which is the entire Pre-Performance Fee Net Investment Income at the end of the Catch-Up phase)); and • If the Company’s Pre-Performance Fee Net Investment Income for a fiscal quarter exceeds 121.21% of the Hurdle Amount for such quarter, then 17.5% of the Company’s Pre-Performance Fee Net Investment Income is payable to the Manager as the Performance Fee with respect to such quarter. With respect to the Performance Fee, there will be no accumulation of the Hurdle Amount from quarter to quarter, no claw back of amounts previously paid if the Pre-Performance Fee Net Investment Income in any subsequent quarter is below the Hurdle Amount for such subsequent quarter, and no delay or adjustment of payment if the Pre-Performance Fee Net Investment Income in any prior quarter was below the Hurdle Amount for such prior quarter. The Manager has agreed to waive all of the Performance Fees payable under the New Management Agreement for all fiscal periods through December 31, 2024. The New Management Agreement has an initial term expiring on June 25, 2025, unless terminated earlier in accordance with its terms. Thereafter, the New Management Agreement will continue to renew automatically each year for an additional one-year period, unless the Company or the Manager exercise its respective termination rights. Services Agreement The Manager and EMG are parties to a services agreement, pursuant to which EMG is required to provide to the Manager sufficient personnel, services, and resources to enable the Manager to carry out its obligations and responsibilities under the Management Agreement. The Company is a named third-party beneficiary to the services agreement and, as a result, has, as a non-exclusive remedy, a direct right of action against EMG in the event of any breach by the Manager of any of its duties, obligations, or agreements under the Management Agreement that arise out of or result from any breach by EMG of its obligations under the services agreement. The services agreement will terminate upon the termination of the Management Agreement. Pursuant to the services agreement, the Manager makes certain payments to EMG in connection with the services provided. The Manager and EMG have overlapping ownership and are under common control. Expense Reimbursement Under the terms of the Management Agreement, the Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager, including expenses relating to legal, accounting, due diligence, other services, and all other costs and expenses. The Company's reimbursement obligation is not subject to any dollar limitation. Expenses will be reimbursed in cash within 60 days following delivery of the expense statement by the Manager; provided, however, that such reimbursement may be offset by the Manager against amounts due to the Company from the Manager. The Company will not reimburse the Manager for the salaries and other compensation of the Manager's personnel except that the Company will be responsible for expenses incurred by the Manager in employing certain dedicated or partially dedicated personnel as further described below. The Company reimburses the Manager for the allocable share of the compensation, including, without limitation, wages, salaries, and employee benefits paid or reimbursed, as approved by the Compensation Committee of the Board of Trustees, to certain dedicated or partially dedicated personnel 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, such personnel will devote such portion of their time to the Company's affairs as is necessary to enable the Company to operate its business. For the six-month periods ended June 30, 2024 and 2023, the Company reimbursed the Manager $2.0 million and $1.4 million, respectively, for previously incurred operating and compensation expenses. As of both June 30, 2024 and December 31, 2023, the outstanding payable to the Manager for operating and compensation expenses was $0.7 million and $0.4 million, respectively, and is included in Accrued expenses on the Consolidated Balance Sheet. Termination Fee The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to 5% of Shareholders' Equity, as defined in the Management Agreement as of the month-end preceding the date of the notice of termination or non-renewal of the Management Agreement. |
Capital
Capital | 6 Months Ended |
Jun. 30, 2024 | |
Equity [Abstract] | |
Capital | Capital The Company has authorized 500,000,000 common shares, $0.01 par value per share, and 100,000,000 preferred shares, $0.01 par value per share. The Board of Trustees may authorize the issuance of additional shares of either class. As of June 30, 2024 and December 31, 2023, there were 21,134,976 and 18,601,464 common shares outstanding, respectively. No preferred shares have been issued. Detailed below is a roll forward of the Company's common shares outstanding for the three- and six-month periods ended June 30, 2024 and 2023: Three-Month Period Ended Six-Month Period Ended June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Common Shares Outstanding (3/31/2024, 3/31/2023, 12/31/2023 and 12/31/2022, respectively) 19,819,610 13,830,403 18,601,464 13,377,840 Share Activity: Common shares issued 1,315,366 547,790 2,533,512 1,003,461 Forfeiture of common shares to satisfy tax withholding obligations — — — (3,108) Common Shares Outstanding (6/30/2024, 6/30/2023, 6/30/2024 and 6/30/2023, respectively) 21,134,976 14,378,193 21,134,976 14,378,193 Unvested restricted shares outstanding (6/30/2024, 6/30/2023, 6/30/2024, and 6/30/2023, respectively) 53,448 44,804 53,448 44,804 The below table provides details on the Company's restricted shares granted pursuant to share award agreements which are unvested at June 30, 2024: Grant Recipient Number of Restricted Shares Granted Grant Date Vesting Date (1) Independent trustees: 32,920 September 13, 2023 September 12, 2024 Partially dedicated employees: 6,055 December 15, 2022 December 15, 2024 7,237 December 14, 2023 December 14, 2024 7,236 December 14, 2023 December 14, 2025 (1) Date at which such restricted shares will vest and become non-forfeitable. On May 16, 2023, the Company's 2023 Equity Incentive Plan became effective and replaced the Company's 2013 Equity Incentive Plan. Awards previously granted under the 2013 Equity Incentive Plan remain outstanding and valid in accordance with their terms, but no new awards will be granted under the 2013 Equity Incentive Plan. As of June 30, 2024, there were 1,214,938 shares available for future issuance under the Company's 2023 Equity Incentive Plan. On June 13, 2018, the Company's Board of Trustees approved the adoption of a share repurchase program under which the Company is authorized to repurchase up to 1.2 million common shares. The program, which is open-ended in duration, allows the Company to make repurchases from time to time on the open market or in negotiated transactions, including through Rule 10b5-1 plans. Repurchases are at the Company's discretion, subject to applicable law, share availability, price and its financial performance, among other considerations. From inception of the current share repurchase program adopted on June 13, 2018 through June 30, 2024, the Company repurchased 474,192 of its common shares at an aggregate cost of $4.4 million, and an average price per share of $9.21. The Company did not repurchase any shares during either of the three- or six-month periods ended June 30, 2024 and 2023. On November 14, 2023, the Company implemented an "at the market" offering program, or the "2023 ATM program," by entering into equity distribution agreements with third party sales agents under which it was authorized to offer and sell up to $100.0 million of common shares from time to time. During the three-month period ended June 30, 2024, the Company issued 1,315,366 common shares, which provided $9.0 million of net proceeds after $0.2 million of commissions and offering costs. During the six-month period ended June 30, 2024, the Company issued 2,533,512 common shares, which provided $16.4 million of net proceeds after $0.3 million of commissions and offering costs. As of June 30, 2024, the Company's remaining authorization under the 2023 ATM program was $69.3 million. Distribution Policy The timing and frequency of distributions will be determined by the Board of Trustees based upon a variety of factors deemed relevant by the Company's trustees, including restrictions under applicable law and capital requirements of the Company. Distributions to shareholders generally will be taxable as ordinary income, although a portion of such distributions may be designated as long-term capital gain or qualified dividend income, or may constitute a return of capital. The Company will furnish annually to each shareholder a statement setting forth distributions paid or deemed paid during the preceding year and their U.S. federal income tax treatment. |
Income Taxes
Income Taxes | 6 Months Ended |
Jun. 30, 2024 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes The Company has revoked its prior REIT election and is operating as a taxable C-Corp, subject to applicable U.S. federal, state, and local income tax, effective for the tax year beginning January 1, 2024. The Company had a pre-tax U.S. federal net operating loss carryforward ("NOL Carryforward") of approximately $36.9 million and $38.9 million as of June 30, 2024 and December 31, 2023, respectively. As a result of the change from a REIT to a taxable C-Corp, as of January 1, 2024, the Company is establishing a deferred tax asset related to its NOL Carryforward, which it plans to utilize to offset a majority of its U.S. federal taxable income and a portion of its state and local taxable income, as discussed in more detail below. The Company accounts for income taxes in accordance with ASC 740, Income Taxes , or "ASC 740." Deferred income taxes reflect the net tax effects of temporary differences that may exist between the carrying amounts of assets and liabilities under U.S. GAAP and the carrying amounts used for income tax purposes. For the three-month period ended June 30, 2024, the Company recorded an income tax expense (benefit) of $(0.1) million. For the six-month period ended June 30, 2024, the Company recorded an income tax expense (benefit) of $0.2 million. No such expense was recorded for the three- or six-month periods ended June 30, 2023, during which time the Company was operating as a REIT and generally not subject to income tax. The Company evaluates its deferred tax assets for recoverability using an approach which considers the relative impact of negative and positive evidence, including historical profitability and projections of future taxable income. As of June 30, 2024, the Company anticipates utilizing deferred tax assets of approximately $0.6 million, to offset a portion of its taxable income for its 2024 fiscal year; the Company has recorded a valuation allowance of $11.3 million to fully reserve against the remaining deferred tax assets. The Company is subject to a federal tax rate of 21%, and expected state and local taxes with a combined estimated rate of 9.52%. The establishment of the deferred benefit has reduced our estimated effective federal tax rate to 3.2% and combined state and local tax rate to 3.6%. Based on its analysis of any potential uncertain income tax positions, the Company concluded that it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of June 30, 2024 or December 31, 2023. Tax authorities in the relevant jurisdictions may select the Company's tax returns for audit and propose adjustments before the expiration of the statute of limitations. Tax returns filed for the Company's open tax years or any ongoing audits remain open to adjustment in the major tax jurisdictions. |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 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. The Company provides current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Company. In the normal course of business the Company may also enter into contracts that contain a variety of representations, warranties, and general indemnifications. The Company's maximum exposure under these arrangements, including future claims that may be made against the Company that have not yet occurred, is unknown. The Company has not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. The Company has no liabilities recorded for these agreements as of June 30, 2024 and December 31, 2023 and management is not aware of any significant contingencies at June 30, 2024. |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2024 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Dividends On July 8, 2024, the Board of Trustees approved a monthly dividend in the amount of $0.08 per share payable on August 26, 2024 to shareholders of record as of July 31, 2024. On August 7, 2024, the Board of Trustees approved a monthly dividend in the amount of $0.08 per share payable on September 25, 2024 to shareholders of record as of August 30, 2024. |
Significant Accounting Polici_2
Significant Accounting Policies Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2024 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation: The Company's unaudited interim consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP," and Regulation S-X. Entities in which the Company has a controlling financial interest, through ownership of the majority of the entities' voting equity interests, or through other contractual rights that give the Company control, are consolidated by the Company. All inter-company balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's interim consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in this Quarterly Report on Form 10-Q should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2023. |
Valuation | Valuation: The Company applies ASC 820-10, Fair Value Measurement ("ASC 820-10"), to its holdings of financial instruments. ASC 820-10 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows: • Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are exchange-traded derivatives and equities; • Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are Agency RMBS, U.S. Treasury securities, certain non-Agency RMBS, CLOs, and actively traded derivatives such as TBAs, interest rate swaps, swaptions, credit default swaps, or "CDS", foreign currency forwards, and other over-the-counter derivatives; and • Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. Currently, this category generally includes certain CLOs, CDS, and RMBS, such as certain non-Agency RMBS and certain Agency interest only securities, or "IOs," where there is less price transparency. For certain financial instruments, the various inputs that management uses to measure fair value may fall into different levels of the fair value hierarchy. For each such financial instrument, the determination of which category within the fair value hierarchy is appropriate is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value, with the highest priority given to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1), and the lowest priority given to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its assets and liabilities. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar assets or liabilities. The income approach uses projections of the future economic benefits of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for the various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. For the Company's investments in securities and TBAs, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, management may adjust the valuations it receives (e.g., downward adjustments for odd lots), and management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Given their relatively high level of price transparency, Agency RMBS pass-throughs, and TBAs are typically designated as Level 2 assets. Non-Agency RMBS, CLOs, and Agency interest only and inverse interest only RMBS are generally classified as either Level 2 or Level 3 based on the analysis of available market data and/or third-party valuations. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness; These financial derivatives are generally designated as Level 2 instruments. For financial derivatives with greater price transparency, such as CDS on corporate indices, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally classified as Level 2. In valuing its derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement. The Company's reverse repurchase agreements and repurchase agreements are carried at cost, which approximates fair value. Reverse repurchase agreements and repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature. The Company's valuation process, including the application of validation criteria, is directed by the Manager's Valuation Committee ("Valuation Committee") and overseen by the Company's audit committee. The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter the Valuation Committee reviews and approves the valuations of the Company's investments. The valuation process also includes a monthly review by the Company's third party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the consolidated financial statements. |
Accounting for Securities | Accounting for Securities: Purchases and sales of securities are recorded on trade date and realized and unrealized gains and losses are calculated based on identified cost. The Company has chosen to make a fair value election pursuant to ASC 825-10, Financial Instruments , for its securities portfolio. Electing the fair value option, or "FVO," allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities are recorded at fair value on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Consolidated Statement of Operations as a component of Change in net unrealized gains (losses) on securities. The Company evaluates the cost basis of its securities on at least a quarterly basis under ASC 326-30, Financial Instruments—Credit Losses: Available-for-Sale Debt Securities ("ASC 326-30"). When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired. The Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit related factors. In its assessment of whether a credit loss exists, the Company compares the present value of estimated future cash flows of the impaired security with the amortized cost basis of such security. The estimated future cash flows reflect those that a "market participant" would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default rates, collateral performance, and the timing and amount of projected credit losses, as well as incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a security's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the security's cost basis. This adjustment to the amortized cost basis of the security is reflected in Net realized gains (losses) on securities, on the Consolidated Statement of Operations. |
Interest Income | Interest Income: Coupon interest income on investment securities is accrued based on the outstanding principal balance or notional amount and the current coupon rate on each security. The Company amortizes purchase premiums and accretes purchase discounts on its fixed-income securities. For RMBS that are deemed to be of high credit quality at the time of purchase, premiums and discounts are generally amortized/accreted into interest income over the life of such securities using the effective interest method. For such RMBS whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment, or "Catch-up Amortization Adjustment," is made to amortization to reflect the cumulative impact of the change in effective yield. For debt securities (generally RMBS and CLOs) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of estimating future expected cash flows, management uses assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices). These assumptions are re-evaluated not less than quarterly. Changes in estimated future cash flows, as applied to the current amortized cost of the security, may result in a prospective change in the yield/interest income recognized on such securities. Certain of the Company's debt securities, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination. If at the date of acquisition for a particular asset the Company projects a significant difference between contractual cash flows and expected cash flows, it establishes an initial estimate for credit losses as an upward adjustment to the acquisition cost of the asset for the purpose of calculating interest income using the effective yield method. The Company's accretion of discounts and amortization of premiums on securities for U.S. federal and other tax purposes is likely to differ from the accounting treatment under U.S. GAAP of these items as described above. |
Cash and Cash Equivalents | Cash and Cash Equivalents: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in interest bearing overnight accounts and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. |
Deposits with Dealers Held as Collateral/Due to Brokers | Due from brokers/Due to brokers: Due from brokers and Due to brokers accounts on the Consolidated Balance Sheet include collateral transferred to or received from counterparties, including clearinghouses, along with receivables and payables for open and/or closed derivative positions. |
Financial Derivatives | Financial Derivatives: The Company enters into various types of financial derivatives subject to its investment guidelines. The Company's financial derivatives are predominantly subject to bilateral master trade agreements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010. The Company may be required to deliver or may receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the relative value of financial derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared financial derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Collateral received by the Company is reflected on the Consolidated Balance Sheet as "Due to Brokers." Conversely, collateral posted by the Company is reflected as "Due from Brokers" on the Consolidated Balance Sheet. The types of financial derivatives that have been utilized by the Company to date include interest rate swaps, TBAs, swaptions, and futures. Swaps: The Company enters into various types of swaps including interest rate swaps and credit default swaps. The primary risk associated with the Company's interest rate swap activity is interest rate risk. The primary risk associated with the Company's credit default swaps and total return swaps is credit risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time. A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a "reference asset" (usually a bond, loan, or an index or basket of bonds or loans). The definition of a credit event may vary from contract to contract. A credit event may occur (i) when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) is downgraded below a certain rating level, or (iii) with respect to credit default swaps referencing corporate entities and indices, upon an event of default of the obligor of the reference asset (or underlying obligor, in the case of a reference asset that is an index). Swaps change in value with movements in interest rates or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses on the Consolidated Statement of Operations. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Balance Sheet and are recorded as a realized gain or loss on the termination date. TBA Securities: The Company transacts in the forward settling TBA market. A TBA position is a forward contract for the purchase ("long position") or sale ("short position") of Agency RMBS at a predetermined price, face amount, issuer, coupon, and maturity on an agreed-upon future delivery date. For each TBA contract and delivery month, a uniform settlement date for all market participants is determined by the Securities Industry and Financial Markets Association. The specific Agency RMBS to be delivered into the contract at the settlement date are not known at the time of the transaction. The Company typically does not take delivery of TBAs, but rather enters into offsetting transactions and settles the associated receivable and payable balances with its counterparties. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions. TBAs are accounted for by the Company as financial derivatives. The difference between the contract price and the fair value of the TBA position as of the reporting date is included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Upon settlement of the TBA contract, the realized gain (loss) on the TBA contract is equal to the net cash amount received (paid). Options : The Company enters into swaption contracts. It may purchase or write put, call, straddle, or other similar options contracts. The Company enters into options contracts primarily to help mitigate interest rate risk. When the Company purchases an options contract, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company writes an options contract, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. In general, the Company's options contracts contain forward-settling premiums. In this case, no money is exchanged upfront; instead, the agreed-upon premium is paid by the buyer upon expiration of the options contract, regardless of whether or not the options contract is exercised. Unrealized gains or (losses) resulting from the options contract being marked-to-market are included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Realized gains or (losses) are included in Net realized gains (losses) on financial derivatives on the Consolidated Statement of Operations. Futures Contracts : The Company enters into futures contract, typically U.S. Treasury futures contracts. A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. Unrealized gains or (losses) are included in Change in net unrealized gains (losses) on financial derivatives in the Consolidated Statement of Operations. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Realized gains or (losses) are included in Net realized gains (losses) on financial derivatives on the Consolidated Statement of Operations. Forward Currency Contracts : A forward currency contract is an agreement between two parties to purchase or sell a specific quantity of currency with the delivery and settlement at a specific future date and exchange rate. During the period the forward currency contract is open, changes in the value of the contract are recognized as unrealized gains or losses. When the contract is settled, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. |
Repurchase Agreements | Repurchase Agreements: The Company enters into repurchase agreements with third-party broker-dealers, whereby it sells securities under agreements to repurchase at an agreed upon price and date. The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the amount borrowed over the term of the repurchase agreement. The interest rate on a repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature. |
Reverse Repurchase Agreements | Reverse Repurchase Agreements: The Company enters into reverse repurchase agreement transactions with third-party broker-dealers, whereby it purchases securities under agreements to resell at an agreed upon price and date. The interest rate on a reverse repurchase agreement is based on competitive market rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Reverse repurchase agreements are carried at their contractual amounts, which approximate fair value due to their short-term nature. Repurchase and reverse repurchase agreements that are conducted with the same counterparty can be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting . There are currently no repurchase and reverse repurchase agreements reported on a net basis in the Company's consolidated financial statements. |
Securities Sold Short | Securities Sold Short: The Company may purchase or engage in short sales of U.S. Treasury securities to mitigate the potential impact of changes in interest rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by borrowing or purchasing the security sold short from the same or a different counterparty. When borrowing a security sold short from a counterparty, the Company generally is required to deliver cash or securities to such counterparty as collateral for the Company's obligation to return the borrowed security. The Company has chosen to make the fair value election pursuant to ASC 825-10, Financial Instruments , for its securities sold short. Electing the FVO allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities sold short are recorded at fair value on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Consolidated Statement of Operations as a component of Change in net unrealized gains (losses) on securities. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the original sale price. Such realized gain or loss is recorded on the Company's Consolidated Statement of Operations in Net realized gains (losses) on securities. |
Offering Costs/Deferred Offering Costs/Underwriters' Discounts | Offering Costs/Deferred Offering Costs/Underwriters' Discounts: Offering costs, underwriters' discounts and commissions and fees, are charged against shareholders' equity within Additional paid-in-capital. Offering costs typically include legal, accounting, and other fees associated with the cost of raising equity capital. |
Share Based Compensation | Share Based Compensation: The Company applies the provisions of ASC 718, Compensation—Stock Compensation ("ASC 718"), with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including share options, restricted share plans, performance-based awards, share appreciation rights, and employee share purchase plans. ASC 718 requires that compensation cost relating to share-based payment transactions be recognized in the financial statements. The cost is measured based on the fair value, at the grant date, of the equity or liability instruments issued and is amortized over the vesting period. Restricted shares issued to the Company's independent trustees and partially dedicated personnel are participating securities and receive dividends prior to vesting. Fair value for such awards is based on the closing stock price on the New York Stock Exchange at the grant date. The vesting period for restricted share awards is typically one to two years. Shares issued to the Company's independent trustees and partially dedicated personnel are subject to tax withholding upon vesting. The Company's independent trustees and partially dedicated personnel are permitted to forfeit a portion of their vested shares to pay such withholding tax. Forfeited shares decrease the total number of shares issued and outstanding and are immediately retired upon settlement. |
Dividends | Dividends: Dividends payable are recorded on the declaration date. |
Expenses | Expenses: Expenses are recognized as incurred on the Consolidated Statement of Operations. |
Earnings Per Share | Earnings Per Share: In accordance with the provisions of ASC 260, Earnings per Share , the Company calculates basic income (loss) per share by dividing net income (loss) for the period by the weighted average of the Company's common shares outstanding for that period. Diluted income (loss) per share takes into account the effect of dilutive instruments, such as share options and warrants, and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding. |
Foreign Currency Transactions and Translations Policy | Foreign Currency : The functional currency of the Company is U.S. dollars. Assets and liabilities denominated in foreign currencies are remeasured into U.S. dollars at current exchange rates at the following dates: (i) assets, liabilities, and unrealized gains/losses—at the valuation date; and (ii) income, expenses, and realized gains/losses—at the accrual/transaction date. For investments and financial derivatives denominated in a foreign currency, the Company isolates the portion of realized and change in unrealized gain (loss) resulting from changes in the foreign currency exchange rate from the fluctuations arising from changes in fair value (as measured in such foreign currency). Changes in realized and change in unrealized gain (loss) due to foreign currency are included in Other, net, on the Consolidated Statement of Operations. The Company's reporting currency is U.S. Dollars. If the Company has investments in unconsolidated entities that have a functional currency other than U.S. Dollars, the fair value is translated to U.S. dollars using the current exchange rate at the valuation date. The cumulative translation adjustment, if any, associated with the Company's investments in unconsolidated entities is recorded in accumulated other comprehensive income (loss), a component of consolidated shareholders' equity. |
Share Repurchases | Share Repurchases: Common shares that are repurchased by the Company subsequent to issuance are immediately retired upon settlement and decrease the total number of shares issued and outstanding. The cost of such share repurchases is charged against Additional paid-in-capital on the Company's Consolidated Balance Sheet. |
Income Taxes | Income Taxes: The Company has revoked its previous election to be taxed as a REIT under Sections 856 through 860 of the Code and will operate as a C-Corp subject to U.S. federal, state, and local corporate income taxes for the tax year beginning January 1, 2024. The Company's financial results reflect provisions for any current or deferred income taxes. The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is greater than 50% likely of being realized upon ultimate settlement. The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period or its open tax years (2020, 2021, 2022, and 2023). In the normal course of business, the Company may be subject to examination by federal, state, local, and foreign jurisdictions, where applicable, for the current period and its open tax years. The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any of such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding the authoritative guidance may be subject to review and adjustment at a later date based on changing tax laws, regulations, and interpretations thereof. The Company recognizes interest and penalties, if any, related to uncertain tax positions, as income tax expense included in Income tax expense (benefit) on the Consolidated Statement of Operations. See Note 11 for additional details on income taxes. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements: In December 2023, the FASB issued ASU 2023-09, Improvements to Income Tax Disclosures ("ASU 2023-09") which requires disaggregated information about a reporting entities effective tax rate reconciliation as well as information on income taxes paid. ASU 2023-09 is effective for annual periods beginning after December 15, 2024, with early adoption permitted. ASU 2023-09 will be applied on a prospective basis with the option to apply ASU 2023-09 retrospectively. The Company is still assessing the impact of ASU 2023-09 on the Company's consolidated financial statements. In November 2023, the FASB issued ASU 2023-07, Segment Reporting—Improvements to Reportable Segment Disclosures ("ASU 2023-07") which requires incremental disclosures related to an entity's reportable segments, including identifying significant segment expense categories and any multiple measures of segment profit or loss used by the CODM. Additionally, ASU 2023-07 provides further guidance on interim reporting, disclosures required by entities with a single reportable segment, and recasting of previously reported segment information. ASU 2023-07 is effective for fiscal years beginning after December 15, 2023, and interim periods in fiscal years beginning after December 15, 2024, with early adoption permitted. ASU 2023-07 will be applied on a retrospective basis unless it is impracticable to do so. While the Company is still assessing the impact of ASU 2023-07, it is not expected to have a material impact on the Company's consolidated financial statements. |
Investment in Securities (Table
Investment in Securities (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary Investment Holdings [Table Text Block] | The following tables present details of the Company's investments in securities as of June 30, 2024 and December 31, 2023. June 30, 2024: Unamortized Premium (Discount) Gross Unrealized Weighted Average ($ in thousands) Current Principal Amortized Cost Gains Losses Fair Value Coupon (1)(2) Yield Life (3) Long: RMBS: Agency: 15-year fixed-rate mortgages $ 4,115 $ 43 $ 4,158 $ 4 $ (78) $ 4,084 4.74% 4.27% 3.30 30-year fixed-rate mortgages 548,497 (10,046) 538,451 2,454 (13,920) 526,985 4.89% 5.04% 6.27 Reverse mortgages 34 3 37 — (4) 33 4.70% 3.19% 6.16 Interest only securities (4) n/a n/a 1,985 461 (91) 2,355 4.29% 7.95% 5.86 Non-Agency: Principal and interest securities 9,461 (1,518) 7,943 1,529 (9) 9,463 9.54% 11.49% 5.64 Interest only securities (4) n/a n/a 6,182 2,146 — 8,328 0.26% 15.95% 8.89 CLO Notes 54,186 (9,278) 44,908 1,027 (836) 45,099 12.48% 16.71% 5.53 CLO Equity n/a n/a 41,835 167 (2,013) 39,989 n/a 15.95% 7.72 Corporate equity n/a n/a 43 — (11) 32 n/a n/a n/a Total Long 616,293 (20,796) 645,542 7,788 (16,962) 636,368 5.63% 6.75% 6.31 Short: U.S. Treasury securities (16,350) 246 (16,104) — (95) (16,199) 4.23% 4.38% 9.92 Total Short (16,350) 246 (16,104) — (95) (16,199) 4.23% 4.38% 9.92 Total $ 599,943 $ (20,550) $ 629,438 $ 7,788 $ (17,057) $ 620,169 5.59% 6.69% 6.40 (1) Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the weighted average coupon rates on the underlying collateral. (2) Total long and total weighted average coupon excludes CLO equity securities, corporate equity, and interest only RMBS. (3) Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (4) Weighted average coupon is based on a notional principal amount of $18.0 million and $616.7 million, for Agency and non-Agency interest only securities, respectively. December 31, 2023: Unamortized Premium (Discount) Gross Unrealized Weighted Average ($ in thousands) Current Principal Amortized Cost Gains Losses Fair Value Coupon (1)(2) Yield Life (Years) (3) RMBS: Agency: 15-year fixed-rate mortgages $ 28,647 $ 118 $ 28,765 $ 32 $ (950) $ 27,847 3.46% 3.20% 2.90 20-year fixed-rate mortgages 8,524 509 9,033 4 (1,174) 7,863 3.30% 2.21% 5.68 30-year fixed-rate mortgages 697,510 (15,131) 682,379 8,180 (20,265) 670,294 4.26% 4.42% 6.51 Adjustable rate mortgages 7,127 933 8,060 — (941) 7,119 4.68% 2.74% 4.45 Reverse mortgages 14,406 2,183 16,589 — (1,715) 14,874 5.92% 2.94% 4.50 Interest only securities (4) n/a n/a 6,607 971 (163) 7,415 2.77% 15.64% 6.10 Non-Agency: Principal and interest securities 9,953 (1,764) 8,189 1,231 (11) 9,409 9.39% 10.72% 5.80 Interest only securities (4) n/a n/a 8,700 2,610 — 11,310 0.22% 16.69% 9.03 CLO Notes 16,876 (2,435) 14,441 123 (73) 14,491 12.16% 15.26% 5.66 CLO Equity n/a n/a 2,947 51 (72) 2,926 n/a 35.84% 5.87 Total $ 783,043 $ (15,587) $ 785,710 $ 13,202 $ (25,364) $ 773,548 4.49% 4.92% 6.32 (1) Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates on the underlying collateral. (2) Total weighted average coupon excludes CLO equity securities and interest only RMBS. (3) Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (4) |
Weighted Average Life Classifications [Table Text Block] | By Estimated Weighted Average Life As of June 30, 2024: ($ in thousands) Agency RMBS Agency IOs Estimated Weighted Average Life (1) Fair Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Less than three years $ 35,035 $ 35,055 6.33 % $ 332 $ 341 4.04 % Greater than three years and less than seven years 278,519 279,827 5.55 % 807 580 4.50 % Greater than seven years and less than eleven years 217,548 227,764 3.91 % 1,216 1,064 4.30 % Total $ 531,102 $ 542,646 4.89 % $ 2,355 $ 1,985 4.29 % (1) Expected average lives of RMBS and Agency IOs are generally shorter than stated contractual maturities. (2) Weighted average coupon represents the weighted average coupons of the securities rather than the coupon rates on the underlying collateral. ($ in thousands) Non-Agency RMBS Non-Agency IOs CLOs (3) Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Less than three years $ 1,752 $ 1,731 7.45 % $ — $ — — % $ 1,514 $ 1,759 11.80 % Greater than three years and less than seven years 5,995 5,082 11.79 % — — — % 35,890 35,477 12.30 % Greater than seven years and less than eleven years 1,716 1,130 5.94 % 8,328 6,182 0.26 % 7,695 7,672 13.66 % Total $ 9,463 $ 7,943 9.54 % $ 8,328 $ 6,182 0.26 % $ 45,099 $ 44,908 12.48 % (1) Expected average lives of RMBS and CLOs are generally shorter than stated contractual maturities. (2) Weighted average coupon represents the weighted average coupons of the securities rather than the coupon rates on the underlying collateral. (3) CLOs excludes CLO Equity. As of December 31, 2023: ($ in thousands) Agency RMBS Agency IOs Estimated Weighted Average Life (1) Fair Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Less than three years $ 85,958 $ 85,990 5.67 % $ 1,774 $ 1,566 2.10 % Greater than three years and less than seven years 297,251 303,424 4.67 % 1,796 1,570 3.72 % Greater than seven years and less than eleven years 344,788 355,412 3.58 % 3,845 3,471 3.53 % Total $ 727,997 $ 744,826 4.25 % $ 7,415 $ 6,607 2.77 % (1) Expected average lives of RMBS and Agency IOs are generally shorter than stated contractual maturities. (2) Weighted average coupon represents the weighted average coupons of the securities rather than the coupon rates on the underlying collateral. ($ in thousands) Non-Agency RMBS Non-Agency IOs CLOs (3) Estimated Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon (2) Less than three years $ 1,764 $ 1,749 7.45 % $ — $ — — % $ — $ — — % Greater than three years and less than seven years 5,834 5,271 11.39 % — — — % 13,114 13,078 11.99 % Greater than seven years and less than eleven years 1,217 1,169 6.07 % 11,310 8,700 0.22 % 1,377 1,363 14.06 % Greater than eleven years 594 — 5.79 % — — — % — — — % Total $ 9,409 $ 8,189 9.39 % $ 11,310 $ 8,700 0.22 % $ 14,491 $ 14,441 12.16 % (1) Expected average lives of RMBS are generally shorter than stated contractual maturities. (2) Weighted average coupon represents the weighted average coupons of the securities rather than the coupon rates on the underlying collateral. (3) CLOs excludes CLO Equity. |
Interest Income Components - Investments [Table Text Block] | The following tables reflect the components of net interest income (expense) by security type for the three- and six-month period ended June 30, 2024 and 2023: Three-Month Period Ended Three-Month Period Ended ($ in thousands) Net Coupon Net Amortization Net Interest Net Coupon Net Amortization Net Interest Agency RMBS $ 8,139 $ 199 $ 8,338 $ 9,587 $ (846) $ 8,741 Non-Agency RMBS 729 (201) 528 735 (130) 605 CLOs 3,579 (59) 3,520 — — — U.S. Treasury securities 519 19 538 — — — Total $ 12,966 $ (42) $ 12,924 $ 10,322 $ (976) $ 9,346 Six-Month Period Ended Six-Month Period Ended ($ in thousands) Net Coupon Net Amortization Net Interest Net Coupon Net Amortization Net Interest Agency RMBS $ 16,596 $ (855) $ 15,741 $ 18,861 $ (1,930) $ 16,931 Non-Agency RMBS 1,626 (534) 1,092 1,394 (212) 1,182 CLOs 4,867 (103) 4,764 — — — U.S. Treasury securities 451 49 500 — — — Total $ 23,540 $ (1,443) $ 22,097 $ 20,255 $ (2,142) $ 18,113 |
Valuation (Tables)
Valuation (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value Measurements | The following tables present the Company's financial instruments measured at fair value on: June 30, 2024: (In thousands) Description Level 1 Level 2 Level 3 Total Assets: Cash equivalents: U.S. Treasury bills $ 89,930 $ — $ — $ 89,930 Securities: Agency RMBS: 15-year fixed-rate mortgages — 4,084 — 4,084 20-year fixed-rate mortgages — — — — 30-year fixed-rate mortgages — 526,985 — 526,985 Adjustable rate mortgages — — — — Reverse mortgages — 33 — 33 Interest only securities — 1,280 1,075 2,355 Non-Agency RMBS — 9,358 8,433 17,791 CLOs — 37,201 47,887 85,088 Corporate equity — — 32 32 Total securities, at fair value — 578,941 57,427 636,368 Financial derivatives–assets, at fair value: TBAs — 780 — 780 Interest rate swaps — 79,456 — 79,456 Futures 598 — — 598 Total financial derivatives–assets, at fair value 598 80,236 — 80,834 Total cash equivalents, securities, and financial derivatives–assets, at fair value $ 90,528 $ 659,177 $ 57,427 $ 807,132 Liabilities: Securities sold short: U.S. Treasury securities sold short, at fair value $ — $ (16,199) $ — $ (16,199) Financial derivatives–liabilities, at fair value: TBAs $ — $ (1,019) $ — $ (1,019) Interest rate swaps — (5,061) — (5,061) Futures (22) — — (22) Credit default swaps — (618) — (618) Total financial derivatives–liabilities, at fair value $ (22) $ (6,698) $ — $ (6,720) Total U.S. Treasury securities sold short and financial derivatives–liabilities, at fair value $ (22) $ (22,897) $ — $ (22,919) December 31, 2023: (In thousands) Description Level 1 Level 2 Level 3 Total Assets: Securities: Agency RMBS: 15-year fixed-rate mortgages $ — $ 27,847 $ — $ 27,847 20-year fixed-rate mortgages — 7,863 — 7,863 30-year fixed-rate mortgages — 670,294 — 670,294 Adjustable rate mortgages — 7,119 — 7,119 Reverse mortgages — 14,874 — 14,874 Interest only securities — 4,253 3,162 7,415 Non-Agency RMBS — 10,443 10,276 20,719 CLOs — 11,816 5,601 17,417 Total securities, at fair value — 754,509 19,039 773,548 Financial derivatives–assets, at fair value: TBAs — 654 — 654 Interest rate swaps — 71,341 — 71,341 Futures 2,284 — — 2,284 Total financial derivatives–assets, at fair value 2,284 71,995 — 74,279 Total securities and financial derivatives–assets, at fair value $ 2,284 $ 826,504 $ 19,039 $ 847,827 Liabilities: Financial derivatives–liabilities, at fair value: TBAs $ — $ (1,876) $ — $ (1,876) Interest rate swaps — (4,758) — (4,758) Futures (63) — — (63) Credit default swaps — (632) — (632) Total financial derivatives–liabilities, at fair value $ (63) $ (7,266) $ — $ (7,329) |
Unobservable Input Reconciliation | The following tables present additional information about the Company's investments which are measured at fair value for which the Company has utilized Level 3 inputs to determine fair value. Three-Month Period Ended June 30, 2024: (In thousands) Non-Agency RMBS Agency RMBS CLOs Corporate equity Beginning balance as of March 31, 2024 $ 5,828 $ 3,920 $ 25,596 $ — Purchases — — 31,434 43 Proceeds from sales (853) (2,848) (9,321) — (Amortization)/accretion, net (25) (161) (2) — Net realized gains (losses) 249 677 (18) — Change in net unrealized gains (losses) (225) (513) (2,360) (11) Transfers: Transfers into level 3 3,459 — 4,013 — Transfers out of level 3 — — (1,455) — Ending balance as of June 30, 2024 $ 8,433 $ 1,075 $ 47,887 $ 32 All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at June 30, 2024, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2024. For Level 3 financial instruments held by the Company as of June 30, 2024, change in net unrealized gains (losses) of $0.1 million, $19 thousand, $(1.3) million, and $(11) thousand for the three-month period ended June 30, 2024 relate to non-Agency RMBS, Agency RMBS, CLOs, and corporate equity, respectively. At June 30, 2024, the Company transferred $1.5 million of assets from Level 3 to Level 2 and $7.5 million of assets from Level 2 to Level 3. Transfers between hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources. Three-Month Period Ended June 30, 2023: (In thousands) Non-Agency RMBS Agency RMBS Beginning balance as of March 31, 2023 $ 15,500 $ 2,551 Purchases 1,158 — Proceeds from sales (4,208) — Principal repayments (42) (337) (Amortization)/accretion, net (45) (174) Net realized gains (losses) (108) (91) Change in net unrealized gains (losses) 347 179 Transfers: Transfers into level 3 3,735 817 Transfers out of level 3 — — Ending balance as of June 30, 2023 $ 16,337 $ 2,945 All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at June 30, 2023, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended June 30, 2023. For Level 3 financial instruments held by the Company as of June 30, 2023, change in net unrealized gains (losses) of $0.3 million and $0.2 million, for the three-month period ended June 30, 2023 relate to non-Agency RMBS and Agency RMBS, respectively. At June 30, 2023, the Company transferred $4.6 million of assets from Level 2 to Level 3. Transfers between hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources. Six-Month Period Ended June 30, 2024: (In thousands) Non-Agency RMBS Agency RMBS CLOs Corporate equity Beginning balance as of December 31, 2023 $ 10,276 $ 3,162 $ 5,601 $ — Purchases — — 51,040 43 Proceeds from sales (182) (2,030) (10,776) — Principal repayments — — — — (Amortization)/accretion, net (398) (333) (455) — Net realized gains (losses) 70 500 163 — Change in net unrealized gains (losses) 573 (224) (2,050) (11) Transfers: Transfers into level 3 1,127 — 4,986 — Transfers out of level 3 (3,033) — (622) — Ending balance as of June 30, 2024 $ 8,433 $ 1,075 $ 47,887 32 All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company at June 30, 2024, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2024. For Level 3 financial instruments held by the Company as of June 30, 2024, change in net unrealized gains (losses) of $0.4 million, $0.1 million, $(1.9) million, and $(11) thousand for the six-month period ended June 30, 2024 relate to non-Agency RMBS, Agency RMBS, CLOs, and corporate equity, respectively. At June 30, 2024, the Company transferred $3.7 million of assets from Level 3 to Level 2 and $6.1 million of assets from Level 2 to Level 3. Transfers between hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources. Six-Month Period Ended June 30, 2023: (In thousands) Non-Agency RMBS Agency RMBS Beginning balance as of December 31, 2022 $ 11,834 $ 4,085 Purchases 10,378 — Proceeds from sales (1,461) (1,484) Principal repayments (173) (382) (Amortization)/accretion, net (160) (384) Net realized gains (losses) 162 (216) Change in net unrealized gains (losses) 248 200 Transfers: Transfers into level 3 1,751 1,331 Transfers out of level 3 (6,242) (205) Ending balance as of June 30, 2023 $ 16,337 $ 2,945 All amounts of net realized and changes in net unrealized gains (losses) in the table above are reflected in the accompanying Consolidated Statement of Operations. The table above incorporates changes in net unrealized gains (losses) for both Level 3 financial instruments held by the Company as of June 30, 2023, as well as Level 3 financial instruments disposed of by the Company during the six-month period ended June 30, 2023. For Level 3 financial instruments held by the Company as of June 30, 2023, change in net unrealized gains (losses) of $0.4 million and $0.3 million, for the six-month period ended June 30, 2023 relate to non-Agency RMBS and Agency RMBS, respectively. At June 30, 2023, the Company transferred $6.4 million of assets from Level 3 to Level 2 and $3.1 million of assets from Level 2 to Level 3. Transfers between these hierarchy levels are based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The level designation of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third party pricing sources. |
Quantitative Information | The following table identifies the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of June 30, 2024: Range Description Fair Value Valuation Technique Significant Unobservable Input Min Max Weighted Average (1) (In thousands) Non-Agency RMBS $ 7,442 Market quotes Non-Binding Third-Party Valuation $0.39 $106.53 $37.21 991 Discounted Cash Flows $ 8,433 Yield 6.2% 15.0% 9.3% Projected Collateral Prepayments 34.7% 37.2% 35.6% Projected Collateral Losses 0.7% 7.5% 4.9% Projected Collateral Recoveries 6.5% 13.8% 11.0% Agency RMBS–Interest Only Securities 1,075 Option Adjusted Spread ("OAS") LIBOR OAS (2) 32 5,062 902 Projected Collateral Prepayments 28.9% 62.2% 41.2% CLOs $ 35,312 Market quotes Non-Binding Third-Party Valuation $5.00 $100.94 $66.46 12,575 Discounted Cash Flows $ 47,887 Yield 9.1% 148.0% 19.4% Corporate equity 32 Discounted Cash Flows Yield 22.6% 22.6% 22.6% (1) Averages are weighted based on the fair value of the related instrument. (2) Shown in basis points. |
Fair Value, Other Financial Instruments | The following table summarizes the estimated fair value of all other financial instruments not included in the disclosures above as of June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 (In thousands) Fair Value Carrying Value Fair Value Carrying Value Assets: Cash and cash equivalents $ 28,833 $ 28,833 $ 38,533 $ 38,533 Due from brokers 4,862 4,892 3,245 3,245 Reverse repurchase agreements 16,405 16,405 — — Liabilities: Repurchase agreements 578,503 578,503 729,543 729,543 Due to brokers 146,010 146,010 54,476 54,476 Cash and cash equivalents includes cash held in interest bearing overnight accounts, for which fair value equals the carrying value, and cash held in money market accounts, which are liquid in nature and for which fair value equals the carrying value; such assets are considered Level 1 assets. Due from brokers and Due to brokers include collateral transferred to or received from counterparties, along with receivables and payables for open and/or closed derivative positions. These receivables and payables are short term in nature and any collateral transferred consists primarily of cash; fair value of these items approximates carrying value and such items are considered Level 1 assets and liabilities. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value due to their short term nature. Repurchase agreements and reverse repurchase agreements are classified as Level 2 assets and liabilities based on the adequacy of the collateral and their short term nature. |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Derivative Instrument Detail [Abstract] | |
Schedule of Derivative Instruments [Table Text Block] | The following table details the fair value of the Company's holdings of financial derivatives as of June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 (In thousands) Financial derivatives–assets, at fair value: TBA securities purchase contracts $ 99 $ 654 TBA securities sale contracts 681 — Fixed payer interest rate swaps 78,674 67,719 Fixed receiver interest rate swaps 782 3,622 Futures 598 2,284 Total financial derivatives–assets, at fair value 80,834 74,279 Financial derivatives–liabilities, at fair value: TBA securities purchase contracts (956) (13) TBA securities sale contracts (63) (1,863) Fixed payer interest rate swaps (426) (4,182) Fixed receiver interest rate swaps (4,635) (576) Futures (22) (63) Credit default swaps (618) (632) Total financial derivatives–liabilities, at fair value (6,720) (7,329) Total, net $ 74,114 $ 66,950 |
Interest Rate Swaps By Remaining Maturity [Table Text Block] | The following tables provide information about the Company's fixed payer interest rate swaps as of June 30, 2024 and December 31, 2023. June 30, 2024: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2025 $ 100,268 $ 3,982 2.98 % 5.34 % 1.23 2027 40,545 2,202 3.01 5.33 3.22 2028 104,647 7,375 2.74 5.34 4.02 2029 79,000 6,292 2.40 5.33 4.73 2030 97,200 7,890 2.50 5.33 5.92 2031 123,515 18,371 1.81 5.33 6.98 2032 104,377 16,539 1.74 5.33 7.63 2033 76,900 1,984 3.69 5.33 8.75 2034 10,148 1 4.02 5.34 9.78 2037 35,000 4,697 2.85 5.33 13.07 2038 39,500 166 4.01 5.34 14.16 2040 500 194 0.90 5.33 16.32 2041 10,961 3,931 1.33 5.34 17.10 2049 3,564 1,338 1.63 5.34 25.33 2050 780 438 0.64 5.34 26.04 2052 10,000 2,848 2.28 5.33 27.81 Total $ 836,905 $ 78,248 2.60 % 5.33 % 6.76 December 31, 2023: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2024 $ 73,693 $ 2,161 2.27 % 5.38 % 0.33 2025 100,268 2,960 2.98 5.39 1.72 2027 40,545 1,164 3.01 5.38 3.71 2028 104,647 5,264 2.74 5.39 4.51 2029 65,987 5,528 2.17 5.38 5.25 2030 97,200 7,141 2.50 5.38 6.42 2031 123,515 16,138 1.81 5.38 7.48 2032 104,377 15,932 1.74 5.38 8.13 2033 76,900 (782) 3.69 5.38 9.25 2037 35,000 2,842 2.85 5.38 13.56 2038 39,500 (2,072) 4.01 5.39 14.66 2040 500 165 0.90 5.33 16.82 2041 10,961 3,395 1.33 5.39 17.60 2049 3,564 1,156 1.63 5.39 25.83 2050 780 394 0.64 5.39 26.54 2052 10,000 2,151 2.28 5.38 28.31 Total $ 887,437 $ 63,537 2.54 % 5.38 % 6.68 The following tables provide information about the Company's fixed receiver interest rate swaps as of June 30, 2024 and December 31, 2023. June 30, 2024: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2026 $ 4,787 $ (8) 5.34 % 4.72 % 1.77 2028 26,070 (780) 5.34 3.57 3.95 2029 72,354 174 5.34 4.27 4.80 2030 13,000 (536) 5.33 3.31 5.76 2031 40,700 (858) 5.34 3.78 6.62 2033 95,829 (497) 5.34 3.96 9.12 2034 25,401 (1,147) 5.34 3.48 9.54 2040 500 (201) 5.33 0.84 16.32 Total $ 278,641 $ (3,853) 5.34 % 3.91 % 6.92 December 31, 2023: Weighted Average Maturity Notional Amount Fair Value Pay Rate Receive Rate Remaining Years to Maturity (In thousands) 2026 $ 61 $ — 5.38 % 4.06 % 2.45 2028 10,070 (19) 5.39 3.50 5.00 2029 20,000 19 5.38 3.55 5.01 2030 13,000 (330) 5.38 3.31 6.26 2031 25,700 31 5.38 3.49 7.01 2033 95,829 3,572 5.39 3.96 9.62 2034 23,000 (54) 5.38 3.44 10.01 2040 500 (173) 5.38 0.84 16.82 Total $ 188,160 $ 3,046 5.38 % 3.71 % 8.36 |
Futures [Table Text Block] | The following tables provide information about the Company's futures as of June 30, 2024 and December 31, 2023. June 30, 2024: Description Notional Amount Fair Value Remaining Months to Expiration ($ in thousands) Assets: Long Contracts: U.S. Treasury Futures $ 104,700 $ 428 3.01 Short Contracts: Euro FX Futures (12,375) 170 2.60 Liabilities: Short Contracts: U.S. Treasury Futures (5,400) (22) 3.07 Total, net $ 86,925 $ 576 2.97 December 31, 2023: Description Notional Amount Fair Value Remaining Months to Expiration ($ in thousands) Assets: Long Contracts: U.S. Treasury Futures $ 84,600 $ 2,284 2.69 Liabilities: Short Contracts: U.S. Treasury Futures (5,400) (63) 2.93 Total, net $ 79,200 $ 2,221 2.70 |
Schedule of To-be-announced securities (TBAs) [Table Text Block] | As of June 30, 2024 and December 31, 2023, the Company had outstanding contracts to purchase ("long positions") and sell ("short positions") TBA securities as follows: June 30, 2024 December 31, 2023 TBA Securities Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) Notional Amount (1) Cost Basis (2) Market Value (3) Net Carrying Value (4) (In thousands) Purchase contracts: Assets $ 39,586 $ 35,486 $ 35,585 $ 99 $ 79,722 $ 78,709 $ 79,363 $ 654 Liabilities 177,142 164,378 163,422 (956) 27,700 28,398 28,385 (13) 216,728 199,864 199,007 (857) 107,422 107,107 107,748 641 Sale contracts: Assets (166,856) (165,357) (164,676) 681 — — — — Liabilities (6,218) (5,026) (5,089) (63) (78,285) (69,206) (71,069) (1,863) (173,074) (170,383) (169,765) 618 (78,285) (69,206) (71,069) (1,863) Total TBA securities, net $ 43,654 $ 29,481 $ 29,242 $ (239) $ 29,137 $ 37,901 $ 36,679 $ (1,222) (1) Notional amount represents the principal balance of the underlying Agency RMBS. (2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3) Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end. (4) Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis and is reported in Financial derivatives-assets at fair value and Financial derivatives-liabilities at fair value on the Consolidated Balance Sheet. |
Derivative Activity, Volume [Table Text Block] | The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the six-month period ended June 30, 2024 and the year ended December 31, 2023: Derivative Type Six-Month Period Ended Year Ended (In thousands) Interest rate swaps $ 1,091,539 $ 861,689 TBAs 245,622 289,786 Futures 66,989 67,592 Credit default swaps 24,763 14,989 |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | Gains and losses on the Company's financial derivatives for the three- and six-month periods ended June 30, 2024 and 2023 are summarized in the tables below: Three-Month Period Ended June 30, 2024 Derivative Type Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps $ 9,524 $ (1,673) $ 7,851 $ (4,211) $ 1,506 $ (2,705) TBAs (515) (515) (165) (165) Futures (622) (622) 373 373 Credit Default Swaps (149) (149) 130 130 Total $ 9,524 $ (2,959) $ 6,565 $ (4,211) $ 1,844 $ (2,367) Three-Month Period Ended June 30, 2023 Derivative Type Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps $ 3,942 $ 19,703 $ 23,645 $ 1,118 $ (7,476) $ (6,358) TBAs 266 266 2,137 2,137 Futures 334 334 (2,209) (2,209) Credit Default Swaps (18) (18) (118) (118) Total $ 3,942 $ 20,285 $ 24,227 $ 1,118 $ (7,666) $ (6,548) Six-Month Period Ended June 30, 2024 Derivative Type Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps $ 15,336 $ (2,840) $ 12,496 $ (4,322) $ 12,617 $ 8,295 TBAs (1,223) (1,223) 983 983 Futures (796) (796) (1,645) (1,645) Credit Default Swaps (453) (453) 216 216 Total $ 15,336 $ (5,312) $ 10,024 $ (4,322) $ 12,171 $ 7,849 Six-Month Period Ended June 30, 2023 Derivative Type Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps Net Realized Gains (Losses) on Financial Derivatives Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps Change in Net Unrealized Gains (Losses) on Financial Derivatives (In thousands) Interest rate swaps $ 5,711 $ 16,643 $ 22,354 $ 3,550 $ (17,433) $ (13,883) TBAs 3,799 3,799 (2,613) (2,613) Futures (165) (165) (485) (485) Credit Default Swaps (18) (18) (118) (118) Total $ 5,711 $ 20,259 $ 25,970 $ 3,550 $ (20,649) $ (17,099) |
Borrowings under Repurchase A_2
Borrowings under Repurchase Agreements (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Repurchase Agreements [Table Text Block] | The following table details the Company's outstanding borrowings under repurchase agreements as of June 30, 2024 and December 31, 2023: June 30, 2024 December 31, 2023 Weighted Average Weighted Average Remaining Days to Maturity Borrowings Outstanding Interest Rate Remaining Days to Maturity Borrowings Outstanding Interest Rate Remaining Days to Maturity Agency RMBS: (In thousands) (In thousands) 30 days or less $ 469,856 5.46 % 16 $ 676,074 5.54 % 17 31-60 days 19,262 5.45 44 1,256 6.23 44 61-90 days 603 6.15 68 2,933 6.23 67 181-360 days 45,911 5.50 185 — — — Total Agency RMBS 535,632 5.46 32 680,263 5.55 17 Non-Agency RMBS and CLOs: 30 days or less 13,801 6.64 17 6,782 6.89 15 31-60 days 27,342 6.43 45 4,875 6.80 46 61-90 days 1,728 6.54 68 6,801 6.58 67 Total Non-Agency RMBS and CLOs 42,871 6.50 37 18,458 6.75 42 U.S. Treasury Securities 30 days or less — — — 30,822 5.53 2 Total U.S. Treasury Securities — — — 30,822 5.53 2 Total $ 578,503 5.54 % 32 $ 729,543 5.58 % 17 |
Offsetting of Assets and Liab_2
Offsetting of Assets and Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Offsetting of Assets and Liabilities [Abstract] | |
Offsetting of Assets and Liabilities [Table Text Block] | The following tables present information about certain assets and liabilities representing financial instruments as of June 30, 2024 and December 31, 2023. The Company has not previously entered into master netting agreements with any of its counterparties. Certain of the Company's repurchase and reverse repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of net settlement, as well as a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. June 30, 2024: Description Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet (1) Financial Instruments Available for Offset Financial Instruments Transferred or Pledged as Collateral (2)(3) Cash Collateral (Received) Pledged (2)(3) Net Amount (In thousands) Assets: Financial derivatives–assets $ 80,834 $ (6,262) $ — $ (54,445) $ 20,127 Reverse repurchase agreements 16,405 — (16,405) — — Liabilities: Financial derivatives–liabilities (6,720) 6,262 — 375 (83) Repurchase agreements (578,503) — 580,654 (2,151) — (1) In the Company's Consolidated Balance Sheet, all balances associated with repurchase and reverse repurchase agreements and financial derivatives are presented on a gross basis. (2) For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. As of June 30, 2024, the fair value of financial instruments transferred or pledged as collateral on the Company's repurchase agreements, net of the fair value of any financial instruments received by the Company as the result of margin calls, were $623.2 million. As of June 30, 2024, total cash collateral (received) pledged on financial derivative assets and financial derivative liabilities excludes $2.0 million and $0.6 million, respectively, of net excess cash collateral. (3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows. December 31, 2023: Description Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet (1) Financial Instruments Available for Offset Financial Instruments Transferred or Pledged as Collateral (2)(3) Cash Collateral (Received) Pledged (2)(3) Net Amount (In thousands) Assets: Financial derivatives–assets $ 74,279 $ (6,851) $ — $ (42,344) $ 25,084 Liabilities: Financial derivatives–liabilities (7,329) 6,851 — 374 (104) Repurchase agreements (729,543) — 740,748 (11,205) — (1) In the Company's Consolidated Balance Sheet, all balances associated with repurchase and reverse repurchase agreements and financial derivatives are presented on a gross basis. (2) For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative assets and liabilities. As of December 31, 2023, the fair value of financial instruments transferred or pledged as collateral on the Company's repurchase agreements, net of the fair value of any financial instruments received by the Company as a result of margin calls, were $790.6 million. As of December 31, 2023, total cash collateral (received) pledged on financial derivative assets and financial derivative liabilities excludes $1.4 million and $0.1 million, respectively, of net excess cash collateral. (3) When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above table, the Company has made assumptions in allocating pledged or posted collateral among the various rows. |
Earnings per Share (Tables)
Earnings per Share (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share Reconciliation | The following table presents a reconciliation of the earnings/(losses) and shares used in calculating basic EPS for the three- and six-month periods ended June 30, 2024 and 2023: Three-Month Period Ended Six-Month Period Ended (In thousands except for share amounts) June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Numerator: Net income (loss) $ (815) $ 1,203 $ 3,146 $ 3,540 Denominator: Basic and diluted weighted average shares outstanding 20,354,062 13,935,821 19,951,235 13,802,007 Basic and diluted earnings per share $ (0.04) $ 0.09 $ 0.16 $ 0.26 |
Capital (Tables)
Capital (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Equity [Abstract] | |
Summary of Common Shares Outstanding [Table Text Block] | Detailed below is a roll forward of the Company's common shares outstanding for the three- and six-month periods ended June 30, 2024 and 2023: Three-Month Period Ended Six-Month Period Ended June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Common Shares Outstanding (3/31/2024, 3/31/2023, 12/31/2023 and 12/31/2022, respectively) 19,819,610 13,830,403 18,601,464 13,377,840 Share Activity: Common shares issued 1,315,366 547,790 2,533,512 1,003,461 Forfeiture of common shares to satisfy tax withholding obligations — — — (3,108) Common Shares Outstanding (6/30/2024, 6/30/2023, 6/30/2024 and 6/30/2023, respectively) 21,134,976 14,378,193 21,134,976 14,378,193 Unvested restricted shares outstanding (6/30/2024, 6/30/2023, 6/30/2024, and 6/30/2023, respectively) 53,448 44,804 53,448 44,804 |
Vesting schedule for restricted shares [Table Text Block] | The below table provides details on the Company's restricted shares granted pursuant to share award agreements which are unvested at June 30, 2024: Grant Recipient Number of Restricted Shares Granted Grant Date Vesting Date (1) Independent trustees: 32,920 September 13, 2023 September 12, 2024 Partially dedicated employees: 6,055 December 15, 2022 December 15, 2024 7,237 December 14, 2023 December 14, 2024 7,236 December 14, 2023 December 14, 2025 (1) Date at which such restricted shares will vest and become non-forfeitable. |
Significant Accounting Polici_3
Significant Accounting Policies (Details) | 6 Months Ended |
Jun. 30, 2024 | |
Minimum | |
Significant Accounting Policies [Line Items] | |
Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Period | 1 year |
Maximum | |
Significant Accounting Policies [Line Items] | |
Share-based Compensation Arrangement by Share-based Payment Award, Award Vesting Period | 2 years |
Investment in Securities (Summa
Investment in Securities (Summary of Investment in Securities) (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
Securities, Available-for-sale [Line Items] | ||
Investment Owned, Face Amount | $ 599,943 | $ 783,043 |
Unamortized Discount (Premium), Net | (20,550) | (15,587) |
Debt Securities, Available-for-Sale, Amortized Cost | 629,438 | 785,710 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Gain, before Tax | 7,788 | 13,202 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax | (17,057) | (25,364) |
Investment Owned At Fair Value, Net | $ 620,169 | $ 773,548 |
Weighted Average [Member] | ||
Securities, Available-for-sale [Line Items] | ||
Investment Interest Rate | 5.59% | 4.49% |
Weighted Average Yield | 6.69% | 4.92% |
Investment, estimated remaining life | 6 years 4 months 24 days | 6 years 3 months 25 days |
Long | ||
Securities, Available-for-sale [Line Items] | ||
Investment Owned, Face Amount | $ 616,293 | |
Unamortized Discount (Premium), Net | (20,796) | |
Debt Securities, Available-for-Sale, Amortized Cost | 645,542 | |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Gain, before Tax | 7,788 | |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax | (16,962) | |
Investment Owned At Fair Value, Net | $ 636,368 | |
Long | Weighted Average [Member] | ||
Securities, Available-for-sale [Line Items] | ||
Investment Interest Rate | 5.63% | |
Weighted Average Yield | 6.75% | |
Investment, estimated remaining life | 6 years 3 months 21 days | |
Short | ||
Securities, Available-for-sale [Line Items] | ||
Unamortized Discount (Premium), Net | $ 246 | |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Gain, before Tax | 0 | |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax | (95) | |
Security Sold Short, Principal Amount | (16,350) | |
Financial Instruments Sold, Not Yet Purchased, Amortized Cost | (16,104) | |
U.S. Treasury securities sold short, at fair value | $ (16,199) | |
Short | Weighted Average [Member] | ||
Securities, Available-for-sale [Line Items] | ||
Investment Interest Rate | 4.23% | |
Weighted Average Yield | 4.38% | |
Investment, estimated remaining life | 9 years 11 months 1 day | |
15-year fixed rate mortgages [Member] | Long | ||
Securities, Available-for-sale [Line Items] | ||
Current Principal | $ 4,115 | $ 28,647 |
Unamortized Discount (Premium), Net | 43 | 118 |
Debt Securities, Available-for-Sale, Amortized Cost | 4,158 | 28,765 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Gain, before Tax | 4 | 32 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax | (78) | (950) |
Debt Securities, Available-for-Sale | $ 4,084 | $ 27,847 |
15-year fixed rate mortgages [Member] | Long | Weighted Average [Member] | ||
Securities, Available-for-sale [Line Items] | ||
Investment Interest Rate | 4.74% | 3.46% |
Weighted Average Yield | 4.27% | 3.20% |
Investment, estimated remaining life | 3 years 3 months 18 days | 2 years 10 months 24 days |
20-year fixed rate mortgages [Member] | Long | ||
Securities, Available-for-sale [Line Items] | ||
Current Principal | $ 8,524 | |
Unamortized Discount (Premium), Net | 509 | |
Debt Securities, Available-for-Sale, Amortized Cost | 9,033 | |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Gain, before Tax | 4 | |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax | (1,174) | |
Debt Securities, Available-for-Sale | $ 7,863 | |
20-year fixed rate mortgages [Member] | Long | Weighted Average [Member] | ||
Securities, Available-for-sale [Line Items] | ||
Investment Interest Rate | 3.30% | |
Weighted Average Yield | 2.21% | |
Investment, estimated remaining life | 5 years 8 months 4 days | |
30-year fixed rate mortgages [Member] | Long | ||
Securities, Available-for-sale [Line Items] | ||
Current Principal | $ 548,497 | $ 697,510 |
Unamortized Discount (Premium), Net | (10,046) | (15,131) |
Debt Securities, Available-for-Sale, Amortized Cost | 538,451 | 682,379 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Gain, before Tax | 2,454 | 8,180 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax | (13,920) | (20,265) |
Debt Securities, Available-for-Sale | $ 526,985 | $ 670,294 |
30-year fixed rate mortgages [Member] | Long | Weighted Average [Member] | ||
Securities, Available-for-sale [Line Items] | ||
Investment Interest Rate | 4.89% | 4.26% |
Weighted Average Yield | 5.04% | 4.42% |
Investment, estimated remaining life | 6 years 3 months 7 days | 6 years 6 months 3 days |
Adjustable Rate Mortgages | Long | ||
Securities, Available-for-sale [Line Items] | ||
Current Principal | $ 7,127 | |
Unamortized Discount (Premium), Net | 933 | |
Debt Securities, Available-for-Sale, Amortized Cost | 8,060 | |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Gain, before Tax | 0 | |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax | (941) | |
Debt Securities, Available-for-Sale | $ 7,119 | |
Adjustable Rate Mortgages | Long | Weighted Average [Member] | ||
Securities, Available-for-sale [Line Items] | ||
Investment Interest Rate | 4.68% | |
Weighted Average Yield | 2.74% | |
Investment, estimated remaining life | 4 years 5 months 12 days | |
Interest-Only [Member] | Long | ||
Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-Sale, Amortized Cost | $ 1,985 | $ 6,607 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Gain, before Tax | 461 | 971 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax | (91) | (163) |
Debt Securities, Available-for-Sale | $ 2,355 | $ 7,415 |
Interest-Only [Member] | Long | Weighted Average [Member] | ||
Securities, Available-for-sale [Line Items] | ||
Investment Interest Rate | 4.29% | 2.77% |
Weighted Average Yield | 7.95% | 15.64% |
Investment, estimated remaining life | 5 years 10 months 9 days | 6 years 1 month 6 days |
Reverse mortgages [Member] | Long | ||
Securities, Available-for-sale [Line Items] | ||
Current Principal | $ 34 | $ 14,406 |
Unamortized Discount (Premium), Net | 3 | 2,183 |
Debt Securities, Available-for-Sale, Amortized Cost | 37 | 16,589 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Gain, before Tax | 0 | 0 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax | (4) | (1,715) |
Debt Securities, Available-for-Sale | $ 33 | $ 14,874 |
Reverse mortgages [Member] | Long | Weighted Average [Member] | ||
Securities, Available-for-sale [Line Items] | ||
Investment Interest Rate | 4.70% | 5.92% |
Weighted Average Yield | 3.19% | 2.94% |
Investment, estimated remaining life | 6 years 1 month 28 days | 4 years 6 months |
Non-Agency Principal and interest securities | Long | ||
Securities, Available-for-sale [Line Items] | ||
Current Principal | $ 9,461 | $ 9,953 |
Unamortized Discount (Premium), Net | (1,518) | (1,764) |
Debt Securities, Available-for-Sale, Amortized Cost | 7,943 | 8,189 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Gain, before Tax | 1,529 | 1,231 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax | (9) | (11) |
Debt Securities, Available-for-Sale | $ 9,463 | $ 9,409 |
Non-Agency Principal and interest securities | Long | Weighted Average [Member] | ||
Securities, Available-for-sale [Line Items] | ||
Investment Interest Rate | 9.54% | 9.39% |
Weighted Average Yield | 11.49% | 10.72% |
Investment, estimated remaining life | 5 years 7 months 20 days | 5 years 9 months 18 days |
Non-Agency Interest only securities | Long | ||
Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-Sale, Amortized Cost | $ 6,182 | $ 8,700 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Gain, before Tax | 2,146 | 2,610 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 0 |
Debt Securities, Available-for-Sale | $ 8,328 | $ 11,310 |
Non-Agency Interest only securities | Long | Weighted Average [Member] | ||
Securities, Available-for-sale [Line Items] | ||
Investment Interest Rate | 0.26% | 0.22% |
Weighted Average Yield | 15.95% | 16.69% |
Investment, estimated remaining life | 8 years 10 months 20 days | 9 years 10 days |
CLO Notes | Long | ||
Securities, Available-for-sale [Line Items] | ||
Current Principal | $ 54,186 | $ 16,876 |
Unamortized Discount (Premium), Net | (9,278) | (2,435) |
Debt Securities, Available-for-Sale, Amortized Cost | 44,908 | 14,441 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Gain, before Tax | 1,027 | 123 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax | (836) | (73) |
Debt Securities, Available-for-Sale | $ 45,099 | $ 14,491 |
CLO Notes | Long | Weighted Average [Member] | ||
Securities, Available-for-sale [Line Items] | ||
Investment Interest Rate | 12.48% | 12.16% |
Weighted Average Yield | 16.71% | 15.26% |
Investment, estimated remaining life | 5 years 6 months 10 days | 5 years 7 months 28 days |
CLO Equity | Long | ||
Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-Sale, Amortized Cost | $ 41,835 | $ 2,947 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Gain, before Tax | 167 | 51 |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax | (2,013) | (72) |
Debt Securities, Available-for-Sale | $ 39,989 | $ 2,926 |
CLO Equity | Long | Weighted Average [Member] | ||
Securities, Available-for-sale [Line Items] | ||
Weighted Average Yield | 15.95% | 35.84% |
Investment, estimated remaining life | 7 years 8 months 19 days | 5 years 10 months 13 days |
U.S. Treasury Securities | Short | ||
Securities, Available-for-sale [Line Items] | ||
Unamortized Discount (Premium), Net | $ 246 | |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Gain, before Tax | 0 | |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax | (95) | |
Security Sold Short, Principal Amount | (16,350) | |
Financial Instruments Sold, Not Yet Purchased, Amortized Cost | (16,104) | |
U.S. Treasury securities sold short, at fair value | $ (16,199) | |
U.S. Treasury Securities | Short | Weighted Average [Member] | ||
Securities, Available-for-sale [Line Items] | ||
Investment Interest Rate | 4.23% | |
Weighted Average Yield | 4.38% | |
Investment, estimated remaining life | 9 years 11 months 1 day | |
Equity Securities | Long | ||
Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-Sale, Amortized Cost | $ 43 | |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Gain, before Tax | 0 | |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax | (11) | |
Debt Securities, Available-for-Sale | $ 32 | |
Interest-Only [Member] | Agency RMBS [Member] | Long | ||
Securities, Available-for-sale [Line Items] | ||
Investment Interest Rate | 4.29% | 2.77% |
Interest-Only [Member] | Non-Agency RMBS | Long | ||
Securities, Available-for-sale [Line Items] | ||
Investment Interest Rate | 0.26% | 0.22% |
Agency RMBS: | Interest-Only [Member] | Long | ||
Securities, Available-for-sale [Line Items] | ||
Notional Amount of Nonderivative Instruments | $ 18,000 | $ 83,800 |
Non-Agency Principal and interest securities | Non-Agency RMBS | Long | ||
Securities, Available-for-sale [Line Items] | ||
Investment Interest Rate | 9.54% | 9.39% |
Non-Agency RMBS | Interest-Only [Member] | Long | ||
Securities, Available-for-sale [Line Items] | ||
Notional Amount of Nonderivative Instruments | $ 616,700 | $ 1,050,000 |
Investment in Securities by Wei
Investment in Securities by Weighted Average Life (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-Sale, Amortized Cost | $ 629,438 | $ 785,710 |
Long | ||
Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-Sale, Amortized Cost | 645,542 | |
Collateralized Loan Obligations | Long | ||
Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-Sale | 45,099 | 14,491 |
Debt Securities, Available-for-Sale, Amortized Cost | $ 44,908 | $ 14,441 |
Investment Interest Rate | 12.48% | 12.16% |
Less than three years [Member] | Collateralized Loan Obligations | Long | ||
Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-Sale | $ 1,514 | $ 0 |
Debt Securities, Available-for-Sale, Amortized Cost | $ 1,759 | $ 0 |
Investment Interest Rate | 11.80% | 0% |
Greater than three years and less than seven years [Member] | Collateralized Loan Obligations | Long | ||
Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-Sale | $ 35,890 | $ 13,114 |
Debt Securities, Available-for-Sale, Amortized Cost | $ 35,477 | $ 13,078 |
Investment Interest Rate | 12.30% | 11.99% |
Greater than seven years and less than eleven years [Member] | Collateralized Loan Obligations | Long | ||
Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-Sale | $ 7,695 | $ 1,377 |
Debt Securities, Available-for-Sale, Amortized Cost | $ 7,672 | $ 1,363 |
Investment Interest Rate | 13.66% | 14.06% |
Greater than eleven years [Member] | Collateralized Loan Obligations | Long | ||
Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-Sale | $ 0 | |
Debt Securities, Available-for-Sale, Amortized Cost | $ 0 | |
Investment Interest Rate | 0% | |
Fixed Rate [Member] | Agency RMBS [Member] | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 531,102 | $ 727,997 |
Amortized Cost | $ 542,646 | $ 744,826 |
Investment Interest Rate | 4.89% | 4.25% |
Fixed Rate [Member] | Less than three years [Member] | Agency RMBS [Member] | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 35,035 | $ 85,958 |
Amortized Cost | $ 35,055 | $ 85,990 |
Investment Interest Rate | 6.33% | 5.67% |
Fixed Rate [Member] | Greater than three years and less than seven years [Member] | Agency RMBS [Member] | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 278,519 | $ 297,251 |
Amortized Cost | $ 279,827 | $ 303,424 |
Investment Interest Rate | 5.55% | 4.67% |
Fixed Rate [Member] | Greater than seven years and less than eleven years [Member] | Agency RMBS [Member] | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 217,548 | $ 344,788 |
Amortized Cost | $ 227,764 | $ 355,412 |
Investment Interest Rate | 3.91% | 3.58% |
Interest-Only [Member] | Agency RMBS [Member] | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 2,355 | $ 7,415 |
Amortized Cost | $ 1,985 | $ 6,607 |
Investment Interest Rate | 4.29% | 2.77% |
Interest-Only [Member] | Non-Agency RMBS | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 8,328 | $ 11,310 |
Amortized Cost | $ 6,182 | $ 8,700 |
Investment Interest Rate | 0.26% | 0.22% |
Interest-Only [Member] | Less than three years [Member] | Agency RMBS [Member] | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 332 | $ 1,774 |
Amortized Cost | $ 341 | $ 1,566 |
Investment Interest Rate | 4.04% | 2.10% |
Interest-Only [Member] | Less than three years [Member] | Non-Agency RMBS | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 0 | $ 0 |
Amortized Cost | $ 0 | $ 0 |
Investment Interest Rate | 0% | 0% |
Interest-Only [Member] | Greater than three years and less than seven years [Member] | Agency RMBS [Member] | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 807 | $ 1,796 |
Amortized Cost | $ 580 | $ 1,570 |
Investment Interest Rate | 4.50% | 3.72% |
Interest-Only [Member] | Greater than three years and less than seven years [Member] | Non-Agency RMBS | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 0 | $ 0 |
Amortized Cost | $ 0 | $ 0 |
Investment Interest Rate | 0% | 0% |
Interest-Only [Member] | Greater than seven years and less than eleven years [Member] | Agency RMBS [Member] | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 1,216 | $ 3,845 |
Amortized Cost | $ 1,064 | $ 3,471 |
Investment Interest Rate | 4.30% | 3.53% |
Interest-Only [Member] | Greater than seven years and less than eleven years [Member] | Non-Agency RMBS | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 8,328 | $ 11,310 |
Amortized Cost | $ 6,182 | $ 8,700 |
Investment Interest Rate | 0.26% | 0.22% |
Interest-Only [Member] | Greater than eleven years [Member] | Non-Agency RMBS | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 0 | |
Amortized Cost | $ 0 | |
Investment Interest Rate | 0% | |
Non-Agency Principal and interest securities | Non-Agency RMBS | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 9,463 | $ 9,409 |
Amortized Cost | $ 7,943 | $ 8,189 |
Investment Interest Rate | 9.54% | 9.39% |
Non-Agency Principal and interest securities | Less than three years [Member] | Non-Agency RMBS | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 1,752 | $ 1,764 |
Amortized Cost | $ 1,731 | $ 1,749 |
Investment Interest Rate | 7.45% | 7.45% |
Non-Agency Principal and interest securities | Greater than three years and less than seven years [Member] | Non-Agency RMBS | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 5,995 | $ 5,834 |
Amortized Cost | $ 5,082 | $ 5,271 |
Investment Interest Rate | 11.79% | 11.39% |
Non-Agency Principal and interest securities | Greater than seven years and less than eleven years [Member] | Non-Agency RMBS | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 1,716 | $ 1,217 |
Amortized Cost | $ 1,130 | $ 1,169 |
Investment Interest Rate | 5.94% | 6.07% |
Non-Agency Principal and interest securities | Greater than eleven years [Member] | Non-Agency RMBS | Long | ||
Securities, Available-for-sale [Line Items] | ||
Securities, at fair value(1) | $ 594 | |
Amortized Cost | $ 0 | |
Investment Interest Rate | 5.79% |
Investment in Securities Intere
Investment in Securities Interest Income Components (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Interest Income Components [Line Items] | ||||
Net Amortization | $ (900) | $ (1,382) | ||
Interest income | $ 14,132 | $ 10,070 | 24,511 | 19,408 |
Catch-up Premium Amortization Adjustment | 200 | (400) | (700) | 700 |
Agency RMBS [Member] | ||||
Interest Income Components [Line Items] | ||||
Coupon Interest | 8,139 | 9,587 | 16,596 | 18,861 |
Net Amortization | 199 | (846) | (855) | (1,930) |
Interest income | 8,338 | 8,741 | 15,741 | 16,931 |
Non-Agency RMBS | ||||
Interest Income Components [Line Items] | ||||
Coupon Interest | 729 | 735 | 1,626 | 1,394 |
Net Amortization | (201) | (130) | (534) | (212) |
Interest income | 528 | 605 | 1,092 | 1,182 |
Collateralized Loan Obligations | ||||
Interest Income Components [Line Items] | ||||
Coupon Interest | 3,579 | 0 | 4,867 | 0 |
Net Amortization | (59) | 0 | (103) | 0 |
Interest income | 3,520 | 0 | 4,764 | 0 |
U.S. Treasury Securities | ||||
Interest Income Components [Line Items] | ||||
Coupon Interest | 519 | 0 | 451 | 0 |
Net Amortization | 19 | 0 | 49 | 0 |
Interest income | 538 | 0 | 500 | 0 |
Securities Investment | ||||
Interest Income Components [Line Items] | ||||
Coupon Interest | 12,966 | 10,322 | 23,540 | 20,255 |
Net Amortization | (42) | (976) | (1,443) | (2,142) |
Interest income | $ 12,924 | $ 9,346 | $ 22,097 | $ 18,113 |
Investment in Securities Narrat
Investment in Securities Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | |
Securities, Available-for-sale [Line Items] | |||||
Catch-up Premium Amortization Adjustment | $ 200 | $ (400) | $ (700) | $ 700 | |
Debt Securities, Available-for-Sale, Accumulated Gross Unrealized Loss, before Tax | 17,057 | 17,057 | $ 25,364 | ||
Debt Securities, Available-for-sale, Allowance for Credit Loss | $ (1,500) | (1,500) | $ (200) | ||
Available-for-sale securities Realizes Losses - Write offs | $ (200) | $ (13) | $ (400) |
Valuation Schedule of Fair Valu
Valuation Schedule of Fair Value Measurements (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives-assets, at fair value | $ 80,834 | $ 74,279 |
Financial derivatives–liabilities, at fair value | (6,720) | (7,329) |
Fair Value, Recurring [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 636,368 | 773,548 |
Financial derivatives-assets, at fair value | 80,834 | 74,279 |
Total cash equivalents, securities, and financial derivatives–assets, at fair value | 807,132 | 847,827 |
Financial derivatives–liabilities, at fair value | (6,720) | |
Total financial derivatives-liabilities, at fair value | (22,919) | (7,329) |
Fair Value, Recurring [Member] | TBA securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives-assets, at fair value | 780 | 654 |
Financial derivatives–liabilities, at fair value | (1,019) | (1,876) |
Fair Value, Recurring [Member] | Interest Rate Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives-assets, at fair value | 79,456 | 71,341 |
Financial derivatives–liabilities, at fair value | (5,061) | (4,758) |
Fair Value, Recurring [Member] | Futures [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives-assets, at fair value | 598 | 2,284 |
Financial derivatives–liabilities, at fair value | (22) | (63) |
Fair Value, Recurring [Member] | Credit Default Swap | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives–liabilities, at fair value | (618) | (632) |
Fair Value, Recurring [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 4,084 | 27,847 |
Fair Value, Recurring [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 7,863 |
Fair Value, Recurring [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 526,985 | 670,294 |
Fair Value, Recurring [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 7,119 |
Fair Value, Recurring [Member] | Agency RMBS [Member] | Reverse mortgages [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 33 | 14,874 |
Fair Value, Recurring [Member] | Agency RMBS [Member] | Interest-Only [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 2,355 | 7,415 |
Fair Value, Recurring [Member] | Non-Agency RMBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 17,791 | 20,719 |
Fair Value, Recurring [Member] | U.S. Treasury Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
U.S. Treasury securities sold short, at fair value | (16,199) | |
Fair Value, Recurring [Member] | Collateralized Loan Obligations | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 85,088 | 17,417 |
Fair Value, Recurring [Member] | Equity Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 32 | |
Fair Value, Recurring [Member] | US Treasury Bill Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Cash and Cash Equivalents | 89,930 | |
Fair Value, Recurring [Member] | Level 1 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 0 |
Financial derivatives-assets, at fair value | 598 | 2,284 |
Total cash equivalents, securities, and financial derivatives–assets, at fair value | 90,528 | 2,284 |
Financial derivatives–liabilities, at fair value | (22) | |
Total financial derivatives-liabilities, at fair value | (22) | (63) |
Fair Value, Recurring [Member] | Level 1 [Member] | TBA securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives-assets, at fair value | 0 | 0 |
Financial derivatives–liabilities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 1 [Member] | Interest Rate Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives-assets, at fair value | 0 | 0 |
Financial derivatives–liabilities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 1 [Member] | Futures [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives-assets, at fair value | 598 | 2,284 |
Financial derivatives–liabilities, at fair value | (22) | (63) |
Fair Value, Recurring [Member] | Level 1 [Member] | Credit Default Swap | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives–liabilities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Reverse mortgages [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Interest-Only [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 1 [Member] | Non-Agency RMBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 1 [Member] | U.S. Treasury Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
U.S. Treasury securities sold short, at fair value | 0 | |
Fair Value, Recurring [Member] | Level 1 [Member] | Collateralized Loan Obligations | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 1 [Member] | Equity Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | |
Fair Value, Recurring [Member] | Level 1 [Member] | US Treasury Bill Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Cash and Cash Equivalents | 89,930 | |
Fair Value, Recurring [Member] | Level 2 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 578,941 | 754,509 |
Financial derivatives-assets, at fair value | 80,236 | 71,995 |
Total cash equivalents, securities, and financial derivatives–assets, at fair value | 659,177 | 826,504 |
Financial derivatives–liabilities, at fair value | (6,698) | |
Total financial derivatives-liabilities, at fair value | (22,897) | (7,266) |
Fair Value, Recurring [Member] | Level 2 [Member] | TBA securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives-assets, at fair value | 780 | 654 |
Financial derivatives–liabilities, at fair value | (1,019) | (1,876) |
Fair Value, Recurring [Member] | Level 2 [Member] | Interest Rate Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives-assets, at fair value | 79,456 | 71,341 |
Financial derivatives–liabilities, at fair value | (5,061) | (4,758) |
Fair Value, Recurring [Member] | Level 2 [Member] | Futures [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives-assets, at fair value | 0 | 0 |
Financial derivatives–liabilities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 2 [Member] | Credit Default Swap | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives–liabilities, at fair value | (618) | (632) |
Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 4,084 | 27,847 |
Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 7,863 |
Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 526,985 | 670,294 |
Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 7,119 |
Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Reverse mortgages [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 33 | 14,874 |
Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Interest-Only [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 1,280 | 4,253 |
Fair Value, Recurring [Member] | Level 2 [Member] | Non-Agency RMBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 9,358 | 10,443 |
Fair Value, Recurring [Member] | Level 2 [Member] | U.S. Treasury Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
U.S. Treasury securities sold short, at fair value | (16,199) | |
Fair Value, Recurring [Member] | Level 2 [Member] | Collateralized Loan Obligations | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 37,201 | 11,816 |
Fair Value, Recurring [Member] | Level 2 [Member] | Equity Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | |
Fair Value, Recurring [Member] | Level 2 [Member] | US Treasury Bill Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Cash and Cash Equivalents | 0 | |
Fair Value, Recurring [Member] | Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 57,427 | 19,039 |
Financial derivatives-assets, at fair value | 0 | 0 |
Total cash equivalents, securities, and financial derivatives–assets, at fair value | 57,427 | 19,039 |
Financial derivatives–liabilities, at fair value | 0 | |
Total financial derivatives-liabilities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 3 [Member] | TBA securities [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives-assets, at fair value | 0 | 0 |
Financial derivatives–liabilities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 3 [Member] | Interest Rate Swap [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives-assets, at fair value | 0 | 0 |
Financial derivatives–liabilities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 3 [Member] | Futures [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives-assets, at fair value | 0 | 0 |
Financial derivatives–liabilities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 3 [Member] | Credit Default Swap | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Financial derivatives–liabilities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Reverse mortgages [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 0 | 0 |
Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Interest-Only [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 1,075 | 3,162 |
Fair Value, Recurring [Member] | Level 3 [Member] | Non-Agency RMBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 8,433 | 10,276 |
Fair Value, Recurring [Member] | Level 3 [Member] | U.S. Treasury Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
U.S. Treasury securities sold short, at fair value | 0 | |
Fair Value, Recurring [Member] | Level 3 [Member] | Collateralized Loan Obligations | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 47,887 | $ 5,601 |
Fair Value, Recurring [Member] | Level 3 [Member] | Equity Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities, at fair value | 32 | |
Fair Value, Recurring [Member] | Level 3 [Member] | US Treasury Bill Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Cash and Cash Equivalents | 0 | |
Non-Agency RMBS | Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total cash equivalents, securities, and financial derivatives–assets, at fair value | 8,433 | |
Collateralized Loan Obligations | Level 3 [Member] | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Total cash equivalents, securities, and financial derivatives–assets, at fair value | $ 47,887 |
Valuation Unobservable Input Re
Valuation Unobservable Input Reconciliation (Details) - Level 3 [Member] - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Transfers | ||||
Transfers into level 3 | $ 7,500 | $ 4,600 | $ 6,100 | $ 3,100 |
Transfers out of level 3 | (1,500) | (3,700) | (6,400) | |
Non-Agency RMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | 5,828 | 15,500 | 10,276 | 11,834 |
Purchases | 0 | 1,158 | 0 | 10,378 |
Proceeds from sales | (853) | (4,208) | (182) | (1,461) |
Principal repayments | 42 | 0 | 173 | |
(Amortization)/accretion, net | (25) | (45) | (398) | (160) |
Net realized gains (losses) | 249 | (108) | 70 | 162 |
Change in net unrealized gains (losses) | (225) | 347 | 573 | 248 |
Transfers | ||||
Transfers into level 3 | 3,459 | 3,735 | 1,127 | 1,751 |
Transfers out of level 3 | 0 | 0 | (3,033) | 6,242 |
Ending balance | 8,433 | 16,337 | 8,433 | 16,337 |
Change in net unrealized gains (losses) for level 3 assets still held | 100 | 300 | 400 | 400 |
Agency RMBS [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | 3,920 | 2,551 | 3,162 | 4,085 |
Purchases | 0 | 0 | 0 | 0 |
Proceeds from sales | (2,848) | 0 | (2,030) | (1,484) |
Principal repayments | 337 | 0 | 382 | |
(Amortization)/accretion, net | (161) | (174) | (333) | (384) |
Net realized gains (losses) | 677 | (91) | 500 | (216) |
Change in net unrealized gains (losses) | (513) | 179 | (224) | 200 |
Transfers | ||||
Transfers into level 3 | 0 | 817 | 0 | 1,331 |
Transfers out of level 3 | 0 | 0 | 0 | (205) |
Ending balance | 1,075 | 2,945 | 1,075 | 2,945 |
Change in net unrealized gains (losses) for level 3 assets still held | 19 | $ 200 | 100 | $ 300 |
Collateralized Loan Obligations | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | 25,596 | 5,601 | ||
Purchases | 31,434 | 51,040 | ||
Proceeds from sales | (9,321) | (10,776) | ||
Principal repayments | 0 | |||
(Amortization)/accretion, net | (2) | (455) | ||
Net realized gains (losses) | (18) | 163 | ||
Change in net unrealized gains (losses) | (2,360) | (2,050) | ||
Transfers | ||||
Transfers into level 3 | 4,013 | 4,986 | ||
Transfers out of level 3 | (1,455) | (622) | ||
Ending balance | 47,887 | 47,887 | ||
Change in net unrealized gains (losses) for level 3 assets still held | (1,300) | (1,900) | ||
Equity Securities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | 0 | 0 | ||
Purchases | 43 | 43 | ||
Proceeds from sales | 0 | 0 | ||
Principal repayments | 0 | |||
(Amortization)/accretion, net | 0 | 0 | ||
Net realized gains (losses) | 0 | 0 | ||
Change in net unrealized gains (losses) | (11) | (11) | ||
Transfers | ||||
Transfers into level 3 | 0 | 0 | ||
Transfers out of level 3 | 0 | 0 | ||
Ending balance | 32 | 32 | ||
Change in net unrealized gains (losses) for level 3 assets still held | $ (11) | $ (11) |
Valuation Qualtitative Informat
Valuation Qualtitative Information (Details) - Level 3 [Member] | Jun. 30, 2024 USD ($) |
Non-Agency RMBS | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Assets, Fair Value Disclosure | $ 8,433,000 |
Non-Agency RMBS | Minimum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Yield | 6.20% |
Projected Collateral Prepayments | 34.70% |
Projected Collateral Losses | 0.70% |
Projected Collateral Recoveries | 6.50% |
Non-Agency RMBS | Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Yield | 15% |
Projected Collateral Prepayments | 37.20% |
Projected Collateral Losses | 7.50% |
Projected Collateral Recoveries | 13.80% |
Non-Agency RMBS | Weighted Average [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Yield | 9.30% |
Projected Collateral Prepayments | 35.60% |
Projected Collateral Losses | 4.90% |
Projected Collateral Recoveries | 11% |
Non-Agency RMBS | Market Quotes [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Assets, Fair Value Disclosure | $ 7,442,000 |
Non-Agency RMBS | Market Quotes [Member] | Minimum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Non-Binding Third-Party Valuation | 0.39 |
Non-Agency RMBS | Market Quotes [Member] | Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Non-Binding Third-Party Valuation | 106.53 |
Non-Agency RMBS | Market Quotes [Member] | Weighted Average [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Non-Binding Third-Party Valuation | 37.21 |
Non-Agency RMBS | Discounted Cash Flows [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Assets, Fair Value Disclosure | $ 991,000 |
Agency RMBS [Member] | Minimum | Interest-Only [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Projected Collateral Prepayments | 28.90% |
Agency RMBS [Member] | Maximum | Interest-Only [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Projected Collateral Prepayments | 62.20% |
Agency RMBS [Member] | Weighted Average [Member] | Interest-Only [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Projected Collateral Prepayments | 41.20% |
Agency RMBS [Member] | Valuation, Income Approach [Member] | Interest-Only [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Assets, Fair Value Disclosure | $ 1,075,000 |
Agency RMBS [Member] | Valuation, Income Approach [Member] | Minimum | Interest-Only [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
LIBOR OAS | 0.32% |
Agency RMBS [Member] | Valuation, Income Approach [Member] | Maximum | Interest-Only [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
LIBOR OAS | 50.62% |
Agency RMBS [Member] | Valuation, Income Approach [Member] | Weighted Average [Member] | Interest-Only [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
LIBOR OAS | 9.02% |
Collateralized Loan Obligations | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Assets, Fair Value Disclosure | $ 47,887,000 |
Collateralized Loan Obligations | Minimum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Yield | 9.10% |
Collateralized Loan Obligations | Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Yield | 148% |
Collateralized Loan Obligations | Weighted Average [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Yield | 19.40% |
Collateralized Loan Obligations | Market Quotes [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Assets, Fair Value Disclosure | $ 35,312,000 |
Collateralized Loan Obligations | Market Quotes [Member] | Minimum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Non-Binding Third-Party Valuation | 5 |
Collateralized Loan Obligations | Market Quotes [Member] | Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Non-Binding Third-Party Valuation | 100.94 |
Collateralized Loan Obligations | Market Quotes [Member] | Weighted Average [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Non-Binding Third-Party Valuation | 66.46 |
Collateralized Loan Obligations | Discounted Cash Flows [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Assets, Fair Value Disclosure | $ 12,575,000 |
Equity Securities | Minimum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Yield | 22.60% |
Equity Securities | Maximum | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Yield | 22.60% |
Equity Securities | Weighted Average [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Yield | 22.60% |
Equity Securities | Discounted Cash Flows [Member] | |
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | |
Assets, Fair Value Disclosure | $ 32,000 |
Valuation Fair Value, Other Fin
Valuation Fair Value, Other Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 | Jun. 30, 2023 | Dec. 31, 2022 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Cash and cash equivalents | $ 118,763 | $ 38,533 | $ 43,713 | $ 34,816 |
Due from brokers | 4,892 | 3,245 | ||
Reverse repurchase agreements | 16,405 | 0 | ||
Repurchase agreements | 578,503 | 729,543 | ||
Due to brokers | 146,010 | 54,476 | ||
Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Cash and Cash Equivalents | 28,833 | 38,533 | ||
Due from brokers | 4,862 | 3,245 | ||
Reverse repurchase agreements | 16,405 | 0 | ||
Repurchase agreements | 578,503 | 729,543 | ||
Due to brokers | 146,010 | 54,476 | ||
Reported Value Measurement [Member] | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Cash and cash equivalents | 28,833 | 38,533 | ||
Due from brokers | 4,892 | 3,245 | ||
Reverse repurchase agreements | 16,405 | 0 | ||
Repurchase agreements | 578,503 | 729,543 | ||
Due to brokers | $ 146,010 | $ 54,476 |
Derivative Instruments Schedule
Derivative Instruments Schedule of Derivatves (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value | $ 80,834 | $ 74,279 |
Financial derivatives–liabilities, at fair value | (6,720) | (7,329) |
Derivative, Fair Value, Net | 74,114 | 66,950 |
TBA securities- purchase contracts [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | (857) | 641 |
TBA securities- sale contracts [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | 618 | (1,863) |
Derivative Financial Instruments, Assets [Member] | TBA securities- purchase contracts [Member] | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value | 99 | 654 |
Derivative Financial Instruments, Assets [Member] | TBA securities- sale contracts [Member] | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value | 681 | 0 |
Derivative Financial Instruments, Assets [Member] | Futures [Member] | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value | 598 | 2,284 |
Derivative Financial Instruments, Liabilities [Member] | TBA securities- purchase contracts [Member] | ||
Derivative [Line Items] | ||
Financial derivatives–liabilities, at fair value | (956) | (13) |
Derivative Financial Instruments, Liabilities [Member] | TBA securities- sale contracts [Member] | ||
Derivative [Line Items] | ||
Financial derivatives–liabilities, at fair value | (63) | (1,863) |
Derivative Financial Instruments, Liabilities [Member] | Futures [Member] | ||
Derivative [Line Items] | ||
Financial derivatives–liabilities, at fair value | (22) | (63) |
Derivative Financial Instruments, Liabilities [Member] | Credit Default Swap | ||
Derivative [Line Items] | ||
Financial derivatives–liabilities, at fair value | (618) | (632) |
Short | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | 78,248 | 63,537 |
Short | Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value | 78,674 | 67,719 |
Short | Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Financial derivatives–liabilities, at fair value | (426) | (4,182) |
Long | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | (3,853) | 3,046 |
Long | Futures [Member] | ||
Derivative [Line Items] | ||
Derivative, Fair Value, Net | 576 | 2,221 |
Long | Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value | 782 | 3,622 |
Long | Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Financial derivatives–liabilities, at fair value | $ (4,635) | $ (576) |
Derivative Instruments Schedu_2
Derivative Instruments Schedule of Interest Rate Swaps by Maturity (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
Derivative [Line Items] | ||
Derivative, Fair Value, Net | $ 74,114 | $ 66,950 |
Short | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 836,905 | 887,437 |
Derivative, Fair Value, Net | $ 78,248 | $ 63,537 |
Weighted Average Pay Rate | 2.60% | 2.54% |
Weighted Average Receive Rate | 5.33% | 5.38% |
Derivative, Average Remaining Maturity | 6 years 9 months 3 days | 6 years 8 months 4 days |
Short | Year 2024 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 73,693 | |
Derivative, Fair Value, Net | $ 2,161 | |
Weighted Average Pay Rate | 2.27% | |
Weighted Average Receive Rate | 5.38% | |
Derivative, Average Remaining Maturity | 3 months 29 days | |
Short | Year 2025 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 100,268 | $ 100,268 |
Derivative, Fair Value, Net | $ 3,982 | $ 2,960 |
Weighted Average Pay Rate | 2.98% | 2.98% |
Weighted Average Receive Rate | 5.34% | 5.39% |
Derivative, Average Remaining Maturity | 1 year 2 months 23 days | 1 year 8 months 19 days |
Short | Year 2027 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 40,545 | $ 40,545 |
Derivative, Fair Value, Net | $ 2,202 | $ 1,164 |
Weighted Average Pay Rate | 3.01% | 3.01% |
Weighted Average Receive Rate | 5.33% | 5.38% |
Derivative, Average Remaining Maturity | 3 years 2 months 19 days | 3 years 8 months 15 days |
Short | Year 2028 | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 104,647 | $ 104,647 |
Derivative, Fair Value, Net | $ 7,375 | $ 5,264 |
Weighted Average Pay Rate | 2.74% | 2.74% |
Weighted Average Receive Rate | 5.34% | 5.39% |
Derivative, Average Remaining Maturity | 4 years 7 days | 4 years 6 months 3 days |
Short | Year 2029 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 79,000 | $ 65,987 |
Derivative, Fair Value, Net | $ 6,292 | $ 5,528 |
Weighted Average Pay Rate | 2.40% | 2.17% |
Weighted Average Receive Rate | 5.33% | 5.38% |
Derivative, Average Remaining Maturity | 4 years 8 months 23 days | 5 years 3 months |
Short | Year 2030 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 97,200 | $ 97,200 |
Derivative, Fair Value, Net | $ 7,890 | $ 7,141 |
Weighted Average Pay Rate | 2.50% | 2.50% |
Weighted Average Receive Rate | 5.33% | 5.38% |
Derivative, Average Remaining Maturity | 5 years 11 months 1 day | 6 years 5 months 1 day |
Short | Year 2031 | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 123,515 | $ 123,515 |
Derivative, Fair Value, Net | $ 18,371 | $ 16,138 |
Weighted Average Pay Rate | 1.81% | 1.81% |
Weighted Average Receive Rate | 5.33% | 5.38% |
Derivative, Average Remaining Maturity | 6 years 11 months 23 days | 7 years 5 months 23 days |
Short | Year 2032 | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 104,377 | $ 104,377 |
Derivative, Fair Value, Net | $ 16,539 | $ 15,932 |
Weighted Average Pay Rate | 1.74% | 1.74% |
Weighted Average Receive Rate | 5.33% | 5.38% |
Derivative, Average Remaining Maturity | 7 years 7 months 17 days | 8 years 1 month 17 days |
Short | Year 2033 | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 76,900 | $ 76,900 |
Derivative, Fair Value, Net | $ 1,984 | $ (782) |
Weighted Average Pay Rate | 3.69% | 3.69% |
Weighted Average Receive Rate | 5.33% | 5.38% |
Derivative, Average Remaining Maturity | 8 years 9 months | 9 years 3 months |
Short | Year 2034 | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 10,148 | |
Derivative, Fair Value, Net | $ 1 | |
Weighted Average Pay Rate | 4.02% | |
Weighted Average Receive Rate | 5.34% | |
Derivative, Average Remaining Maturity | 9 years 9 months 10 days | |
Short | Year 2037 | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 35,000 | $ 35,000 |
Derivative, Fair Value, Net | $ 4,697 | $ 2,842 |
Weighted Average Pay Rate | 2.85% | 2.85% |
Weighted Average Receive Rate | 5.33% | 5.38% |
Derivative, Average Remaining Maturity | 13 years 25 days | 13 years 6 months 21 days |
Short | Year 2038 | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 39,500 | $ 39,500 |
Derivative, Fair Value, Net | $ 166 | $ (2,072) |
Weighted Average Pay Rate | 4.01% | 4.01% |
Weighted Average Receive Rate | 5.34% | 5.39% |
Derivative, Average Remaining Maturity | 14 years 1 month 28 days | 14 years 7 months 28 days |
Short | Year 2040 | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 500 | $ 500 |
Derivative, Fair Value, Net | $ 194 | $ 165 |
Weighted Average Pay Rate | 0.90% | 0.90% |
Weighted Average Receive Rate | 5.33% | 5.33% |
Derivative, Average Remaining Maturity | 16 years 3 months 25 days | 16 years 9 months 25 days |
Short | Year 2041 | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 10,961 | $ 10,961 |
Derivative, Fair Value, Net | $ 3,931 | $ 3,395 |
Weighted Average Pay Rate | 1.33% | 1.33% |
Weighted Average Receive Rate | 5.34% | 5.39% |
Derivative, Average Remaining Maturity | 17 years 1 month 6 days | 17 years 7 months 6 days |
Short | Year 2049 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 3,564 | $ 3,564 |
Derivative, Fair Value, Net | $ 1,338 | $ 1,156 |
Weighted Average Pay Rate | 1.63% | 1.63% |
Weighted Average Receive Rate | 5.34% | 5.39% |
Derivative, Average Remaining Maturity | 25 years 3 months 29 days | 25 years 9 months 29 days |
Short | Year 2050 | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 780 | $ 780 |
Derivative, Fair Value, Net | $ 438 | $ 394 |
Weighted Average Pay Rate | 0.64% | 0.64% |
Weighted Average Receive Rate | 5.34% | 5.39% |
Derivative, Average Remaining Maturity | 26 years 14 days | 26 years 6 months 14 days |
Short | Year 2052 | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 10,000 | $ 10,000 |
Derivative, Fair Value, Net | $ 2,848 | $ 2,151 |
Weighted Average Pay Rate | 2.28% | 2.28% |
Weighted Average Receive Rate | 5.33% | 5.38% |
Derivative, Average Remaining Maturity | 27 years 9 months 21 days | 28 years 3 months 21 days |
Long | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 278,641 | $ 188,160 |
Derivative, Fair Value, Net | $ (3,853) | $ 3,046 |
Weighted Average Pay Rate | 5.34% | 5.38% |
Weighted Average Receive Rate | 3.91% | 3.71% |
Derivative, Average Remaining Maturity | 6 years 11 months 1 day | 8 years 4 months 9 days |
Long | Year 2026 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 4,787 | $ 61 |
Derivative, Fair Value, Net | $ (8) | $ 0 |
Weighted Average Pay Rate | 5.34% | 5.38% |
Weighted Average Receive Rate | 4.72% | 4.06% |
Derivative, Average Remaining Maturity | 1 year 9 months 7 days | 2 years 5 months 12 days |
Long | Year 2028 | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 26,070 | $ 10,070 |
Derivative, Fair Value, Net | $ (780) | $ (19) |
Weighted Average Pay Rate | 5.34% | 5.39% |
Weighted Average Receive Rate | 3.57% | 3.50% |
Derivative, Average Remaining Maturity | 3 years 11 months 12 days | 5 years |
Long | Year 2029 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 72,354 | $ 20,000 |
Derivative, Fair Value, Net | $ 174 | $ 19 |
Weighted Average Pay Rate | 5.34% | 5.38% |
Weighted Average Receive Rate | 4.27% | 3.55% |
Derivative, Average Remaining Maturity | 4 years 9 months 18 days | 5 years 3 days |
Long | Year 2030 [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 13,000 | $ 13,000 |
Derivative, Fair Value, Net | $ (536) | $ (330) |
Weighted Average Pay Rate | 5.33% | 5.38% |
Weighted Average Receive Rate | 3.31% | 3.31% |
Derivative, Average Remaining Maturity | 5 years 9 months 3 days | 6 years 3 months 3 days |
Long | Year 2031 | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 40,700 | $ 25,700 |
Derivative, Fair Value, Net | $ (858) | $ 31 |
Weighted Average Pay Rate | 5.34% | 5.38% |
Weighted Average Receive Rate | 3.78% | 3.49% |
Derivative, Average Remaining Maturity | 6 years 7 months 13 days | 7 years 3 days |
Long | Year 2033 | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 95,829 | $ 95,829 |
Derivative, Fair Value, Net | $ (497) | $ 3,572 |
Weighted Average Pay Rate | 5.34% | 5.39% |
Weighted Average Receive Rate | 3.96% | 3.96% |
Derivative, Average Remaining Maturity | 9 years 1 month 13 days | 9 years 7 months 13 days |
Long | Year 2034 | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 25,401 | $ 23,000 |
Derivative, Fair Value, Net | $ (1,147) | $ (54) |
Weighted Average Pay Rate | 5.34% | 5.38% |
Weighted Average Receive Rate | 3.48% | 3.44% |
Derivative, Average Remaining Maturity | 9 years 6 months 14 days | 10 years 3 days |
Long | Year 2040 | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 500 | $ 500 |
Derivative, Fair Value, Net | $ (201) | $ (173) |
Weighted Average Pay Rate | 5.33% | 5.38% |
Weighted Average Receive Rate | 0.84% | 0.84% |
Derivative, Average Remaining Maturity | 16 years 3 months 25 days | 16 years 9 months 25 days |
Derivative Instruments Schedu_3
Derivative Instruments Schedule of Futures (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
Derivative [Line Items] | ||
Derivative, Fair Value, Net | $ 74,114 | $ 66,950 |
Financial derivatives–liabilities, at fair value | 6,720 | 7,329 |
Financial derivatives–assets, at fair value | 80,834 | 74,279 |
Futures [Member] | Derivative Financial Instruments, Assets [Member] | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value | 598 | 2,284 |
Futures [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Derivative [Line Items] | ||
Financial derivatives–liabilities, at fair value | 22 | 63 |
Futures [Member] | Long | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (86,925) | (79,200) |
Derivative, Fair Value, Net | $ 576 | $ 2,221 |
US Treasury Note Futures [Member] | Futures [Member] | ||
Derivative [Line Items] | ||
Derivative, Average Remaining Maturity | 2 months 29 days | 2 months 21 days |
US Treasury Note Futures [Member] | Futures [Member] | Long | Derivative Financial Instruments, Assets [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ (104,700) | $ (84,600) |
Financial derivatives–assets, at fair value | $ 428 | $ 2,284 |
US Treasury Note Futures [Member] | Futures [Member] | Long | Assets | ||
Derivative [Line Items] | ||
Derivative, Average Remaining Maturity | 3 months | 2 months 21 days |
US Treasury Note Futures [Member] | Futures [Member] | Short | Derivative Financial Instruments, Liabilities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 5,400 | |
Financial derivatives–liabilities, at fair value | $ (22) | |
US Treasury Note Futures [Member] | Futures [Member] | Short | Derivative Financial Instruments, Liabilities [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ (5,400) | |
Financial derivatives–liabilities, at fair value | $ (63) | |
US Treasury Note Futures [Member] | Futures [Member] | Short | Liability | ||
Derivative [Line Items] | ||
Derivative, Average Remaining Maturity | 3 months 2 days | 2 months 28 days |
Foreign Exchange Future | Futures [Member] | Short | Derivative Financial Instruments, Assets [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 12,375 | |
Financial derivatives–assets, at fair value | $ 170 | |
Foreign Exchange Future | Futures [Member] | Short | Assets | ||
Derivative [Line Items] | ||
Derivative, Average Remaining Maturity | 2 months 18 days |
Derivative Instruments Schedu_4
Derivative Instruments Schedule of TBA Securities (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value | $ 80,834 | $ 74,279 |
Financial derivatives–liabilities, at fair value | (6,720) | (7,329) |
Derivative, Fair Value, Net | 74,114 | 66,950 |
TBA securities- purchase contracts [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 216,728 | 107,422 |
Derivative cost basis | 199,864 | 107,107 |
Market Value, Underyling | 199,007 | 107,748 |
Derivative, Fair Value, Net | (857) | 641 |
TBA securities- sale contracts [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (173,074) | (78,285) |
Derivative cost basis | (170,383) | (69,206) |
Market Value, Underyling | (169,765) | (71,069) |
Derivative, Fair Value, Net | 618 | (1,863) |
TBA securities [Member] | ||
Derivative [Line Items] | ||
Derivative notional, net | 43,654 | 29,137 |
Derivative cost basis | 29,481 | 37,901 |
Market Value, Underyling | 29,242 | 36,679 |
Derivative, Fair Value, Net | (239) | (1,222) |
Derivative Financial Instruments, Assets [Member] | TBA securities- purchase contracts [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 39,586 | 79,722 |
Derivative cost basis | 35,486 | 78,709 |
Market Value, Underyling | 35,585 | 79,363 |
Financial derivatives–assets, at fair value | 99 | 654 |
Derivative Financial Instruments, Assets [Member] | TBA securities- sale contracts [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (166,856) | 0 |
Derivative cost basis | (165,357) | 0 |
Market Value, Underyling | (164,676) | 0 |
Financial derivatives–assets, at fair value | 681 | 0 |
Derivative Financial Instruments, Liabilities [Member] | TBA securities- purchase contracts [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 177,142 | 27,700 |
Derivative cost basis | 164,378 | 28,398 |
Market Value, Underyling | 163,422 | 28,385 |
Financial derivatives–liabilities, at fair value | (956) | (13) |
Derivative Financial Instruments, Liabilities [Member] | TBA securities- sale contracts [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | (6,218) | (78,285) |
Derivative cost basis | (5,026) | (69,206) |
Market Value, Underyling | (5,089) | (71,069) |
Financial derivatives–liabilities, at fair value | $ (63) | $ (1,863) |
Schedule of Derivative Activity
Schedule of Derivative Activity (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Financial derivative average monthly notional | $ 1,091,539 | $ 861,689 |
TBA securities [Member] | ||
Derivative [Line Items] | ||
Financial derivative average monthly notional | 245,622 | 289,786 |
Futures [Member] | ||
Derivative [Line Items] | ||
Financial derivative average monthly notional | 66,989 | 67,592 |
Credit Default Swap | ||
Derivative [Line Items] | ||
Financial derivative average monthly notional | $ 24,763 | $ 14,989 |
Derivative Instruments Schedu_5
Derivative Instruments Schedule of Gains and Losses on Derivative Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Derivative [Line Items] | ||||
Net realized gains (losses) on periodic settements of interest rate swaps | $ 9,524 | $ 3,942 | $ 15,336 | $ 5,711 |
Net realized gains (losses) other than on periodic settements of interest rate swaps | (2,959) | 20,285 | (5,312) | 20,259 |
Net realized gains (losses) on financial derivatives | 6,565 | 24,227 | 10,024 | 25,970 |
Change in net unrealized gains (losses) on accrued periodic settlements on interest rate swaps | (4,211) | 1,118 | (4,322) | 3,550 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 1,844 | (7,666) | 12,171 | (20,649) |
Change in net unrealized gains (losses) on financial derivatives | (2,367) | (6,548) | 7,849 | (17,099) |
Interest Rate Swap [Member] | ||||
Derivative [Line Items] | ||||
Net realized gains (losses) on periodic settements of interest rate swaps | 9,524 | 3,942 | 15,336 | 5,711 |
Net realized gains (losses) other than on periodic settements of interest rate swaps | (1,673) | 19,703 | (2,840) | 16,643 |
Net realized gains (losses) on financial derivatives | 7,851 | 23,645 | 12,496 | 22,354 |
Change in net unrealized gains (losses) on accrued periodic settlements on interest rate swaps | (4,211) | 1,118 | (4,322) | 3,550 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 1,506 | (7,476) | 12,617 | (17,433) |
Change in net unrealized gains (losses) on financial derivatives | (2,705) | (6,358) | 8,295 | (13,883) |
TBA securities [Member] | ||||
Derivative [Line Items] | ||||
Net realized gains (losses) other than on periodic settements of interest rate swaps | (515) | 266 | (1,223) | 3,799 |
Net realized gains (losses) on financial derivatives | (515) | 266 | (1,223) | 3,799 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (165) | 2,137 | 983 | (2,613) |
Change in net unrealized gains (losses) on financial derivatives | (165) | 2,137 | 983 | (2,613) |
Futures [Member] | ||||
Derivative [Line Items] | ||||
Net realized gains (losses) other than on periodic settements of interest rate swaps | (622) | 334 | (796) | (165) |
Net realized gains (losses) on financial derivatives | (622) | 334 | (796) | (165) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 373 | (2,209) | (1,645) | (485) |
Change in net unrealized gains (losses) on financial derivatives | 373 | (2,209) | (1,645) | (485) |
Credit Default Swap | ||||
Derivative [Line Items] | ||||
Net realized gains (losses) other than on periodic settements of interest rate swaps | (149) | (18) | (453) | (18) |
Net realized gains (losses) on financial derivatives | (149) | (18) | (453) | (18) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 130 | (118) | 216 | (118) |
Change in net unrealized gains (losses) on financial derivatives | $ 130 | $ (118) | $ 216 | $ (118) |
Financial Derivatives Narrative
Financial Derivatives Narrative (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
Derivative [Line Items] | ||
Financial derivatives–liabilities, at fair value | $ 6,720 | $ 7,329 |
Futures [Member] | Derivative Financial Instruments, Liabilities [Member] | ||
Derivative [Line Items] | ||
Financial derivatives–liabilities, at fair value | 22 | 63 |
Credit Default Swap | Derivative Financial Instruments, Liabilities [Member] | ||
Derivative [Line Items] | ||
Financial derivatives–liabilities, at fair value | 618 | 632 |
Credit Default Swap | Derivative Financial Instruments, Liabilities [Member] | Credit default swap on corporate bond indices [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | 23,800 | 25,900 |
Financial derivatives–liabilities, at fair value | $ (600) | $ (600) |
Derivative, Average Remaining Maturity | 5 years | 5 years |
Borrowings under Repurchase A_3
Borrowings under Repurchase Agreements Schedule of Repurchase Agreements by Maturity (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended |
Mar. 31, 2024 | Jun. 30, 2024 | Dec. 31, 2023 | |
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 578,503 | $ 729,543 | |
Debt, Weighted Average Interest Rate | 5.54% | 5.58% | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 32 days | 17 days | |
Agency RMBS: | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 535,632 | $ 680,263 | |
Debt, Weighted Average Interest Rate | 5.46% | 5.55% | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 32 days | 17 days | |
Agency RMBS: | Maturity up to 30 days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 469,856 | $ 676,074 | |
Debt, Weighted Average Interest Rate | 5.46% | 5.54% | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 16 days | 17 days | |
Agency RMBS: | Maturity 31 to 60 days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 19,262 | $ 1,256 | |
Debt, Weighted Average Interest Rate | 5.45% | 6.23% | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 44 days | 44 days | |
Agency RMBS: | Maturity 61 to 90 days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 603 | $ 2,933 | |
Debt, Weighted Average Interest Rate | 6.15% | 6.23% | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 68 days | 67 days | |
Agency RMBS: | Maturity 181 to 360 days | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 45,911 | $ 0 | |
Debt, Weighted Average Interest Rate | 5.50% | 0% | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 0 days | 185 days | |
U.S. Treasury Securities | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 0 | $ 30,822 | |
Debt, Weighted Average Interest Rate | 0% | 5.53% | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 0 days | 2 days | |
U.S. Treasury Securities | Maturity up to 30 days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 0 | $ 30,822 | |
Debt, Weighted Average Interest Rate | 0% | 5.53% | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 0 days | 2 days | |
Non-Agency RMBS and CLOs | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 42,871 | $ 18,458 | |
Debt, Weighted Average Interest Rate | 6.50% | 6.75% | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 37 days | 42 days | |
Non-Agency RMBS and CLOs | Maturity up to 30 days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 13,801 | $ 6,782 | |
Debt, Weighted Average Interest Rate | 6.64% | 6.89% | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 17 days | 15 days | |
Non-Agency RMBS and CLOs | Maturity 31 to 60 days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 27,342 | $ 4,875 | |
Debt, Weighted Average Interest Rate | 6.43% | 6.80% | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 45 days | 46 days | |
Non-Agency RMBS and CLOs | Maturity 61 to 90 days [Member] | |||
Repurchase Agreements [Line Items] | |||
Repurchase agreements | $ 1,728 | $ 6,801 | |
Debt, Weighted Average Interest Rate | 6.54% | 6.58% | |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 68 days | 67 days |
Borrowings under Repurchase A_4
Borrowings under Repurchase Agreements Borrowings under Repurchase Agreements Schedule of Repurchase Agreement by Counterparty (Details) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 | Dec. 31, 2023 | |
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase Agreement Counterparty Concentration Risk Threshold | 10% | 10% |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 32 days | 17 days |
Borrowings under Repurchase A_5
Borrowings under Repurchase Agreements (Details) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2024 USD ($) counterparties | Dec. 31, 2023 USD ($) counterparties | |
Repurchase Agreements [Line Items] | ||
Securities Sold under Agreements to Repurchase, Fair Value of Collateral | $ 622,800 | $ 791,500 |
Number of Counterparties with Outstanding Repurchase Agreements | counterparties | 18 | 19 |
Pledged Assets, Unsettled | $ 56,600 | $ 51,000 |
Securities Received as Collateral | $ (500) | $ 800 |
Repurchase Agreement Counterparty Concentration Risk Threshold | 10% | 10% |
Cash collateral posted (received) under repurchase agreements | $ (2,200) | $ 11,200 |
Minimum | ||
Repurchase Agreements [Line Items] | ||
Repurchase Agreements Maturity | 30 days | |
Maximum | ||
Repurchase Agreements [Line Items] | ||
Repurchase Agreements Maturity | 364 days |
Offsetting of Assets and Liab_3
Offsetting of Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2024 | Dec. 31, 2023 |
Offsetting Assets and Liabilities [Line Items] | ||
Financial derivatives–assets, at fair value | $ 80,834 | $ 74,279 |
Reverse repurchase agreements | 16,405 | 0 |
Financial derivatives–liabilities, at fair value | (6,720) | (7,329) |
Repurchase agreements | (578,503) | (729,543) |
Derivative Liability, Fair Value, Amount Offset Against Collateral | (6,262) | (6,851) |
Securities sold under agreements to repurchase available for offset | 0 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 6,262 | 6,851 |
Securities purchased under agreements to resell available for offset | 0 | 0 |
Securities Sold under Agreements to Repurchase, Fair Value of Collateral | 622,800 | 791,500 |
Derivative, Collateral, Obligation to Return Cash | (54,445) | (42,344) |
Securities Purchased under Agreements to Resell, Collateral, Obligation to Return Cash | 0 | |
Derivative, Collateral, Right to Reclaim Cash | 375 | 374 |
Cash Collateral Pledged | (2,151) | (11,205) |
Derivative Asset, Fair Value, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 20,127 | 25,084 |
Reverse Repurchase Agreements and Related Collateral Net | 0 | |
Derivatives and related collateral, net | (83) | (104) |
Repurchase agreements and related collateral, net | 0 | 0 |
Securities Sold Under Agreements To Repurchase Net, Fair Value of Collateral | 623,200 | 790,600 |
Derivative Financial Instruments, Liabilities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Excess cash collateral | 600 | 100 |
Derivative Financial Instruments, Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Excess cash collateral | 2,000 | 1,400 |
Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Securities Sold under Agreements to Repurchase, Fair Value of Collateral | 580,654 | 740,748 |
Derivative Financial Instruments, Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Derivative Asset, Fair Value of Collateral | 0 | 0 |
Derivative Financial Instruments, Liabilities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Derivative Liability, Fair Value of Collateral | 0 | $ 0 |
Reverse Repurchase Agreements [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Securities Purchased under Agreements to Resell, Fair Value of Collateral | $ (16,405) |
Earnings per Share (Details)
Earnings per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2024 | Mar. 31, 2024 | Jun. 30, 2023 | Mar. 31, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Earnings Per Share [Abstract] | ||||||
Net income (loss) | $ (815) | $ 3,961 | $ 1,203 | $ 2,337 | $ 3,146 | $ 3,540 |
Basic and diluted weighted average shares outstanding | 20,354,062 | 13,935,821 | 19,951,235 | 13,802,007 | ||
Basic and Diluted Earnings Per Share (in dollars per share) | $ (0.04) | $ 0.09 | $ 0.16 | $ 0.26 |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | |
Related Party Transaction [Line Items] | |||||
Annual Base Management Fee, Percent | 1.50% | 1.50% | |||
Management fees to affiliate | $ 550 | $ 439 | $ 1,088 | $ 872 | |
Expense reimbursement period | 60 days | ||||
Expenses Reimbursed to Related Party | $ 2,000 | 1,400 | |||
Accrued expenses | 1,688 | $ 1,688 | $ 1,153 | ||
Termination fee percentage | 5% | ||||
Payable for securities purchased | $ 33,866 | $ 33,866 | 12,139 | ||
Performance Fee Hurdle Rate - Quarterly Rate | 2% | ||||
Performance Fee Hurdle Rate - Annual Rate | 8% | ||||
Performance Fee Rate | 17.50% | ||||
Performance Fee - Catch up | 121.21% | ||||
Performance Fee - Performance Fee Captured During Catch-up Phase | 21.21% | ||||
Performance Fee - Portion Payable | 100% | ||||
Management Fee, Description | The Manager receives an annual management fee in an amount equal to 1.50% per annum of shareholders' equity (as defined in the Management Agreement) as of the end of each fiscal quarter (before deductions for any management fee with respect to such fiscal period). The management fee is payable quarterly in arrears. | ||||
Termination Fee, Description | The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to 5% of Shareholders' Equity, as defined in the Management Agreement as of the month-end preceding the date of the notice of termination or non-renewal of the Management Agreement. | ||||
Management agreement renewal period | 1 year | ||||
Annual Base Management Fee, Percent | 1.50% | 1.50% | |||
Expense reimbursement period | 60 days | ||||
Expenses Reimbursed to Related Party | $ 2,000 | $ 1,400 | |||
Termination fee percentage | 5% | ||||
Affiliated Entity [Member] | |||||
Related Party Transaction [Line Items] | |||||
Accrued expenses | $ 700 | $ 700 | $ 400 |
Capital Summary of Common Share
Capital Summary of Common Shares Outstanding (Details) - shares | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2024 | Mar. 31, 2024 | Jun. 30, 2023 | Mar. 31, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Equity [Abstract] | ||||||
Common Shares Outstanding, beginning of period | 19,819,610 | 18,601,464 | 13,830,403 | 13,377,840 | 18,601,464 | 13,377,840 |
Shares Issued, Shares | 1,315,366 | 547,790 | 2,533,512 | 1,003,461 | ||
Forfeiture of common shares to satisfy tax withholding obligations, shares | 0 | 0 | 0 | (3,108) | ||
Common Shares Outstanding, end of period | 21,134,976 | 19,819,610 | 14,378,193 | 13,830,403 | 21,134,976 | 14,378,193 |
Unvested restricted shares outstanding | 53,448 | 44,804 | 53,448 | 44,804 |
Capital Vesting Schedule for re
Capital Vesting Schedule for restricted shares (Details) | 6 Months Ended |
Jun. 30, 2024 shares | |
Independent Trustees [Member] | Grant Date September 13, 2023 | Vest September 12, 2024 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Restricted shares issued | 32,920 |
Restricted share grant date | Sep. 13, 2023 |
Restricted share vesting date | Sep. 12, 2024 |
Partially dedicated employees [Member] | Grant Date December 15, 2022 | Vest December 15, 2024 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Restricted shares issued | 6,055 |
Restricted share grant date | Dec. 15, 2022 |
Restricted share vesting date | Dec. 15, 2024 |
Partially dedicated employees [Member] | Grant Date December 14, 2023 | Vest December 14, 2024 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Restricted shares issued | 7,237 |
Restricted share grant date | Dec. 14, 2023 |
Restricted share vesting date | Dec. 14, 2024 |
Partially dedicated employees [Member] | Grant Date December 14, 2023 | Vest December 14, 2025 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Restricted shares issued | 7,236 |
Restricted share grant date | Dec. 14, 2023 |
Restricted share vesting date | Dec. 14, 2025 |
Capital (Details)
Capital (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | 73 Months Ended | ||||||||
Jun. 30, 2024 | Mar. 31, 2024 | Jun. 30, 2023 | Mar. 31, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Dec. 31, 2023 | Dec. 31, 2022 | Jun. 13, 2018 | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||
Common stock authorized | 500,000,000 | 500,000,000 | 500,000,000 | 500,000,000 | |||||||
Common stock par value | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | |||||||
Preferred stock authorized | 100,000,000 | 100,000,000 | 100,000,000 | 100,000,000 | |||||||
Preferred stock par value | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | |||||||
Common shares, par value $0.01 per share, 500,000,000 shares authorized; (21,134,976 and 18,601,464 shares issued and outstanding, respectively) | [1] | $ 8,895 | $ 7,403 | $ 3,808 | $ 3,491 | ||||||
Common stock, shares outstanding | 21,134,976 | 19,819,610 | 14,378,193 | 13,830,403 | 21,134,976 | 14,378,193 | 21,134,976 | 18,601,464 | 13,377,840 | ||
Preferred shares issued | 0 | 0 | 0 | 0 | |||||||
Common Stock, Dividends, Per Share, Declared | $ 0.24 | $ 0.24 | $ 0.48 | $ 0.48 | |||||||
Dividends | [2] | $ (4,939) | $ (4,757) | $ (3,372) | $ (3,305) | ||||||
Common Stock, Capital Shares Reserved for Future Issuance | 1,214,938 | 1,214,938 | 1,214,938 | ||||||||
Stock Repurchase Program, Authorized Amount | 1,200,000 | ||||||||||
Repurchase of common shares, shares | (474,192) | ||||||||||
Repurchase of common shares, Value | $ (4,400) | ||||||||||
Stock Repurchases Average Price Per Share | $ 9.21 | ||||||||||
Common stock, shares issued | 21,134,976 | 21,134,976 | 21,134,976 | 18,601,464 | |||||||
Shares Issued, Shares | 1,315,366 | 547,790 | 2,533,512 | 1,003,461 | |||||||
Proceeds from issuance of shares, net | $ 9,000 | $ 16,400 | |||||||||
Commissions and offering costs | 200 | 300 | |||||||||
Stock Repurchase Program, Remaining Authorized Repurchase Amount | $ 69,300 | 69,300 | $ 69,300 | ||||||||
2023 | |||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||
Maximum amount available to be issued under at the market program | $ 100,000 | ||||||||||
At the market program | |||||||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||||||
Shares Issued, Shares | 1,315,366 | 2,533,512 | |||||||||
[1]Net of discounts and commissions and offering costs.[2] For each of the three-month periods ended June 30, 2024 and 2023, dividends totaling $0.24, per common share outstanding, were declared. For each of the six-month periods ended June 30, 2024 and 2023, dividends totaling $0.48, per common share outstanding, were declared. |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | |
Income Tax Disclosure [Abstract] | |||||
Income Tax Expense (Benefit) | $ (75) | $ 0 | $ 228 | $ 0 | |
Operating Loss Carryforwards | 36,900 | 36,900 | $ 38,900 | ||
Deferred Tax Assets, Valuation Allowance | 11,300 | $ 11,300 | |||
Effective Income Tax Rate Reconciliation, at Federal Statutory Income Tax Rate, Percent | 21% | ||||
Effective Income Tax Rate Reconciliation, State and Local Income Taxes, Percent | 9.52% | ||||
Deferred Tax Assets, Tax Deferred Expense | 600 | $ 600 | |||
Interest Income Components [Line Items] | |||||
Operating Loss Carryforwards | 36,900 | 36,900 | $ 38,900 | ||
Income Tax Expense (Benefit) | (75) | $ 0 | 228 | $ 0 | |
Deferred Tax Assets, Tax Deferred Expense | 600 | 600 | |||
Deferred Tax Assets, Valuation Allowance | $ 11,300 | $ 11,300 | |||
Effective Income Tax Rate Reconciliation, at Federal Statutory Income Tax Rate, Percent | 21% | ||||
Effective Income Tax Rate Reconciliation, State and Local Income Taxes, Percent | 9.52% | ||||
Domestic Tax Authority | |||||
Income Tax Disclosure [Abstract] | |||||
Effective Income Tax Rate Reconciliation, Percent | 3.20% | ||||
Interest Income Components [Line Items] | |||||
Effective Income Tax Rate Reconciliation, Percent | 3.20% | ||||
State and Local Jurisdiction | |||||
Income Tax Disclosure [Abstract] | |||||
Effective Income Tax Rate Reconciliation, Percent | 3.60% | ||||
Interest Income Components [Line Items] | |||||
Effective Income Tax Rate Reconciliation, Percent | 3.60% |
Subsequent Events (Details)
Subsequent Events (Details) - Subsequent Event - $ / shares | Aug. 07, 2024 | Jul. 08, 2024 |
Subsequent Event [Line Items] | ||
Dividends Payable, Date Declared | Aug. 07, 2024 | Jul. 08, 2024 |
Dividends Payable, Amount Per Share | $ 0.08 | $ 0.08 |
Dividends Payable, Date to be Paid | Sep. 25, 2024 | Aug. 26, 2024 |
Dividends Payable, Date of Record | Aug. 30, 2024 | Jul. 31, 2024 |
Uncategorized Items - earn-2024
Label | Element | Value |
Preferred Stock [Member] | ||
Preferred Stock, Shares Outstanding | us-gaap_PreferredStockSharesOutstanding | 0 |
Preferred Stock, Shares Outstanding | us-gaap_PreferredStockSharesOutstanding | 0 |