Cover
Cover - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Mar. 20, 2023 | Jun. 30, 2022 | |
Cover [Abstract] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2022 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Transition Report | false | ||
Entity File Number | 001-40495 | ||
Entity Registrant Name | Angel Oak Mortgage REIT, Inc. | ||
Entity Incorporation, State or Country Code | MD | ||
Entity Tax Identification Number | 37-1892154 | ||
Entity Address, Address Line One | 3344 Peachtree Road Northeast | ||
Entity Address, Address Line Two | Suite 1725 | ||
Entity Address, City or Town | Atlanta | ||
Entity Address, State or Province | GA | ||
Entity Address, Postal Zip Code | 30326 | ||
City Area Code | 404 | ||
Local Phone Number | 953-4900 | ||
Title of 12(b) Security | Common stock, $0.01 par value | ||
Trading Symbol | AOMR | ||
Security Exchange Name | NYSE | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
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 | ||
ICFR Auditor Attestation Flag | false | ||
Entity Shell Company | false | ||
Entity Public Float | $ 156.5 | ||
Entity Common Stock, Shares Outstanding | 24,925,357 | ||
Documents Incorporated by Reference | Portions of the registrant’s definitive Proxy Statement to be filed with the Securities and Exchange Commission under Regulation 14A within 120 days after the end of registrant’s fiscal year covered by this Annual Report are incorporated by reference into Part III . | ||
Entity Central Index Key | 0001766478 | ||
Amendment Flag | false | ||
Document Fiscal Period Focus | FY | ||
Document Fiscal Year Focus | 2022 |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2022 | |
Audit Information [Abstract] | |
Auditor Name | KPMG |
Auditor Location | Atlanta, Georgia |
Auditor Firm ID | 185 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
ASSETS | ||
Cash and cash equivalents | $ 29,272 | $ 40,801 |
Restricted cash | 10,589 | 11,508 |
Principal and interest receivable | 17,497 | 25,984 |
Deferred tax asset | 3,457 | 0 |
Unrealized appreciation on TBAs and interest rate futures contracts - at fair value | 14,756 | 2,428 |
Other assets | 1,310 | 2,878 |
Total assets | 2,946,212 | 2,577,929 |
LIABILITIES | ||
Notes payable | 639,870 | 853,408 |
Securities sold under agreements to repurchase | 52,544 | 609,251 |
Unrealized depreciation on TBAs and interest rate futures contracts - at fair value | 0 | 728 |
Due to broker | 1,006,022 | 0 |
Accrued expenses | 1,288 | 442 |
Accrued expenses payable to affiliate | 2,006 | 1,425 |
Interest payable | 2,551 | 1,283 |
Income taxes payable | 0 | 1,600 |
Management fee payable to affiliate | 1,967 | 1,845 |
Total liabilities | 2,709,733 | 2,086,539 |
Commitments and contingencies | ||
STOCKHOLDERS’ EQUITY | ||
Series A preferred stock, $0.01 par value. As of December 31, 2022: no shares issued and outstanding. As of December 31, 2021: 12% cumulative, non-voting, 125 shares issued and outstanding. | 0 | 101 |
Common stock, $0.01 par value. As of December 31, 2022: 350,000,000 shares authorized, 24,925,357 shares issued and outstanding. As of December 31, 2021: 350,000,000 shares authorized, 25,227,328 shares issued and outstanding. | 249 | 252 |
Additional paid-in capital | 475,379 | 476,510 |
Accumulated other comprehensive income (loss) | (21,127) | 3,000 |
Retained earnings (deficit) | (218,022) | 11,527 |
Total stockholders’ equity | 236,479 | 491,390 |
Total liabilities and stockholders’ equity | 2,946,212 | 2,577,929 |
Non-recourse | ||
LIABILITIES | ||
Non-recourse securitization obligations, collateralized by residential mortgage loans in securitization trusts (see Note 3) | 1,003,485 | 616,557 |
Total RMBS | ||
ASSETS | ||
Debt securities, available-for-sale | 1,055,338 | 485,634 |
LIABILITIES | ||
Securities sold under agreements to repurchase | 52,544 | 360,501 |
CMBS | ||
ASSETS | ||
Debt securities, available-for-sale | 6,111 | 10,756 |
Treasury Bills | ||
ASSETS | ||
Debt securities, available-for-sale | 0 | 249,999 |
LIABILITIES | ||
Securities sold under agreements to repurchase | 248,750 | |
Residential mortgage loans | ||
ASSETS | ||
Mortgage loans | 770,982 | 1,061,912 |
Residential mortgage loans in securitization trust, at fair value | ||
ASSETS | ||
Mortgage loans | 1,027,442 | 667,365 |
Commercial mortgage loans | ||
ASSETS | ||
Mortgage loans | $ 9,458 | $ 18,664 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - $ / shares | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Statement of Financial Position [Abstract] | ||
Preferred stock, par value (USD per share) | $ 0.01 | $ 0.01 |
Preferred stock, dividend rate (as a percent) | 12% | 12% |
Preferred stock issued (shares) | 0 | 125 |
Preferred stock outstanding (shares) | 0 | 125 |
Common stock, par value (USD per share) | $ 0.01 | $ 0.01 |
Common stock authorized (shares) | 350,000,000 | 350,000,000 |
Common stock issued (shares) | 24,925,357 | 25,227,328 |
Common stock outstanding (shares) | 24,925,357 | 25,227,328 |
Consolidated Statements of Oper
Consolidated Statements of Operations and Comprehensive Income (Loss) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
INTEREST INCOME, NET | ||
Interest income | $ 115,544 | $ 60,555 |
Interest expense | 63,024 | 11,476 |
NET INTEREST INCOME | 52,520 | 49,079 |
REALIZED AND UNREALIZED LOSSES, NET | ||
Net realized loss on mortgage loans, derivative contracts, RMBS, and CMBS | (8,717) | (4,926) |
Net unrealized loss on mortgage loans, debt at fair value option (see Note 3), and derivative contracts | (201,753) | (2,392) |
TOTAL REALIZED AND UNREALIZED LOSSES, NET | (210,470) | (7,318) |
EXPENSES | ||
Operating expenses | 12,179 | 6,060 |
Due diligence and transaction costs | 1,376 | 2,551 |
Stock compensation | 5,753 | 1,715 |
Operating expenses incurred with affiliate | 3,096 | 2,828 |
Securitization costs | 3,137 | 0 |
Management fee incurred with affiliate | 7,799 | 5,894 |
Total operating expenses | 33,340 | 19,048 |
INCOME (LOSS) BEFORE INCOME TAXES | (191,290) | 22,713 |
Income tax expense (benefit) | (3,457) | 1,600 |
NET INCOME (LOSS) | (187,833) | 21,113 |
Preferred dividends | (14) | (15) |
NET INCOME (LOSS) ALLOCABLE TO COMMON STOCKHOLDERS | (187,847) | 21,098 |
Other comprehensive income (loss) | (24,127) | 4,039 |
TOTAL COMPREHENSIVE INCOME (LOSS) | $ (211,974) | $ 25,137 |
Basic earnings per common share (USD per share) | $ (7.65) | $ 1.02 |
Diluted earnings per common share (USD per share) | $ (7.65) | $ 1.01 |
Weighted average number of common shares outstanding: | ||
Basic (shares) | 24,547,916 | 20,601,964 |
Diluted (shares) | 24,547,916 | 20,852,554 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Stockholder(s)’ Equity - USD ($) $ in Thousands | Total | Private Placement | IPO | Preferred Stock | Common Stock at Par | Common Stock at Par Private Placement | Common Stock at Par IPO | Additional Paid-in Capital | Additional Paid-in Capital Private Placement | Additional Paid-in Capital IPO | Accumulated Other Comprehensive Income (Loss) | Retained Earnings |
Balance at beginning of period at Dec. 31, 2020 | $ 248,309 | $ 101 | $ 157 | $ 246,489 | $ (1,039) | $ 2,601 | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Contributions from common stockholder prior to IPO | 56,261 | 56,261 | ||||||||||
Stock issued | $ 40,000 | $ 136,800 | $ 21 | $ 72 | $ 39,979 | $ 136,728 | ||||||
Shares repurchased | (4,660) | (3) | (4,657) | |||||||||
Non-cash equity compensation | 1,715 | 5 | 1,710 | |||||||||
Dividends declared - preferred | (15) | (15) | ||||||||||
Unrealized gain on RMBS and CMBS | 4,039 | 4,039 | ||||||||||
Dividends paid on common stock | (12,172) | (12,172) | ||||||||||
Net income | 21,113 | 21,113 | ||||||||||
Balance at end of period at Dec. 31, 2021 | 491,390 | 101 | 252 | 476,510 | 3,000 | 11,527 | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Shares repurchased | (6,863) | (3) | (6,860) | |||||||||
Non-cash equity compensation | 5,753 | 5,753 | ||||||||||
Dividends declared - preferred | (14) | (14) | ||||||||||
Unrealized gain on RMBS and CMBS | (24,127) | (24,127) | ||||||||||
Dividends paid on common stock | (41,702) | (41,702) | ||||||||||
Net income | (187,833) | (187,833) | ||||||||||
Redemption of preferred stock | (125) | (101) | (24) | |||||||||
Balance at end of period at Dec. 31, 2022 | $ 236,479 | $ 0 | $ 249 | $ 475,379 | $ (21,127) | $ (218,022) |
Consolidated Statements of Ch_2
Consolidated Statements of Changes in Stockholder(s)’ Equity (Parenthetical) - $ / shares | 1 Months Ended | |||||
Nov. 30, 2022 | Aug. 31, 2022 | May 31, 2022 | Mar. 31, 2022 | Aug. 31, 2021 | Nov. 30, 2021 | |
Statement of Stockholders' Equity [Abstract] | ||||||
Dividends paid on common stock (USD per share) | $ 0.32 | $ 0.45 | $ 0.45 | $ 0.45 | $ 0.12 | $ 0.36 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
CASH FLOWS FROM OPERATING ACTIVITIES | ||
Net income | $ (187,833) | $ 21,113 |
Adjustments to reconcile net income to net cash used in operating activities: | ||
Net realized losses | 8,717 | 4,926 |
Net unrealized loss on mortgage loans and derivative contracts | 201,753 | 2,392 |
Amortization of debt issuance costs | 1,053 | 458 |
Net amortization of premiums and discounts on mortgage loans | 9,370 | 635 |
Non-cash stock compensation | 5,753 | 1,715 |
Net change in: | ||
Purchases of residential mortgage loans from affiliates | (567,324) | (909,442) |
Purchases of residential mortgage loans from non-affiliates | (427,940) | (820,141) |
Sale of residential mortgage loans | 252,709 | 0 |
Principal payments on residential mortgage loans | 285,797 | 138,587 |
Margin received from interest rate futures contracts | 75,432 | 13,253 |
Principal and interest receivable | 12,156 | (20,926) |
Receivable from affiliate | 0 | 14 |
Other assets | (130) | (6,172) |
Management fee payable to affiliate | 122 | 1,845 |
Accrued expenses | 846 | 321 |
Accrued expenses payable to affiliate | 581 | 693 |
Deferred tax (benefit) expense | (3,457) | 1,600 |
Interest payable | 1,268 | 1,183 |
NET CASH USED IN OPERATING ACTIVITIES | (331,127) | (1,567,946) |
CASH FLOWS FROM INVESTING ACTIVITIES | ||
Purchases of investments in RMBS and CMBS | (419,748) | (1,481,011) |
Purchases of investments in U.S. Treasury Securities | (349,992) | (604,995) |
Sale of investments in RMBS and CMBS | 812,107 | 1,120,071 |
Maturities of U.S. Treasury Securities | 600,000 | 504,984 |
Principal payments on RMBS and CMBS securities | 14,067 | 11,234 |
Purchases of commercial mortgage loans from affiliate | 0 | (12,328) |
Origination of commercial mortgage | (3,180) | 0 |
Sale of commercial mortgage loans to third parties | 11,026 | 1,540 |
Principal payments on commercial mortgage loans | 53 | 21 |
NET CASH PROVIDED BY (USED IN) INVESTING ACTIVITIES | 664,333 | (460,484) |
CASH FLOWS FROM FINANCING ACTIVITIES | ||
Contributions from prior common stockholder | 0 | 56,261 |
Proceeds from issuance of common stock in IPO | 0 | 136,800 |
Proceeds from private placement concurrent with IPO | 0 | 40,000 |
Repurchase of common stock | (6,863) | (4,660) |
Redemption of preferred stock | (125) | 0 |
Dividends paid to common stockholders | (41,702) | (12,172) |
Principal payments on loans held in securitization trusts | (201,607) | (60,594) |
Preferred dividends paid | (14) | (15) |
Cash paid for debt issuance costs | (457) | (3,002) |
Proceeds from securitizations | 675,359 | 679,685 |
Net proceeds from (purchases of) securities sold under agreements to repurchase | (556,707) | 430,960 |
Net proceeds from the sale of residential loans | (221,229) | 0 |
Net proceeds from (payments on) notes payable | 7,691 | 771,503 |
NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES | (345,654) | 2,034,766 |
CHANGE IN CASH, CASH EQUIVALENTS, AND RESTRICTED CASH | (12,448) | 6,336 |
CASH, CASH EQUIVALENTS, AND RESTRICTED CASH, beginning of year | 52,309 | 45,973 |
CASH, CASH EQUIVALENTS, AND RESTRICTED CASH, end of year | 39,861 | 52,309 |
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION | ||
Cash paid during the year for interest | $ 61,611 | $ 10,293 |
Organization
Organization | 12 Months Ended |
Dec. 31, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization Angel Oak Mortgage REIT, Inc. (together with its subsidiaries the “Company”), is a real estate finance company focused on acquiring and investing in first lien non-qualified residential mortgage (“non-QM”) loans and other mortgage‑related assets in the U.S. mortgage market. The Company’s strategy is to make investments in first lien non‑QM loans that are primarily made to higher‑quality non‑QM loan borrowers and primarily sourced from the proprietary mortgage lending platform of affiliates, Angel Oak Mortgage Solutions LLC and Angel Oak Home Loans LLC (together, “Angel Oak Mortgage Lending”), which currently operates primarily through a wholesale channel operated by Angel Oak Mortgage Solutions, LLC, and has a national origination footprint. During the third quarter of 2022, a majority of the assets of Angel Oak Home Loans, LLC were sold to a third party. The Company may also invest in other residential mortgage loans, residential mortgage‑backed securities (“RMBS”), and other mortgage‑related assets. The Company’s objective is to generate attractive risk‑adjusted returns for its stockholders, through cash distributions and capital appreciation, across interest rate and credit cycles. The Company is a Maryland corporation incorporated on March 20, 2018. On September 18, 2018, the Board of Directors of the Company (the “Board of Directors”) authorized the Company to commence operations and on October 19, 2018 the Company began its investing activities. The Company achieves certain of its investment objectives by investing a portion of its assets in its wholly‑owned subsidiary, Angel Oak Mortgage REIT TRS, LLC (“AOMR TRS”), a Delaware limited liability company formed on March 21, 2018, which invests its assets in Angel Oak Mortgage Fund TRS, a Delaware statutory trust formed on June 15, 2018. On June 21, 2021, the Company completed its initial public offering (the “IPO”) of 7,200,000 shares of common stock, $0.01 par value per share (“common stock”), at an initial public offering price of $19.00 per share for total proceeds of approximately $136.8 million, excluding the underwriting discounts and commissions and offering expenses of the IPO, each of which was paid by Angel Oak Capital Advisors, LLC (“Angel Oak Capital”), pursuant to a registration statement on Form S-11, as amended (File No. 333-256301) (the “Registration Statement”), filed with the Securities and Exchange Commission (the “SEC”) under the Securities Act of 1933, as amended (the “Securities Act”). Such underwriting discounts and commissions were $8.2 million. Angel Oak Capital also agreed to pay all of the Company’s expenses incurred in connection with the IPO. Such expenses were $4.4 million. The common stock of the Company trades on the New York Stock Exchange under the ticker symbol “AOMR”. Concurrently with the completion of the IPO, the Company sold an additional 2,105,263 shares of common stock to an institutional investor in a private placement at $19.00 per share, for total proceeds of approximately $40.0 million. The Operating Partnership On February 5, 2020, the Company formed Angel Oak Mortgage Operating Partnership, LP, a Delaware limited partnership (the “Operating Partnership”), through which substantially all of its assets are held and substantially all of its operations are conducted, either directly or through subsidiaries. The Company holds all of the limited partnership interests in the Operating Partnership and indirectly holds the sole general partnership interest in the Operating Partnership through the general partner, which is the Company’s wholly-owned subsidiary. The Company’s Manager and REIT status The Company is externally managed and advised by Falcons I, LLC (the “Manager”), a registered investment adviser with the SEC. The Company has elected to be taxed as a real estate investment trust (a “REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”), commencing with its taxable year ended December 31, 2019. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2022 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation and Consolidation The consolidated financial statements have been prepared in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) and include the accounts of the Company and its wholly‑owned subsidiaries. All significant inter‑company balances and transactions have been eliminated in consolidation. Use of Estimates The preparation of financial statements requires the Company to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported periods. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from the Company’s estimates and the differences could be material. Reclassifications Certain amounts reported in prior periods in the financial statements have been reclassified to conform to the current year’s presentation. For comparative purposes, and to enhance transparency of the Company’s balance sheet, “other assets” on the consolidated balance sheet as of December 31, 2021 in the amount of $2.4 million have been reclassified to unrealized appreciation on TBAs and interest rate futures contracts - at fair value, leaving a remaining balance of $2.9 million of other assets. Recent Accounting Standards - Recently Issued None. Recent Accounting Standards - Recently Adopted In March 2020, the Financial Accounting Standards Board (“FASB”) issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting . The standard was issued to ease the accounting effects of reform to the London Interbank Offered Rate (“LIBOR”) and other reference rates. The standard provides optional expedients and exceptions for applying GAAP to debt, derivatives, and other contracts affected by reference rate reform. In January 2021, the FASB amended the standard to clarify option expedients and exceptions for contract modifications and hedge accounting. The standard is effective for all entities as of March 12, 2020 through December 31, 2022 and was adopted over time as reference rate reform activities occurred. During 2022, the Company amended all of its contracts that had referenced a U.S. Dollar LIBOR tenor to the Secured Overnight Financing Rate (“SOFR”). The Company has determined that the impact of this accounting standard is immaterial to its financial statements. Variable Interest Entities A variable interest entity (“VIE”) is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIE’s economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The Company’s securitization trusts are structured as VIEs that receive principal and interest on the underlying collateral and distribute those payments to the security holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a holder of the security it has retained as well as certain associated risks which may occur when the Company acts as either the sponsor and/or depositor of and the seller, directly or indirectly to, the securitization entities. Determining the primary beneficiary of a VIE requires judgment. The Company determined that for the securitizations it consolidates, its ownership provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIE’s economic performance, or power, such as rights to replace the servicer without cause and call the collateral after the expiration of the call period. As of December 31, 2022 and 2021, the Company was considered to be a primary beneficiary in certain VIEs which held certain interests in the assets held by consolidated securitization vehicles which were created under the purview of its wholly-owned securitization shelf, Angel Oak Mortgage Trust (“AOMT”) II, LLC. These securitization vehicles are consolidated on the Company’s consolidated balance sheet, and are restricted by the structural provisions of the associated securitization trusts. The recovery of the Company’s investment in the securitization vehicles, if any, will be limited by each securitization vehicle’s distribution provisions. The liabilities of the securitization vehicles, which are also consolidated on the Company’s consolidated balance sheets as of December 31, 2022 and 2021, are non-recourse to the Company, and can only be satisfied using proceeds from each securitization vehicle’s respective asset pool. The Company was not a primary beneficiary in the VIEs in which it participated prior to December 31, 2021. These VIEs are comprised of the securitizations in which the Company participated within the purview of Angel Oak Mortgage Trust I. The assets of securitization entities are comprised of RMBS or residential mortgage loans. See Note 3 - Variable Interest Entities for further discussion of the characteristics of the securities and loans in the Company’s portfolio relating to asset pools arising from securitization transactions. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE would cause the Company’s consolidation conclusion to change. Segment Reporting Operating segments are defined as components of an entity for which separate financial information is available and that is regularly reviewed by the Chief Operating Decision Maker (“CODM”) in deciding how to allocate resources to an individual segment and in assessing performance. The Company’s CODM is its Chief Executive Officer. The Company has determined it currently operates in a single operating segment and has one reportable segment, which is to acquire, invest in, and finance mortgage‑related assets. The CODM reviews financial information presented on a consolidated basis for purposes of making operating decisions, allocating resources, and evaluating financial performance. Cash and Cash Equivalents Cash represents cash deposits held at financial institutions. Cash equivalents include short‑term highly liquid investments of sufficient credit quality that are readily convertible to known amounts of cash and have maturities of three months or less at acquisition. The Company maintains its cash and cash equivalents with major financial institutions. Accounts at these institutions are guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) up to $250,000 for each bank. The Company is exposed to credit risk for amounts held in excess of the FDIC limit. The Company does not anticipate nonperformance by these financial institutions. Restricted Cash Restricted cash represents cash held at financial institutions for margin on whole loans required by certain counterparties, margin on futures trading activity, and short-term cash collateral for repurchase agreements. Fair Value Measurements The Company reports various investments at fair value in accordance with Accounting Standards Codification (“ASC”) 820, Fair Value Measurement . A fair value measurement represents the price at which an orderly transaction would occur between willing market participants at the measurement date. This definition of fair value focuses on exit price and prioritizes the use of market‑based inputs over entity‑specific inputs when determining fair value. In addition, the framework for measuring fair value establishes a three‑level hierarchy for fair value measurements based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. See Note 11, Fair Value Measurements for further discussion on fair value measurements. The Company accounts for any purchases or sales of Investment Securities on a trade date basis. At the time of disposition, realized gains or losses on sales of Investment Securities are determined based on a specific identification basis and are a component of “net realized loss on mortgage loans, derivative contracts, RMBS, and CMBS” in the consolidated statements of operations and comprehensive income (loss). RMBS, CMBS, and U.S. Treasury Securities (“Investment Securities”), at Fair Value; and Purchase and Sale of Investment Securities The Company classifies its investments in RMBS, CMBS, and U.S. Treasury Securities as available for sale and accordingly records them at fair value in the consolidated balance sheets. Changes in fair value for these Investment Securities are reported in other comprehensive income (loss) in the consolidated statements of operations and comprehensive income (loss). Residential Mortgage Loans, Residential Mortgage Loans in Securitization Trusts, and Commercial Mortgage Loans, at Fair Value The Company’s investments in residential mortgage loans, including those held in securitization trusts, and commercial loans are recorded using the fair value option in ASC Topic 825 - Financial Instruments , and therefore recorded at fair value in the consolidated balance sheets. Changes in fair value are reported in current earnings in “net unrealized loss on mortgage loans, debt at fair value option, and derivative contracts” in the consolidated statements of operations and comprehensive income (loss). Residential and commercial mortgage loans include loans that the Company may be marketing for sale to third parties, including transfers to securitization entities with either solely contributed loans or with loans contributed to securitization entities along with other Angel Oak entities. When the Company obtains possession of real property in connection with a foreclosure or similar action, the Company de-recognizes the associated mortgage loan according to ASU 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure (“ASU 2014-04”). Under the provisions of ASU 2014-04, the Company is deemed to have received physical possession of real estate property collateralizing a mortgage loan when it obtains legal title to the property upon completion of a foreclosure or when the borrower conveys all interest in the property to it through a deed in lieu of foreclosure or similar legal agreement. The Company’s cost basis in REO is equal to the lower of cost or fair value of the real estate associated with the foreclosed mortgage loan, less expected costs to sell. The fair value of such REO is typically based on management’s estimates which generally use information including general economic data, broker opinions of value, recent sales, property appraisals, and bids, and takes into account the expected costs to sell the property. REO recorded at fair value on a non-recurring basis are classified as Level 3. Non-recourse securitization obligations, collateralized by residential mortgage loans (a portion of which is at Fair Value) The portion of this obligation for which we have elected the fair value option uses the prices of the underlying bonds securing the related residential mortgage loans in securitization trusts to determine fair value. Changes in fair value are reported in current earnings in “net unrealized loss on mortgage loans, debt at fair value option, and derivative contracts” in the consolidated statements of operations and comprehensive income (loss). The Company also discloses fair value for the portion of this obligation for which we have elected to hold at amortized cost. See Note 11, Fair Value Measurements. Derivative Financial Instruments, at Fair Value The Company uses a variety of derivative instruments to economically hedge a portion of its exposure to market risks, including interest rate risk and prepayment risk. Derivatives are accounted for in accordance with ASC 815, Derivatives and Hedging , which requires recognition of all derivatives as either assets or liabilities at fair value on the consolidated balance sheets. These derivative financial instrument contracts are not designated as hedges for U.S. GAAP purposes; therefore, all changes in fair value are recognized in earnings. See Note 10, Derivative Financial Instruments for further information. Revenue Recognition Investment Securities Interest income on Investment Securities is recognized based on outstanding principal balances and contractual terms. Premiums and discounts are generally amortized into interest income over the life of such securities using the effective yield method. Adjustments to premium amortization are made for actual prepayments. Residential Mortgage Loans Interest income on residential mortgage loans is recognized using the effective interest method over the life of the loans. The amortization of any premiums and discounts is included in interest income. Interest income recognition is suspended when residential mortgage loans are placed on non-accrual status. Generally, residential mortgage loans are placed on non-accrual status when delinquent for more than 90 days or when determined not to be probable of full collection. Interest accrued, but not collected, at the date residential mortgage loans are placed on nonaccrual status is reversed against interest income and subsequently recognized only to the extent it is received in cash or until it qualifies for return to accrual status. Interest received after the loan becomes past due or impaired is used to reduce the outstanding loan principal balance. Commercial Mortgage Loans Interest income on commercial mortgage loans is recognized using the effective interest method over the life of the loans. The amortization of any related premiums and discounts is included in interest income. Interest income recognition is suspended when the commercial mortgage loan becomes more than 90 days past due. Interest received after the loan becomes past due or impaired is used to reduce the outstanding loan principal balance. A delinquent loan previously placed on non-accrual status is placed back on accrual status when all delinquent principal and interest has been remitted by the borrower. Alternatively, the delinquent or impaired loan may be placed back on accrual status if restructured and after the loan is considered re‑performing. A restructured loan is considered re‑performing when the loan has been current for at least 12 months. Repurchase Agreements At times, the Company finances purchases of residential and commercial mortgage loans and Investment Securities through the use of repurchase agreements. The repurchase agreements are treated as collateralized financing transactions, which expire within approximately one year or less and are carried at their contractual amounts, including accrued interest as specified in the respective agreements. Interest paid and accrued in accordance with repurchase agreements is recorded as interest expense. Earnings Per Share Basic net income (loss) per share is computed by dividing net income (loss) allocable to common stockholders by the weighted‑average number of shares of common stock outstanding during the period. Diluted EPS is calculated by dividing net income (loss) allocable to common stockholders by the weighted average number of shares of common stock outstanding plus the additional dilutive effect of common stock equivalents during each period, unless anti-dilutive. Share-Based Compensation The Company amortizes the fair value of previously granted share-based awards to expense over the vesting period using the straight line method. The initial cost of share-based awards is established at the Company’s closing share price on the grant date of the award. The Company recognizes adjustments for forfeitures as forfeitures occur. Income Taxes The Company has elected to be taxed as a REIT under the Code starting with its taxable year ended December 31, 2019. Accordingly, the Company will generally not be subject to corporate U.S. federal income tax to the extent that the Company makes qualifying distributions to stockholders, and provided that the Company satisfies, on a continuing basis, through actual investment and operating results, the REIT requirements, including certain asset, income, distribution, and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, the Company will be subject to U.S. federal, state, and any applicable local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the Company lost its REIT qualification. Accordingly, the failure to qualify as a REIT could have a material adverse impact on the Company’s results of operations and amounts available for distribution to stockholders. The dividends paid deduction for qualifying dividends paid to stockholders is computed using the Company’s taxable income as opposed to net income reported in the consolidated statements of operations and comprehensive income (loss). Taxable income will generally differ from net income reported in the consolidated statements of operations and comprehensive income (loss) because the determination of taxable income is based on tax regulations and not U.S. GAAP. The Company has created and elected to treat AOMR TRS as a taxable REIT subsidiary (“TRS”). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non‑real estate‑related business. A domestic TRS is subject to U.S. federal, state, and local corporate income taxes, and the value of the securities of the TRS together with the value of the securities of any other TRS owned by the Company may not exceed 20% of the value of the Company’s total assets. If the TRS generates net income, it may declare dividends to the Company, which will be included in the Company’s taxable income and may necessitate a distribution to its stockholders to satisfy distribution requirements and to avoid U.S. federal income and excise tax. Conversely, if the Company retains earnings at the TRS level, no distribution is required. Effective for tax years beginning after December 31, 2022, the Inflation Reduction Act, which was signed into law on August 16, 2022, imposes a 15% alternative minimum tax (“AMT”) on the adjusted financial statement income (“AFSI”) of “Applicable Corporations”. The term “Applicable Corporations” does not include REITs but does include TRSs whose three-year average AFSI exceeds $1 billion. Current and deferred taxes are recorded on earnings (losses) recognized by AOMR TRS. Deferred income tax assets and liabilities are calculated based upon temporary differences between the Company’s U.S. GAAP consolidated financial statements and the U.S. federal and state tax basis of assets and liabilities as of the consolidated balance sheet date. If any deferred tax assets exist, the Company evaluates the realizability of such, and subsequently may recognize a valuation allowance if, based on available evidence, it is more likely than not that some or all of its deferred tax assets will not be realized. In evaluating the realizability of a deferred tax asset, the Company will consider expected future taxable income, existing and projected book to tax differences, and any tax planning strategies. Such an analysis is inherently subjective, as it is based on forecast earnings and business and economic activity. See Note 12 — Income Taxes , for further details regarding the Company’s deferred tax assets. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a nondeductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid U.S. federal corporate income tax. Risks and Uncertainties Credit Risk The Company assumes credit risk through its investments in mortgage loans and other mortgage‑related assets. Credit losses on mortgage loans can occur for many reasons, including: fraud; poor underwriting; poor servicing practices; weak economic conditions; increases in payments required to be made by borrowers; declines in the value of real estate; declining rents on single‑ and multi‑family residential rental properties; natural disasters, including the effects of climate change (including flooding, drought, wildfires, and severe weather), and other natural events; uninsured property loss; over‑leveraging of the borrower; costs of remediation of environmental conditions, such as indoor mold; changes in zoning or building codes and the related costs of compliance; acts of war or terrorism; changes in legal protections for lenders and other changes in law or regulation; and personal events affecting borrowers, such as reduction in income, job loss, divorce, or health problems. In addition, the amount and timing of credit losses could be affected by loan modifications, delays in the liquidation process, documentation errors, and other action by servicers. Weakness in the U.S. economy or the housing market could cause the Company’s credit losses to increase. In addition, rising interest rates may increase the credit risk associated with certain residential mortgage loans. For example, the interest rate is adjustable for many of the loans held by the Company or within the securitization entities in which the Company participates. In addition, a portion of the loans the Company has pledged to secure loan financing lines have adjustable interest rates. Accordingly, when short‑term interest rates rise, required monthly payments from homeowners will rise under the terms of these adjustable‑rate mortgages, and this may increase borrowers’ delinquencies and defaults. Credit losses on commercial mortgage loans can occur for many of the reasons noted above for residential mortgage loans. Moreover, these types of real estate loans may not be fully amortizing and, therefore, the borrower’s ability to repay the principal when due may depend upon the ability of the borrower to refinance or sell the property at maturity. Business purpose real estate loans are particularly sensitive to conditions in the rental housing market and to demand for rental residential properties. Within a securitization of residential, multi‑family, or business purpose real estate loans, various securities are created, each of which has varying degrees of credit risk. The Company may own the securities in which there is more (or the most) concentrated credit risk associated with the underlying real estate loans. In general, losses on an asset securing a loan or loan included as collateral to a securitization will be borne first by the owner of the property (i.e., the owner will first lose any equity invested in the property) and, thereafter, by the first loss security holder, and then by holders of more senior securities. In the event the losses incurred upon default on the loan exceed any classes in which the Company invests, the Company may not be able to recover all of its investment in the securities it holds. In addition, if the underlying properties have been overvalued by the originating appraiser or if the values subsequently decline and, as a result, less collateral is available to satisfy interest and principal payments due on the related security, then the first‑loss securities may suffer a total loss of principal, followed by losses on the second‑loss and then third‑loss securities (or other residential and commercial securities that the Company owns). In addition, with respect to residential securities the Company owns, the Company may be subject to risks associated with the determination by a loan servicer to discontinue servicing advances (advances of mortgage interest payments not made by a delinquent borrower) if they deem continued advances to be unrecoverable, which could reduce the value of these securities or impair the Company’s ability to project and realize future cash flows from these securities. Investments in subordinated RMBS and CMBS involve greater credit risk than the senior classes of the issue or series. Many of the default‑related risks of whole loan mortgages will be magnified in subordinated securities. Default risks may be further pronounced in the case of RMBS and CMBS by, or evidencing an interest in, a relatively small or less diverse pool of underlying mortgage loans. Certain subordinated securities absorb all losses from default before any other class of securities is at risk, particularly if such securities have been issued with little or no credit enhancement or equity. In addition, principal payments on subordinated securities may be subject to a “lockout” period in which some or all of the principal payments are directed to the related senior securities. This lock‑out period may be for a set period of time and/or may be determined based on pool performance criteria such as losses and delinquencies. Such securities therefore possess some of the attributes typically associated with equity investments. Interest Rate Risk Interest rate risk is highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company’s control. A significant portion of the Company’s financial assets and liabilities, including the Company’s whole loan investments (which include residential mortgage loans, residential mortgage loans held in securitization trusts, and commercial loans), investment securities, loan financing facilities, and security repurchase facilities, are interest earning or interest bearing and, as a result, the Company is subject to risks arising from fluctuations in the prevailing levels of market interest rates. In addition, all of the Company’s warehouse loan financing arrangements (notes payable) have a variable rate component or include rates which reset monthly and add additional risk due to fluctuations in market interest rates. Any excess cash and cash equivalents of the Company are invested in instruments earning short‑term market interest rates. Subject to maintaining its qualification as a REIT and maintaining its exclusion from regulation as an investment company under the Investment Company Act of 1940, as amended (the “Investment Company Act”), the Company may utilize various derivative instruments and other hedging instruments to mitigate interest rate risk. Liquidity Risk An insufficient secondary market may prevent the liquidation of an asset or limit the funds that can be generated from selling an asset. A portion of the Company’s financial assets are considered to be illiquid and may be subject to high liquidity risk. Furthermore, the Company’s use of financial leverage exposes the Company to increased liquidity risks from margin calls and potential breaches of the financial covenants under its borrowing facilities, which could result in the Company being required to immediately repay all outstanding amounts borrowed under these facilities and these facilities being unavailable to use for future financing needs, as well as triggering cross-defaults under other debt agreements. Prepayment Risk The frequency at which prepayments occur on loans held and loans underlying RMBS and CMBS will be affected by a variety of factors including the prevailing level of interest rates as well as economic, demographic, tax, social, legal, and other factors. Generally, mortgage obligors tend to prepay their mortgages when prevailing mortgage rates fall below the interest rates on their mortgage loans. Generally, whole loans, RMBS, and CMBS purchased at a premium are adversely affected by faster than anticipated prepayments; and whole loans, RMBS, and CMBS purchased at a discount are adversely affected by slower than anticipated prepayments. The adverse effects of prepayments may impact the Company in two ways. First, particular investments may experience outright losses, as in the case of an interest‑only security in an environment of faster actual or anticipated prepayments. Second, particular investments may underperform relative to the financial instruments that the Company’s Manager may have constructed to reduce specific financial risks for these investments, resulting in a loss to the Company. In particular, prepayments (at par) may limit the potential upside of many whole loans, RMBS, and CMBS to their principal or par amounts, whereas their corresponding hedges, if any, often have the potential for unlimited loss. Extension Risk The Company’s Manager computes the projected weighted average life of the Company’s investments based on assumptions regarding the rate at which the borrowers will prepay the underlying mortgage loans. In general, when fixed rate, adjustable rate, or hybrid mortgage loans or other mortgage‑related assets are acquired via borrowings, the Company may, but is not required to, enter into an interest rate swap agreement or other economic hedging instrument that attempts to fix the Company’s borrowing costs for a period close to the anticipated average life of the fixed rate portion of the related assets, in each case subject to maintaining the Company’s qualification as a REIT and maintaining the Company’s exclusion from regulation as an investment company under the Investment Company Act. This strategy is designed to protect the Company from rising interest rates, as the borrowing costs are managed to maintain a net interest spread for the duration of the fixed rate portion of the related assets. However, if prepayment rates decrease in a rising interest rate environment, the life of the fixed rate portion of the related assets could extend beyond the term of the swap agreement or other hedging instrument. This could have an adverse impact on the Company’s earnings, as borrowing costs would no longer be fixed after the end of the hedging instrument, while the income earned on the fixed rate, adjustable rate, or hybrid assets would remain fixed. In extreme situations, the Company may be forced to sell assets to maintain adequate liquidity, which could cause the Company to incur losses. |
Variable Interest Entities
Variable Interest Entities | 12 Months Ended |
Dec. 31, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Variable Interest Entities | Variable Interest Entities Since its inception, the Company has utilized VIEs for the purpose of securitizing whole mortgage loans to obtain long-term non-recourse financing. The Company evaluates its interest in each VIE to determine if it is the primary beneficiary. VIEs for Which the Company is the Primary Beneficiary In 2021 and 2022, the Company entered into securitization transactions where it was determined that the Company was the primary beneficiary, as, with respect to each securitization vehicle, it controls the class of securities with call rights, or “controlling class” of securities, the XS tranche. The Company was the sole entity to contribute residential whole mortgage loans to these securitization vehicles. During the year ended December 31, 2022, in the AOMT 2022-4 and the AOMT 2022-1 transactions, the Company securitized and consolidated approximately $722.3 million unpaid principal balance of seasoned residential non-QM mortgage loans. During the year ended December 31, 2021, in the AOMT 2021-4 and AOMT 2021-7 transactions, the Company securitized and consolidated approximately $703.5 million unpaid principal balance of seasoned residential non-QM mortgage loans. The retained beneficial interest in VIEs for which the Company is the primary beneficiary is the subordinated tranches of the securitization and further interests in additional interest‑only tranches. The table below sets forth the fair values of the assets and liabilities recorded in the consolidated balance sheet related to these consolidated VIEs as of December 31, 2022 and 2021: December 31, 2022 December 31, 2021 Assets: (in thousands) Residential mortgage loans in securitization trusts - cost $ 1,193,879 $ 665,510 Fair value adjustment (166,437) 1,855 Residential mortgage loans in securitization trusts - at fair value $ 1,027,442 $ 667,365 Accrued interest receivable $ 1,995 $ 1,728 Liabilities (1) : Non-recourse securitization obligations, collateralized by residential mortgage loans - principal balance, amortized cost $ 474,070 $ 619,108 Less: debt issuance costs capitalized (1,145) (2,551) Non-recourse securitization obligations, collateralized by residential mortgage loans, amortized cost, net $ 472,925 $ 616,557 Non-recourse securitization obligations, collateralized by residential mortgage loans - principal balance, subject to fair value adjustment $ 611,114 $ — Fair value adjustment (80,554) — Non-recourse securitization obligations, collateralized by residential mortgage loans - at fair value, net $ 530,560 $ — Total non-recourse securitization obligations, collateralized by residential mortgage loans, net $ 1,003,485 $ 616,557 (1) Debt issuance costs for non-recourse securitization obligations electing the fair value option are recorded to expense upon issuance of the securitization. Debt issuance costs incurred with the issuances of non-recourse securitization obligations for which the fair value option was not elected are presented at amortized cost. Income and expense amounts related to the consolidated VIEs recorded in the consolidated statements of operations and comprehensive income (loss) for the years ended December 31, 2022 and 2021 is set forth as follows: December 31, 2022 December 31, 2021 (in thousands) Interest income $ 48,443 $ 7,933 Interest expense, non-recourse liabilities (1) (26,223) (1,792) Net interest income $ 22,220 $ 6,141 Net unrealized loss on mortgage loans in securitization trusts - at fair value (168,292) (1,308) Unrealized gain on mark-to-market of non-recourse securitization obligation - at fair value 80,554 — Securitization expenses (2) (3,137) — Realized losses and operating expenses (1,525) (86) Net income (loss) from consolidated VIEs $ (70,180) $ 4,747 (1) Includes amortization of debt issuance expenses for AOMT 2021-7 and AOMT 2021-4. (2) Includes securitization expenses for AOMT 2022-4 and AOMT 2022-1. VIEs for Which the Company is Not the Primary Beneficiary In 2019 and 2020, the Company co‑sponsored and participated in the formation of various entities that were considered to be VIEs. These VIEs were formed to facilitate securitization issuances that were comprised of secured residential whole loans or small balance commercial loans contributed to securitization trusts. These securities were issued as a result of the unconsolidated securitizations where the Company retained bonds from the issuances of AOMT 2019-2, AOMT 2019-4, AOMT 2019-6, AOMT 2020-3, and AOMT 2020-SBC1. The Company determined that it was not then and is not now the primary beneficiary of any of these entities, as no primary beneficiary was identified in the assessment of primary beneficiary determination, and thus has not consolidated the operating results or statements of financial position of any of these entities. The Company performs ongoing reassessments of all VIEs in which the Company has participated since its inception as to whether changes in the facts and circumstances regarding the Company’s involvement with a VIE would cause the Company’s consolidation conclusion to change, and the Company’s assessment of the VIEs in which the Company participated during the years 2019 and 2020 remains unchanged. In the securitizations issued prior to 2021, the Company generally retained investments in subordinated or interest-only tranches of RMBS and CMBS, which involve greater credit risk than the senior classes of the securitizations’ issue or series. Certain subordinated securities absorb all losses from any defaults before any other class of securities is at risk, particularly if such securities have been issued with little or no credit enhancement; meaning that the ultimate risk relating to these retained investments would be the total amount of the bond. The securities received in the aforementioned 2019 and 2020 securitization transactions are included in “RMBS - at fair value” and “CMBS - at fair value” on the consolidated balance sheets as of December 31, 2022 and 2021, and details on the accounting treatment and fair value methodology of the securities can be found in Note 11, Fair Value Measurements . See Note 6, Investment Securities , for the fair value of AOMT securities held by the Company as of December 31, 2022 and 2021 that were retained by the Company as a result of the securitization transactions in 2020 and 2019. |
Residential Mortgage Loans
Residential Mortgage Loans | 12 Months Ended |
Dec. 31, 2022 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Residential Mortgage Loans | Residential Mortgage Loans Residential mortgage loans are measured at fair value. The following table sets forth the cost, fair value, weighted average interest rate, and weighted average remaining maturity of the Company’s residential mortgage loan portfolio as of December 31, 2022 and 2021: As of: December 31, 2022 December 31, 2021 ($ in thousands) Cost $ 886,661 $ 1,063,146 Unpaid principal balance $ 864,171 $ 1,022,461 Net premium on mortgage loans purchased 22,489 40,685 Change in fair value (115,678) (1,234) Fair value $ 770,982 $ 1,061,912 Weighted average interest rate 4.80 % 4.49 % Weighted average remaining maturity (years) 30 30 During the year ended December 31, 2022, the Company sold, on a servicing released basis, residential mortgage loans with a gross weighted average coupon of approximately 4.5%, and a cost basis of approximately $315.6 million. The purchase price for the mortgage loans acquired by the buyer was $252.7 million, and in conjunction with the sale, we repaid $221.2 million of warehouse financing debt. The following table sets forth data regarding the number of consumer mortgage loans secured by residential real property 90 or more days past due and also those in formal foreclosure proceedings, and the recorded investment and unpaid principal balance of such loans as of December 31, 2022 and 2021: As of: December 31, 2022 December 31, 2021 ($ in thousands) Number of mortgage loans 90 or more days past due 11 8 Recorded investment in mortgage loans 90 or more days past due $ 7,230 $ 3,241 Unpaid principal balance of loans 90 or more days past due $ 7,043 $ 3,100 Number of mortgage loans in foreclosure 2 7 Recorded investment in mortgage loans in foreclosure $ 820 $ 2,125 Unpaid principal balance of loans in foreclosure $ 849 $ 2,113 Commercial mortgage loans are measured at fair value. The following table sets forth the cost, fair value, weighted average interest rate, and weighted average remaining maturity of the Company’s commercial mortgage loan portfolio as of December 31, 2022 and 2021: As of: December 31, 2022 December 31, 2021 ($ in thousands) Cost $ 9,928 $ 18,641 Unpaid principal balance $ 9,928 $ 18,698 Net discount on mortgage loans purchased — (51) Change in fair value (470) 17 Fair value $ 9,458 $ 18,664 Weighted average interest rate 7.03 % 6.25 % Weighted average remaining maturity (years) 8 8 There were no commercial mortgage loans more than 90 days overdue as of December 31, 2022, and there was one commercial mortgage loan more than 90 days overdue as of December 31, 2021 which loan was also in foreclosure. Subsequent to December 31, 2021, the commercial mortgage loan that had been more than 90 days overdue and in foreclosure as of December 31, 2021 was sold to a third party. During the year ended December 31, 2022, the Company sold commercial loans with an unpaid principal balance of $11.2 million and market value of $10.5 million for cash proceeds of $11.0 million. |
Commercial Mortgage Loans
Commercial Mortgage Loans | 12 Months Ended |
Dec. 31, 2022 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Commercial Mortgage Loans | Residential Mortgage Loans Residential mortgage loans are measured at fair value. The following table sets forth the cost, fair value, weighted average interest rate, and weighted average remaining maturity of the Company’s residential mortgage loan portfolio as of December 31, 2022 and 2021: As of: December 31, 2022 December 31, 2021 ($ in thousands) Cost $ 886,661 $ 1,063,146 Unpaid principal balance $ 864,171 $ 1,022,461 Net premium on mortgage loans purchased 22,489 40,685 Change in fair value (115,678) (1,234) Fair value $ 770,982 $ 1,061,912 Weighted average interest rate 4.80 % 4.49 % Weighted average remaining maturity (years) 30 30 During the year ended December 31, 2022, the Company sold, on a servicing released basis, residential mortgage loans with a gross weighted average coupon of approximately 4.5%, and a cost basis of approximately $315.6 million. The purchase price for the mortgage loans acquired by the buyer was $252.7 million, and in conjunction with the sale, we repaid $221.2 million of warehouse financing debt. The following table sets forth data regarding the number of consumer mortgage loans secured by residential real property 90 or more days past due and also those in formal foreclosure proceedings, and the recorded investment and unpaid principal balance of such loans as of December 31, 2022 and 2021: As of: December 31, 2022 December 31, 2021 ($ in thousands) Number of mortgage loans 90 or more days past due 11 8 Recorded investment in mortgage loans 90 or more days past due $ 7,230 $ 3,241 Unpaid principal balance of loans 90 or more days past due $ 7,043 $ 3,100 Number of mortgage loans in foreclosure 2 7 Recorded investment in mortgage loans in foreclosure $ 820 $ 2,125 Unpaid principal balance of loans in foreclosure $ 849 $ 2,113 Commercial mortgage loans are measured at fair value. The following table sets forth the cost, fair value, weighted average interest rate, and weighted average remaining maturity of the Company’s commercial mortgage loan portfolio as of December 31, 2022 and 2021: As of: December 31, 2022 December 31, 2021 ($ in thousands) Cost $ 9,928 $ 18,641 Unpaid principal balance $ 9,928 $ 18,698 Net discount on mortgage loans purchased — (51) Change in fair value (470) 17 Fair value $ 9,458 $ 18,664 Weighted average interest rate 7.03 % 6.25 % Weighted average remaining maturity (years) 8 8 There were no commercial mortgage loans more than 90 days overdue as of December 31, 2022, and there was one commercial mortgage loan more than 90 days overdue as of December 31, 2021 which loan was also in foreclosure. Subsequent to December 31, 2021, the commercial mortgage loan that had been more than 90 days overdue and in foreclosure as of December 31, 2021 was sold to a third party. During the year ended December 31, 2022, the Company sold commercial loans with an unpaid principal balance of $11.2 million and market value of $10.5 million for cash proceeds of $11.0 million. |
Investment Securities
Investment Securities | 12 Months Ended |
Dec. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Securities | Investment Securities As of December 31, 2022 Investment Securities were comprised of non‑agency RMBS and Freddie Mac and Fannie Mae “whole pool agency RMBS” (together, “RMBS”), and CMBS as presented in the consolidated balance sheet. As of December 31, 2021, Investment Securities were comprised of RMBS, CMBS, and U.S. Treasury Securities in the consolidated balance sheet. The U.S. Treasury Securities held by the Company as of December 31, 2021 matured on January 6, 2022. The Company recognized an immaterial amount of accretion from its holdings of U.S. Treasury Securities during each of the years ended December 31, 2022 and 2021. The following table sets forth a summary of RMBS and CMBS at cost as of December 31, 2022 and 2021: December 31, 2022 December 31, 2021 (in thousands) RMBS $ 1,075,944 $ 482,824 CMBS $ 6,329 $ 10,875 The following table sets forth certain information about the Company’s investment in RMBS and CMBS as of December 31, 2022: December 31, 2022 Real Estate Securities at Fair Value Repurchase Debt (2) Allocated Capital (in thousands) AOMT RMBS (1) Mezzanine $ 1,958 $ (1,470) $ 488 Subordinate 49,578 (24,982) 24,596 Interest Only/Excess 10,424 (1,506) 8,918 Retained RMBS in VIEs (2) — (24,586) (24,586) Total AOMT RMBS $ 61,960 $ (52,544) $ 9,416 Whole Pool Agency RMBS (3) Fannie Mae $ 501,458 $ — $ 501,458 Freddie Mac 491,920 — 491,920 Whole Pool Total Agency RMBS $ 993,378 $ — $ 993,378 Total RMBS $ 1,055,338 $ (52,544) $ 1,002,794 AOMT CMBS Subordinate $ 2,901 $ — $ 2,901 Interest Only/Excess 3,210 — 3,210 Total AOMT CMBS $ 6,111 $ — $ 6,111 (1) AOMT RMBS held as of December 31, 2022 included both retained tranches of AOMT securitizations in which the Company participated and additional AOMT securities purchased in secondary market transactions. (2) A portion of repurchase debt includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs). These bonds, with a fair value of $110.5 million, are not reflected in the consolidated balance sheets, as the Company reflects the assets of the VIE (residential mortgage loans in securitization trusts - at fair value) on its consolidated balance sheets. (3) The whole pool RMBS presented as of December 31, 2022 were purchased from a broker to whom the Company owes approximately $1.01 billion, payable upon the settlement date of the trade. See Note 8 - Due to Broker . The following table sets forth certain information about the Company’s investment in RMBS and CMBS as of December 31, 2021: December 31, 2021 Real Estate Securities at Fair Value Repurchase Debt Allocated Capital (in thousands) AOMT RMBS (1) Senior $ 3,076 $ (4,089) $ (1,013) Mezzanine 2,178 (1,631) 547 Subordinate 80,058 — 80,058 Interest Only/Excess 15,052 — 15,052 Total AOMT RMBS $ 100,364 $ (5,720) $ 94,644 Other Non-Agency RMBS Subordinate $ 10,292 $ — $ 10,292 Interest Only/Excess 2,923 — 2,923 Total Other Non-Agency RMBS $ 13,215 $ — $ 13,215 Whole Pool Agency RMBS Fannie Mae $ 281,225 $ (267,286) $ 13,939 Freddie Mac 90,830 (87,495) 3,335 Whole Pool Total Agency RMBS $ 372,055 $ (354,781) $ 17,274 Total RMBS $ 485,634 $ (360,501) $ 125,133 AOMT CMBS Subordinate $ 7,993 $ — $ 7,993 Interest Only/Excess 2,763 — 2,763 Total AOMT CMBS $ 10,756 $ — $ 10,756 (1) AOMT RMBS held as of December 31, 2021 included both retained tranches of AOMT securitizations in which the Company participated and additional AOMT securities purchased in secondary market transactions. The Company did not hold any U.S. Treasury Securities as of December 31, 2022. The following table sets forth certain information about the Company’s investment in U.S. Treasury Securities as of December 31, 2021: Date Face Value Unamortized Discount, net Amortized Cost (1) Unrealized Loss Fair Value Net Effective Yield ($ in thousands) December 31, 2021 $ 250,000 $ — $ 250,000 $ (1) $ 249,999 2.30 basis points (1) Cost and amortized cost of U.S. Treasury Securities is substantially equal, due to the short length of time until maturity on these financial instruments. |
Notes Payable
Notes Payable | 12 Months Ended |
Dec. 31, 2022 | |
Notes Payable [Abstract] | |
Notes Payable | Notes PayableThe Company has the ability to finance residential and commercial whole loans, utilizing lines of credit (notes payable) from various counterparties, as further described below. Outstanding borrowings bear interest at floating rates depending on the lending counterparty, the collateral pledged, and the rate in effect for each interest period, as the same may change from time to time at the end of each interest period. Some loans include upfront fees, fees on unused balances, covenants and concentration limits on types of collateral pledged; all vary based on the counterparty. Occasionally, a lender may require certain margin collateral to be posted on a warehouse line of credit. Restricted cash as of December 31, 2022 included $5.6 million in margin collateral required by certain lenders, as further described below, the majority of which was released in full subsequent to December 31, 2022. There was no such margin collateral required as of December 31, 2021. The following table sets forth the details of all the lines of credit available to the Company for whole loan purchases during the years ended December 31, 2022 and 2021, and the drawn amounts as of December 31, 2022 and 2021: Interest Rate Pricing Spread (A) Drawn Amount Line of Credit (Note Payable) Base Interest Rate December 31, 2022 December 31, 2021 ($ in thousands) Multinational Bank 1 (1) Average Daily SOFR 1.95% $ 352,038 N/A Multinational Bank 2 (2) 1 month SOFR 1.95% - 2.00% N/A $ 362,899 Global Investment Bank 1 (3) 1 month or 3 month SOFR 1.70% - 3.50% N/A 103,149 Global Investment Bank 2 (4) 1 month SOFR 2.20% - 3.45% — 231,981 Global Investment Bank 3 (5) Compound SOFR 2.80% (5) 119,137 109,283 Institutional Investors A and B (6) 1 month Term SOFR 3.50% 168,695 N/A Regional Bank 1 (7) 1 month SOFR 2.50% - 3.50% — 34,838 Regional Bank 2 (8) 1 month SOFR 2.41% N/A 11,258 Total $ 639,870 $ 853,408 (A) See below descriptions for timing of applicable transitions from LIBOR to the Secured Overnight Financing Rate (“SOFR”) as base interest rate and corresponding applicable definitions of “Term” and “Average” SOFR, and “SOFR base”. (1) On April 13, 2022, the Company and two of its subsidiaries entered into a master repurchase agreement with a multinational bank (“Multinational Bank 1”) through the execution of a master repurchase agreement between the Company as guarantor, and two of its subsidiaries, as sellers, and Multinational Bank 1 as buyer, with an original maximum facility limit of $340.0 million. Pursuant to the terms of the master repurchase agreement, the agreement may be renewed every six months for a maximum six month term. On August 4, 2022, the maximum line of credit under the facility with Multinational Bank 1 was increased by $260.0 million to a maximum facility limit of $600.0 million. As of December 31, 2022, the loan financing facility had been set to expire on January 26, 2023; however, on January 25, 2023 was extended through July 25, 2023 in accordance with the original terms of the agreement of six-month renewals (see Note 17 - Subsequent Events ). (2) This agreement expired by its terms on October 14, 2022, after being paid in full. (3) This agreement expired by its terms on October 5, 2022, after being paid in full. (4) On February 4, 2022, this facility was amended to extend the initial termination date of the master repurchase agreement from February 11, 2022 to February 2, 2024; remove any draw fees; and adjust the pricing rate whereby upon the Company’s or the subsidiary’s repurchase of a mortgage loan, the Company or such subsidiary is required to repay Global Investment Bank 2 the principal amount related to such mortgage loan plus accrued and unpaid interest at a rate (determined based on the type of loan) equal to the sum of (A) the greater of (i) —% and (ii) Term SOFR and (B) a pricing spread generally ranging from 2.20% to 3.45%. Prior to February 4, 2022, interest was based on 1-month LIBOR plus a pricing spread of 2.00% - 3.25%. (5) On March 2, 2022, the agreement was extended to terminate on March 5, 2023, unless terminated earlier pursuant to the terms of the agreement. On January 1, 2022, the agreement was amended to replace a LIBOR-based index rate with a SOFR-based index rate plus a pricing spread equal to 20 basis points, plus the prior pricing spread. Prior to January 1, 2022, interest was based on 3-month LIBOR plus a pricing spread of 2.25%. On December 19, 2022, the facility was amended to increase the facility limit up to $286.0 million by adding a static pool of additional mortgage loans to the facility and extended the termination date to December 19, 2023; however, it did not extend the revolving period, which ended on December 19, 2022. The interest rate pricing spread was also amended to 2.80% for the first three months following the amendment date, which will increase by an additional 50 basis points every three months thereafter. Additionally, the amendment generally removed “mark to market” provisions from the previous agreement, and requires an economic interest rate hedging account (“interest rate futures account”) to be maintained to the reasonable satisfaction of Global Investment Bank 3, which account is for its benefit and under its sole control. The Company held restricted cash pertaining to Global Investment Bank 3’s interest rate futures account included in “restricted cash” of approximately $1.7 million on the Company’s consolidated balance sheet as of December 31, 2022. (6) On October 4, 2022, Company and a subsidiary entered into two separate master repurchase facilities with two affiliates of an institutional investor (“Institutional Investors A and B”) regarding a specific pool of whole loans with financing of approximately $168.7 million on approximately $239.3 million of unpaid principal balance. The master repurchase agreements were set to expire on January 4, 2023, with a one-time three month extension period option. The Company subsequently repaid this financing facility in full on January 4, 2023. The Company held restricted cash pertaining to this lender’s cash collateral requirements included in “restricted cash” of approximately $3.8 million on the Company’s consolidated balance sheet as of December 31, 2022, which was released on January 4, 2023. (7) On March 7, 2022, the agreement was amended to terminate on March 16, 2023, unless terminated earlier pursuant to the terms of the agreement. Additionally, the amendment increased the aggregate purchase price limit to $75.0 million from $50.0 million, and beginning March 8, 2022, provided that interest will accrue on any new transactions under the loan financing line at a rate based on Term SOFR plus an additional pricing spread. Prior to March 7, 2022, interest was based on 1-month LIBOR plus a spread of 2.50% - 3.13%. (8) This agreement was paid in full on December 15, 2022 and voluntarily terminated by the Company. The following table sets forth the total unused borrowing capacity of each financing line as of December 31, 2022: Line of Credit (Note Payable) Borrowing Capacity Balance Outstanding Available Financing (in thousands) Multinational Bank 1 (1) $ 600,000 $ 352,038 $ 247,962 Global Investment Bank 2 (1) 250,000 — 250,000 Global Investment Bank 3 (2) 119,137 119,137 — Institutional Investors A and B (2) 168,695 168,695 — Regional Bank 1 (1) 75,000 — 75,000 Total $ 1,212,832 $ 639,870 $ 572,962 (1) Although available financing is uncommitted, the Company’s unused borrowing capacity is available if it has eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements. (2) As of December 31, 2022, these financing facilities had no unused borrowing capacity as the outstanding borrowings were based on static pools of mortgage loans. |
Securities Sold Under Agreement
Securities Sold Under Agreements to Repurchase | 12 Months Ended |
Dec. 31, 2022 | |
Banking and Thrift, Interest [Abstract] | |
Securities Sold Under Agreements to Repurchase | Securities Sold Under Agreements to RepurchaseTransactions involving securities sold under agreements to repurchase are treated as collateralized financial transactions, and are recorded at their contracted repurchase amounts. Margin (if required) for securities sold under agreements to repurchase represents margin collateral amounts held to ensure that the Company has sufficient coverage for securities sold under agreements to repurchase in case of adverse price changes. As of December 31, 2022 and 2021, there was approximately $3.9 million and $4.9 million, respectively, held as margin cash collateral for repurchase agreements recorded in “restricted cash” on the consolidated balance sheets. The following table summarizes certain characteristics of the Company’s repurchase agreements as of December 31, 2022 and 2021: December 31, 2022 Repurchase Agreements Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity (Days) ($ in thousands) RMBS (1) $ 52,544 6.07 % 13 Total $ 52,544 6.07 % 13 December 31, 2021 Repurchase Agreements Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity (Days) ($ in thousands) U.S Treasury Securities $ 248,750 0.12 % 6 RMBS 360,501 0.16 % 18 Total $ 609,251 0.15 % 13 (1) A portion of repurchase debt outstanding as of December 31, 2022 includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs). See Note 6 - Investment Securities . |
Due to Broker
Due to Broker | 12 Months Ended |
Dec. 31, 2022 | |
Broker-Dealer [Abstract] | |
Due to Broker | Due to Broker The “Due to broker” account on the consolidated balance sheet as of December 31, 2022 in the amount of $1.01 billion relates to the purchase of whole pool RMBS at quarter-end in the fourth quarter of 2022. Purchases are accounted for on a trade date basis; and, at times, there may be a timing difference between the trade date and the settlement date of a trade. The trade date of this purchase was prior to December 31, 2022. For the year ended December 31, 2022, this transaction is excluded from the consolidated statement of cash flows as it is a noncash transaction. The cash for these whole pool RMBS settled on January 13, 2023, at which time these assets were simultaneously sold. There were no such amounts due as of December 31, 2021. |
Derivative Financial Instrument
Derivative Financial Instruments | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Financial Instruments | Derivative Financial Instruments In the normal course of business, the Company enters into derivative financial instruments to manage its exposure to market risk, including interest rate risk and prepayment risk on its residential whole loans at fair value. The derivatives in which the Company invests, and the market risk that the economic hedge is intended to mitigate, are further discussed below. Restricted cash as of December 31, 2022 and 2021 included approximately $1.1 million and $4.3 million in interest rate futures margin collateral, respectively; and zero and approximately $2.3 million in TBA margin collateral, respectively. The Company uses interest rate futures as economic hedges to hedge a portion of its interest rate risk exposure. Interest rate risk is sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations, as well as other factors. The Company’s credit risk with respect to economic hedges is the risk of default on its investments that result from a borrower’s or counterparty’s inability or unwillingness to make contractually required payments. The Company may at times hold TBAs in order to mitigate its interest rate risk on certain specified mortgage-backed securities. Amounts or obligations owed by or to the Company are subject to the right of set-off with the TBA counterparty. As part of executing these trades, the Company may enter into agreements with its TBA counterparties that govern the transactions for the TBA purchases or sales made, including margin maintenance, payment and transfer, events of default, settlements, and various other provisions. Changes in the value of derivatives designed to protect against mortgage-backed securities fair value fluctuations, or economic hedging gains and losses, are reflected in the tables below. All realized and unrealized gains and losses on derivative contracts are recognized in earnings, in “net realized loss on mortgage loans, derivative contracts, RMBS, and CMBS” for realized losses, and “net unrealized loss on mortgage loans, debt at fair value option, and derivative contracts” for unrealized gains and losses. The Company considers the notional amounts, categorized by primary underlying risk, to be representative of the volume of its derivative activities. The following table sets forth the derivative instruments presented on the consolidated balance sheets and notional amounts as of December 31, 2022 and 2021: Notional Amounts As of: Derivatives Not Designated as Hedging Instruments Number of Contracts Assets Liabilities Long Exposure Short Exposure ($ in thousands) December 31, 2022 Interest rate futures 4,928 $ 2,211 $ — $ — $ 492,800 December 31, 2022 TBAs N/A $ 12,545 $ — $ — $ 1,041,700 December 31, 2021 Interest rate futures 10,438 $ — $ (728) $ — $ 1,043,800 December 31, 2021 TBAs N/A $ 2,428 $ — $ — $ 523,938 The gains and losses arising from these derivative instruments in the consolidated statements of operations and comprehensive income (loss) for the years ended December 31, 2022, and 2021 are set forth as follows: As of: Derivatives Not Designated as Hedging Instruments Net Realized Gains (Losses) on Derivative Instruments Net Change in Unrealized Appreciation (Depreciation) on Derivative Instruments (in thousands) December 31, 2022 Interest rate futures $ 67,767 $ 2,939 December 31, 2022 TBAs $ 7,295 $ 10,117 December 31, 2021 Interest rate futures $ 13,253 $ (530) December 31, 2021 TBAs $ (3,691) $ 2,428 |
Fair Value Measurements
Fair Value Measurements | 12 Months Ended |
Dec. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Fair Value Measurements Definition and Hierarchy Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability. Inputs may be observable or unobservable: • Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. • Unobservable inputs are inputs that reflect the reporting entity’s own assumptions. A fair value hierarchy for inputs is implemented in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs are used when available. The availability of valuation techniques and the ability to attain observable inputs can vary from investment to investment and are affected by a wide variety of factors, including the type of investment, whether the investment is newly issued and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the transaction. The fair value hierarchy is categorized into three broad levels based on the inputs as follows: Level 1 - Valuations based on unadjusted, quoted prices in active markets for identical assets and liabilities. Level 2 - Valuations based on quoted prices in an inactive market, or whose values are based on models - but the inputs to those models are observable either directly or indirectly for substantially the full term of the assets and liabilities. Level 2 inputs include the following: a) Quoted prices for similar assets and liabilities in active markets (e.g. restricted stock); b) Quoted prices for identical or similar assets and liabilities in non‑active markets (e.g. corporate and municipal bonds); c) Pricing models whose inputs are observable for substantially the full term of the assets and liabilities (e.g. over‑the‑counter derivatives); and d) Pricing models whose inputs are derived principally from or corroborated by observable market data through correlation or other means for substantially the full term of the asset or liability, (e.g. residential and commercial mortgage‑related assets, including whole loans securities and derivatives). Level 3 - Valuations based on inputs that are unobservable and significant to the overall fair value measurement. Valuation of these assets is typically based on the Company’s Manager’s own assumptions or expectations based on the best information available. The degree of judgment exercised by the Company’s Manager in determining fair value is greatest for investments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the actual level is determined based on the level of inputs that is most significant to the fair value measurement in its entirety. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the investments existed. Accordingly, the degree of judgment exercised by the Company’s Manager in determining fair value is greatest for investments categorized in Level 3. Transfers, if any, between levels are determined by the Company on the first day of the reporting period. Valuation Techniques and Inputs Following are descriptions of the valuation methodologies used to measure the Company’s assets and liabilities measured at fair value: Investment Securities - U.S. Government and Agency Securities (“U.S. Treasury Securities” and “Agency whole pool loan securities”) are valued based on unadjusted, quoted prices for identical assets or liabilities in an active market. These securities are generally categorized as Level 1 securities. Futures Contracts - Futures contracts that are traded on an exchange are valued at their last reported sales price as of the valuation date. Listed futures contracts are categorized in Level 1 of the fair value hierarchy. Non‑Agency Residential Mortgage‑Backed Securities (“Non‑Agency”) - Non‑Agencies consist of investments in collateralized mortgage obligations. The Company utilizes Price Serve , Bank of America’s independent fixed income pricing service, as the primary valuation source for the investments. Price Serve obtains its price quotes from actual sales or quotes for sale of the same or similar securities and/or provides model‑based valuations that consider inputs derived from recent market activity including default rates, conditional prepayment rates, loss severity, expected yield to maturity, baseline Discount Margin/Yield, recovery assumptions, tranche type, collateral coupon, age and loan size and other inputs specific to each security. These quotes are most reflective of the price that would be achieved if the security was sold to an independent third party on the date of the consolidated financial statements. Non‑Agencies are categorized in Level 2 of the fair value hierarchy. Commercial Mortgage Loans - Commercial mortgage loans are recognized at fair value. The fair value of commercial mortgage loans at fair value is predominately based on trading activity observed in the marketplace, provided by a third‑party pricing service. The pricing service obtains comparative pricing from banks, brokers, hedge funds, REITs and from its own brokerage business. The pricing service also maintains a spread matrix created from trading levels observed in the secondary market and from indications of holding values in client investments. The spreads are meant to depict the required spread demanded by investors in the current environment. The performing commercial mortgage loans are generally categorized as Level 2 securities in the fair value hierarchy, while non-performing loans are categorized as Level 3 given their limited marketability and availability of observable valuation inputs. Residential Mortgage Loans (including Residential Mortgage Loans in Securitization Trusts) - The Company recognizes residential mortgage loans at fair value. The fair value of the residential mortgage loans is predominantly based on trading activity observed in the marketplace, provided by a third‑party pricing service. The third‑party pricing service obtains comparative pricing from banks, brokers, hedge funds, REITs and from its own brokerage business. The third‑party pricing service also maintains a spread matrix created from trading levels observed in the secondary market and from indications of holding values in client investments. The spreads are meant to depict the required spread demanded by investors in the current environment. The matrix is segregated by loan structure type (hybrid arm, fixed rate, home equity line of credit, second lien, pay option arm, etc.), delinquency status, and loan to value strata. Significant matrix inputs are analyzed at the loan level. The performing residential mortgage loans are categorized as Level 2 in the fair value hierarchy, while non‑performing loans are categorized as Level 3 given their limited marketability and availability of observable valuation inputs. Both Level 2 and Level 3 loans matrix inputs include collateral behavioral models including prepayment rates, default rates, loss severity, and discount rates. Non-recourse securitization obligations, collateralized by residential mortgage loans - The portion of this obligation for which we have elected the fair value option uses the prices of the underlying bonds securing the related residential mortgage loans in securitization trusts to determine fair value. The Company utilizes PriceServe, Bank of America’s independent fixed income pricing service, as the primary valuation source for these bonds. PriceServe obtains its price quotes from actual sales or quotes for sale of the same or similar securities and/or provides model‑based valuations that consider inputs derived from recent market activity including default rates, conditional prepayment rates, loss severity, expected yield to maturity, baseline discount margin/yield, recovery assumptions, tranche type, collateral coupon, age and loan size, and other inputs specific to each security. We believe that these quotes are most reflective of the price that would be achieved if the bonds were sold to an independent third party on the date of the consolidated financial statements. The portion of this liability for which we have elected the fair value option is categorized as Level 2 in the fair value hierarchy. Other assets and liabilities - The fair value of cash, restricted cash, principal and interest receivable, deferred tax assets and liabilities, other assets (principally consisting of prepaid assets), notes payable, securities sold under obligation to repurchase, amounts due to broker and accrued expenses (including those payable to an affiliate and management fees payable to an affiliate), and interest payable approximate their carrying values due to the nature of these assets and liabilities. Valuation Processes The Company’s Manager establishes valuation processes and procedures to ensure that the valuation techniques are fair and consistent, and valuation inputs are verifiable. The valuation committee of the Company’s Manager (the “Committee”) oversees the valuation process of the Company’s investments. The Committee is comprised of various personnel of the Company’s Manager, including those that are separate from the Company’s portfolio management and trading functions. The Committee is responsible for developing the Company’s written valuation processes and procedures, conducting periodic reviews of the valuation policies, and evaluating the overall fairness and consistent application of the valuation policies. The Committee meets on a monthly basis, or more frequently as needed, to review the valuations of the Company’s investments. If a security does not have a pricing source which is available or reliable, the Company’s Manager considers all appropriate factors relevant to determine the fair value of the security. Valuations determined by the Company’s Manager are required to be supported by market data, third‑party pricing sources, and industry accepted pricing models. The following table sets forth information about the Company’s financial assets measured at fair value as of December 31, 2022: Level 1 Level 2 Level 3 Total (in thousands) Assets, at fair value Residential mortgage loans $ — $ 763,786 $ 7,196 $ 770,982 Residential mortgage loans in securitization trusts — 1,018,686 8,756 1,027,442 Commercial mortgage loans — 9,458 — 9,458 Investments in securities Non-Agency RMBS (1) — 61,960 — 61,960 Agency whole pool loan securities — 993,378 — 993,378 AOMT CMBS (1) — 6,111 — 6,111 Unrealized appreciation on futures contracts 2,211 — — 2,211 Unrealized appreciation on TBAs 12,545 — — 12,545 Total assets, at fair value $ 14,756 $ 2,853,379 $ 15,952 $ 2,884,087 Liabilities, at fair value Non-recourse securitization obligation, collateralized by residential mortgage loans (2) $ — $ 530,560 $ — $ 530,560 Total liabilities, at fair value $ — $ 530,560 $ — $ 530,560 (1) Non‑Agency RMBS held as of December 31, 2022 included both retained tranches of AOMT securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions. All AOMT CMBS held as of December 31, 2022 was comprised of a small-balance commercial loan securitization issuance in which the Company participated. (2) Only the portion subject to fair value measurement, as adjusted for fair value, is presented above. See below for the disclosure of the full debt at fair value. All unrealized gains and losses arising from valuation changes in residential and commercial mortgage loans, TBAs, and futures contracts are recognized in net income for the periods presented. Transfers from Level 2 to Level 3 were comprised of residential loans more than 90 days overdue (including those in foreclosure) and commercial mortgage loans in special servicing or otherwise considered “non‑performing” by the Company’s third‑party valuation providers. Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place. Transfers between Level 2 and Level 3 were immaterial for the year ended December 31, 2022. We use third‑party valuation firms who utilize proprietary methodologies to value our residential and commercial loans. These firms generally use both market comparable information and discounted cash flow modeling techniques to determine the fair value of our Level 3 assets. Use of these techniques requires determination of relevant input and assumptions, some of which represent significant unobservable inputs such as anticipated credit losses, prepayment rates, default rates, or other valuation assumptions. Accordingly, a significant increase or decrease in any of these inputs in isolation may result in a significantly lower or higher fair value measurement. The following table sets forth information regarding the Company’s significant Level 3 inputs as of December 31, 2022: Input Values Asset Fair Value Unobservable Input Range Average Residential mortgage loans, at fair value $ 7,196 Prepayment rate (annual CPR) 4.92% - 14.99% 9.39% Default rate 4.56% - 24.36% 11.43% Loss severity (0.25)% - 12.54% 7.84% Expected remaining life 0.62 - 3.43 years 2.75 years Residential mortgage loans in securitization trust, at fair value $ 8,756 Prepayment rate (annual CPR) 3.24% - 14.55% 7.84% Default rate 7.42% - 35.78% 19.07% Loss severity —% - 10.00% 9.23% Expected remaining life 1.42 - 3.72 years 2.32 years Assets and Liabilities Held at Amortized Cost - Fair Value Disclosure Portion of Non-Recourse Securitization Obligations, Collateralized by Residential Mortgage Loans - Held at Amortized Cost To determine the fair value of the Company’s non-recourse securitization obligations, collateralized by residential mortgage loans, net, held at amortized cost, the Company uses the same method of valuation as described previously in the discussion of Valuation Techniques and Inputs for both the portion of the obligation measured at fair value and the portion of the obligation held at amortized cost, for which fair value is disclosed, as below. As of December 31, 2022, the total amortized cost basis and fair value of our non-recourse securitization obligations was $1.1 billion and $914.3 million, respectively, a difference of approximately $170.9 million (which includes AOMT 2022-1 and AOMT 2022-4, which are marked to fair value; and AOMT 2021-7, and AOMT 2021-4, which are carried at amortized cost, as the fair value option was not elected at the time of the creation of these obligations). The difference between the amortized cost and fair value solely attributable to AOMT 2021-4 and 2021-7 is approximately $90.3 million. The difference between the amortized cost basis value and the fair value is derived from the difference between the period-end market pricing of the underlying bonds, as referred to above, and the amortized cost of the obligation. The fair value of the non-recourse securitization debt is not indicative of the amounts at which we could settle this debt. The following table sets forth information about the Company’s financial assets and liabilities measured at fair value as of December 31, 2021 (1) : Level 1 Level 2 Level 3 Total (in thousands) Assets, at fair value Residential mortgage loans $ — $ 1,056,875 $ 5,037 $ 1,061,912 Residential mortgage loans in securitization trusts — 665,802 1,563 667,365 Commercial mortgage loans — 18,145 519 18,664 Investments in securities Non-Agency RMBS (1) — 113,579 — 113,579 Agency whole pool loan securities — 372,055 — 372,055 AOMT CMBS (1) — 10,756 — 10,756 U.S. Treasury Securities 249,999 — — 249,999 Unrealized appreciation on TBAs 2,428 — — 2,428 Total assets, at fair value $ 252,427 $ 2,237,212 $ 7,119 $ 2,496,758 Liabilities, at fair value Unrealized depreciation on futures contracts $ 728 $ — $ — $ 728 Total liabilities, at fair value $ 728 $ — $ — $ 728 (1) Non‑Agency RMBS held as of December 31, 2021 included both retained tranches of AOMT securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions. All AOMT CMBS held as of December 31, 2021 was comprised of a small-balance commercial loan securitization issuance in which the Company participated. All unrealized gains and losses arising from valuation changes in residential and commercial mortgage loans, TBAs, and futures contracts are recognized in net income for the periods presented. Transfers from Level 2 to Level 3 were comprised of residential loans more than 90 days overdue (including those in foreclosure) and commercial mortgage loans in special servicing or otherwise considered “non‑performing” by the Company’s third‑party valuation providers. Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place. Transfers between Level 2 and Level 3 were immaterial for the year ended December 31, 2021. We use third‑party valuation firms who utilize proprietary methodologies to value our residential and commercial loans. These firms generally use both market comparable information and discounted cash flow modeling techniques to determine the fair value of our Level 3 assets. Use of these techniques requires determination of relevant input and assumptions, some of which represent significant unobservable inputs such as anticipated credit losses, prepayment rates, default rates, or other valuation assumptions. Accordingly, a significant increase or decrease in any of these inputs in isolation may result in a significantly lower or higher fair value measurement. The following table sets forth information regarding the Company’s significant Level 3 inputs as of December 31, 2021: Input Values Asset Fair Value Unobservable Input Range Average Residential mortgage loans, at fair value $ 5,037 Prepayment rate (annual CPR) —% - 20.85% 6.89% Default rate —% - 37.32% 13.05% Loss severity (20.31)% - 36.35% 0.89% Expected remaining life 0.04 - 2.75 years 1.72 years Residential mortgage loans in securitization trust, at fair value $ 1,563 Prepayment rate (annual CPR) —% - 20.85% 6.89% Default rate —% - 37.32% 13.05% Loss severity (20.31)% - 36.35% 0.89% Expected remaining life 0.04 - 2.75 years 1.72 years Commercial mortgage loans, at fair value $ 519 Loss severity (25.00)% (25.00)% Sale or Liquidation timeline 39 - 50 months 39 - 50 months |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2022 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes The Company has elected to be taxed as a REIT commencing with its taxable year ended December 31, 2019. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes its REIT taxable income to stockholders and does not engage in prohibited transactions (as further described below). Income tax (benefit) items arise at the Company’s TRS level. Certain sales by the group consisting of the Company and its subsidiaries may give rise to gain that could be treated as derived from “prohibited transactions” if carried out by the Company directly. Such transactions involve the purchase of residential mortgage loans and the subsequent sale of those mortgage loans or interests therein through the secondary whole loan market or the securitization markets. The Company has designated AOMR TRS to conduct such transactions rather than Angel Oak Mortgage REIT, Inc. The Company files separate U.S. federal and state corporate income tax returns for Angel Oak Mortgage REIT, Inc. and AOMR TRS. AOMR TRS is taxed as a standalone U.S. C‑corporation on all of its separately computed taxable income. The Company’s federal income tax returns for 2019 and forward are subject to examination. The Company’s state income tax returns are generally subject to examination for 2019 and forward. The following table sets forth the income tax provision (benefit) as recorded in the Company’s consolidated statements of comprehensive income (loss) for the years ended December 31, 2022 and 2021: December 31, 2022 December 31, 2021 (in thousands) Current Federal $ — $ 1,249 State — 351 Total current income tax expense — 1,600 Deferred Federal (2,691) — State (766) — Total deferred income tax expense (benefit) (3,457) — Total income tax expense (benefit) $ (3,457) $ 1,600 Deferred Tax Assets (“DTAs”) and Assessing the Realizability of the Company’s DTAs Realization of the Company’s DTAs as of December 31, 2022, is dependent on many factors, including generating sufficient taxable income prior to the expiration of net operating loss (“NOL”) carryforwards (where applicable). The Company determines the extent to which realization of its deferred assets is not assured and establishes a valuation allowance accordingly. As the Company’s TRS incurred a NOL during the year ended December 31, 2022, the Company closely analyzed its estimate of the realizability of its net DTAs in whole and in part. The Company evaluates its DTAs each period to determine if a valuation allowance is required based on whether it is “more likely than not” that some portion of the DTAs would not be realized. This evaluation requires significant judgment, and changes to the Company’s assumptions could result in a material change in the valuation allowance. The ultimate realization of these DTAs is dependent upon the generation of sufficient taxable income during future periods. The Company conducts its evaluation by considering, among other things, all available positive and negative evidence, historical operating results and cumulative earnings analysis, forecasts of future profitability, and the duration of statutory carryforward periods. Based on this analysis, the Company continues to believe it is more likely than not that it will not fully realize its federal and state DTAs in future periods. Therefore, the Company has recorded a valuation allowance against the majority of its DTAs, as set forth in the table, below. The Company’s estimate of net DTAs could change in future periods to the extent that actual or revised estimates of future taxable income during the carryforward periods change from current expectations. The Company assessed its tax positions for all open tax years and concluded that it had no uncertain tax positions that resulted in material unrecognized tax benefits.The tax effects of temporary differences that give rise to significant portions of the net DTA recorded at the TRS entity as of December 31, 2022 are set forth in the following table (1) : December 31, 2022 (in thousands) DTA Net operating loss $ 41,583 Valuation allowance (38,126) Total DTA 3,457 (1) There was no DTA as of December 31, 2021. Reconciliation of Statutory Tax Rate to Effective Tax Rate The difference between the Company’s reported provision for income taxes and the U.S. federal statutory rate of 21% is set forth as follows for the years ended December 31, 2022 and 2021: December 31, 2022 December 31, 2021 Federal statutory rate (21.00) % 21.00 % State statutory rate, net of federal tax effect (5.98) % 4.49 % Change in valuation allowance 21.58 % — % Non-taxable REIT income 3.44 % (19.45) % Total provision (1.96) % 6.04 % |
Related Party Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2022 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Residential Mortgage Loan Purchases The Company has residential mortgage loan purchase agreements with various affiliates of the Company. The purchase price of the loans is generally equal to the outstanding principal of the mortgage, adjusted by a premium or discount, depending on market conditions. The Company purchases the mortgage loans on a servicing retained basis. The residential mortgage loans are on residences located in various states with a concentration in California and Florida. The following table sets forth certain financial information pertaining to whole loan activity purchased from affiliates during the years ended and as of December 31, 2022 and 2021: As of and for the Year Ended: Amount of Loans Purchased from Affiliates during the Year Number of Loans Purchased from Affiliates during the Year Number of Loans Purchased from Affiliates, Owned and Held at December 31 (1) : ($ in thousands) 2022 $ 567,324 1,141 845 2021 $ 909,442 1,959 754 (1) Excludes loans held in consolidated securitizations. Commercial Mortgage Loan Purchases The Company has commercial loan purchase agreements with various affiliates of the Company. The purchase price of the loans is generally equal to the outstanding principal of the mortgage, adjusted by a premium or discount, depending on market conditions. The commercial mortgage loans are mortgage loans on commercial properties, primarily multifamily and retail properties, located in various states with concentrations in Georgia, California, and Tennessee. The following table sets forth certain financial information pertaining to whole loan activity purchased from affiliates during the years ended and as of December 31, 2022 and 2021: As of and for the Year Ended: Amount of Loans Purchased from Affiliates during the Year Number of Loans Purchased from Affiliates during the Year Number of Loans Purchased from Affiliates Held at December 31: ($ in thousands) 2022 $ — — 4 2021 $ — — 5 Pre-IPO Management Fee A pre-IPO management agreement (the “Pre-IPO management agreement”) existed among the Company, its Manager, and Angel Oak Mortgage Fund, LP (“Angel Oak Mortgage Fund”), the Company’s sole common stockholder prior to the IPO. Per the Pre-IPO management agreement, on a quarterly basis in advance, the Company paid its Manager an aggregate, fixed management fee equal to 1.5% per annum of the total Actively Invested Capital (as defined in the Pre-IPO management agreement) of the limited partners in Angel Oak Mortgage Fund. The Pre-IPO management agreement terminated on June 20, 2021 in connection with the IPO. Post-IPO Management Fee On and after June 21, 2021, the post-IPO management agreement (the “Management Agreement”) took effect among the Company, the Operating Partnership, and its Manager. Per the Management Agreement, on a quarterly basis in arrears, the Company shall pay its Manager an aggregate, fixed management fee equal to 1.5% per annum of the Company’s Equity (as defined in the Management Agreement). Post-IPO Incentive Fee Under the Management Agreement, the Manager is also entitled to an incentive fee, which is calculated and payable in cash with respect to each calendar quarter (or part thereof that the Management Agreement is in effect) in arrears in an amount, not less than zero, equal to the excess of (1) the product of (a) 15% and (b) the excess of (i) the Company’s Distributable Earnings (as defined in the Management Agreement) for the previous 12-month period, over (ii) the product of (A) the Company’s Equity in the previous 12-month period, and (B) 8% per annum, over (2) the sum of any incentive fee earned by the Manager with respect to the first three calendar quarters of such previous 12-month period. To date, the incentive fee has not been earned. Operating Expense Reimbursements The Company is also required to pay the Manager reimbursements for certain general and administrative expenses pursuant to the Management Agreement. Accrued expenses payable to affiliate and operating expenses incurred with affiliate are substantially comprised of payroll reimbursements, which includes an executive severance expense accrual, as described below, to an affiliate of the Manager. On September 28, 2022, the Company’s Board of Directors appointed Mr. Sreeniwas Prabhu as the Company’s new Chief Executive Officer and President effective as of September 28, 2022. The Company does not expect to reimburse the Manager for compensation paid to Mr. Prabhu for his service with the Company. Mr. Prabhu is an equity owner of the Manager. Simultaneously with the appointment of Mr. Prabhu as the Company’s Chief Executive Officer and President, the Company’s previous Chief Executive Officer and President, Mr. Robert Williams, ceased serving as the Company’s Chief Executive Officer and President, effective September 28, 2022. Accordingly, the Company recorded a severance charge of approximately $1.4 million in connection with this event, in accordance with the Company’s Executive Severance and Change in Control Plan. This severance is expected to be paid in 2023. Contribution from Common Stockholder Prior to IPO The Company issued a distribution from additional paid‑in capital as a short‑term recallable return of capital to its common stockholder during the third quarter of 2020. This recallable return of capital was fully repaid to the Company in 2021 prior to the Company’s IPO. Transactions by Affiliates Regarding the Company’s IPO The Company’s IPO was completed on June 21, 2021. The Company’s Manager purchased $6.0 million in stock at the IPO price of $19.00 per share, which was delivered on June 21, 2021. Angel Oak Capital, an affiliate of the Company’s Manager, agreed to pay the underwriting discounts and commissions in connection with the IPO. Such underwriting discounts and commissions were $8.2 million. Angel Oak Capital also agreed to pay all of the Company’s expenses incurred in connection with the IPO. Such expenses were $4.4 million. |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and ContingenciesThe Company, from time to time, may be party to litigation relating to claims arising in the normal course of business. As of December 31, 2022, the Company was not aware of any legal claims that could materially impact its financial condition. As of December 31, 2022, the Company had no unfunded commitments. |
Equity and Earnings per Share (
Equity and Earnings per Share ("EPS") | 12 Months Ended |
Dec. 31, 2022 | |
Equity [Abstract] | |
Equity and Earnings per Share ("EPS") | Equity and Earnings per Share (“EPS”) In the calculations of basic and diluted earnings per common share for the years ended December 31, 2022 and 2021, the Company included participating securities, which are certain equity awards that have non-forfeitable dividend participation rights. Dividends and undistributed earnings allocated to participating securities under the basic and diluted earnings per share calculations require specific shares to be included that may differ in certain circumstances, and the Company determined that this difference was not material. For the year ended December 31, 2022, there were 269,524 outstanding restricted stock awards and 56,978 performance share units that were antidilutive and thus not included in the diluted weighted average common shares outstanding. For the year ended December 31, 2021, no equity awards were antidilutive. The following table sets forth the calculation of basic and diluted earnings per share for the year ended December 31, 2022 and 2021: December 31, 2022 December 31, 2021 (in thousands, except share and per share data) Basic Earnings per Common Share: Net income allocable to common stockholders $ (187,847) $ 21,098 Basic weighted average common shares outstanding 24,547,916 20,601,964 Basic earnings per common share $ (7.65) $ 1.02 Diluted Earnings per Common Share: Net income allocable to common stockholders $ (187,847) $ 21,098 Net effect of dilutive equity awards — 250,590 Diluted weighted average common shares outstanding 24,547,916 20,852,554 Diluted earnings per common share $ (7.65) $ 1.01 Preferred Stock On December 9, 2022, the Company redeemed its Series A preferred stock and cancelled the previously outstanding shares. The Company paid a redemption price to the preferred shareholders equivalent to the original purchase price per share (with no premium or discount) plus accrued dividends payable through the redemption date. |
Equity Compensation Plans
Equity Compensation Plans | 12 Months Ended |
Dec. 31, 2022 | |
Share-Based Payment Arrangement [Abstract] | |
Equity Compensation Plans | Equity Compensation Plans On June 21, 2021, the Company established its sole equity compensation plan, the 2021 Equity Incentive Plan (the “Plan”), with 2,125,000 shares initially available for grant. As of December 31, 2022, 1,465,967 shares of common stock were available for grant under the Plan, which shares available are reduced by a maximum of 56,978 shares of common stock that may be issued upon the achievement of certain performance conditions under outstanding performance share awards (as further described below) and 269,524 of time-based restricted stock awards that will vest upon the participants’ meeting the contractual service-related terms. Compensation expense for the years ended December 31, 2022 and 2021 related to these awards was approximately $5.8 million and $1.8 million, respectively. The unamortized compensation expense of the restricted stock awards issued under the Plan totaled approximately $3.3 million as of December 31, 2022. This cost will be recognized over a weighted average period of 1.7 years. Restrictions on the restricted stock awards outstanding lapse through July 1, 2026, as service conditions are completed and the awards vest accordingly. Holders of unvested restricted stock awards receive non-forfeitable dividends along with other common stockholders. Restricted Stock Awards The following table summarizes activity for our restricted stock awards during the years ended December 31, 2022 and 2021: Number of awards Weighted average grant date fair market value Outstanding as of December 31, 2020 — $ — Granted 473,684 19.00 Vested — — Forfeited (4,211) 19.00 Outstanding as of December 31, 2021 469,473 19.00 Granted 142,820 14.08 Vested (1) (331,376) 18.54 Forfeited (11,393) 15.80 Outstanding as of December 31, 2022 269,524 $ 17.09 (1) Includes the accelerated vesting of 155,937 shares in accordance with an executive severance event described in Note 13 - Related Party Transactions — Operating Expense Reimbursements. The expense associated with the accelerated stock vesting was approximately $2.6 million, and is included in stock compensation in the Company’s consolidated statements of operations and comprehensive income (loss). Performance Share Units Awarded On July 1, 2022, the Board of Directors awarded a total of 101,716 Performance Share Units (“PSUs”), at a grant date fair value of $13.41 per share, to certain employees of the Manager and its affiliates, of which 56,978 PSUs remained outstanding as of December 31, 2022, due to a forfeiture of 44,738 PSUs. To date, the performance criteria has not been deemed “more likely than not” to be met, and so no expense or charge to stockholders’ equity has been recorded in conjunction with either the Performance Share Units or the associated dividend equivalents further described below. If the performance criteria are met, the PSUs shall vest 50% on June 30, 2025 and 50% on June 30, 2026, in each case, with the number of shares vested to be based on the achievement of the performance goals set forth in the applicable award agreement over the July 1, 2022 through June 30, 2025 performance period. Dividend Equivalents Relating to Performance Share Units A dividend equivalent is a right to receive a distribution equal to the dividend distributions that would be paid on a share of the Company’s common stock. Dividend equivalents may be granted as a separate instrument or may be a right associated with the grant of another award (e.g., a PSU) under the Plan. The Company’s sole dividend equivalents granted relate to the PSUs which were awarded on July 1, 2022, as described above. Should the performance criteria for these shares be met and the shares vest, the number of shares subject to the PSU awards shall increase by (i) the product of the total number of shares subject to the PSU award immediately prior to such dividend date multiplied by the dollar amount of the cash dividend paid per share of stock by the Company on such dividend date, divided by (ii) the fair market value of a share of stock on such dividend date (i.e., would be subject to dividend equivalents for any dividends paid between the grant date and the vesting date of the PSUs). Any such additional shares issued by virtue of the vesting of dividend equivalents are subject to the same vesting conditions and payment terms set forth as to the PSU shares to which they relate. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2022 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Subsequent events of significance for disclosure purposes only (i.e., subsequent events that are not recognized in the financial statements as of and for the year ended December 31, 2022) are as follows: On January 25, 2023, the Company renewed its loan financing facility with Multinational Bank 1 in accordance with the mechanism for six-month renewal periods as provided for in the original Master Repurchase Agreement with Multinational Bank 1, dated April 13, 2022. The loan financing facility had previously been set to expire on January 26, 2023, and has been extended through July 25, 2023. On January 31, 2023, the Company contributed loans with a scheduled principal balance of approximately $241.3 million into an approximately $580.5 million scheduled principal balance securitization transaction backed by a pool of residential mortgage loans along with other affiliates of Angel Oak Capital, an affiliate of the Manager. On March 9, 2023, the Company declared a dividend of $0.32 per share of common stock, to be paid on March 31, 2023 to common stockholders of record as of March 22, 2023. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2022 | |
Accounting Policies [Abstract] | |
Basis of Presentation | The Company is a Maryland corporation incorporated on March 20, 2018. On September 18, 2018, the Board of Directors of the Company (the “Board of Directors”) authorized the Company to commence operations and on October 19, 2018 the Company began its investing activities. The Company achieves certain of its investment objectives by investing a portion of its assets in its wholly‑owned subsidiary, Angel Oak Mortgage REIT TRS, LLC (“AOMR TRS”), a Delaware limited liability company formed on March 21, 2018, which invests its assets in Angel Oak Mortgage Fund TRS, a Delaware statutory trust formed on June 15, 2018. On June 21, 2021, the Company completed its initial public offering (the “IPO”) of 7,200,000 shares of common stock, $0.01 par value per share (“common stock”), at an initial public offering price of $19.00 per share for total proceeds of approximately $136.8 million, excluding the underwriting discounts and commissions and offering expenses of the IPO, each of which was paid by Angel Oak Capital Advisors, LLC (“Angel Oak Capital”), pursuant to a registration statement on Form S-11, as amended (File No. 333-256301) (the “Registration Statement”), filed with the Securities and Exchange Commission (the “SEC”) under the Securities Act of 1933, as amended (the “Securities Act”). Such underwriting discounts and commissions were $8.2 million. Angel Oak Capital also agreed to pay all of the Company’s expenses incurred in connection with the IPO. Such expenses were $4.4 million. The common stock of the Company trades on the New York Stock Exchange under the ticker symbol “AOMR”. Concurrently with the completion of the IPO, the Company sold an additional 2,105,263 shares of common stock to an institutional investor in a private placement at $19.00 per share, for total proceeds of approximately $40.0 million. The Operating Partnership On February 5, 2020, the Company formed Angel Oak Mortgage Operating Partnership, LP, a Delaware limited partnership (the “Operating Partnership”), through which substantially all of its assets are held and substantially all of its operations are conducted, either directly or through subsidiaries. The Company holds all of the limited partnership interests in the Operating Partnership and indirectly holds the sole general partnership interest in the Operating Partnership through the general partner, which is the Company’s wholly-owned subsidiary. The Company’s Manager and REIT status The Company is externally managed and advised by Falcons I, LLC (the “Manager”), a registered investment adviser with the SEC. The Company has elected to be taxed as a real estate investment trust (a “REIT”) under the Internal Revenue Code of 1986, as amended (the “Code”), commencing with its taxable year ended December 31, 2019. |
Basis of Consolidation | All significant inter‑company balances and transactions have been eliminated in consolidation. |
Use of Estimates | Use of Estimates The preparation of financial statements requires the Company to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amounts and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported periods. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from the Company’s estimates and the differences could be material. |
Reclassifications | Reclassifications Certain amounts reported in prior periods in the financial statements have been reclassified to conform to the current year’s presentation. For comparative purposes, and to enhance transparency of the Company’s balance sheet, “other assets” on the consolidated |
Recent Accounting Standards - Recently Issued and Adopted | Recent Accounting Standards - Recently Issued None. Recent Accounting Standards - Recently Adopted In March 2020, the Financial Accounting Standards Board (“FASB”) issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting . The standard was issued to ease the accounting effects of reform to the London Interbank Offered Rate (“LIBOR”) and other reference rates. The standard provides optional expedients and exceptions for applying GAAP to debt, derivatives, and other contracts affected by reference rate reform. In January 2021, the FASB amended the standard to clarify option expedients and exceptions for contract modifications and hedge accounting. The standard is effective for all entities as of March 12, 2020 through December 31, 2022 and was adopted over time as reference rate reform activities occurred. During 2022, the Company amended all of its contracts that had referenced a U.S. Dollar LIBOR tenor to the Secured Overnight Financing Rate (“SOFR”). The Company has determined that the impact of this accounting standard is immaterial to its financial statements. |
Variable Interest Entities | Variable Interest Entities A variable interest entity (“VIE”) is defined as an entity in which equity investors (i) do not have the characteristics of a controlling financial interest, and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. A VIE is required to be consolidated by its primary beneficiary, which is defined as the party that has both (i) the power to control the activities that most significantly impact the VIE’s economic performance and (ii) the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIE’s economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The Company’s securitization trusts are structured as VIEs that receive principal and interest on the underlying collateral and distribute those payments to the security holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a holder of the security it has retained as well as certain associated risks which may occur when the Company acts as either the sponsor and/or depositor of and the seller, directly or indirectly to, the securitization entities. Determining the primary beneficiary of a VIE requires judgment. The Company determined that for the securitizations it consolidates, its ownership provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIE’s economic performance, or power, such as rights to replace the servicer without cause and call the collateral after the expiration of the call period. As of December 31, 2022 and 2021, the Company was considered to be a primary beneficiary in certain VIEs which held certain interests in the assets held by consolidated securitization vehicles which were created under the purview of its wholly-owned securitization shelf, Angel Oak Mortgage Trust (“AOMT”) II, LLC. These securitization vehicles are consolidated on the Company’s consolidated balance sheet, and are restricted by the structural provisions of the associated securitization trusts. The recovery of the Company’s investment in the securitization vehicles, if any, will be limited by each securitization vehicle’s distribution provisions. The liabilities of the securitization vehicles, which are also consolidated on the Company’s consolidated balance sheets as of December 31, 2022 and 2021, are non-recourse to the Company, and can only be satisfied using proceeds from each securitization vehicle’s respective asset pool. The Company was not a primary beneficiary in the VIEs in which it participated prior to December 31, 2021. These VIEs are comprised of the securitizations in which the Company participated within the purview of Angel Oak Mortgage Trust I. The assets of securitization entities are comprised of RMBS or residential mortgage loans. See Note 3 - Variable Interest Entities for further discussion of the characteristics of the securities and loans in the Company’s portfolio relating to asset pools arising from securitization transactions. The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company’s involvement with a VIE would cause the Company’s consolidation conclusion to change. VIEs for Which the Company is Not the Primary Beneficiary In 2019 and 2020, the Company co‑sponsored and participated in the formation of various entities that were considered to be VIEs. These VIEs were formed to facilitate securitization issuances that were comprised of secured residential whole loans or small balance commercial loans contributed to securitization trusts. These securities were issued as a result of the unconsolidated securitizations where the Company retained bonds from the issuances of AOMT 2019-2, AOMT 2019-4, AOMT 2019-6, AOMT 2020-3, and AOMT 2020-SBC1. The Company determined that it was not then and is not now the primary beneficiary of any of these entities, as no primary beneficiary was identified in the assessment of primary beneficiary determination, and thus has not consolidated the operating results or statements of financial position of any of these entities. The Company performs ongoing reassessments of all VIEs in which the Company has participated since its inception as to whether changes in the facts and circumstances regarding the Company’s involvement with a VIE would cause the Company’s consolidation conclusion to change, and the Company’s assessment of the VIEs in which the Company participated during the years 2019 and 2020 remains unchanged. In the securitizations issued prior to 2021, the Company generally retained investments in subordinated or interest-only tranches of RMBS and CMBS, which involve greater credit risk than the senior classes of the securitizations’ issue or series. Certain subordinated securities absorb all losses from any defaults before any other class of securities is at risk, particularly if such securities have been issued with little or no credit enhancement; meaning that the ultimate risk relating to these retained investments would be the total amount of the bond. |
Segment Reporting | Segment Reporting Operating segments are defined as components of an entity for which separate financial information is available and that is regularly reviewed by the Chief Operating Decision Maker (“CODM”) in deciding how to allocate resources to an individual segment and in assessing performance. The Company’s CODM is its Chief Executive Officer. The Company has determined it currently operates in a single operating segment and has one reportable segment, which is to acquire, invest in, and finance mortgage‑related assets. The CODM reviews financial information presented on a consolidated basis for purposes of making operating decisions, allocating resources, and evaluating financial performance. |
Cash and Cash Equivalents | Cash and Cash Equivalents Cash represents cash deposits held at financial institutions. Cash equivalents include short‑term highly liquid investments of sufficient credit quality that are readily convertible to known amounts of cash and have maturities of three months or less at acquisition. The Company maintains its cash and cash equivalents with major financial institutions. Accounts at these institutions are guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) up to $250,000 for each bank. The Company is exposed to credit risk for amounts held in excess of the FDIC limit. The Company does not anticipate nonperformance by these financial institutions. |
Restricted Cash | Restricted Cash Restricted cash represents cash held at financial institutions for margin on whole loans required by certain counterparties, margin on futures trading activity, and short-term cash collateral for repurchase agreements. |
Fair Value Measurements | Fair Value Measurements The Company reports various investments at fair value in accordance with Accounting Standards Codification (“ASC”) 820, Fair Value Measurement . A fair value measurement represents the price at which an orderly transaction would occur between willing market participants at the measurement date. This definition of fair value focuses on exit price and prioritizes the use of market‑based inputs over entity‑specific inputs when determining fair value. In addition, the framework for measuring fair value establishes a three‑level hierarchy for fair value measurements based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. See Note 11, Fair Value Measurements for further discussion on fair value measurements. The Company accounts for any purchases or sales of Investment Securities on a trade date basis. At the time of disposition, realized gains or losses on sales of Investment Securities are determined based on a specific identification basis and are a component of “net realized loss on mortgage loans, derivative contracts, RMBS, and CMBS” in the consolidated statements of operations and comprehensive income (loss). |
RMBS, CMBS, and U.S. Treasury Bills (“Investment Securities”), at Fair Value; and Purchase and Sale of Investment Securities | RMBS, CMBS, and U.S. Treasury Securities (“Investment Securities”), at Fair Value; and Purchase and Sale of Investment SecuritiesThe Company classifies its investments in RMBS, CMBS, and U.S. Treasury Securities as available for sale and accordingly records them at fair value in the consolidated balance sheets. Changes in fair value for these Investment Securities are reported in other comprehensive income (loss) in the consolidated statements of operations and comprehensive income (loss). |
Residential Mortgage Loans, Residential Mortgage Loans in Securitization Trusts, and Commercial Mortgage Loans, at Fair Value | Residential Mortgage Loans, Residential Mortgage Loans in Securitization Trusts, and Commercial Mortgage Loans, at Fair Value The Company’s investments in residential mortgage loans, including those held in securitization trusts, and commercial loans are recorded using the fair value option in ASC Topic 825 - Financial Instruments , and therefore recorded at fair value in the consolidated balance sheets. Changes in fair value are reported in current earnings in “net unrealized loss on mortgage loans, debt at fair value option, and derivative contracts” in the consolidated statements of operations and comprehensive income (loss). Residential and commercial mortgage loans include loans that the Company may be marketing for sale to third parties, including transfers to securitization entities with either solely contributed loans or with loans contributed to securitization entities along with other Angel Oak entities. When the Company obtains possession of real property in connection with a foreclosure or similar action, the Company de-recognizes the associated mortgage loan according to ASU 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure (“ASU 2014-04”). Under the provisions of ASU 2014-04, the Company is deemed to have received physical possession of real estate property collateralizing a mortgage loan when it obtains legal title to the property upon completion of a foreclosure or when the borrower conveys all interest in the property to it through a deed in lieu of foreclosure or similar legal agreement. The Company’s cost basis in REO is equal to the lower of cost or fair value of the real estate associated with the foreclosed mortgage loan, less expected costs to sell. The fair value of such REO is typically based on management’s estimates which generally use information including general economic data, broker opinions of value, recent sales, property appraisals, and bids, and takes into account the expected costs to sell the property. REO recorded at fair value on a non-recurring basis are classified as Level 3. Non-recourse securitization obligations, collateralized by residential mortgage loans (a portion of which is at Fair Value) The portion of this obligation for which we have elected the fair value option uses the prices of the underlying bonds securing the related residential mortgage loans in securitization trusts to determine fair value. Changes in fair value are reported in current earnings in “net unrealized loss on mortgage loans, debt at fair value option, and derivative contracts” in the consolidated statements of operations and comprehensive income (loss). The Company also discloses fair value for the portion of this obligation for which we have elected to hold at amortized cost. See Note 11, Fair Value Measurements. |
Derivative Financial Instruments, at Fair Value | Derivative Financial Instruments, at Fair Value The Company uses a variety of derivative instruments to economically hedge a portion of its exposure to market risks, including interest rate risk and prepayment risk. Derivatives are accounted for in accordance with ASC 815, Derivatives and Hedging , which requires recognition of all derivatives as either assets or liabilities at fair value on the consolidated balance sheets. These derivative financial |
Revenue Recognition | Revenue Recognition Investment Securities Interest income on Investment Securities is recognized based on outstanding principal balances and contractual terms. Premiums and discounts are generally amortized into interest income over the life of such securities using the effective yield method. Adjustments to premium amortization are made for actual prepayments. Residential Mortgage Loans Interest income on residential mortgage loans is recognized using the effective interest method over the life of the loans. The amortization of any premiums and discounts is included in interest income. Interest income recognition is suspended when residential mortgage loans are placed on non-accrual status. Generally, residential mortgage loans are placed on non-accrual status when delinquent for more than 90 days or when determined not to be probable of full collection. Interest accrued, but not collected, at the date residential mortgage loans are placed on nonaccrual status is reversed against interest income and subsequently recognized only to the extent it is received in cash or until it qualifies for return to accrual status. Interest received after the loan becomes past due or impaired is used to reduce the outstanding loan principal balance. Commercial Mortgage Loans |
Repurchase Agreements | Repurchase Agreements At times, the Company finances purchases of residential and commercial mortgage loans and Investment Securities through the use of repurchase agreements. The repurchase agreements are treated as collateralized financing transactions, which expire within approximately one year or less and are carried at their contractual amounts, including accrued interest as specified in the respective agreements. Interest paid and accrued in accordance with repurchase agreements is recorded as interest expense. |
Earnings Per Share | Earnings Per ShareBasic net income (loss) per share is computed by dividing net income (loss) allocable to common stockholders by the weighted‑average number of shares of common stock outstanding during the period. Diluted EPS is calculated by dividing net income (loss) allocable to common stockholders by the weighted average number of shares of common stock outstanding plus the additional dilutive effect of common stock equivalents during each period, unless anti-dilutive. |
Share-Based Compensation | Share-Based Compensation The Company amortizes the fair value of previously granted share-based awards to expense over the vesting period using the straight line method. The initial cost of share-based awards is established at the Company’s closing share price on the grant date of the award. The Company recognizes adjustments for forfeitures as forfeitures occur. |
Income Taxes | Income Taxes The Company has elected to be taxed as a REIT under the Code starting with its taxable year ended December 31, 2019. Accordingly, the Company will generally not be subject to corporate U.S. federal income tax to the extent that the Company makes qualifying distributions to stockholders, and provided that the Company satisfies, on a continuing basis, through actual investment and operating results, the REIT requirements, including certain asset, income, distribution, and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, the Company will be subject to U.S. federal, state, and any applicable local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the Company lost its REIT qualification. Accordingly, the failure to qualify as a REIT could have a material adverse impact on the Company’s results of operations and amounts available for distribution to stockholders. The dividends paid deduction for qualifying dividends paid to stockholders is computed using the Company’s taxable income as opposed to net income reported in the consolidated statements of operations and comprehensive income (loss). Taxable income will generally differ from net income reported in the consolidated statements of operations and comprehensive income (loss) because the determination of taxable income is based on tax regulations and not U.S. GAAP. The Company has created and elected to treat AOMR TRS as a taxable REIT subsidiary (“TRS”). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non‑real estate‑related business. A domestic TRS is subject to U.S. federal, state, and local corporate income taxes, and the value of the securities of the TRS together with the value of the securities of any other TRS owned by the Company may not exceed 20% of the value of the Company’s total assets. If the TRS generates net income, it may declare dividends to the Company, which will be included in the Company’s taxable income and may necessitate a distribution to its stockholders to satisfy distribution requirements and to avoid U.S. federal income and excise tax. Conversely, if the Company retains earnings at the TRS level, no distribution is required. Effective for tax years beginning after December 31, 2022, the Inflation Reduction Act, which was signed into law on August 16, 2022, imposes a 15% alternative minimum tax (“AMT”) on the adjusted financial statement income (“AFSI”) of “Applicable Corporations”. The term “Applicable Corporations” does not include REITs but does include TRSs whose three-year average AFSI exceeds $1 billion. Current and deferred taxes are recorded on earnings (losses) recognized by AOMR TRS. Deferred income tax assets and liabilities are calculated based upon temporary differences between the Company’s U.S. GAAP consolidated financial statements and the U.S. federal and state tax basis of assets and liabilities as of the consolidated balance sheet date. If any deferred tax assets exist, the Company evaluates the realizability of such, and subsequently may recognize a valuation allowance if, based on available evidence, it is more likely than not that some or all of its deferred tax assets will not be realized. In evaluating the realizability of a deferred tax asset, the Company will consider expected future taxable income, existing and projected book to tax differences, and any tax planning strategies. Such an analysis is inherently subjective, as it is based on forecast earnings and business and economic activity. See Note 12 — Income Taxes , for further details regarding the Company’s deferred tax assets. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a nondeductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid U.S. federal corporate income tax. |
Credit Risk | Credit Risk The Company assumes credit risk through its investments in mortgage loans and other mortgage‑related assets. Credit losses on mortgage loans can occur for many reasons, including: fraud; poor underwriting; poor servicing practices; weak economic conditions; increases in payments required to be made by borrowers; declines in the value of real estate; declining rents on single‑ and multi‑family residential rental properties; natural disasters, including the effects of climate change (including flooding, drought, wildfires, and severe weather), and other natural events; uninsured property loss; over‑leveraging of the borrower; costs of remediation of environmental conditions, such as indoor mold; changes in zoning or building codes and the related costs of compliance; acts of war or terrorism; changes in legal protections for lenders and other changes in law or regulation; and personal events affecting borrowers, such as reduction in income, job loss, divorce, or health problems. In addition, the amount and timing of credit losses could be affected by loan modifications, delays in the liquidation process, documentation errors, and other action by servicers. Weakness in the U.S. economy or the housing market could cause the Company’s credit losses to increase. In addition, rising interest rates may increase the credit risk associated with certain residential mortgage loans. For example, the interest rate is adjustable for many of the loans held by the Company or within the securitization entities in which the Company participates. In addition, a portion of the loans the Company has pledged to secure loan financing lines have adjustable interest rates. Accordingly, when short‑term interest rates rise, required monthly payments from homeowners will rise under the terms of these adjustable‑rate mortgages, and this may increase borrowers’ delinquencies and defaults. Credit losses on commercial mortgage loans can occur for many of the reasons noted above for residential mortgage loans. Moreover, these types of real estate loans may not be fully amortizing and, therefore, the borrower’s ability to repay the principal when due may depend upon the ability of the borrower to refinance or sell the property at maturity. Business purpose real estate loans are particularly sensitive to conditions in the rental housing market and to demand for rental residential properties. Within a securitization of residential, multi‑family, or business purpose real estate loans, various securities are created, each of which has varying degrees of credit risk. The Company may own the securities in which there is more (or the most) concentrated credit risk associated with the underlying real estate loans. In general, losses on an asset securing a loan or loan included as collateral to a securitization will be borne first by the owner of the property (i.e., the owner will first lose any equity invested in the property) and, thereafter, by the first loss security holder, and then by holders of more senior securities. In the event the losses incurred upon default on the loan exceed any classes in which the Company invests, the Company may not be able to recover all of its investment in the securities it holds. In addition, if the underlying properties have been overvalued by the originating appraiser or if the values subsequently decline and, as a result, less collateral is available to satisfy interest and principal payments due on the related security, then the first‑loss securities may suffer a total loss of principal, followed by losses on the second‑loss and then third‑loss securities (or other residential and commercial securities that the Company owns). In addition, with respect to residential securities the Company owns, the Company may be subject to risks associated with the determination by a loan servicer to discontinue servicing advances (advances of mortgage interest payments not made by a delinquent borrower) if they deem continued advances to be unrecoverable, which could reduce the value of these securities or impair the Company’s ability to project and realize future cash flows from these securities. Investments in subordinated RMBS and CMBS involve greater credit risk than the senior classes of the issue or series. Many of the default‑related risks of whole loan mortgages will be magnified in subordinated securities. Default risks may be further pronounced in the case of RMBS and CMBS by, or evidencing an interest in, a relatively small or less diverse pool of underlying mortgage loans. Certain subordinated securities absorb all losses from default before any other class of securities is at risk, particularly if such securities have been issued with little or no credit enhancement or equity. In addition, principal payments on subordinated securities may be subject to a “lockout” period in which some or all of the principal payments are directed to the related senior securities. This lock‑out period may be for a set period of time and/or may be determined based on pool performance criteria such as losses and delinquencies. Such securities therefore possess some of the attributes typically associated with equity investments. |
Interest Rate Risk / Liquidity Risk / Prepayment Risk / Extension Risk | Interest Rate Risk Interest rate risk is highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Company’s control. A significant portion of the Company’s financial assets and liabilities, including the Company’s whole loan investments (which include residential mortgage loans, residential mortgage loans held in securitization trusts, and commercial loans), investment securities, loan financing facilities, and security repurchase facilities, are interest earning or interest bearing and, as a result, the Company is subject to risks arising from fluctuations in the prevailing levels of market interest rates. In addition, all of the Company’s warehouse loan financing arrangements (notes payable) have a variable rate component or include rates which reset monthly and add additional risk due to fluctuations in market interest rates. Any excess cash and cash equivalents of the Company are invested in instruments earning short‑term market interest rates. Subject to maintaining its qualification as a REIT and maintaining its exclusion from regulation as an investment company under the Investment Company Act of 1940, as amended (the “Investment Company Act”), the Company may utilize various derivative instruments and other hedging instruments to mitigate interest rate risk. Liquidity Risk An insufficient secondary market may prevent the liquidation of an asset or limit the funds that can be generated from selling an asset. A portion of the Company’s financial assets are considered to be illiquid and may be subject to high liquidity risk. Furthermore, the Company’s use of financial leverage exposes the Company to increased liquidity risks from margin calls and potential breaches of the financial covenants under its borrowing facilities, which could result in the Company being required to immediately repay all outstanding amounts borrowed under these facilities and these facilities being unavailable to use for future financing needs, as well as triggering cross-defaults under other debt agreements. Prepayment Risk The frequency at which prepayments occur on loans held and loans underlying RMBS and CMBS will be affected by a variety of factors including the prevailing level of interest rates as well as economic, demographic, tax, social, legal, and other factors. Generally, mortgage obligors tend to prepay their mortgages when prevailing mortgage rates fall below the interest rates on their mortgage loans. Generally, whole loans, RMBS, and CMBS purchased at a premium are adversely affected by faster than anticipated prepayments; and whole loans, RMBS, and CMBS purchased at a discount are adversely affected by slower than anticipated prepayments. The adverse effects of prepayments may impact the Company in two ways. First, particular investments may experience outright losses, as in the case of an interest‑only security in an environment of faster actual or anticipated prepayments. Second, particular investments may underperform relative to the financial instruments that the Company’s Manager may have constructed to reduce specific financial risks for these investments, resulting in a loss to the Company. In particular, prepayments (at par) may limit the potential upside of many whole loans, RMBS, and CMBS to their principal or par amounts, whereas their corresponding hedges, if any, often have the potential for unlimited loss. Extension Risk The Company’s Manager computes the projected weighted average life of the Company’s investments based on assumptions regarding the rate at which the borrowers will prepay the underlying mortgage loans. In general, when fixed rate, adjustable rate, or hybrid mortgage loans or other mortgage‑related assets are acquired via borrowings, the Company may, but is not required to, enter into an interest rate swap agreement or other economic hedging instrument that attempts to fix the Company’s borrowing costs for a period close to the anticipated average life of the fixed rate portion of the related assets, in each case subject to maintaining the Company’s qualification as a REIT and maintaining the Company’s exclusion from regulation as an investment company under the Investment Company Act. This strategy is designed to protect the Company from rising interest rates, as the borrowing costs are managed to maintain a net interest spread for the duration of the fixed rate portion of the related assets. However, if prepayment rates decrease in a rising interest rate environment, the life of the fixed rate portion of the related assets could extend beyond the term of the swap agreement or other hedging instrument. This could have an adverse impact on the Company’s earnings, as borrowing costs would no longer be fixed after the end of the hedging instrument, while the income earned on the fixed rate, adjustable rate, or hybrid assets would remain fixed. In extreme situations, the Company may be forced to sell assets to maintain adequate liquidity, which could cause the Company to incur losses. |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Variable Interest Entities | The table below sets forth the fair values of the assets and liabilities recorded in the consolidated balance sheet related to these consolidated VIEs as of December 31, 2022 and 2021: December 31, 2022 December 31, 2021 Assets: (in thousands) Residential mortgage loans in securitization trusts - cost $ 1,193,879 $ 665,510 Fair value adjustment (166,437) 1,855 Residential mortgage loans in securitization trusts - at fair value $ 1,027,442 $ 667,365 Accrued interest receivable $ 1,995 $ 1,728 Liabilities (1) : Non-recourse securitization obligations, collateralized by residential mortgage loans - principal balance, amortized cost $ 474,070 $ 619,108 Less: debt issuance costs capitalized (1,145) (2,551) Non-recourse securitization obligations, collateralized by residential mortgage loans, amortized cost, net $ 472,925 $ 616,557 Non-recourse securitization obligations, collateralized by residential mortgage loans - principal balance, subject to fair value adjustment $ 611,114 $ — Fair value adjustment (80,554) — Non-recourse securitization obligations, collateralized by residential mortgage loans - at fair value, net $ 530,560 $ — Total non-recourse securitization obligations, collateralized by residential mortgage loans, net $ 1,003,485 $ 616,557 (1) Debt issuance costs for non-recourse securitization obligations electing the fair value option are recorded to expense upon issuance of the securitization. Debt issuance costs incurred with the issuances of non-recourse securitization obligations for which the fair value option was not elected are presented at amortized cost. Income and expense amounts related to the consolidated VIEs recorded in the consolidated statements of operations and comprehensive income (loss) for the years ended December 31, 2022 and 2021 is set forth as follows: December 31, 2022 December 31, 2021 (in thousands) Interest income $ 48,443 $ 7,933 Interest expense, non-recourse liabilities (1) (26,223) (1,792) Net interest income $ 22,220 $ 6,141 Net unrealized loss on mortgage loans in securitization trusts - at fair value (168,292) (1,308) Unrealized gain on mark-to-market of non-recourse securitization obligation - at fair value 80,554 — Securitization expenses (2) (3,137) — Realized losses and operating expenses (1,525) (86) Net income (loss) from consolidated VIEs $ (70,180) $ 4,747 (1) Includes amortization of debt issuance expenses for AOMT 2021-7 and AOMT 2021-4. (2) Includes securitization expenses for AOMT 2022-4 and AOMT 2022-1. |
Residential Mortgage Loans (Tab
Residential Mortgage Loans (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Schedule of Residential Mortgage Loans | The following table sets forth the cost, fair value, weighted average interest rate, and weighted average remaining maturity of the Company’s residential mortgage loan portfolio as of December 31, 2022 and 2021: As of: December 31, 2022 December 31, 2021 ($ in thousands) Cost $ 886,661 $ 1,063,146 Unpaid principal balance $ 864,171 $ 1,022,461 Net premium on mortgage loans purchased 22,489 40,685 Change in fair value (115,678) (1,234) Fair value $ 770,982 $ 1,061,912 Weighted average interest rate 4.80 % 4.49 % Weighted average remaining maturity (years) 30 30 As of: December 31, 2022 December 31, 2021 ($ in thousands) Cost $ 9,928 $ 18,641 Unpaid principal balance $ 9,928 $ 18,698 Net discount on mortgage loans purchased — (51) Change in fair value (470) 17 Fair value $ 9,458 $ 18,664 Weighted average interest rate 7.03 % 6.25 % Weighted average remaining maturity (years) 8 8 |
Schedule of Financing Receivables Past Due | The following table sets forth data regarding the number of consumer mortgage loans secured by residential real property 90 or more days past due and also those in formal foreclosure proceedings, and the recorded investment and unpaid principal balance of such loans as of December 31, 2022 and 2021: As of: December 31, 2022 December 31, 2021 ($ in thousands) Number of mortgage loans 90 or more days past due 11 8 Recorded investment in mortgage loans 90 or more days past due $ 7,230 $ 3,241 Unpaid principal balance of loans 90 or more days past due $ 7,043 $ 3,100 Number of mortgage loans in foreclosure 2 7 Recorded investment in mortgage loans in foreclosure $ 820 $ 2,125 Unpaid principal balance of loans in foreclosure $ 849 $ 2,113 |
Commercial Mortgage Loans (Tabl
Commercial Mortgage Loans (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Schedule of Commercial Mortgage Loans | The following table sets forth the cost, fair value, weighted average interest rate, and weighted average remaining maturity of the Company’s residential mortgage loan portfolio as of December 31, 2022 and 2021: As of: December 31, 2022 December 31, 2021 ($ in thousands) Cost $ 886,661 $ 1,063,146 Unpaid principal balance $ 864,171 $ 1,022,461 Net premium on mortgage loans purchased 22,489 40,685 Change in fair value (115,678) (1,234) Fair value $ 770,982 $ 1,061,912 Weighted average interest rate 4.80 % 4.49 % Weighted average remaining maturity (years) 30 30 As of: December 31, 2022 December 31, 2021 ($ in thousands) Cost $ 9,928 $ 18,641 Unpaid principal balance $ 9,928 $ 18,698 Net discount on mortgage loans purchased — (51) Change in fair value (470) 17 Fair value $ 9,458 $ 18,664 Weighted average interest rate 7.03 % 6.25 % Weighted average remaining maturity (years) 8 8 |
Investment Securities (Tables)
Investment Securities (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Investments Securities at Cost | The following table sets forth a summary of RMBS and CMBS at cost as of December 31, 2022 and 2021: December 31, 2022 December 31, 2021 (in thousands) RMBS $ 1,075,944 $ 482,824 CMBS $ 6,329 $ 10,875 Date Face Value Unamortized Discount, net Amortized Cost (1) Unrealized Loss Fair Value Net Effective Yield ($ in thousands) December 31, 2021 $ 250,000 $ — $ 250,000 $ (1) $ 249,999 2.30 basis points (1) Cost and amortized cost of U.S. Treasury Securities is substantially equal, due to the short length of time until maturity on these financial instruments. |
Schedule of Investments in RMBS and CMBS | The following table sets forth certain information about the Company’s investment in RMBS and CMBS as of December 31, 2022: December 31, 2022 Real Estate Securities at Fair Value Repurchase Debt (2) Allocated Capital (in thousands) AOMT RMBS (1) Mezzanine $ 1,958 $ (1,470) $ 488 Subordinate 49,578 (24,982) 24,596 Interest Only/Excess 10,424 (1,506) 8,918 Retained RMBS in VIEs (2) — (24,586) (24,586) Total AOMT RMBS $ 61,960 $ (52,544) $ 9,416 Whole Pool Agency RMBS (3) Fannie Mae $ 501,458 $ — $ 501,458 Freddie Mac 491,920 — 491,920 Whole Pool Total Agency RMBS $ 993,378 $ — $ 993,378 Total RMBS $ 1,055,338 $ (52,544) $ 1,002,794 AOMT CMBS Subordinate $ 2,901 $ — $ 2,901 Interest Only/Excess 3,210 — 3,210 Total AOMT CMBS $ 6,111 $ — $ 6,111 (1) AOMT RMBS held as of December 31, 2022 included both retained tranches of AOMT securitizations in which the Company participated and additional AOMT securities purchased in secondary market transactions. (2) A portion of repurchase debt includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs). These bonds, with a fair value of $110.5 million, are not reflected in the consolidated balance sheets, as the Company reflects the assets of the VIE (residential mortgage loans in securitization trusts - at fair value) on its consolidated balance sheets. (3) The whole pool RMBS presented as of December 31, 2022 were purchased from a broker to whom the Company owes approximately $1.01 billion, payable upon the settlement date of the trade. See Note 8 - Due to Broker . The following table sets forth certain information about the Company’s investment in RMBS and CMBS as of December 31, 2021: December 31, 2021 Real Estate Securities at Fair Value Repurchase Debt Allocated Capital (in thousands) AOMT RMBS (1) Senior $ 3,076 $ (4,089) $ (1,013) Mezzanine 2,178 (1,631) 547 Subordinate 80,058 — 80,058 Interest Only/Excess 15,052 — 15,052 Total AOMT RMBS $ 100,364 $ (5,720) $ 94,644 Other Non-Agency RMBS Subordinate $ 10,292 $ — $ 10,292 Interest Only/Excess 2,923 — 2,923 Total Other Non-Agency RMBS $ 13,215 $ — $ 13,215 Whole Pool Agency RMBS Fannie Mae $ 281,225 $ (267,286) $ 13,939 Freddie Mac 90,830 (87,495) 3,335 Whole Pool Total Agency RMBS $ 372,055 $ (354,781) $ 17,274 Total RMBS $ 485,634 $ (360,501) $ 125,133 AOMT CMBS Subordinate $ 7,993 $ — $ 7,993 Interest Only/Excess 2,763 — 2,763 Total AOMT CMBS $ 10,756 $ — $ 10,756 (1) AOMT RMBS held as of December 31, 2021 included both retained tranches of AOMT securitizations in which the Company participated and additional AOMT securities purchased in secondary market transactions. |
Notes Payable (Tables)
Notes Payable (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Notes Payable [Abstract] | |
Schedule of Lines of Credit Available and Drawn Amounts for Whole Loan Purchases | The following table sets forth the details of all the lines of credit available to the Company for whole loan purchases during the years ended December 31, 2022 and 2021, and the drawn amounts as of December 31, 2022 and 2021: Interest Rate Pricing Spread (A) Drawn Amount Line of Credit (Note Payable) Base Interest Rate December 31, 2022 December 31, 2021 ($ in thousands) Multinational Bank 1 (1) Average Daily SOFR 1.95% $ 352,038 N/A Multinational Bank 2 (2) 1 month SOFR 1.95% - 2.00% N/A $ 362,899 Global Investment Bank 1 (3) 1 month or 3 month SOFR 1.70% - 3.50% N/A 103,149 Global Investment Bank 2 (4) 1 month SOFR 2.20% - 3.45% — 231,981 Global Investment Bank 3 (5) Compound SOFR 2.80% (5) 119,137 109,283 Institutional Investors A and B (6) 1 month Term SOFR 3.50% 168,695 N/A Regional Bank 1 (7) 1 month SOFR 2.50% - 3.50% — 34,838 Regional Bank 2 (8) 1 month SOFR 2.41% N/A 11,258 Total $ 639,870 $ 853,408 (A) See below descriptions for timing of applicable transitions from LIBOR to the Secured Overnight Financing Rate (“SOFR”) as base interest rate and corresponding applicable definitions of “Term” and “Average” SOFR, and “SOFR base”. (1) On April 13, 2022, the Company and two of its subsidiaries entered into a master repurchase agreement with a multinational bank (“Multinational Bank 1”) through the execution of a master repurchase agreement between the Company as guarantor, and two of its subsidiaries, as sellers, and Multinational Bank 1 as buyer, with an original maximum facility limit of $340.0 million. Pursuant to the terms of the master repurchase agreement, the agreement may be renewed every six months for a maximum six month term. On August 4, 2022, the maximum line of credit under the facility with Multinational Bank 1 was increased by $260.0 million to a maximum facility limit of $600.0 million. As of December 31, 2022, the loan financing facility had been set to expire on January 26, 2023; however, on January 25, 2023 was extended through July 25, 2023 in accordance with the original terms of the agreement of six-month renewals (see Note 17 - Subsequent Events ). (2) This agreement expired by its terms on October 14, 2022, after being paid in full. (3) This agreement expired by its terms on October 5, 2022, after being paid in full. (4) On February 4, 2022, this facility was amended to extend the initial termination date of the master repurchase agreement from February 11, 2022 to February 2, 2024; remove any draw fees; and adjust the pricing rate whereby upon the Company’s or the subsidiary’s repurchase of a mortgage loan, the Company or such subsidiary is required to repay Global Investment Bank 2 the principal amount related to such mortgage loan plus accrued and unpaid interest at a rate (determined based on the type of loan) equal to the sum of (A) the greater of (i) —% and (ii) Term SOFR and (B) a pricing spread generally ranging from 2.20% to 3.45%. Prior to February 4, 2022, interest was based on 1-month LIBOR plus a pricing spread of 2.00% - 3.25%. (5) On March 2, 2022, the agreement was extended to terminate on March 5, 2023, unless terminated earlier pursuant to the terms of the agreement. On January 1, 2022, the agreement was amended to replace a LIBOR-based index rate with a SOFR-based index rate plus a pricing spread equal to 20 basis points, plus the prior pricing spread. Prior to January 1, 2022, interest was based on 3-month LIBOR plus a pricing spread of 2.25%. On December 19, 2022, the facility was amended to increase the facility limit up to $286.0 million by adding a static pool of additional mortgage loans to the facility and extended the termination date to December 19, 2023; however, it did not extend the revolving period, which ended on December 19, 2022. The interest rate pricing spread was also amended to 2.80% for the first three months following the amendment date, which will increase by an additional 50 basis points every three months thereafter. Additionally, the amendment generally removed “mark to market” provisions from the previous agreement, and requires an economic interest rate hedging account (“interest rate futures account”) to be maintained to the reasonable satisfaction of Global Investment Bank 3, which account is for its benefit and under its sole control. The Company held restricted cash pertaining to Global Investment Bank 3’s interest rate futures account included in “restricted cash” of approximately $1.7 million on the Company’s consolidated balance sheet as of December 31, 2022. (6) On October 4, 2022, Company and a subsidiary entered into two separate master repurchase facilities with two affiliates of an institutional investor (“Institutional Investors A and B”) regarding a specific pool of whole loans with financing of approximately $168.7 million on approximately $239.3 million of unpaid principal balance. The master repurchase agreements were set to expire on January 4, 2023, with a one-time three month extension period option. The Company subsequently repaid this financing facility in full on January 4, 2023. The Company held restricted cash pertaining to this lender’s cash collateral requirements included in “restricted cash” of approximately $3.8 million on the Company’s consolidated balance sheet as of December 31, 2022, which was released on January 4, 2023. (7) On March 7, 2022, the agreement was amended to terminate on March 16, 2023, unless terminated earlier pursuant to the terms of the agreement. Additionally, the amendment increased the aggregate purchase price limit to $75.0 million from $50.0 million, and beginning March 8, 2022, provided that interest will accrue on any new transactions under the loan financing line at a rate based on Term SOFR plus an additional pricing spread. Prior to March 7, 2022, interest was based on 1-month LIBOR plus a spread of 2.50% - 3.13%. (8) This agreement was paid in full on December 15, 2022 and voluntarily terminated by the Company. The following table sets forth the total unused borrowing capacity of each financing line as of December 31, 2022: Line of Credit (Note Payable) Borrowing Capacity Balance Outstanding Available Financing (in thousands) Multinational Bank 1 (1) $ 600,000 $ 352,038 $ 247,962 Global Investment Bank 2 (1) 250,000 — 250,000 Global Investment Bank 3 (2) 119,137 119,137 — Institutional Investors A and B (2) 168,695 168,695 — Regional Bank 1 (1) 75,000 — 75,000 Total $ 1,212,832 $ 639,870 $ 572,962 (1) Although available financing is uncommitted, the Company’s unused borrowing capacity is available if it has eligible collateral to pledge and meets other borrowing conditions as set forth in the applicable agreements. (2) As of December 31, 2022, these financing facilities had no unused borrowing capacity as the outstanding borrowings were based on static pools of mortgage loans. |
Securities Sold Under Agreeme_2
Securities Sold Under Agreements to Repurchase (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Banking and Thrift, Interest [Abstract] | |
Schedule of Repurchase Agreements | The following table summarizes certain characteristics of the Company’s repurchase agreements as of December 31, 2022 and 2021: December 31, 2022 Repurchase Agreements Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity (Days) ($ in thousands) RMBS (1) $ 52,544 6.07 % 13 Total $ 52,544 6.07 % 13 December 31, 2021 Repurchase Agreements Amount Outstanding Weighted Average Interest Rate Weighted Average Remaining Maturity (Days) ($ in thousands) U.S Treasury Securities $ 248,750 0.12 % 6 RMBS 360,501 0.16 % 18 Total $ 609,251 0.15 % 13 (1) A portion of repurchase debt outstanding as of December 31, 2022 includes borrowings against retained bonds received from on-balance sheet securitizations (i.e., consolidated VIEs). See Note 6 - Investment Securities . |
Derivative Financial Instrume_2
Derivative Financial Instruments (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments Presented on the Balance Sheet and Notional Amounts | The following table sets forth the derivative instruments presented on the consolidated balance sheets and notional amounts as of December 31, 2022 and 2021: Notional Amounts As of: Derivatives Not Designated as Hedging Instruments Number of Contracts Assets Liabilities Long Exposure Short Exposure ($ in thousands) December 31, 2022 Interest rate futures 4,928 $ 2,211 $ — $ — $ 492,800 December 31, 2022 TBAs N/A $ 12,545 $ — $ — $ 1,041,700 December 31, 2021 Interest rate futures 10,438 $ — $ (728) $ — $ 1,043,800 December 31, 2021 TBAs N/A $ 2,428 $ — $ — $ 523,938 |
Schedule of Derivatives Not Designated as Hedging Instruments | The gains and losses arising from these derivative instruments in the consolidated statements of operations and comprehensive income (loss) for the years ended December 31, 2022, and 2021 are set forth as follows: As of: Derivatives Not Designated as Hedging Instruments Net Realized Gains (Losses) on Derivative Instruments Net Change in Unrealized Appreciation (Depreciation) on Derivative Instruments (in thousands) December 31, 2022 Interest rate futures $ 67,767 $ 2,939 December 31, 2022 TBAs $ 7,295 $ 10,117 December 31, 2021 Interest rate futures $ 13,253 $ (530) December 31, 2021 TBAs $ (3,691) $ 2,428 |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Schedule of Financial Assets and Liabilities Measured at Fair Value | The following table sets forth information about the Company’s financial assets measured at fair value as of December 31, 2022: Level 1 Level 2 Level 3 Total (in thousands) Assets, at fair value Residential mortgage loans $ — $ 763,786 $ 7,196 $ 770,982 Residential mortgage loans in securitization trusts — 1,018,686 8,756 1,027,442 Commercial mortgage loans — 9,458 — 9,458 Investments in securities Non-Agency RMBS (1) — 61,960 — 61,960 Agency whole pool loan securities — 993,378 — 993,378 AOMT CMBS (1) — 6,111 — 6,111 Unrealized appreciation on futures contracts 2,211 — — 2,211 Unrealized appreciation on TBAs 12,545 — — 12,545 Total assets, at fair value $ 14,756 $ 2,853,379 $ 15,952 $ 2,884,087 Liabilities, at fair value Non-recourse securitization obligation, collateralized by residential mortgage loans (2) $ — $ 530,560 $ — $ 530,560 Total liabilities, at fair value $ — $ 530,560 $ — $ 530,560 (1) Non‑Agency RMBS held as of December 31, 2022 included both retained tranches of AOMT securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions. All AOMT CMBS held as of December 31, 2022 was comprised of a small-balance commercial loan securitization issuance in which the Company participated. (2) Only the portion subject to fair value measurement, as adjusted for fair value, is presented above. See below for the disclosure of the full debt at fair value. The following table sets forth information about the Company’s financial assets and liabilities measured at fair value as of December 31, 2021 (1) : Level 1 Level 2 Level 3 Total (in thousands) Assets, at fair value Residential mortgage loans $ — $ 1,056,875 $ 5,037 $ 1,061,912 Residential mortgage loans in securitization trusts — 665,802 1,563 667,365 Commercial mortgage loans — 18,145 519 18,664 Investments in securities Non-Agency RMBS (1) — 113,579 — 113,579 Agency whole pool loan securities — 372,055 — 372,055 AOMT CMBS (1) — 10,756 — 10,756 U.S. Treasury Securities 249,999 — — 249,999 Unrealized appreciation on TBAs 2,428 — — 2,428 Total assets, at fair value $ 252,427 $ 2,237,212 $ 7,119 $ 2,496,758 Liabilities, at fair value Unrealized depreciation on futures contracts $ 728 $ — $ — $ 728 Total liabilities, at fair value $ 728 $ — $ — $ 728 (1) Non‑Agency RMBS held as of December 31, 2021 included both retained tranches of AOMT securitizations in which the Company participated, additional AOMT securities purchased in secondary market transactions, and other RMBS purchased in secondary market transactions. All AOMT CMBS held as of December 31, 2021 was comprised of a small-balance commercial loan securitization issuance in which the Company participated. |
Schedule of Significant Level 3 Inputs | The following table sets forth information regarding the Company’s significant Level 3 inputs as of December 31, 2022: Input Values Asset Fair Value Unobservable Input Range Average Residential mortgage loans, at fair value $ 7,196 Prepayment rate (annual CPR) 4.92% - 14.99% 9.39% Default rate 4.56% - 24.36% 11.43% Loss severity (0.25)% - 12.54% 7.84% Expected remaining life 0.62 - 3.43 years 2.75 years Residential mortgage loans in securitization trust, at fair value $ 8,756 Prepayment rate (annual CPR) 3.24% - 14.55% 7.84% Default rate 7.42% - 35.78% 19.07% Loss severity —% - 10.00% 9.23% Expected remaining life 1.42 - 3.72 years 2.32 years Input Values Asset Fair Value Unobservable Input Range Average Residential mortgage loans, at fair value $ 5,037 Prepayment rate (annual CPR) —% - 20.85% 6.89% Default rate —% - 37.32% 13.05% Loss severity (20.31)% - 36.35% 0.89% Expected remaining life 0.04 - 2.75 years 1.72 years Residential mortgage loans in securitization trust, at fair value $ 1,563 Prepayment rate (annual CPR) —% - 20.85% 6.89% Default rate —% - 37.32% 13.05% Loss severity (20.31)% - 36.35% 0.89% Expected remaining life 0.04 - 2.75 years 1.72 years Commercial mortgage loans, at fair value $ 519 Loss severity (25.00)% (25.00)% Sale or Liquidation timeline 39 - 50 months 39 - 50 months |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Income Tax Disclosure [Abstract] | |
Schedule of Income Tax Provision (Benefit) | The following table sets forth the income tax provision (benefit) as recorded in the Company’s consolidated statements of comprehensive income (loss) for the years ended December 31, 2022 and 2021: December 31, 2022 December 31, 2021 (in thousands) Current Federal $ — $ 1,249 State — 351 Total current income tax expense — 1,600 Deferred Federal (2,691) — State (766) — Total deferred income tax expense (benefit) (3,457) — Total income tax expense (benefit) $ (3,457) $ 1,600 |
Schedule of Deferred Tax Assets | The tax effects of temporary differences that give rise to significant portions of the net DTA recorded at the TRS entity as of December 31, 2022 are set forth in the following table (1) : December 31, 2022 (in thousands) DTA Net operating loss $ 41,583 Valuation allowance (38,126) Total DTA 3,457 (1) There was no DTA as of December 31, 2021. |
Schedule of Effective Income Tax Rate Reconciliation | The difference between the Company’s reported provision for income taxes and the U.S. federal statutory rate of 21% is set forth as follows for the years ended December 31, 2022 and 2021: December 31, 2022 December 31, 2021 Federal statutory rate (21.00) % 21.00 % State statutory rate, net of federal tax effect (5.98) % 4.49 % Change in valuation allowance 21.58 % — % Non-taxable REIT income 3.44 % (19.45) % Total provision (1.96) % 6.04 % |
Related Party Transactions (Tab
Related Party Transactions (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Related Party Transactions [Abstract] | |
Schedule of Related Party Transactions | The following table sets forth certain financial information pertaining to whole loan activity purchased from affiliates during the years ended and as of December 31, 2022 and 2021: As of and for the Year Ended: Amount of Loans Purchased from Affiliates during the Year Number of Loans Purchased from Affiliates during the Year Number of Loans Purchased from Affiliates, Owned and Held at December 31 (1) : ($ in thousands) 2022 $ 567,324 1,141 845 2021 $ 909,442 1,959 754 (1) Excludes loans held in consolidated securitizations. As of and for the Year Ended: Amount of Loans Purchased from Affiliates during the Year Number of Loans Purchased from Affiliates during the Year Number of Loans Purchased from Affiliates Held at December 31: ($ in thousands) 2022 $ — — 4 2021 $ — — 5 |
Equity and Earnings per Share_2
Equity and Earnings per Share ("EPS") (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Equity [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted | The following table sets forth the calculation of basic and diluted earnings per share for the year ended December 31, 2022 and 2021: December 31, 2022 December 31, 2021 (in thousands, except share and per share data) Basic Earnings per Common Share: Net income allocable to common stockholders $ (187,847) $ 21,098 Basic weighted average common shares outstanding 24,547,916 20,601,964 Basic earnings per common share $ (7.65) $ 1.02 Diluted Earnings per Common Share: Net income allocable to common stockholders $ (187,847) $ 21,098 Net effect of dilutive equity awards — 250,590 Diluted weighted average common shares outstanding 24,547,916 20,852,554 Diluted earnings per common share $ (7.65) $ 1.01 |
Equity Compensation Plans (Tabl
Equity Compensation Plans (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Share-Based Payment Arrangement [Abstract] | |
Schedule of Activity for Restricted Stock Awards | The following table summarizes activity for our restricted stock awards during the years ended December 31, 2022 and 2021: Number of awards Weighted average grant date fair market value Outstanding as of December 31, 2020 — $ — Granted 473,684 19.00 Vested — — Forfeited (4,211) 19.00 Outstanding as of December 31, 2021 469,473 19.00 Granted 142,820 14.08 Vested (1) (331,376) 18.54 Forfeited (11,393) 15.80 Outstanding as of December 31, 2022 269,524 $ 17.09 (1) Includes the accelerated vesting of 155,937 shares in accordance with an executive severance event described in Note 13 - Related Party Transactions — Operating Expense Reimbursements. The expense associated with the accelerated stock vesting was approximately $2.6 million, and is included in stock compensation in the Company’s consolidated statements of operations and comprehensive income (loss). |
Organization (Details)
Organization (Details) - USD ($) $ / shares in Units, $ in Millions | Jun. 21, 2021 | Dec. 31, 2022 | Dec. 31, 2021 |
Subsidiary, Sale of Stock [Line Items] | |||
Common stock, par value (USD per share) | $ 0.01 | $ 0.01 | |
IPO | |||
Subsidiary, Sale of Stock [Line Items] | |||
Stock issued in sale (shares) | 7,200,000 | ||
Sale of stock, price (USD per share) | $ 19 | ||
Sale of stock, consideration received | $ 136.8 | ||
IPO | Sale of Common Stock | Affiliates | |||
Subsidiary, Sale of Stock [Line Items] | |||
Sale of stock, price (USD per share) | $ 19 | ||
Sale of stock, consideration received | $ 6 | ||
Underwriting discounts and commissions | 8.2 | ||
Expenses incurred in connection with the IPO | $ 4.4 | ||
Private Placement | |||
Subsidiary, Sale of Stock [Line Items] | |||
Stock issued in sale (shares) | 2,105,263 | ||
Sale of stock, price (USD per share) | $ 19 | ||
Sale of stock, consideration received | $ 40 |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 USD ($) segment | Dec. 31, 2021 USD ($) | |
Subsidiary, Sale of Stock [Line Items] | ||
Unrealized appreciation on TBAs and interest rate futures contracts - at fair value | $ 14,756 | $ 2,428 |
Other assets | $ 1,310 | 2,878 |
Number of operating segments | segment | 1 | |
Number of reportable segments | segment | 1 | |
Revision of Prior Period, Reclassification, Adjustment | ||
Subsidiary, Sale of Stock [Line Items] | ||
Unrealized appreciation on TBAs and interest rate futures contracts - at fair value | 2,400 | |
Other assets | $ (2,400) |
Variable Interest Entities - Na
Variable Interest Entities - Narrative (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Variable Interest Entity [Line Items] | ||
Proceeds from securitizations | $ 675,359 | $ 679,685 |
VIE - Primary Beneficiary | Residential mortgage loans in securitization trust, at fair value | ||
Variable Interest Entity [Line Items] | ||
Proceeds from securitizations | $ 722,300 | $ 703,500 |
Variable Interest Entities - Co
Variable Interest Entities - Consolidated Balance Sheet related to this consolidated VIE (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Residential mortgage loans in securitization trust, at fair value | ||
ASSETS | ||
Fair value | $ 1,027,442 | $ 667,365 |
VIE - Primary Beneficiary | ||
ASSETS | ||
Accrued interest receivable | 1,995 | 1,728 |
LIABILITIES | ||
Non-recourse securitization obligations, collateralized by residential mortgage loans - principal balance, amortized cost | 474,070 | 619,108 |
Less: debt issuance costs capitalized | (1,145) | (2,551) |
Non-recourse securitization obligations, collateralized by residential mortgage loans, amortized cost, net | 472,925 | 616,557 |
Non-recourse securitization obligations, collateralized by residential mortgage loans - principal balance, subject to fair value adjustment | 611,114 | 0 |
Fair value adjustment | (80,554) | 0 |
Non-recourse securitization obligations, collateralized by residential mortgage loans - at fair value, net | 530,560 | 0 |
Total non-recourse securitization obligations, collateralized by residential mortgage loans, net | 1,003,485 | 616,557 |
VIE - Primary Beneficiary | Residential mortgage loans in securitization trust, at fair value | ||
ASSETS | ||
Residential mortgage loans in securitization trusts - cost | 1,193,879 | 665,510 |
Fair value adjustment | (166,437) | 1,855 |
Fair value | $ 1,027,442 | $ 667,365 |
Variable Interest Entities - In
Variable Interest Entities - Income and expense amounts related to the consolidated VIE (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Variable Interest Entity [Line Items] | ||
Interest income | $ 115,544 | $ 60,555 |
Interest expense, non-recourse liabilities | (63,024) | (11,476) |
NET INTEREST INCOME | 52,520 | 49,079 |
VIE - Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Interest income | 48,443 | 7,933 |
Interest expense, non-recourse liabilities | (26,223) | (1,792) |
NET INTEREST INCOME | 22,220 | 6,141 |
Net unrealized loss on mortgage loans in securitization trusts - at fair value | (168,292) | (1,308) |
Unrealized gain on mark-to-market of non-recourse securitization obligation - at fair value | 80,554 | 0 |
Securitization expenses | (3,137) | 0 |
Realized losses and operating expenses | (1,525) | (86) |
Net income (loss) from consolidated VIEs | $ (70,180) | $ 4,747 |
Residential Mortgage Loans - Su
Residential Mortgage Loans - Summary (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 USD ($) loan | Dec. 31, 2021 USD ($) loan | |
Warehouse Financing Debt | ||
Financing Receivables [Abstract] | ||
Repayment of debt | $ 221,200 | |
Residential mortgage loans | ||
Financing Receivables [Abstract] | ||
Cost | 886,661 | $ 1,063,146 |
Unpaid principal balance | 864,171 | 1,022,461 |
Net premium on mortgage loans purchased | 22,489 | 40,685 |
Change in fair value | (115,678) | (1,234) |
Fair value | $ 770,982 | $ 1,061,912 |
Weighted average interest rate (as a percent) | 4.80% | 4.49% |
Weighted average remaining maturity (years) | 30 years | 30 years |
Financing Receivables, Past Due [Abstract] | ||
Number of mortgage loans 90 or more days past due | loan | 11 | 8 |
Recorded investment in mortgage loans 90 or more days past due | $ 7,230 | $ 3,241 |
Unpaid principal balance of loans 90 or more days past due | $ 7,043 | $ 3,100 |
Number of mortgage loans in foreclosure | loan | 2 | 7 |
Recorded investment in mortgage loans in foreclosure | $ 820 | $ 2,125 |
Unpaid principal balance of loans in foreclosure | 849 | $ 2,113 |
Residential mortgages sold | ||
Financing Receivables [Abstract] | ||
Cost | $ 315,600 | |
Weighted average interest rate (as a percent) | 4.50% | |
Proceeds from sales of mortgages | $ 252,700 |
Commercial Mortgage Loans - Sum
Commercial Mortgage Loans - Summary (Details) - Commercial mortgage loans - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Cost | $ 9,928 | $ 18,641 |
Unpaid principal balance | 9,928 | 18,698 |
Net discount on mortgage loans purchased | 0 | (51) |
Change in fair value | (470) | 17 |
Fair value | $ 9,458 | $ 18,664 |
Weighted average interest rate (as a percent) | 7.03% | 6.25% |
Weighted average remaining maturity (years) | 8 years | 8 years |
Commercial Mortgage Loans - Nar
Commercial Mortgage Loans - Narrative (Details) - Commercial mortgage loans $ in Millions | 12 Months Ended | |
Dec. 31, 2022 USD ($) loan | Dec. 31, 2021 loan | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | ||
Number of mortgage loans 90 or more days past due | loan | 0 | 1 |
Unpaid principal balance sold | $ 11.2 | |
Market value | 10.5 | |
Cash proceeds | $ 11 |
Investment Securities - Schedul
Investment Securities - Schedule of Investments Securities at Cost (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Debt Securities, Available-for-sale [Line Items] | ||
Due to broker | $ 1,006,022 | $ 0 |
Total RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Cost of mortgage-backed securities | 1,075,944 | 482,824 |
CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Cost of mortgage-backed securities | $ 6,329 | $ 10,875 |
Investment Securities - Sched_2
Investment Securities - Schedule of Investments in RMBS and CMBS (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | $ (52,544) | $ (609,251) |
Due to broker | 1,006,022 | 0 |
Senior | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | (4,089) | |
Mezzanine | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | (1,470) | (1,631) |
Subordinate | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | (24,982) | 0 |
Interest Only/Excess | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | (1,506) | 0 |
Retained RMBS in VIEs | VIE - Primary Beneficiary | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | (24,586) | |
Retained RMBS in VIEs | VIE - Primary Beneficiary | Consolidation, Eliminations | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | 110,500 | |
Total AOMT RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | (52,544) | (5,720) |
Subordinate | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | 0 | |
Interest Only/Excess | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | 0 | |
Total Other Non-Agency RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | 0 | |
Fannie Mae | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | 0 | (267,286) |
Freddie Mac | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | 0 | (87,495) |
Whole Pool Total Agency RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | 0 | (354,781) |
Total RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | (52,544) | (360,501) |
Subordinate | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | 0 | 0 |
Interest Only/Excess | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | 0 | 0 |
Total AOMT CMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Amount Outstanding | 0 | 0 |
Senior | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 3,076 | |
Allocated Capital | (1,013) | |
Mezzanine | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 1,958 | 2,178 |
Allocated Capital | 488 | 547 |
Subordinate | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 49,578 | 80,058 |
Allocated Capital | 24,596 | 80,058 |
Interest Only/Excess | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 10,424 | 15,052 |
Allocated Capital | 8,918 | 15,052 |
Retained RMBS in VIEs | VIE - Primary Beneficiary | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 0 | |
Allocated Capital | (24,586) | |
Total AOMT RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 61,960 | 100,364 |
Allocated Capital | 9,416 | 94,644 |
Subordinate | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 10,292 | |
Allocated Capital | 10,292 | |
Interest Only/Excess | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 2,923 | |
Allocated Capital | 2,923 | |
Total Other Non-Agency RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 13,215 | |
Allocated Capital | 13,215 | |
Fannie Mae | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 501,458 | 281,225 |
Allocated Capital | 501,458 | 13,939 |
Freddie Mac | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 491,920 | 90,830 |
Allocated Capital | 491,920 | 3,335 |
Whole Pool Total Agency RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 993,378 | 372,055 |
Allocated Capital | 993,378 | 17,274 |
Total RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 1,055,338 | 485,634 |
Amount Outstanding | (52,544) | (360,501) |
Allocated Capital | 1,002,794 | 125,133 |
Subordinate | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 2,901 | 7,993 |
Allocated Capital | 2,901 | 7,993 |
Interest Only/Excess | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 3,210 | 2,763 |
Allocated Capital | 3,210 | 2,763 |
Total AOMT CMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Real Estate Securities at Fair Value | 6,111 | 10,756 |
Allocated Capital | $ 6,111 | $ 10,756 |
Investment Securities - U.S. Tr
Investment Securities - U.S. Treasury Securities (Details) - U.S Treasury Securities - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2021 | Dec. 31, 2022 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Face Value | $ 250,000 | |
Unamortized Discount, net | 0 | |
Amortized Cost | 250,000 | |
Unrealized Loss | (1) | |
Fair Value | $ 249,999 | $ 0 |
Net Effective Yield | 0.023% |
Notes Payable - Summary (Detail
Notes Payable - Summary (Details) | 12 Months Ended | |||||||||||
Dec. 19, 2022 USD ($) | Oct. 04, 2022 USD ($) lender | Mar. 06, 2022 USD ($) | Feb. 04, 2022 | Feb. 03, 2022 | Jan. 01, 2022 | Dec. 31, 2021 USD ($) | Dec. 31, 2022 USD ($) | Dec. 31, 2021 USD ($) | Aug. 04, 2022 USD ($) | Apr. 13, 2022 USD ($) | Mar. 07, 2022 USD ($) | |
Debt Instrument [Line Items] | ||||||||||||
Drawn Amount | $ 853,408,000 | $ 639,870,000 | $ 853,408,000 | |||||||||
Restricted cash | 11,508,000 | 10,589,000 | 11,508,000 | |||||||||
Securities sold under agreements to repurchase | 609,251,000 | 52,544,000 | 609,251,000 | |||||||||
Proceeds from securitizations | $ 675,359,000 | 679,685,000 | ||||||||||
Multinational Bank 2 | Minimum | SOFR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 1.95% | |||||||||||
Multinational Bank 2 | Maximum | SOFR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 2% | |||||||||||
Global Investment Bank 1 | Minimum | SOFR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 1.70% | |||||||||||
Global Investment Bank 1 | Maximum | SOFR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 3.50% | |||||||||||
Global Investment Bank 2 | Minimum | SOFR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 2.20% | |||||||||||
Global Investment Bank 2 | Maximum | SOFR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 3.45% | |||||||||||
Institutional Investors A and B | Master Repurchase Agreements | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Number of affiliated institutional investors | lender | 2 | |||||||||||
Securities sold under agreements to repurchase | $ 168,700,000 | |||||||||||
Proceeds from securitizations | $ 239,300,000 | |||||||||||
Regional Bank 1 | Minimum | SOFR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 2.50% | |||||||||||
Regional Bank 1 | Maximum | SOFR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 3.50% | |||||||||||
Notes Payable to Banks | Line of Credit | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Drawn Amount | 853,408,000 | $ 639,870,000 | 853,408,000 | |||||||||
Maximum borrowing capacity | 1,212,832,000 | |||||||||||
Available Financing | 572,962,000 | |||||||||||
Notes Payable to Banks | Line of Credit | Multinational Bank 1 | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Drawn Amount | 352,038,000 | |||||||||||
Maximum borrowing capacity | 600,000,000 | $ 340,000,000 | ||||||||||
Maximum line of credit increase | $ 260,000,000 | |||||||||||
Maximum facility limit | $ 600,000,000 | |||||||||||
Available Financing | $ 247,962,000 | |||||||||||
Notes Payable to Banks | Line of Credit | Multinational Bank 1 | SOFR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 1.95% | |||||||||||
Notes Payable to Banks | Line of Credit | Multinational Bank 2 | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Drawn Amount | 362,899,000 | 362,899,000 | ||||||||||
Notes Payable to Banks | Line of Credit | Global Investment Bank 1 | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Drawn Amount | 103,149,000 | 103,149,000 | ||||||||||
Notes Payable to Banks | Line of Credit | Global Investment Bank 2 | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Drawn Amount | 231,981,000 | $ 0 | 231,981,000 | |||||||||
Maximum borrowing capacity | 250,000,000 | |||||||||||
Available Financing | 250,000,000 | |||||||||||
Notes Payable to Banks | Line of Credit | Global Investment Bank 2 | SOFR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 0% | |||||||||||
Notes Payable to Banks | Line of Credit | Global Investment Bank 2 | Minimum | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 2.20% | |||||||||||
Notes Payable to Banks | Line of Credit | Global Investment Bank 2 | Minimum | LIBOR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 2% | |||||||||||
Notes Payable to Banks | Line of Credit | Global Investment Bank 2 | Maximum | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 3.45% | |||||||||||
Notes Payable to Banks | Line of Credit | Global Investment Bank 2 | Maximum | LIBOR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 3.25% | |||||||||||
Notes Payable to Banks | Line of Credit | Global Investment Bank 3 | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Drawn Amount | $ 109,283,000 | 119,137,000 | 109,283,000 | |||||||||
Maximum borrowing capacity | $ 286,000,000 | 119,137,000 | ||||||||||
Restricted cash | 1,700,000 | |||||||||||
Available Financing | $ 0 | |||||||||||
Notes Payable to Banks | Line of Credit | Global Investment Bank 3 | SOFR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 2.80% | 0.20% | 2.80% | |||||||||
Variable rate increase | 0.50% | |||||||||||
Notes Payable to Banks | Line of Credit | Global Investment Bank 3 | LIBOR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 2.25% | |||||||||||
Notes Payable to Banks | Line of Credit | Institutional Investors A and B | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Drawn Amount | $ 168,695,000 | |||||||||||
Maximum borrowing capacity | 168,695,000 | |||||||||||
Available Financing | $ 0 | |||||||||||
Notes Payable to Banks | Line of Credit | Institutional Investors A and B | SOFR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 3.50% | |||||||||||
Notes Payable to Banks | Line of Credit | Regional Bank 1 | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Drawn Amount | $ 34,838,000 | $ 0 | 34,838,000 | |||||||||
Maximum borrowing capacity | $ 50,000,000 | 75,000,000 | $ 75,000,000 | |||||||||
Available Financing | $ 75,000,000 | |||||||||||
Notes Payable to Banks | Line of Credit | Regional Bank 1 | Minimum | LIBOR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 2.50% | |||||||||||
Notes Payable to Banks | Line of Credit | Regional Bank 1 | Maximum | LIBOR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 3.13% | |||||||||||
Notes Payable to Banks | Line of Credit | Regional Bank 2 | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Drawn Amount | 11,258,000 | 11,258,000 | ||||||||||
Notes Payable to Banks | Line of Credit | Regional Bank 2 | SOFR | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Interest Rate Spread (as a percent) | 2.41% | |||||||||||
Collateral Pledged | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Restricted cash | $ 0 | $ 5,600,000 | $ 0 | |||||||||
Collateral Pledged | Institutional Investors A and B | Master Repurchase Agreements | ||||||||||||
Debt Instrument [Line Items] | ||||||||||||
Restricted cash | $ 3,800,000 |
Securities Sold Under Agreeme_3
Securities Sold Under Agreements to Repurchase - Narratives (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Restricted Cash | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Margin cash collateral | $ 3.9 | $ 4.9 |
Securities Sold Under Agreeme_4
Securities Sold Under Agreements to Repurchase - Summary (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Amount Outstanding | $ 52,544 | $ 609,251 |
Weighted Average Interest Rate (as a percent) | 6.07% | 0.15% |
Weighted Average Remaining Maturity (Days) | 13 days | 13 days |
U.S Treasury Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Amount Outstanding | $ 248,750 | |
Weighted Average Interest Rate (as a percent) | 0.12% | |
Weighted Average Remaining Maturity (Days) | 6 days | |
Total RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Amount Outstanding | $ 52,544 | $ 360,501 |
Weighted Average Interest Rate (as a percent) | 6.07% | 0.16% |
Weighted Average Remaining Maturity (Days) | 13 days | 18 days |
Due to Broker (Details)
Due to Broker (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Broker-Dealer [Abstract] | ||
Due to broker | $ 1,006,022 | $ 0 |
Derivative Financial Instrume_3
Derivative Financial Instruments - Narrative (Details) - USD ($) | Dec. 31, 2022 | Dec. 31, 2021 |
Derivative [Line Items] | ||
Restricted cash | $ 10,589,000 | $ 11,508,000 |
TBAs | ||
Derivative [Line Items] | ||
Restricted cash | 0 | 2,300,000 |
Interest rate futures | ||
Derivative [Line Items] | ||
Restricted cash | $ 1,100,000 | $ 4,300,000 |
Derivative Financial Instrume_4
Derivative Financial Instruments - Derivative Instruments Presented on the Balance Sheet and Notional Amounts (Details) $ in Thousands | Dec. 31, 2022 USD ($) contract | Dec. 31, 2021 USD ($) contract |
Derivative [Line Items] | ||
Assets | $ 14,756 | $ 2,428 |
Derivatives Not Designated as Hedging Instruments | Interest rate futures | ||
Derivative [Line Items] | ||
Number of Contracts | contract | 4,928 | 10,438 |
Assets | $ 2,211 | $ 0 |
Liabilities | 0 | (728) |
Derivatives Not Designated as Hedging Instruments | TBAs | ||
Derivative [Line Items] | ||
Assets | 12,545 | 2,428 |
Liabilities | 0 | 0 |
Derivatives Not Designated as Hedging Instruments | Long Exposure | Interest rate futures | ||
Derivative [Line Items] | ||
Notional Amounts | 0 | 0 |
Derivatives Not Designated as Hedging Instruments | Long Exposure | TBAs | ||
Derivative [Line Items] | ||
Notional Amounts | 0 | 0 |
Derivatives Not Designated as Hedging Instruments | Short Exposure | Interest rate futures | ||
Derivative [Line Items] | ||
Notional Amounts | 492,800 | 1,043,800 |
Derivatives Not Designated as Hedging Instruments | Short Exposure | TBAs | ||
Derivative [Line Items] | ||
Notional Amounts | $ 1,041,700 | $ 523,938 |
Derivative Financial Instrume_5
Derivative Financial Instruments - Gains and Losses Arising from Derivative Instruments (Details) - Derivatives Not Designated as Hedging Instruments - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Interest rate futures | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) on Derivative Instruments | $ 67,767 | $ 13,253 |
Net Change in Unrealized Appreciation (Depreciation) on Derivative Instruments | 2,939 | (530) |
TBAs | ||
Derivative [Line Items] | ||
Net Realized Gains (Losses) on Derivative Instruments | 7,295 | (3,691) |
Net Change in Unrealized Appreciation (Depreciation) on Derivative Instruments | $ 10,117 | $ 2,428 |
Fair Value Measurements - Finan
Fair Value Measurements - Financial Assets and Liabilities Measured at Fair Value (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Assets, at fair value | ||
Unrealized appreciation | $ 14,756 | $ 2,428 |
Total assets, at fair value | 2,884,087 | 2,496,758 |
Liabilities, at fair value | ||
Non-recourse securitization obligation, collateralized by residential mortgage loans | 530,560 | |
Total liabilities, at fair value | 530,560 | 728 |
Non-Agency RMBS | ||
Assets, at fair value | ||
Fair Value | 61,960 | 113,579 |
Agency whole pool loan securities | ||
Assets, at fair value | ||
Fair Value | 993,378 | 372,055 |
AOMT CMBS | ||
Assets, at fair value | ||
Fair Value | 6,111 | 10,756 |
Unrealized appreciation on futures contracts | ||
Assets, at fair value | ||
Unrealized appreciation | 2,211 | |
Liabilities, at fair value | ||
Unrealized depreciation on futures contracts | 728 | |
U.S Treasury Securities | ||
Assets, at fair value | ||
Fair Value | 0 | 249,999 |
Unrealized appreciation on TBAs | ||
Assets, at fair value | ||
Unrealized appreciation | 12,545 | 2,428 |
Residential mortgage loans | ||
Assets, at fair value | ||
Assets, at fair value | 770,982 | 1,061,912 |
Residential mortgage loans in securitization trusts | ||
Assets, at fair value | ||
Assets, at fair value | 1,027,442 | |
Commercial mortgage loans | ||
Assets, at fair value | ||
Assets, at fair value | 9,458 | 18,664 |
Residential mortgage loans in securitization trust, at fair value | ||
Assets, at fair value | ||
Assets, at fair value | 667,365 | |
Level 1 | ||
Assets, at fair value | ||
Total assets, at fair value | 14,756 | 252,427 |
Liabilities, at fair value | ||
Non-recourse securitization obligation, collateralized by residential mortgage loans | 0 | |
Total liabilities, at fair value | 0 | 728 |
Level 1 | Non-Agency RMBS | ||
Assets, at fair value | ||
Fair Value | 0 | 0 |
Level 1 | Agency whole pool loan securities | ||
Assets, at fair value | ||
Fair Value | 0 | 0 |
Level 1 | AOMT CMBS | ||
Assets, at fair value | ||
Fair Value | 0 | 0 |
Level 1 | Unrealized appreciation on futures contracts | ||
Assets, at fair value | ||
Unrealized appreciation | 2,211 | |
Liabilities, at fair value | ||
Unrealized depreciation on futures contracts | 728 | |
Level 1 | U.S Treasury Securities | ||
Assets, at fair value | ||
Fair Value | 249,999 | |
Level 1 | Unrealized appreciation on TBAs | ||
Assets, at fair value | ||
Unrealized appreciation | 12,545 | 2,428 |
Level 1 | Residential mortgage loans | ||
Assets, at fair value | ||
Assets, at fair value | 0 | 0 |
Level 1 | Residential mortgage loans in securitization trusts | ||
Assets, at fair value | ||
Assets, at fair value | 0 | |
Level 1 | Commercial mortgage loans | ||
Assets, at fair value | ||
Assets, at fair value | 0 | 0 |
Level 1 | Residential mortgage loans in securitization trust, at fair value | ||
Assets, at fair value | ||
Assets, at fair value | 0 | |
Level 2 | ||
Assets, at fair value | ||
Total assets, at fair value | 2,853,379 | 2,237,212 |
Liabilities, at fair value | ||
Non-recourse securitization obligation, collateralized by residential mortgage loans | 530,560 | |
Total liabilities, at fair value | 530,560 | 0 |
Level 2 | Non-Agency RMBS | ||
Assets, at fair value | ||
Fair Value | 61,960 | 113,579 |
Level 2 | Agency whole pool loan securities | ||
Assets, at fair value | ||
Fair Value | 993,378 | 372,055 |
Level 2 | AOMT CMBS | ||
Assets, at fair value | ||
Fair Value | 6,111 | 10,756 |
Level 2 | Unrealized appreciation on futures contracts | ||
Assets, at fair value | ||
Unrealized appreciation | 0 | |
Liabilities, at fair value | ||
Unrealized depreciation on futures contracts | 0 | |
Level 2 | U.S Treasury Securities | ||
Assets, at fair value | ||
Fair Value | 0 | |
Level 2 | Unrealized appreciation on TBAs | ||
Assets, at fair value | ||
Unrealized appreciation | 0 | 0 |
Level 2 | Residential mortgage loans | ||
Assets, at fair value | ||
Assets, at fair value | 763,786 | 1,056,875 |
Level 2 | Residential mortgage loans in securitization trusts | ||
Assets, at fair value | ||
Assets, at fair value | 1,018,686 | |
Level 2 | Commercial mortgage loans | ||
Assets, at fair value | ||
Assets, at fair value | 9,458 | 18,145 |
Level 2 | Residential mortgage loans in securitization trust, at fair value | ||
Assets, at fair value | ||
Assets, at fair value | 665,802 | |
Level 3 | ||
Assets, at fair value | ||
Total assets, at fair value | 15,952 | 7,119 |
Liabilities, at fair value | ||
Non-recourse securitization obligation, collateralized by residential mortgage loans | 0 | |
Total liabilities, at fair value | 0 | 0 |
Level 3 | Non-Agency RMBS | ||
Assets, at fair value | ||
Fair Value | 0 | 0 |
Level 3 | Agency whole pool loan securities | ||
Assets, at fair value | ||
Fair Value | 0 | 0 |
Level 3 | AOMT CMBS | ||
Assets, at fair value | ||
Fair Value | 0 | 0 |
Level 3 | Unrealized appreciation on futures contracts | ||
Assets, at fair value | ||
Unrealized appreciation | 0 | |
Liabilities, at fair value | ||
Unrealized depreciation on futures contracts | 0 | |
Level 3 | U.S Treasury Securities | ||
Assets, at fair value | ||
Fair Value | 0 | |
Level 3 | Unrealized appreciation on TBAs | ||
Assets, at fair value | ||
Unrealized appreciation | 0 | 0 |
Level 3 | Residential mortgage loans | ||
Assets, at fair value | ||
Assets, at fair value | 7,196 | 5,037 |
Level 3 | Residential mortgage loans in securitization trusts | ||
Assets, at fair value | ||
Assets, at fair value | 8,756 | |
Level 3 | Commercial mortgage loans | ||
Assets, at fair value | ||
Assets, at fair value | 0 | 519 |
Level 3 | Residential mortgage loans in securitization trust, at fair value | ||
Assets, at fair value | ||
Assets, at fair value | $ 8,756 | $ 1,563 |
Fair Value Measurements - Signi
Fair Value Measurements - Significant Level 3 Inputs (Details) $ in Thousands | Dec. 31, 2022 USD ($) | Dec. 31, 2021 USD ($) year |
Residential mortgage loans | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, at fair value | $ 770,982 | $ 1,061,912 |
Residential mortgage loans in securitization trust, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, at fair value | 667,365 | |
Commercial mortgage loans | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, at fair value | 9,458 | 18,664 |
Level 3 | Residential mortgage loans | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, at fair value | $ 7,196 | $ 5,037 |
Level 3 | Residential mortgage loans | Minimum | Prepayment rate (annual CPR) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.0492 | 0 |
Level 3 | Residential mortgage loans | Minimum | Default rate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.0456 | 0 |
Level 3 | Residential mortgage loans | Minimum | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | (0.0025) | (0.2031) |
Level 3 | Residential mortgage loans | Minimum | Expected remaining life | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.62 | 0.04 |
Level 3 | Residential mortgage loans | Maximum | Prepayment rate (annual CPR) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.1499 | 0.2085 |
Level 3 | Residential mortgage loans | Maximum | Default rate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.2436 | 0.3732 |
Level 3 | Residential mortgage loans | Maximum | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.1254 | 0.3635 |
Level 3 | Residential mortgage loans | Maximum | Expected remaining life | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 3.43 | 2.75 |
Level 3 | Residential mortgage loans | Average | Prepayment rate (annual CPR) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.0939 | 0.0689 |
Level 3 | Residential mortgage loans | Average | Default rate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.1143 | 0.1305 |
Level 3 | Residential mortgage loans | Average | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.0784 | 0.0089 |
Level 3 | Residential mortgage loans | Average | Expected remaining life | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 2.75 | 1.72 |
Level 3 | Residential mortgage loans in securitization trust, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, at fair value | $ 8,756 | $ 1,563 |
Level 3 | Residential mortgage loans in securitization trust, at fair value | Minimum | Prepayment rate (annual CPR) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.0324 | 0 |
Level 3 | Residential mortgage loans in securitization trust, at fair value | Minimum | Default rate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.0742 | 0 |
Level 3 | Residential mortgage loans in securitization trust, at fair value | Minimum | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0 | (0.2031) |
Level 3 | Residential mortgage loans in securitization trust, at fair value | Minimum | Expected remaining life | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 1.42 | 0.04 |
Level 3 | Residential mortgage loans in securitization trust, at fair value | Maximum | Prepayment rate (annual CPR) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.1455 | 0.2085 |
Level 3 | Residential mortgage loans in securitization trust, at fair value | Maximum | Default rate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.3578 | 0.3732 |
Level 3 | Residential mortgage loans in securitization trust, at fair value | Maximum | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.1000 | 0.3635 |
Level 3 | Residential mortgage loans in securitization trust, at fair value | Maximum | Expected remaining life | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 3.72 | 2.75 |
Level 3 | Residential mortgage loans in securitization trust, at fair value | Average | Prepayment rate (annual CPR) | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.0784 | 0.0689 |
Level 3 | Residential mortgage loans in securitization trust, at fair value | Average | Default rate | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.1907 | 0.1305 |
Level 3 | Residential mortgage loans in securitization trust, at fair value | Average | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 0.0923 | 0.0089 |
Level 3 | Residential mortgage loans in securitization trust, at fair value | Average | Expected remaining life | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-sale, measurement input | 2.32 | 1.72 |
Level 3 | Commercial mortgage loans | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, at fair value | $ 0 | $ 519 |
Level 3 | Commercial mortgage loans | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-investment, measurement input | (0.2500) | |
Level 3 | Commercial mortgage loans | Minimum | Sale or Liquidation timeline | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-investment, measurement input | 39 | |
Level 3 | Commercial mortgage loans | Maximum | Sale or Liquidation timeline | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-investment, measurement input | 50 | |
Level 3 | Commercial mortgage loans | Average | Loss severity | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held-for-investment, measurement input | (0.2500) |
Fair Value Measurements - Narra
Fair Value Measurements - Narrative (Details) $ in Millions | Dec. 31, 2022 USD ($) |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Amortized cost of non-recourse securitization obligations | $ 1,100 |
Fair value of non-recourse securitization obligations | 914.3 |
Difference between amortized cost and fair value of non-recourse securitization obligations | 170.9 |
Residential mortgage loans in securitization trust, at fair value | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Difference between amortized cost and fair value of non-recourse securitization obligations | $ 90.3 |
Income Taxes - Schedule of Inco
Income Taxes - Schedule of Income Tax Provision (Benefit) (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Current | ||
Federal | $ 0 | $ 1,249 |
State | 0 | 351 |
Total current income tax expense | 0 | 1,600 |
Deferred | ||
Federal | (2,691) | 0 |
State | (766) | 0 |
Total deferred income tax expense (benefit) | (3,457) | 0 |
Income tax expense (benefit) | $ (3,457) | $ 1,600 |
Income Taxes - Schedule of Defe
Income Taxes - Schedule of Deferred Tax Assets (Details) - USD ($) | Dec. 31, 2022 | Dec. 31, 2021 |
Income Tax Disclosure [Abstract] | ||
Net operating loss | $ 41,583,000 | |
Valuation allowance | (38,126,000) | |
Total DTA | $ 3,457,000 | $ 0 |
Income Taxes - Schedule of Effe
Income Taxes - Schedule of Effective Income Tax Rate Reconciliation (Details) | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Income Tax Disclosure [Abstract] | ||
Federal statutory rate | (21.00%) | (21.00%) |
State statutory rate, net of federal tax effect | (5.98%) | (4.49%) |
Change in valuation allowance | (21.58%) | 0% |
Non-taxable REIT income | 3.44% | 19.45% |
Total provision | (1.96%) | (6.04%) |
Related Party Transactions - Fi
Related Party Transactions - Financial Information on Whole Loans Purchased from Affiliates (Details) - Affiliates - Loans Purchased from Affiliates $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 USD ($) loan | Dec. 31, 2021 USD ($) loan | |
Residential mortgage loans | ||
Related Party Transaction [Line Items] | ||
Amount of Loans Purchased from Affiliates during the Year | $ | $ 567,324 | $ 909,442 |
Number of Loans Purchased from Affiliates during the Year | 1,141 | 1,959 |
Number of loans purchased from related parties owned and held | 845 | 754 |
Commercial mortgage loans | ||
Related Party Transaction [Line Items] | ||
Amount of Loans Purchased from Affiliates during the Year | $ | $ 0 | $ 0 |
Number of Loans Purchased from Affiliates during the Year | 0 | 0 |
Number of loans purchased from related parties owned and held | 4 | 5 |
Related Party Transactions - Na
Related Party Transactions - Narrative (Details) | Jun. 21, 2021 USD ($) calendarQuarter $ / shares | Sep. 28, 2022 USD ($) | Jun. 20, 2021 |
IPO | |||
Related Party Transaction [Line Items] | |||
Sale of stock, consideration received | $ 136,800,000 | ||
Sale of stock, price (USD per share) | $ / shares | $ 19 | ||
Affiliates | Management Agreement | |||
Related Party Transaction [Line Items] | |||
Fixed management fee per annum (as a percent) | 1.50% | 1.50% | |
Minimum incentive fee | $ 0 | ||
Incentive fee (as a percent) | 15% | ||
Period for determining incentive fee by Distributed Earnings | 12 months | ||
Period for determining incentive fee by Equity | 12 months | ||
Incentive fee per annum (as a percent) | 8% | ||
Incentive fee, number of quarters | calendarQuarter | 3 | ||
Period for determining incentive fee | 12 months | ||
Affiliates | Sale of Common Stock | IPO | |||
Related Party Transaction [Line Items] | |||
Sale of stock, consideration received | $ 6,000,000 | ||
Sale of stock, price (USD per share) | $ / shares | $ 19 | ||
Underwriting discounts and commissions | $ 8,200,000 | ||
Expenses incurred in connection with the IPO | $ 4,400,000 | ||
Chief Executive Officer and President | |||
Related Party Transaction [Line Items] | |||
Severance charge | $ 1,400,000 |
Equity and Earnings per Share_3
Equity and Earnings per Share ("EPS") - Narrative (Details) | 12 Months Ended |
Dec. 31, 2022 shares | |
Restricted Stock Awards | |
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | |
Antidilutive securities excluded from computation of earnings per share (shares) | 269,524 |
PSUs | |
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | |
Antidilutive securities excluded from computation of earnings per share (shares) | 56,978 |
Equity and Earnings per Share_4
Equity and Earnings per Share ("EPS") - Calculation of Earnings per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Basic Earnings per Common Share: | ||
Net income allocable to common stockholders | $ (187,847) | $ 21,098 |
Basic weighted average common shares outstanding (shares) | 24,547,916 | 20,601,964 |
Basic earnings per common share (USD per share) | $ (7.65) | $ 1.02 |
Diluted Earnings per Common Share: | ||
Net income allocable to common stockholders | $ (187,847) | $ 21,098 |
Net effect of dilutive equity awards (shares) | 0 | 250,590 |
Diluted weighted average common shares outstanding (shares) | 24,547,916 | 20,852,554 |
Diluted earnings per common share (USD per share) | $ (7.65) | $ 1.01 |
Equity Compensation Plans - Nar
Equity Compensation Plans - Narrative (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||||
Jul. 01, 2022 | Dec. 31, 2022 | Dec. 31, 2021 | Jun. 21, 2021 | Dec. 31, 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Compensation costs | $ 5,753 | $ 1,715 | |||
2021 Equity Incentive Plan | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Stock available for grant under Equity Incentive Plan (shares) | 1,465,967 | 2,125,000 | |||
Compensation costs | $ 5,800 | $ 1,800 | |||
PSUs | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Remained outstanding (in shares) | 56,978 | ||||
Forfeited (in shares) | 44,738 | ||||
Granted (in shares) | 101,716 | ||||
Granted (USD per share) | $ 13.41 | ||||
PSUs | June 30, 2025 | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award, Award Vesting Rights, Percentage | 50% | ||||
PSUs | June 30, 2026 | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Share-Based Compensation Arrangement by Share-Based Payment Award, Award Vesting Rights, Percentage | 50% | ||||
Restricted Stock Awards | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Remained outstanding (in shares) | 269,524 | 469,473 | 0 | ||
Forfeited (in shares) | 11,393 | 4,211 | |||
Granted (in shares) | 142,820 | 473,684 | |||
Granted (USD per share) | $ 14.08 | $ 19 | |||
Restricted Stock Awards | 2021 Equity Incentive Plan | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Unamortized compensation cost | $ 3,300 | ||||
Cost recognized over a weighted average period | 1 year 8 months 12 days |
Equity Compensation Plans - Res
Equity Compensation Plans - Restricted Stock Awards (Details) - USD ($) $ / shares in Units, $ in Millions | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Weighted average grant date fair market value | ||
Accelerated vesting (in shares) | 155,937 | |
Accelerated stock vesting cost | $ 2.6 | |
Restricted Stock Awards | ||
Number of awards | ||
Outstanding beginning balance (in shares) | 469,473 | 0 |
Granted (in shares) | 142,820 | 473,684 |
Vested (in shares) | (331,376) | 0 |
Forfeited (in shares) | (11,393) | (4,211) |
Outstanding ending balance (in shares) | 269,524 | 469,473 |
Weighted average grant date fair market value | ||
Outstanding beginning balance (USD per share) | $ 19 | $ 0 |
Granted (USD per share) | 14.08 | 19 |
Vested (USD per share) | 18.54 | 0 |
Forfeited (USD per share) | 15.80 | 19 |
Outstanding ending balance (USD per share) | $ 17.09 | $ 19 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Thousands | Mar. 09, 2023 | Jan. 25, 2023 | Jan. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 |
Subsequent Event [Line Items] | |||||
Securities sold under agreements to repurchase | $ 52,544 | $ 609,251 | |||
Total RMBS | |||||
Subsequent Event [Line Items] | |||||
Securities sold under agreements to repurchase | 52,544 | 360,501 | |||
Debt securities, available-for-sale | $ 1,055,338 | $ 485,634 | |||
Subsequent Event | |||||
Subsequent Event [Line Items] | |||||
Dividends declared per share of common stock (USD per share) | $ 0.32 | ||||
Subsequent Event | Multinational Bank 1 | Line of Credit | Notes Payable to Banks | |||||
Subsequent Event [Line Items] | |||||
Renewal period | six-month | ||||
Subsequent Event | Total RMBS | |||||
Subsequent Event [Line Items] | |||||
Debt securities, available-for-sale | $ 580,500 | ||||
Subsequent Event | Contributed Loans | |||||
Subsequent Event [Line Items] | |||||
Securities sold under agreements to repurchase | $ 241,300 |