(State or other jurisdiction of incorporation of organization) | (I.R.S. Employer Identification Number) | |||||||
(Address of Principal Executive Offices) | (Zip Code) |
Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered | ||||||
Class | Outstanding at October 31, 2023 | ||||
Common Stock, $0.01 par value |
PART I. FINANCIAL INFORMATION | ||||||||
ITEM 1. | ||||||||
Notes to Consolidated Financial Statements (Unaudited) | ||||||||
ITEM 2. | ||||||||
ITEM 3. | ||||||||
ITEM 4 | ||||||||
PART II. OTHER INFORMATION | ||||||||
ITEM 1. | ||||||||
ITEM 1A. | ||||||||
ITEM 2. | ||||||||
ITEM 6. | ||||||||
CHIMERA INVESTMENT CORPORATION | ||||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||||
(dollars in thousands, except share and per share data) | ||||||||
(Unaudited) | ||||||||
September 30, 2023 | December 31, 2022 | |||||||
Cash and cash equivalents | $ | $ | ||||||
Non-Agency RMBS, at fair value (net of allowance for credit losses of $ | ||||||||
Agency MBS, at fair value | ||||||||
Loans held for investment, at fair value | ||||||||
Accrued interest receivable | ||||||||
Other assets | ||||||||
Derivatives, at fair value | ||||||||
Total assets (1) | $ | $ | ||||||
Liabilities: | ||||||||
Secured financing agreements ($ | $ | $ | ||||||
Securitized debt, collateralized by Non-Agency RMBS ($ | ||||||||
Securitized debt at fair value, collateralized by Loans held for investment ($ | ||||||||
Payable for investments purchased | ||||||||
Accrued interest payable | ||||||||
Dividends payable | ||||||||
Accounts payable and other liabilities | ||||||||
Total liabilities (1) | $ | $ | ||||||
Commitments and Contingencies (See Note 15) | ||||||||
Stockholders' Equity: | ||||||||
Preferred Stock, par value of $ | ||||||||
$ | $ | |||||||
Common stock: par value $ | ||||||||
Additional paid-in-capital | ||||||||
Accumulated other comprehensive income | ||||||||
Cumulative earnings | ||||||||
Cumulative distributions to stockholders | ( | ( | ||||||
Total stockholders' equity | $ | $ | ||||||
Total liabilities and stockholders' equity | $ | $ |
CHIMERA INVESTMENT CORPORATION | |||||||||||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||||||||||
(dollars in thousands, except share and per share data) | |||||||||||||||||
(Unaudited) | |||||||||||||||||
For the Quarters Ended | For the Nine Months Ended | ||||||||||||||||
September 30, 2023 | September 30, 2022 | September 30, 2023 | September 30, 2022 | ||||||||||||||
Net interest income: | |||||||||||||||||
Interest income (1) | $ | $ | $ | $ | |||||||||||||
Interest expense (2) | |||||||||||||||||
Net interest income | |||||||||||||||||
Increase/(decrease) in provision for credit losses | ( | ||||||||||||||||
Other investment gains (losses): | |||||||||||||||||
Net unrealized gains (losses) on derivatives | |||||||||||||||||
Realized gains (losses) on derivatives | ( | ||||||||||||||||
Periodic interest cost of swaps, net | ( | ( | |||||||||||||||
Net gains (losses) on derivatives | ( | ||||||||||||||||
Net unrealized gains (losses) on financial instruments at fair value | ( | ( | ( | ||||||||||||||
Net realized gains (losses) on sales of investments | ( | ( | ( | ( | |||||||||||||
Gains (losses) on extinguishment of debt | ( | ||||||||||||||||
Other investment gains (losses) | ( | ||||||||||||||||
Total other gains (losses) | ( | ( | ( | ( | |||||||||||||
Other expenses: | |||||||||||||||||
Compensation and benefits | |||||||||||||||||
General and administrative expenses | |||||||||||||||||
Servicing and asset manager fees | |||||||||||||||||
Transaction expenses | |||||||||||||||||
Total other expenses | |||||||||||||||||
Income (loss) before income taxes | ( | ( | |||||||||||||||
Income tax expense (benefit) | |||||||||||||||||
Net income (loss) | $ | $ | ( | $ | $ | ( | |||||||||||
Dividends on preferred stock | |||||||||||||||||
Net income (loss) available to common shareholders | $ | ( | $ | ( | $ | $ | ( | ||||||||||
Net income (loss) per share available to common shareholders: | |||||||||||||||||
Basic | $ | ( | $ | ( | $ | $ | ( | ||||||||||
Diluted | $ | ( | $ | ( | $ | $ | ( | ||||||||||
Weighted average number of common shares outstanding: | |||||||||||||||||
Basic | |||||||||||||||||
Diluted | |||||||||||||||||
CHIMERA INVESTMENT CORPORATION | ||||||||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) | ||||||||||||||
(dollars in thousands, except share and per share data) | ||||||||||||||
(Unaudited) | ||||||||||||||
For the Quarters Ended | For the Nine Months Ended | |||||||||||||
September 30, 2023 | September 30, 2022 | September 30, 2023 | September 30, 2022 | |||||||||||
Comprehensive income (loss): | ||||||||||||||
Net income (loss) | $ | $ | ( | $ | $ | ( | ||||||||
Other comprehensive income: | ||||||||||||||
Unrealized gains (losses) on available-for-sale securities, net | ( | ( | ( | ( | ||||||||||
Reclassification adjustment for net realized losses (gains) included in net income | ||||||||||||||
Other comprehensive income (loss) | ( | ( | $ | ( | $ | ( | ||||||||
Comprehensive income (loss) before preferred stock dividends | $ | ( | $ | ( | $ | $ | ( | |||||||
Dividends on preferred stock | $ | $ | $ | $ | ||||||||||
Comprehensive income (loss) available to common stock shareholders | $ | ( | $ | ( | $ | ( | $ | ( |
CHIMERA INVESTMENT CORPORATION | ||||||||||||||||||||||||||||||||
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY | ||||||||||||||||||||||||||||||||
(dollars in thousands, except per share data) | ||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||
For the Quarter Ended September 30, 2023 | ||||||||||||||||||||||||||||||||
Series A Preferred Stock Par Value | Series B Preferred Stock Par Value | Series C Preferred Stock Par Value | Series D Preferred Stock Par Value | Common Stock Par Value | Additional Paid-in Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||||
Balance, June 30, 2023 | $ | $ | $ | $ | $ | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other comprehensive income (loss) | — | — | — | — | — | — | ( | — | — | ( | ||||||||||||||||||||||
Stock based compensation | — | — | — | — | — | — | — | |||||||||||||||||||||||||
Common dividends declared | — | — | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||
Preferred dividends declared | — | — | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||
Balance, September 30, 2023 | $ | $ | $ | $ | $ | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||
For the Quarter Ended September 30, 2022 | ||||||||||||||||||||||||||||||||
Series A Preferred Stock Par Value | Series B Preferred Stock Par Value | Series C Preferred Stock Par Value | Series D Preferred Stock Par Value | Common Stock Par Value | Additional Paid-in Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||||
Balance, June 30, 2022 | $ | $ | $ | $ | $ | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||
Other comprehensive income (loss) | — | — | — | — | — | — | ( | — | — | ( | ||||||||||||||||||||||
Stock based compensation | — | — | — | — | — | — | — | |||||||||||||||||||||||||
Common dividends declared | — | — | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||
Preferred dividends declared | — | — | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||
Balance, September 30, 2022 | $ | $ | $ | $ | $ | $ | $ | $ | $ | ( | $ |
For the Nine Months Ended September 30, 2023 | ||||||||||||||||||||||||||||||||
Series A Preferred Stock Par Value | Series B Preferred Stock Par Value | Series C Preferred Stock Par Value | Series D Preferred Stock Par Value | Common Stock Par Value | Additional Paid-in Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||||
Balance, December 31, 2022 | $ | $ | $ | $ | $ | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other comprehensive income (loss) | — | — | — | — | — | — | ( | — | — | ( | ||||||||||||||||||||||
Repurchase of common stock | — | — | — | ( | ( | — | — | — | ( | |||||||||||||||||||||||
Stock based compensation | — | — | — | — | — | — | ||||||||||||||||||||||||||
Common dividends declared | — | — | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||
Preferred dividends declared | — | — | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||
Balance, September 30, 2023 | $ | $ | $ | $ | $ | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||
For the Nine Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||
Series A Preferred Stock Par Value | Series B Preferred Stock Par Value | Series C Preferred Stock Par Value | Series D Preferred Stock Par Value | Common Stock Par Value | Additional Paid-in Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||||||||||
Balance, December 31, 2021 | $ | $ | $ | $ | $ | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||
Net income (loss) | — | — | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||
Other comprehensive income (loss) | — | — | — | — | — | — | ( | — | — | ( | ||||||||||||||||||||||
Repurchase of common stock | — | — | — | ( | ( | — | — | — | ( | |||||||||||||||||||||||
Stock based compensation | — | — | — | — | — | — | ||||||||||||||||||||||||||
Common dividends declared | — | — | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||
Preferred dividends declared | — | — | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||
Balance, September 30, 2022 | $ | $ | $ | $ | $ | $ | $ | $ | $ | ( | $ |
CHIMERA INVESTMENT CORPORATION | ||||||||
CONSOLIDATED STATEMENTS OF CASH FLOWS | ||||||||
(dollars in thousands) | ||||||||
(Unaudited) | ||||||||
For the Nine Months Ended | ||||||||
September 30, 2023 | September 30, 2022 | |||||||
Cash Flows From Operating Activities: | ||||||||
Net income (loss) | $ | $ | ( | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||||||||
(Accretion) amortization of investment discounts/premiums, net | ||||||||
Accretion (amortization) of deferred financing costs, debt issuance costs, and Securitized debt discounts/premiums, net | ( | |||||||
Net unrealized losses (gains) on derivatives | ( | ( | ||||||
Proceeds (payments) for derivative settlements | ( | ( | ||||||
Margin (paid) received on derivatives | ( | |||||||
Net unrealized losses (gains) on financial instruments at fair value | ( | |||||||
Net realized losses (gains) on sales of investments | ||||||||
Other investment (gains) losses | ( | ( | ||||||
Net increase (decrease) in provision for credit losses | ||||||||
(Gain) loss on extinguishment of debt | ( | |||||||
Equity-based compensation expense | ||||||||
Changes in operating assets: | ||||||||
Decrease (increase) in accrued interest receivable, net | ( | |||||||
Decrease (increase) in other assets | ( | ( | ||||||
Changes in operating liabilities: | ||||||||
Increase (decrease) in accounts payable and other liabilities | ||||||||
Increase (decrease) in accrued interest payable, net | ||||||||
Net cash provided by (used in) operating activities | $ | $ | ||||||
Cash Flows From Investing Activities: | ||||||||
Agency MBS portfolio: | ||||||||
Purchases | $ | ( | $ | ( | ||||
Sales | ||||||||
Principal payments | ||||||||
Non-Agency RMBS portfolio: | ||||||||
Purchases | ( | ( | ||||||
Sales | ||||||||
Principal payments | ||||||||
Loans held for investment: | ||||||||
Purchases | ( | ( | ||||||
Sales | ||||||||
Principal payments | ||||||||
Net cash provided by (used in) investing activities | $ | $ | ||||||
Cash Flows From Financing Activities: | ||||||||
Proceeds from secured financing agreements | $ | $ | ||||||
Payments on secured financing agreements | ( | ( | ||||||
Payments on repurchase of common stock | ( | ( | ||||||
Proceeds from securitized debt borrowings, collateralized by Loans held for investment | ||||||||
Payments on securitized debt borrowings, collateralized by Loans held for investment | ( | ( | ||||||
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS | ( | ( | ||||||
Common dividends paid | ( | ( | ||||||
Preferred dividends paid | ( | ( |
Net cash provided by (used in) financing activities | $ | ( | $ | ( | ||||
Net increase (decrease) in cash and cash equivalents | ( | ( | ||||||
Cash and cash equivalents at beginning of period | ||||||||
Cash and cash equivalents at end of period | $ | $ | ||||||
Supplemental disclosure of cash flow information: | ||||||||
Interest received | $ | $ | ||||||
Interest paid | $ | $ | ||||||
Non-cash investing activities: | ||||||||
Receivable for investments sold | $ | $ | ||||||
Payable for investments purchased | $ | $ | ||||||
Net change in unrealized gain (loss) on available-for sale securities | $ | ( | $ | ( | ||||
Transfer of investments due to consolidation | ||||||||
Loans held for investment, at fair value | $ | $ | ||||||
Securitized debt at fair value, collateralized by loans held for investment | $ | $ | ||||||
Non-Agency RMBS, at fair value | $ | $ | ( | |||||
Non-cash financing activities: | ||||||||
Dividends declared, not yet paid | $ | $ | ||||||
CHIMERA INVESTMENT CORPORATION | ||||||||||||||
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS | ||||||||||||||
September 30, 2023 | |||||||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||||||
Principal or Notional Value | Total Premium | Total Discount | Amortized Cost | Allowance for credit losses | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | |||||||||||||||||||||
Non-Agency RMBS | |||||||||||||||||||||||||||||
Senior | $ | $ | $ | ( | $ | $ | ( | $ | $ | $ | ( | $ | |||||||||||||||||
Subordinated | ( | ( | ( | ( | |||||||||||||||||||||||||
Interest-only | ( | ( | |||||||||||||||||||||||||||
Agency RMBS | |||||||||||||||||||||||||||||
Interest-only | ( | ( | |||||||||||||||||||||||||||
Agency CMBS | |||||||||||||||||||||||||||||
Project loans | ( | ( | |||||||||||||||||||||||||||
Interest-only | ( | ||||||||||||||||||||||||||||
Total | $ | $ | $ | ( | $ | $ | ( | $ | $ | $ | ( | $ |
December 31, 2022 | |||||||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||||||
Principal or Notional Value | Total Premium | Total Discount | Amortized Cost | Allowance for credit losses | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | |||||||||||||||||||||
Non-Agency RMBS | |||||||||||||||||||||||||||||
Senior | $ | $ | $ | ( | $ | $ | ( | $ | $ | $ | ( | $ | |||||||||||||||||
Subordinated | ( | ( | ( | ( | |||||||||||||||||||||||||
Interest-only | ( | ( | |||||||||||||||||||||||||||
Agency RMBS | |||||||||||||||||||||||||||||
Interest-only | ( | ( | |||||||||||||||||||||||||||
Agency CMBS | |||||||||||||||||||||||||||||
Project loans | ( | ( | ( | ||||||||||||||||||||||||||
Interest-only | ( | ( | |||||||||||||||||||||||||||
Total | $ | $ | $ | ( | $ | $ | ( | $ | $ | $ | ( | $ |
September 30, 2023 | |||||||||||||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||||||||||||
Unrealized Loss Position for Less than 12 Months | Unrealized Loss Position for 12 Months or More | Total | |||||||||||||||||||||||||||||||||
Estimated Fair Value | Unrealized Losses | Number of Positions | Estimated Fair Value | Unrealized Losses | Number of Positions | Estimated Fair Value | Unrealized Losses | Number of Positions | |||||||||||||||||||||||||||
Non-Agency RMBS | |||||||||||||||||||||||||||||||||||
Senior | $ | $ | ( | $ | $ | ( | $ | $ | ( | ||||||||||||||||||||||||||
Subordinated | ( | ( | ( | ||||||||||||||||||||||||||||||||
Interest-only | ( | ( | ( | ||||||||||||||||||||||||||||||||
Agency RMBS | |||||||||||||||||||||||||||||||||||
Interest-only | ( | ( | |||||||||||||||||||||||||||||||||
Agency CMBS | |||||||||||||||||||||||||||||||||||
Project loans | ( | ( | ( | ||||||||||||||||||||||||||||||||
Interest-only | ( | ( | ( | ||||||||||||||||||||||||||||||||
Total | $ | $ | ( | $ | $ | ( | $ | $ | ( |
December 31, 2022 | |||||||||||||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||||||||||||
Unrealized Loss Position for Less than 12 Months | Unrealized Loss Position for 12 Months or More | Total | |||||||||||||||||||||||||||||||||
Estimated Fair Value | Unrealized Losses | Number of Positions | Estimated Fair Value | Unrealized Losses | Number of Positions | Estimated Fair Value | Unrealized Losses | Number of Positions | |||||||||||||||||||||||||||
Non-Agency RMBS | |||||||||||||||||||||||||||||||||||
Senior | $ | $ | ( | $ | $ | ( | $ | $ | ( | ||||||||||||||||||||||||||
Subordinated | ( | ( | ( | ||||||||||||||||||||||||||||||||
Interest-only | ( | ( | ( | ||||||||||||||||||||||||||||||||
Agency RMBS | |||||||||||||||||||||||||||||||||||
Interest-only | ( | ( | ( | ||||||||||||||||||||||||||||||||
Agency CMBS | |||||||||||||||||||||||||||||||||||
Project loans | ( | ( | |||||||||||||||||||||||||||||||||
Interest-only | ( | ( | ( | ||||||||||||||||||||||||||||||||
Total | $ | $ | ( | $ | $ | ( | $ | $ | ( |
For the Quarter Ended | For the Nine Months Ended | ||||||||||||||||
September 30, 2023 | September 30, 2022 | September 30, 2023 | September 30, 2022 | ||||||||||||||
(dollars in thousands) | (dollars in thousands) | ||||||||||||||||
Beginning allowance for credit losses | $ | $ | $ | $ | |||||||||||||
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | |||||||||||||||||
Allowance on purchased financial assets with credit deterioration | |||||||||||||||||
Reductions for the securities sold during the period | |||||||||||||||||
Increase/(decrease) on securities with an allowance in the prior period | ( | ||||||||||||||||
Write-offs charged against the allowance | ( | ( | ( | ||||||||||||||
Recoveries of amounts previously written off | |||||||||||||||||
Ending allowance for credit losses | $ | $ | $ | $ |
September 30, 2023 | ||||||||||||||
(dollars in thousands) | ||||||||||||||
Prepay Rate | CDR | Loss Severity | ||||||||||||
Amortized Cost | Weighted Average | Weighted Average | Weighted Average | |||||||||||
Non-Agency RMBS | ||||||||||||||
Senior | ||||||||||||||
Subordinated |
December 31, 2022 | ||||||||||||||
(dollars in thousands) | ||||||||||||||
Prepay Rate | CDR | Loss Severity | ||||||||||||
Amortized Cost | Weighted Average | Weighted Average | Weighted Average | |||||||||||
Non-Agency RMBS | ||||||||||||||
Senior | ||||||||||||||
Subordinated |
September 30, 2023 | ||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | Gross Unrealized Gain Included in Cumulative Earnings | Total Gross Unrealized Gain | Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | Gross Unrealized Loss Included in Cumulative Earnings | Total Gross Unrealized Loss | |||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||
Senior | $ | $ | $ | $ | ( | $ | ( | $ | ( | |||||||||||
Subordinated | ( | ( | ( | |||||||||||||||||
Interest-only | ( | ( | ||||||||||||||||||
Agency RMBS | ||||||||||||||||||||
Interest-only | ( | ( | ||||||||||||||||||
Agency CMBS | ||||||||||||||||||||
Project loans | ( | ( | ( | |||||||||||||||||
Interest-only | ( | ( | ||||||||||||||||||
Total | $ | $ | $ | $ | ( | $ | ( | $ | ( |
December 31, 2022 | ||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | Gross Unrealized Gain Included in Cumulative Earnings | Total Gross Unrealized Gain | Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | Gross Unrealized Loss Included in Cumulative Earnings | Total Gross Unrealized Loss | |||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||
Senior | $ | $ | $ | $ | ( | $ | ( | $ | ( | |||||||||||
Subordinated | ( | ( | ( | |||||||||||||||||
Interest-only | ( | ( | ||||||||||||||||||
Agency RMBS | ||||||||||||||||||||
Interest-only | ( | ( | ||||||||||||||||||
Agency CMBS | ||||||||||||||||||||
Project loans | ( | ( | ( | |||||||||||||||||
Interest-only | ( | ( | ||||||||||||||||||
Total | $ | $ | $ | $ | ( | $ | ( | $ | ( |
September 30, 2023 | |||||||||||||||||
Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | |||||||||||||
Non-Agency RMBS | |||||||||||||||||
Senior | $ | $ | % | % | |||||||||||||
Subordinated | % | % | |||||||||||||||
Interest-only | % | % | |||||||||||||||
Agency RMBS | |||||||||||||||||
Interest-only | % | % | |||||||||||||||
Agency CMBS | |||||||||||||||||
Project loans | % | % | |||||||||||||||
Interest-only | % | % |
December 31, 2022 | |||||||||||||||||
Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | |||||||||||||
Non-Agency RMBS | |||||||||||||||||
Senior | $ | $ | $ | % | % | ||||||||||||
Subordinated | % | % | |||||||||||||||
Interest-only | % | % | |||||||||||||||
Agency RMBS | |||||||||||||||||
Interest-only | % | % | |||||||||||||||
Agency CMBS | |||||||||||||||||
Project loans | % | % | |||||||||||||||
Interest-only | % | % |
September 30, 2023 | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Weighted Average Life | |||||||||||||||||
Less than one year | Greater than one year and less than five years | Greater than five years and less than ten years | Greater than ten years | Total | |||||||||||||
Fair value | |||||||||||||||||
Non-Agency RMBS | |||||||||||||||||
Senior | $ | $ | $ | $ | $ | ||||||||||||
Subordinated | |||||||||||||||||
Interest-only | |||||||||||||||||
Agency RMBS | |||||||||||||||||
Interest-only | |||||||||||||||||
Agency CMBS | |||||||||||||||||
Project loans | |||||||||||||||||
Interest-only | |||||||||||||||||
Total fair value | $ | $ | $ | $ | $ | ||||||||||||
Amortized cost | |||||||||||||||||
Non-Agency RMBS | |||||||||||||||||
Senior | $ | $ | $ | $ | $ | ||||||||||||
Subordinated | |||||||||||||||||
Interest-only | |||||||||||||||||
Agency RMBS | |||||||||||||||||
Interest-only | |||||||||||||||||
Agency CMBS | |||||||||||||||||
Project loans | |||||||||||||||||
Interest-only | |||||||||||||||||
Total amortized cost | $ | $ | $ | $ | $ |
December 31, 2022 | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Weighted Average Life | |||||||||||||||||
Less than one year | Greater than one year and less than five years | Greater than five years and less than ten years | Greater than ten years | Total | |||||||||||||
Fair value | |||||||||||||||||
Non-Agency RMBS | |||||||||||||||||
Senior | $ | $ | $ | $ | $ | ||||||||||||
Subordinated | |||||||||||||||||
Interest-only | |||||||||||||||||
Agency RMBS | |||||||||||||||||
Interest-only | |||||||||||||||||
Agency CMBS | |||||||||||||||||
Project loans | |||||||||||||||||
Interest-only | |||||||||||||||||
Total fair value | $ | $ | $ | $ | $ | ||||||||||||
Amortized cost | |||||||||||||||||
Non-Agency RMBS | |||||||||||||||||
Senior | $ | $ | $ | $ | $ | ||||||||||||
Subordinated | |||||||||||||||||
Interest-only | |||||||||||||||||
Agency RMBS | |||||||||||||||||
Interest-only | |||||||||||||||||
Agency CMBS | |||||||||||||||||
Project loans | |||||||||||||||||
Interest-only | |||||||||||||||||
Total amortized cost | $ | $ | $ | $ | $ |
September 30, 2023 | 30 Days Delinquent | 60 Days Delinquent | 90+ Days Delinquent | Bankruptcy | Foreclosure | REO | Total | ||||||||||||||||
% of Unpaid Principal Balance | % | % | % | % | % | % | % |
December 31, 2022 | 30 Days Delinquent | 60 Days Delinquent | 90+ Days Delinquent | Bankruptcy | Foreclosure | REO | Total | ||||||||||||||||
% of Unpaid Principal Balance | % | % | % | % | % | % | % |
September 30, 2023 | December 31, 2022 | |||||||||||||
Weighted average maturity (years) | ||||||||||||||
Weighted average amortized loan to value (1) | % | % | ||||||||||||
Weighted average FICO (2) | ||||||||||||||
Weighted average loan balance (in thousands) | $ | $ | ||||||||||||
Weighted average percentage owner-occupied | % | % | ||||||||||||
Weighted average percentage single family residence | % | % | ||||||||||||
Weighted average current credit enhancement | % | % | ||||||||||||
Weighted average geographic concentration of top four states | CA | % | CA | % | ||||||||||
NY | % | NY | % | |||||||||||
FL | % | FL | % | |||||||||||
NJ | % | NJ | % |
Origination Year | September 30, 2023 | December 31, 2022 | ||||||
2003 and prior | % | % | ||||||
2004 | % | % | ||||||
2005 | % | % | ||||||
2006 | % | % | ||||||
2007 | % | % | ||||||
2008 and later | % | % | ||||||
Total | % | % |
For the Quarter Ended | For the Nine Months Ended | ||||||||||||||||
September 30, 2023 | September 30, 2022 | September 30, 2023 | September 30, 2022 | ||||||||||||||
(dollars in thousands) | (dollars in thousands) | ||||||||||||||||
Proceeds from sales: | |||||||||||||||||
Agency MBS | $ | $ | |||||||||||||||
Gross realized gains: | |||||||||||||||||
Agency MBS | |||||||||||||||||
Gross realized losses: | |||||||||||||||||
Agency MBS | ( | ( | ( | ( | |||||||||||||
Net realized gain (loss) | $ | ( | $ | ( | $ | ( | $ | ( |
For the Nine Months Ended | For the Year Ended | |||||||
September 30, 2023 | December 31, 2022 | |||||||
(dollars in thousands) | ||||||||
Balance, beginning of period | $ | $ | ||||||
Transfer due to consolidation | ||||||||
Purchases | ||||||||
Principal paydowns | ( | ( | ||||||
Sales and settlements | ( | |||||||
Net periodic accretion (amortization) | ( | ( | ||||||
Change in fair value | ( | ( | ||||||
Balance, end of period | $ | $ |
Origination Year | September 30, 2023 | December 31, 2022 | ||||||
2002 and prior | % | % | ||||||
2003 | % | % | ||||||
2004 | % | % | ||||||
2005 | % | % | ||||||
2006 | % | % | ||||||
2007 | % | % | ||||||
2008 | % | % | ||||||
2009 | % | % | ||||||
2010 and later | % | % | ||||||
Total | % | % |
September 30, 2023 | December 31, 2022 | |||||||||||||
Number of loans | ||||||||||||||
Weighted average maturity (years) | ||||||||||||||
Weighted average loan to value (1) | % | % | ||||||||||||
Weighted average FICO | ||||||||||||||
Weighted average loan balance (in thousands) | $ | $ | ||||||||||||
Weighted average percentage owner occupied | % | % | ||||||||||||
Weighted average percentage single family residence | % | % | ||||||||||||
Weighted average geographic concentration of top five states | CA | % | CA | % | ||||||||||
FL | % | FL | % | |||||||||||
NY | % | NY | % | |||||||||||
PA | % | VA | % | |||||||||||
VA | % | PA | % |
30 Days Delinquent | 60 Days Delinquent | 90+ Days Delinquent | Bankruptcy | Foreclosure | REO | Total | Unpaid Principal Balance | |||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||
September 30, 2023 | $ | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
% of Unpaid Principal Balance | % | % | % | % | % | % | % | |||||||||||||||||||
December 31, 2022 | $ | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
% of Unpaid Principal Balance | % | % | % | % | % | % | % |
September 30, 2023 | December 31, 2022 | ||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Unpaid Principal/ Notional | Fair Value | Unpaid Principal/ Notional | Fair Value | ||||||||||||||
Assets: | |||||||||||||||||
Non-Agency RMBS | |||||||||||||||||
Senior | $ | $ | $ | $ | |||||||||||||
Subordinated | |||||||||||||||||
Interest-only | |||||||||||||||||
Agency RMBS | |||||||||||||||||
Interest-only | |||||||||||||||||
Agency CMBS | |||||||||||||||||
Project loans | |||||||||||||||||
Interest-only | |||||||||||||||||
Loans held for investment, at fair value | |||||||||||||||||
Liabilities: | |||||||||||||||||
Secured Financing Agreements, at fair value | |||||||||||||||||
Securitized debt at fair value, collateralized by Loans held for investment |
For the Quarter Ended | For the Nine Months Ended | ||||||||||||||||
September 30, 2023 | September 30, 2022 | September 30, 2023 | September 30, 2022 | ||||||||||||||
(dollars in thousands) | (dollars in thousands) | ||||||||||||||||
Gain/(Loss) on Change in Fair Value | Gain/(Loss) on Change in Fair Value | ||||||||||||||||
Assets: | |||||||||||||||||
Non-Agency RMBS | |||||||||||||||||
Senior | $ | ( | $ | ( | ( | ( | |||||||||||
Subordinated | ( | ( | ( | ( | |||||||||||||
Interest-only | ( | ( | ( | ( | |||||||||||||
Agency RMBS | |||||||||||||||||
Interest-only | ( | ||||||||||||||||
Agency CMBS | |||||||||||||||||
Project loans | ( | ( | ( | ||||||||||||||
Interest-only | ( | ( | ( | ||||||||||||||
Loans held for investment, at fair value | ( | ( | ( | ( | |||||||||||||
Liabilities: | |||||||||||||||||
Secured Financing Agreements, at fair value | |||||||||||||||||
Securitized debt at fair value, collateralized by Loans held for investment |
September 30, 2023 | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Counterparty and Cash Collateral, netting | Total | |||||||||||||
Assets: | |||||||||||||||||
Non-Agency RMBS, at fair value | $ | $ | $ | $ | — | $ | |||||||||||
Agency MBS, at fair value | — | ||||||||||||||||
Loans held for investment, at fair value | — | ||||||||||||||||
Derivatives, at fair value | ( | ||||||||||||||||
Liabilities: | |||||||||||||||||
Secured Financing Agreement, at fair value | — | ||||||||||||||||
Securitized debt at fair value, collateralized by Loans held for investment | — | ||||||||||||||||
Derivatives, at fair value | |||||||||||||||||
December 31, 2022 | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Counterparty and Cash Collateral, netting | Total | |||||||||||||
Assets: | |||||||||||||||||
Non-Agency RMBS, at fair value | $ | $ | $ | — | $ | ||||||||||||
Agency MBS, at fair value | — | ||||||||||||||||
Loans held for investment, at fair value | — | ||||||||||||||||
Derivatives, at fair value | ( | ||||||||||||||||
Liabilities: | |||||||||||||||||
Secured Financing Agreement, at fair value | — | ||||||||||||||||
Securitized debt at fair value, collateralized by Loans held for investment | — | ||||||||||||||||
Derivatives, at fair value | ( | ||||||||||||||||
Fair Value Level 3 Rollforward - Assets | ||||||||||||||
For the Nine Months Ended | For the Year Ended | |||||||||||||
September 30, 2023 | December 31, 2022 | |||||||||||||
(dollars in thousands) | ||||||||||||||
Non-Agency RMBS | Loans held for investment | Non-Agency RMBS | Loans held for investment | |||||||||||
Beginning balance Level 3 | $ | $ | $ | $ | ||||||||||
Transfers into Level 3 | ||||||||||||||
Transfers out of Level 3 | ||||||||||||||
Transfer due to consolidation | ( | |||||||||||||
Purchases of assets | ||||||||||||||
Principal payments | ( | ( | ( | ( | ||||||||||
Sales and Settlements | ( | ( | ||||||||||||
Net accretion (amortization) | ( | ( | ||||||||||||
Gains (losses) included in net income | ||||||||||||||
(Increase) decrease in provision for credit losses | ( | ( | ||||||||||||
Realized gains (losses) on sales and settlements | ( | |||||||||||||
Net unrealized gains (losses) included in income | ( | ( | ( | ( | ||||||||||
Gains (losses) included in other comprehensive income | ||||||||||||||
( | ( | |||||||||||||
Ending balance Level 3 | $ | $ | $ | $ |
Fair Value Level 3 Rollforward - Liabilities | ||||||||
For the Nine Months Ended | For the Year Ended | |||||||
September 30, 2023 | December 31, 2022 | |||||||
(dollars in thousands) | ||||||||
Securitized Debt | Securitized Debt | |||||||
Beginning balance Level 3 | $ | $ | ||||||
Transfers into Level 3 | ||||||||
Transfers out of Level 3 | ||||||||
Transfer due to consolidation/deconsolidation | ||||||||
Issuance of debt | ||||||||
Principal payments | ( | ( | ||||||
Sales and Settlements | ( | |||||||
Net (accretion) amortization | ||||||||
(Gains) losses included in net income | ||||||||
Other than temporary credit impairment losses | ||||||||
Realized (gains) losses on sales and settlements | ( | |||||||
Net unrealized (gains) losses included in income | ( | ( | ||||||
(Gains) losses included in other comprehensive income | ||||||||
Total unrealized (gains) losses for the period | ||||||||
Ending balance Level 3 | $ | $ |
September 30, 2023 | ||||||||||||||||||||||||||
Significant Inputs | ||||||||||||||||||||||||||
Discount Rate | Prepay Rate | CDR | Loss Severity | |||||||||||||||||||||||
Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | |||||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||||
Senior | ||||||||||||||||||||||||||
Subordinated | ||||||||||||||||||||||||||
Interest-only | ||||||||||||||||||||||||||
December 31, 2022 | ||||||||||||||||||||||||||
Significant Inputs | ||||||||||||||||||||||||||
Discount Rate | Prepay Rate | CDR | Loss Severity | |||||||||||||||||||||||
Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | |||||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||||
Senior | ||||||||||||||||||||||||||
Subordinated | ||||||||||||||||||||||||||
Interest-only |
September 30, 2023 | ||||||||||||||||||||||||||
Significant Inputs | ||||||||||||||||||||||||||
Discount Rate | Prepay Rate | CDR | Loss Severity | |||||||||||||||||||||||
Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | |||||||||||||||||||
Securitized debt at fair value, collateralized by Loans held for investment |
December 31, 2022 | ||||||||||||||||||||||||||
Significant Inputs | ||||||||||||||||||||||||||
Discount Rate | Prepay Rate | CDR | Loss Severity | |||||||||||||||||||||||
Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | Range | Weighted Average | |||||||||||||||||||
Securitized debt at fair value, collateralized by Loans held for investment |
September 30, 2023 | December 31, 2022 | ||||||||||
Factor: | |||||||||||
Coupon | |||||||||||
Base Rate | |||||||||||
Actual | |||||||||||
FICO | |||||||||||
Base Rate | |||||||||||
Actual | |||||||||||
Loan-to-value (LTV) | |||||||||||
Base Rate | |||||||||||
Actual | |||||||||||
Loan Characteristics: | |||||||||||
Occupancy | |||||||||||
Owner Occupied | |||||||||||
Investor | |||||||||||
Secondary | |||||||||||
Property Type | |||||||||||
Single family | |||||||||||
Manufactured housing | |||||||||||
Multi-family/mixed use/other |
September 30, 2023 | |||||||||||
(dollars in thousands) | |||||||||||
Level in Fair Value Hierarchy | Carrying Amount | Fair Value | |||||||||
Equity method investments (1) | 3 | $ | $ | ||||||||
Secured financing agreements | 2 | ||||||||||
Securitized debt, collateralized by Non-Agency RMBS | 3 |
December 31, 2022 | |||||||||||
(dollars in thousands) | |||||||||||
Level in Fair Value Hierarchy | Carrying Amount | Fair Value | |||||||||
Equity method investments (1) | 3 | $ | $ | ||||||||
Secured financing agreements | 2 | ||||||||||
Securitized debt, collateralized by Non-Agency RMBS | 3 |
September 30, 2023 | December 31, 2022 | |||||||
Secured financing agreements outstanding principal secured by: | ||||||||
Agency RMBS (in thousands) | $ | $ | ||||||
Agency CMBS (in thousands) | ||||||||
Non-Agency RMBS and Loans held for investment (in thousands) (1) | ||||||||
Total: | $ | $ | ||||||
MBS pledged as collateral at fair value on Secured financing agreements: | ||||||||
Agency RMBS (in thousands) | $ | $ | ||||||
Agency CMBS (in thousands) | ||||||||
Non-Agency RMBS and Loans held for investment (in thousands) | ||||||||
Total: | $ | $ | ||||||
Average balance of Secured financing agreements secured by: | ||||||||
Agency RMBS (in thousands) | $ | $ | ||||||
Agency CMBS (in thousands) | ||||||||
Non-Agency RMBS and Loans held for investment (in thousands) | ||||||||
Total: | $ | $ | ||||||
Average borrowing rate of Secured financing agreements secured by: | ||||||||
Agency RMBS | N/A | % | ||||||
Agency CMBS | % | % | ||||||
Non-Agency RMBS and Loans held for investment | % | % | ||||||
Average remaining maturity of Secured financing agreements secured by: | ||||||||
Agency RMBS | N/A | |||||||
Agency CMBS | | |||||||
Non-Agency RMBS and Loans held for investment | | |||||||
Average original maturity of Secured financing agreements secured by: | ||||||||
Agency RMBS | N/A | |||||||
Agency CMBS | | |||||||
Non-Agency RMBS and Loans held for investment | | |||||||
September 30, 2023 | December 31, 2022 | ||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||
Principal (1) | Weighted Average Borrowing Rates | Range of Borrowing Rates | Principal (1) | Weighted Average Borrowing Rates | Range of Borrowing Rates | ||||||||||||||||||
Overnight | N/A | N/A | N/A | NA | |||||||||||||||||||
1 to 29 days | $ | $ | |||||||||||||||||||||
30 to 59 days | |||||||||||||||||||||||
60 to 89 days | |||||||||||||||||||||||
90 to 119 days | |||||||||||||||||||||||
120 to 180 days | |||||||||||||||||||||||
180 days to 1 year | |||||||||||||||||||||||
1 to 2 years | |||||||||||||||||||||||
2 to 3 years | |||||||||||||||||||||||
Greater than 3 years | |||||||||||||||||||||||
Total | $ | $ |
September 30, 2023 | December 31, 2022 | |||||||
(dollars in thousands) | ||||||||
Within One Year | $ | $ | ||||||
One to Three Years | ||||||||
Three to Five Years | ||||||||
Greater Than Five Years | ||||||||
Total | $ | $ |
September 30, 2023 | December 31, 2022 | |||||||
(dollars in thousands) | ||||||||
Within One Year | $ | $ | ||||||
One to Three Years | ||||||||
Three to Five Years | ||||||||
Greater Than Five Years | ||||||||
Total | $ | $ |
September 30, 2023 | |||||
(dollars in thousands) | |||||
Year | Principal | ||||
Currently callable | $ | ||||
2023 | |||||
2024 | |||||
2025 | |||||
2026 | |||||
2027 | |||||
2028 | |||||
Total | $ |
September 30, 2023 | December 31, 2022 | |||||||
(dollars in thousands) | ||||||||
Assets: | ||||||||
Non-Agency RMBS, at fair value (1) | $ | $ | ||||||
Loans held for investment, at fair value | ||||||||
Accrued interest receivable | ||||||||
Other assets | ||||||||
Total Assets: | $ | $ | ||||||
Liabilities: | ||||||||
Securitized debt, collateralized by Non-Agency RMBS | $ | $ | ||||||
Securitized debt at fair value, collateralized by Loans held for investment | ||||||||
Accrued interest payable | ||||||||
Other liabilities | ||||||||
Total Liabilities: | $ | $ |
For the Quarter ended | ||||||||
September 30, 2023 | September 30, 2022 | |||||||
(dollars in thousands) | ||||||||
Interest income, Assets of consolidated VIEs | $ | $ | ||||||
Interest expense, Non-recourse liabilities of VIEs | ||||||||
Net interest income | $ | $ | ||||||
(Increase) decrease in provision for credit losses | $ | ( | $ | |||||
Servicing fees | $ | $ |
For the Nine Months Ended | ||||||||
September 30, 2023 | September 30, 2022 | |||||||
(dollars in thousands) | ||||||||
Interest income, Assets of consolidated VIEs | $ | $ | ||||||
Interest expense, Non-recourse liabilities of VIEs | ||||||||
Net interest income | $ | $ | ||||||
(Increase) decrease in provision for credit losses | $ | ( | $ | ( | ||||
Servicing fees | $ | $ |
September 30, 2023 | ||||||||||||||||||||||||||
Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||
Derivative Instruments | Notional Amount Outstanding | Location on Consolidated Statements of Financial Condition | Net Estimated Fair Value/Carrying Value | Location on Consolidated Statements of Financial Condition | Net Estimated Fair Value/Carrying Value | |||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||
Interest Rate Swaps | $ | Derivatives, at fair value | $ | Derivatives, at fair value | $ | |||||||||||||||||||||
Swaptions | Derivatives, at fair value | Derivatives, at fair value | $ | |||||||||||||||||||||||
U.S. Treasury futures | Derivatives, at fair value, net | Derivatives, at fair value, net | ||||||||||||||||||||||||
Total | $ | $ | $ |
December 31, 2022 | ||||||||||||||||||||||||||
Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||
Derivative Instruments | Notional Amount Outstanding | Location on Consolidated Statements of Financial Condition | Net Estimated Fair Value/Carrying Value | Location on Consolidated Statements of Financial Condition | Net Estimated Fair Value/Carrying Value | |||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||||
Interest Rate Swaps | $ | Derivatives, at fair value, net | $ | Derivatives, at fair value, net | $ | |||||||||||||||||||||
Swaptions | Derivatives, at fair value, net | Derivatives, at fair value, net | $ | |||||||||||||||||||||||
Total | $ | $ | $ |
Net gains (losses) on derivatives for the quarters ended | |||||||||||
Derivative Instruments | Location on Consolidated Statements of Operations and Comprehensive Income | September 30, 2023 | September 30, 2022 | ||||||||
(dollars in thousands) | |||||||||||
Interest Rate Swaps | Net unrealized gains (losses) on interest rate swaps | $ | ( | $ | |||||||
Interest Rate Swaps | Net realized gains (losses) on interest rate swaps | ||||||||||
Interest Rate Swaps | Periodic interest cost of interest rate swaps, net | ( | |||||||||
Treasury futures | Net unrealized gains (losses) on derivatives | ||||||||||
Treasury futures | Net realized gains (losses) on derivatives | ||||||||||
Swaptions | Net unrealized gains (losses) on derivatives | ||||||||||
Swaptions | Net realized gains (losses) on derivatives | ||||||||||
Total | $ | $ |
Net gains (losses) on derivatives for the nine months ended | |||||||||||
Derivative Instruments | Location on Consolidated Statements of Operations and Comprehensive Income | September 30, 2023 | September 30, 2022 | ||||||||
(dollars in thousands) | |||||||||||
Interest Rate Swaps | Net unrealized gains (losses) on interest rate swaps | $ | $ | ||||||||
Interest Rate Swaps | Net realized gains (losses) on interest rate swaps | ( | |||||||||
Interest Rate Swaps | Periodic interest cost of interest rate swaps, net | ( | |||||||||
Treasury futures | Net unrealized gains (losses) on derivatives | ||||||||||
Treasury futures | Net realized gains (losses) on derivatives | ( | |||||||||
Swaptions | Net unrealized gains (losses) on derivatives | ||||||||||
Swaptions | Net realized gains (losses) on derivatives | ||||||||||
Total | $ | ( | $ |
For the Quarters Ended | ||||||||
September 30, 2023 | September 30, 2022 | |||||||
(dollars in thousands) | ||||||||
Numerator: | ||||||||
Net income (loss) available to common shareholders - Basic | $ | ( | $ | ( | ||||
Effect of dilutive securities: | ||||||||
Net income (loss) available to common shareholders - Diluted | $ | ( | $ | ( | ||||
Denominator: | ||||||||
Weighted average basic shares | ||||||||
Effect of dilutive securities | ||||||||
Weighted average dilutive shares | ||||||||
Net income (loss) per average share attributable to common stockholders - Basic | $ | ( | $ | ( | ||||
Net income (loss) per average share attributable to common stockholders - Diluted | $ | ( | $ | ( |
For the Nine Months Ended | ||||||||
September 30, 2023 | September 30, 2022 | |||||||
(dollars in thousands) | ||||||||
Numerator: | ||||||||
Net income (loss) available to common shareholders - Basic | $ | $ | ( | |||||
Effect of dilutive securities: | ||||||||
Net income (loss) available to common shareholders - Diluted | $ | $ | ( | |||||
Denominator: | ||||||||
Weighted average basic shares | ||||||||
Effect of dilutive securities | ||||||||
Weighted average dilutive shares | ||||||||
Net income (loss) per average share attributable to common stockholders - Basic | $ | $ | ( | |||||
Net income (loss) per average share attributable to common stockholders - Diluted | $ | $ | ( |
September 30, 2023 | ||||||||
(dollars in thousands) | ||||||||
Unrealized gains (losses) on available-for-sale securities, net | Total Accumulated OCI Balance | |||||||
Balance as of December 31, 2022 | $ | $ | ||||||
OCI before reclassifications | ( | ( | ||||||
Amounts reclassified from AOCI | ||||||||
Net current period OCI | ( | ( | ||||||
Balance as of September 30, 2023 | $ | $ |
September 30, 2022 | ||||||||
(dollars in thousands) | ||||||||
Unrealized gains (losses) on available-for-sale securities, net | Total Accumulated OCI Balance | |||||||
Balance as of December 31, 2021 | $ | $ | ||||||
OCI before reclassifications | ( | ( | ||||||
Amounts reclassified from AOCI | ||||||||
Net current period OCI | ( | ( | ||||||
Balance as of September 30, 2022 | $ | $ |
September 30, 2023 | ||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||
Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Consolidated Statements of Financial Position | Net Amounts Offset in the Consolidated Statements of Financial Position | Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position | |||||||||||||||||
Financial Instruments | Cash Collateral (Received) Pledged (1) | Net Amount | ||||||||||||||||||
Secured financing agreements | $ | ( | $ | $ | ( | $ | $ | $ | ||||||||||||
Interest Rate Swaps - Gross Assets | ( | ( | ( | |||||||||||||||||
Swaptions - Gross Assets | ( | ( | ( | |||||||||||||||||
Total | $ | ( | $ | ( | $ | ( | $ | $ | $ |
December 31, 2022 | ||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||
Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Consolidated Statements of Financial Position | Net Amounts Offset in the Consolidated Statements of Financial Position | Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position | |||||||||||||||||
Financial Instruments | Cash Collateral (Received) Pledged (1) | Net Amount | ||||||||||||||||||
Secured financing agreements | $ | ( | $ | $ | ( | $ | $ | $ | ||||||||||||
Interest Rate Swaps - Gross Assets | ||||||||||||||||||||
Interest Rate Swaps - Gross Liabilities | ( | |||||||||||||||||||
Swaptions - Gross Assets | ( | |||||||||||||||||||
Total | $ | ( | $ | ( | $ | ( | $ | $ | $ |
Net Income (Loss) | |||||||||||||||||||||||
(dollars in thousands, except share and per share data) | |||||||||||||||||||||||
(unaudited) | |||||||||||||||||||||||
For the Quarters Ended | For the Nine Months Ended | ||||||||||||||||||||||
September 30, 2023 | June 30, 2023 | QoQ Change | September 30, 2023 | September 30, 2022 | YoY Change | ||||||||||||||||||
Net interest income: | |||||||||||||||||||||||
Interest income (1) | $ | 195,591 | $ | 196,859 | $ | (1,268) | $ | 581,700 | $ | 585,835 | $ | (4,135) | |||||||||||
Interest expense (2) | 132,193 | 131,181 | 1,012 | 382,988 | 226,403 | 156,585 | |||||||||||||||||
Net interest income | 63,398 | 65,678 | (2,280) | 198,712 | 359,432 | (160,720) | |||||||||||||||||
Increase (decrease) in provision for credit losses | 3,217 | 2,762 | 455 | 9,041 | 3,203 | 5,838 | |||||||||||||||||
Other investment gains (losses): | |||||||||||||||||||||||
Net unrealized gains (losses) on derivatives | 17 | 17,994 | (17,977) | 9,460 | 8,689 | 771 | |||||||||||||||||
Realized gains (losses) on derivatives | — | (6,822) | 6,822 | (40,957) | — | (40,957) | |||||||||||||||||
Periodic interest cost of swaps, net | 4,894 | 4,159 | 735 | 11,871 | (122) | 11,993 | |||||||||||||||||
Net gains (losses) on derivatives | 4,911 | 15,331 | (10,420) | (19,626) | 8,567 | (28,193) | |||||||||||||||||
Net unrealized gains (losses) on financial instruments at fair value | (43,988) | 6,954 | (50,942) | 27,558 | (848,925) | 876,483 | |||||||||||||||||
Net realized gains (losses) on sales of investments | (460) | (21,758) | 21,298 | (27,482) | (37,031) | 9,549 | |||||||||||||||||
Gains (losses) on extinguishment of debt | — | 4,039 | (4,039) | 6,348 | (2,897) | 9,245 | |||||||||||||||||
Other investment gains (losses) | 2,381 | (421) | 2,802 | 2,077 | 517 | 1,560 | |||||||||||||||||
Total other gains (losses) | (37,156) | 4,145 | (41,301) | (11,125) | (879,769) | 868,644 | |||||||||||||||||
Other expenses: | |||||||||||||||||||||||
Compensation and benefits | 7,124 | 7,677 | (553) | 25,292 | 30,211 | (4,919) | |||||||||||||||||
General and administrative expenses | 5,427 | 6,471 | (1,044) | 17,674 | 16,493 | 1,181 | |||||||||||||||||
Servicing and asset manager fees | 8,139 | 8,408 | (269) | 24,965 | 27,122 | (2,157) | |||||||||||||||||
Transaction expenses | 90 | 8,456 | (8,366) | 14,955 | 12,872 | 2,083 | |||||||||||||||||
Total other expenses | 20,780 | 31,012 | (10,232) | 82,886 | 86,698 | (3,812) | |||||||||||||||||
Income (loss) before income taxes | 2,245 | 36,049 | (33,804) | 95,660 | (610,238) | 705,898 | |||||||||||||||||
Income taxes | 75 | 25 | 50 | 100 | 28 | 72 | |||||||||||||||||
Net income (loss) | $ | 2,170 | $ | 36,024 | $ | (33,854) | $ | 95,560 | $ | (610,266) | $ | 705,826 | |||||||||||
Dividends on preferred stock | 18,438 | 18,438 | — | 55,313 | 55,283 | 30 | |||||||||||||||||
Net income (loss) available to common shareholders | $ | (16,268) | $ | 17,586 | $ | (33,854) | $ | 40,248 | $ | (665,549) | $ | 705,797 | |||||||||||
Net income (loss) per share available to common shareholders: | |||||||||||||||||||||||
Basic | $ | (0.07) | $ | 0.08 | $ | (0.15) | $ | 0.17 | $ | (2.84) | $ | 3.01 | |||||||||||
Diluted | $ | (0.07) | $ | 0.08 | $ | (0.15) | $ | 0.17 | $ | (2.84) | $ | 3.01 | |||||||||||
Weighted average number of common shares outstanding: | |||||||||||||||||||||||
Basic | 226,734,643 | 231,628,141 | (4,893,498) | 230,099,867 | 234,671,912 | (4,572,045) | |||||||||||||||||
Diluted | 226,734,643 | 233,867,501 | (5,135,311) | 232,288,318 | 234,671,912 | (2,383,594) | |||||||||||||||||
Dividends declared per share of common stock | $ | 0.18 | $ | 0.23 | $ | (0.05) | $ | 0.59 | $ | 0.89 | $ | (0.30) | |||||||||||
GAAP Interest Income | GAAP Interest Expense | Periodic Interest Cost of Interest Rate Swaps | Economic Interest Expense | GAAP Net Interest Income | Periodic Interest Cost of Interest Rate Swaps | Other (1) | Economic Net Interest Income | |||||||||||||||||||||||||
For the Quarter Ended September 30, 2023 | $ | 195,591 | $ | 132,193 | $ | (4,894) | $ | 127,299 | $ | 63,398 | $ | 4,894 | $ | (2,301) | $ | 65,991 | ||||||||||||||||
For the Quarter Ended June 30, 2023 | $ | 196,859 | $ | 131,181 | $ | (4,159) | $ | 127,022 | $ | 65,678 | $ | 4,159 | $ | (2,884) | $ | 66,953 | ||||||||||||||||
For the Quarter Ended March 31, 2023 | $ | 189,250 | $ | 119,615 | $ | (2,819) | $ | 116,796 | $ | 69,635 | $ | 2,819 | $ | (3,035) | $ | 69,419 | ||||||||||||||||
For the Quarter Ended December 31, 2022 | $ | 187,286 | $ | 106,891 | $ | 1,629 | $ | 108,520 | $ | 80,395 | $ | (1,629) | $ | (1,867) | $ | 76,899 | ||||||||||||||||
For the Quarter Ended September 30, 2022 | $ | 188,303 | $ | 83,464 | $ | 122 | $ | 83,586 | $ | 104,839 | $ | (122) | $ | (540) | $ | 104,177 |
For the Quarter Ended | |||||||||||||||||||||||
September 30, 2023 | June 30, 2023 | ||||||||||||||||||||||
(dollars in thousands) | (dollars in thousands) | ||||||||||||||||||||||
Average Balance | Interest | Average Yield/Cost | Average Balance | Interest | Average Yield/Cost | ||||||||||||||||||
Assets: | |||||||||||||||||||||||
Interest-earning assets (1): | |||||||||||||||||||||||
Agency RMBS | $ | 18,990 | $ | 234 | 4.9 | % | $ | 18,798 | $ | 305 | 6.5 | % | |||||||||||
Agency CMBS | 124,094 | 1,701 | 5.5 | % | 165,270 | 1,728 | 4.2 | % | |||||||||||||||
Non-Agency RMBS | 961,257 | 28,826 | 12.0 | % | 976,994 | 29,543 | 12.1 | % | |||||||||||||||
Loans held for investment | 12,188,221 | 162,530 | 5.3 | % | 12,585,384 | 162,399 | 5.2 | % | |||||||||||||||
Total | $ | 13,292,562 | $ | 193,290 | 5.8 | % | $ | 13,746,444 | $ | 193,975 | 5.6 | % | |||||||||||
Liabilities and stockholders' equity: | |||||||||||||||||||||||
Interest-bearing liabilities (2): | |||||||||||||||||||||||
Secured financing agreements collateralized by: | |||||||||||||||||||||||
Agency RMBS | $ | — | $ | — | — | % | $ | 1,994 | $ | 27 | 5.4 | % | |||||||||||
Agency CMBS | 90,205 | 1,200 | 5.3 | % | 133,306 | 1,651 | 5.0 | % | |||||||||||||||
Non-Agency RMBS | 742,579 | 17,769 | 9.6 | % | 772,486 | 17,438 | 9.0 | % | |||||||||||||||
Loans held for investment | 1,832,445 | 29,896 | 6.5 | % | 2,024,638 | 32,652 | 6.5 | % | |||||||||||||||
Securitized debt | 8,663,773 | 78,434 | 3.6 | % | 8,584,803 | 75,254 | 3.5 | % | |||||||||||||||
Total | $ | 11,329,002 | $ | 127,299 | 4.5 | % | $ | 11,517,226 | $ | 127,022 | 4.4 | % | |||||||||||
Economic net interest income/net interest rate spread | $ | 65,991 | 1.3 | % | $ | 66,953 | 1.2 | % | |||||||||||||||
Net interest-earning assets/net interest margin | $ | 1,963,560 | 2.0 | % | $ | 2,229,219 | 1.9 | % | |||||||||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.17 | 1.19 | |||||||||||||||||||||
(1) Interest-earning assets at amortized cost | |||||||||||||||||||||||
(2) Interest includes periodic net interest cost on swaps |
For the Nine Months Ended | |||||||||||||||||||||||
September 30, 2023 | September 30, 2022 | ||||||||||||||||||||||
(dollars in thousands) | (dollars in thousands) | ||||||||||||||||||||||
Average Balance | Interest | Average Yield/Cost | Average Balance | Interest | Average Yield/Cost | ||||||||||||||||||
Assets: | |||||||||||||||||||||||
Interest-earning assets (1): | |||||||||||||||||||||||
Agency RMBS | $ | 18,828 | $ | 861 | 6.1 | % | $ | 115,393 | $ | 839 | 1.0 | % | |||||||||||
Agency CMBS | 199,879 | 6,386 | 4.3 | % | 496,384 | 33,593 | 9.0 | % | |||||||||||||||
Non-Agency RMBS | 976,616 | 88,467 | 12.1 | % | 1,168,586 | 118,603 | 13.5 | % | |||||||||||||||
Loans held for investment | 12,326,662 | 477,768 | 5.2 | % | 11,921,301 | 432,162 | 4.8 | % | |||||||||||||||
Total | $ | 13,521,986 | $ | 573,481 | 5.7 | % | $ | 13,701,664 | $ | 585,197 | 5.7 | % | |||||||||||
Liabilities and stockholders' equity: | |||||||||||||||||||||||
Interest-bearing liabilities (2): | |||||||||||||||||||||||
Secured financing agreements collateralized by: | |||||||||||||||||||||||
Agency RMBS | $ | 2,017 | $ | 118 | 7.8 | % | $ | 14,024 | $ | 111 | 1.1 | % | |||||||||||
Agency CMBS | 159,306 | 5,807 | 4.9 | % | 382,806 | 3,048 | 1.1 | % | |||||||||||||||
Non-Agency RMBS | 756,784 | 51,270 | 9.0 | % | 835,233 | 19,037 | 3.0 | % | |||||||||||||||
Loans held for investment | 2,013,238 | 97,329 | 6.4 | % | 1,971,247 | 52,098 | 3.5 | % | |||||||||||||||
Securitized debt | 8,412,347 | 216,594 | 3.4 | % | 8,077,615 | 152,231 | 2.5 | % | |||||||||||||||
Total | $ | 11,343,691 | $ | 371,117 | 4.4 | % | $ | 11,280,925 | $ | 226,525 | 2.7 | % | |||||||||||
Economic net interest income/net interest rate spread | $ | 202,363 | 1.3 | % | $ | 358,672 | 3.0 | % | |||||||||||||||
Net interest-earning assets/net interest margin | $ | 2,178,295 | 2.0 | % | $ | 2,420,739 | 3.5 | % | |||||||||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.19 | 1.21 | |||||||||||||||||||||
(1) Interest-earning assets at amortized cost | |||||||||||||||||||||||
(2) Interest includes periodic net interest cost on swaps |
Average Debt Balance | Economic Interest Expense | Average Cost of Funds | Average One-Month SOFR | Average Three-Month SOFR | Average One-Month SOFR Relative to Average Three-Month SOFR | |||||||||||||||
(Ratios have been annualized, dollars in thousands) | ||||||||||||||||||||
For the Quarter Ended September 30, 2023 | $ | 11,329,002 | $ | 127,299 | 4.49 | % | 5.30 | % | 5.37 | % | (0.07) | % | ||||||||
For the Quarter Ended June 30, 2023 | $ | 11,517,226 | $ | 127,022 | 4.41 | % | 5.04 | % | 5.13 | % | (0.09) | % | ||||||||
For the Quarter Ended March 31, 2023 | $ | 11,258,996 | $ | 116,796 | 4.15 | % | 4.62 | % | 4.79 | % | (0.35) | % | ||||||||
For the Quarter Ended December 31, 2022 | $ | 11,180,313 | $ | 108,520 | 3.88 | % | 3.89 | % | 4.24 | % | (0.39) | % | ||||||||
For the Quarter Ended September 30, 2022 | $ | 11,233,052 | $ | 83,586 | 2.98 | % | 2.45 | % | 2.84 | % | (0.39) | % |
For the Quarter Ended | ||||||||
September 30, 2023 | June 30, 2023 | |||||||
(dollars in thousands) | ||||||||
Periodic interest income (expense) on interest rate swaps, net | $ | 4,894 | $ | 4,159 | ||||
Realized gains (losses) on derivative instruments, net: | ||||||||
Swaps - Terminations | — | — | ||||||
Treasury futures | — | (6,822) | ||||||
Swaptions | — | — | ||||||
Total realized gains (losses) on derivative instruments, net | — | (6,822) | ||||||
Unrealized gains (losses) on derivative instruments, net: | ||||||||
Interest rate swaps | (4,422) | 3,023 | ||||||
Treasury futures | — | 6,851 | ||||||
Swaptions | 4,439 | 8,120 | ||||||
Total unrealized gains (losses) on derivative instruments, net: | 17 | 17,994 | ||||||
Total gains (losses) on derivative instruments, net | $ | 4,911 | $ | 15,331 |
For the Nine Months Ended | ||||||||
September 30, 2023 | September 30, 2022 | |||||||
(dollars in thousands) | ||||||||
Periodic interest income (expense) on interest rate swaps, net | 11,871 | (122) | ||||||
Realized gains (losses) on derivative instruments, net: | ||||||||
Swaps - Terminations | (45,226) | — | ||||||
Treasury futures | (6,344) | — | ||||||
Swaptions | 10,613 | — | ||||||
Total realized gains (losses) on derivative instruments, net | (40,957) | — | ||||||
Unrealized gains (losses) on derivative instruments, net: | ||||||||
Interest rate swaps | $ | 6,510 | 3,718 | |||||
Treasury futures | — | — | ||||||
Swaptions | 2,950 | 4,971 | ||||||
Total unrealized gains (losses) on derivative instruments, net: | 9,460 | 8,689 | ||||||
Total gains (losses) on derivative instruments, net | $ | (19,626) | $ | 8,567 |
Total Compensation, G&A and Transaction Expenses | Total Compensation, G&A and Transaction Expenses/Average Assets | Total Compensation, G&A and Transaction Expenses/Average Equity | |||||||||
(Ratios have been annualized, dollars in thousands) | |||||||||||
For the Quarter Ended September 30, 2023 | $ | 12,641 | 0.38 | % | 1.99 | % | |||||
For the Quarter Ended June 30, 2023 | $ | 22,604 | 0.65 | % | 3.46 | % | |||||
For the Quarter Ended March 31, 2023 | $ | 22,678 | 0.66 | % | 3.41 | % | |||||
For the Quarter Ended December 31, 2022 | $ | 28,599 | 0.85 | % | 4.30 | % | |||||
For the Quarter Ended September 30, 2022 | $ | 17,177 | 0.50 | % | 2.44 | % |
For the Quarters Ended | |||||||||||||||||
September 30, 2023 | June 30, 2023 | March 31, 2023 | December 31, 2022 | September 30, 2022 | |||||||||||||
(dollars in thousands, except per share data) | |||||||||||||||||
GAAP Net income (loss) available to common stockholders | $ | (16,268) | $ | 17,586 | $ | 38,928 | $ | 78,716 | $ | (204,583) | |||||||
Adjustments: | |||||||||||||||||
Net unrealized (gains) losses on financial instruments at fair value | 43,988 | (6,954) | (64,592) | (112,026) | 239,513 | ||||||||||||
Net realized (gains) losses on sales of investments | 460 | 21,758 | 5,264 | 39,443 | 37,031 | ||||||||||||
(Gains) losses on extinguishment of debt | — | (4,039) | (2,309) | — | — | ||||||||||||
Increase (decrease) in provision for credit losses | 3,217 | 2,762 | 3,062 | 3,834 | (1,534) | ||||||||||||
Net unrealized (gains) losses on derivatives | (17) | (17,994) | 8,551 | 10,171 | (10,307) | ||||||||||||
Realized gains (losses) on derivatives | — | 6,822 | 34,134 | 561 | — | ||||||||||||
Transaction expenses | 90 | 8,456 | 6,409 | 3,274 | 2,341 | ||||||||||||
Stock Compensation expense for retirement eligible awards | (392) | (388) | 2,141 | (309) | (310) | ||||||||||||
Other investment (gains) losses | (2,381) | 421 | (117) | 2,383 | 462 | ||||||||||||
Earnings available for distribution | $ | 28,697 | $ | 28,430 | $ | 31,471 | $ | 26,047 | $ | 62,613 | |||||||
GAAP net income (loss) per diluted common share | $ | (0.07) | $ | 0.08 | $ | 0.17 | $ | 0.34 | $ | (0.88) | |||||||
Earnings available for distribution per adjusted diluted common share | $ | 0.13 | $ | 0.12 | $ | 0.13 | $ | 0.11 | $ | 0.27 | |||||||
For the Quarters Ended | |||||||||||||||||
September 30, 2023 | June 30, 2023 | March 31, 2023 | December 31, 2022 | September 30, 2022 | |||||||||||||
Weighted average diluted shares - GAAP | 226,734,643 | 233,867,501 | 235,201,614 | 234,240,836 | 231,750,422 | ||||||||||||
Potentially dilutive shares (1) | 1,997,547 | — | — | — | 2,425,579 | ||||||||||||
Adjusted weighted average diluted shares - Earnings available for distribution | 228,732,190 | 233,867,501 | 235,201,614 | 234,240,836 | 234,176,001 |
Return on Average Equity | Economic Net Interest Income/Average Equity | Earnings available for distribution/Average Common Equity | |||||||||
(Ratios have been annualized) | |||||||||||
For the Quarter Ended September 30, 2023 | 0.34 | % | 10.40 | % | 7.14 | % | |||||
For the Quarter Ended June 30, 2023 | 5.51 | % | 10.24 | % | 6.75 | % | |||||
For the Quarter Ended March 31, 2023 | 8.63 | % | 10.45 | % | 7.28 | % | |||||
For the Quarter Ended December 31, 2022 | 14.61 | % | 11.56 | % | 6.02 | % | |||||
For the Quarter Ended September 30, 2022 | (26.47) | % | 14.81 | % | 13.30 | % | |||||
September 30, 2023 | December 31, 2022 | |||||||
Interest earning assets at period-end (1) | $ | 12,579,247 | $ | 12,937,661 | ||||
Interest bearing liabilities at period-end | $ | 10,278,451 | $ | 10,614,049 | ||||
GAAP Leverage at period-end | 4.1:1 | 4.0:1 | ||||||
GAAP Leverage at period-end (recourse) | 1.0:1 | 1.3:1 | ||||||
September 30, 2023 | December 31, 2022 | September 30, 2023 | December 31, 2022 | ||||||||||||||
Portfolio Composition | Amortized Cost | Fair Value | |||||||||||||||
Non-Agency RMBS | 7.4 | % | 7.5 | % | 8.1 | % | 8.9 | % | |||||||||
Senior | 3.9 | % | 4.0 | % | 5.4 | % | 5.9 | % | |||||||||
Subordinated | 2.3 | % | 2.3 | % | 2.1 | % | 2.2 | % | |||||||||
Interest-only | 1.2 | % | 1.2 | % | 0.6 | % | 0.8 | % | |||||||||
Agency RMBS | 0.1 | % | 0.1 | % | 0.1 | % | 0.1 | % | |||||||||
Interest-only | 0.1 | % | 0.1 | % | 0.1 | % | 0.1 | % | |||||||||
Agency CMBS | 1.0 | % | 3.3 | % | 0.9 | % | 3.2 | % | |||||||||
Project loans | 0.9 | % | 2.3 | % | 0.8 | % | 2.2 | % | |||||||||
Interest-only | 0.1 | % | 1.0 | % | 0.1 | % | 1.0 | % | |||||||||
Loans held for investment | 91.5 | % | 89.1 | % | 90.9 | % | 87.8 | % | |||||||||
Fixed-rate percentage of portfolio | 96.6 | % | 96.5 | % | 96.1 | % | 95.6 | % | |||||||||
Adjustable-rate percentage of portfolio | 3.4 | % | 3.5 | % | 3.9 | % | 4.4 | % |
September 30, 2023 | |||||||||||||||||||||||||||||||||||
Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | Weighted Average 3 Month Prepay Rate at Period-End | Weighted Average 12 Month Prepay Rate at Period-End | Weighted Average 3 Month CDR at Period-End | Weighted Average 12 Month CDR at Period-End | Weighted Average Loss Severity(2) | Weighted Average Credit Enhancement | |||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities | |||||||||||||||||||||||||||||||||||
Senior | $ | 1,091,694 | $ | 45.58 | $ | 62.64 | 5.6 | % | 17.0 | % | 5.8 | % | 5.2 | % | 1.6 | % | 1.8 | % | 36.0 | % | 2.7 | % | |||||||||||||
Subordinated | $ | 588,224 | $ | 50.69 | $ | 45.41 | 3.7 | % | 6.8 | % | 6.6 | % | 6.7 | % | 1.3 | % | 0.7 | % | 20.3 | % | 6.5 | % | |||||||||||||
Interest-only | $ | 2,926,629 | $ | 5.44 | $ | 2.52 | 0.5 | % | 5.5 | % | 4.8 | % | 5.2 | % | 1.1 | % | 0.9 | % | 24.8 | % | 1.6 | % | |||||||||||||
Agency RMBS | |||||||||||||||||||||||||||||||||||
Interest-only | $ | 395,197 | $ | 4.82 | $ | 3.52 | 0.1 | % | 4.7 | % | 11.3 | % | 10.7 | % | N/A | N/A | N/A | N/A | |||||||||||||||||
Agency CMBS | |||||||||||||||||||||||||||||||||||
Project loans | $ | 117,400 | $ | 101.54 | $ | 89.73 | 4.1 | % | 4.0 | % | — | % | — | % | N/A | N/A | N/A | N/A | |||||||||||||||||
Interest-only | $ | 481,488 | $ | 1.69 | $ | 1.76 | 0.6 | % | 8.0 | % | — | % | 2.3 | % | N/A | N/A | N/A | N/A | |||||||||||||||||
Loans held for investment | $ | 12,214,857 | $ | 98.36 | $ | 93.69 | 5.6 | % | 5.4 | % | 6.7 | % | 6.8 | % | 0.7 | % | 0.7 | % | 28.4 | % | N/A |
December 31, 2022 | |||||||||||||||||||||||||||||||||||
Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | Weighted Average 3 Month Prepay Rate at Period-End | Weighted Average 12 Month Prepay Rate at Period-End | Weighted Average 3 Month CDR at Period-End | Weighted Average 12 Month CDR at Period-End | Weighted Average Loss Severity(2) | Weighted Average Credit Enhancement | |||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities | |||||||||||||||||||||||||||||||||||
Senior | $ | 1,153,458 | $ | 46.09 | $ | 66.05 | 5.3 | % | 16.4 | % | 5.2 | % | 10.8 | % | 1.4 | % | 1.8 | % | 34.5 | % | 2.1 | % | |||||||||||||
Subordinated | $ | 611,206 | $ | 49.34 | $ | 46.94 | 3.1 | % | 6.8 | % | 8.0 | % | 14.1 | % | 0.4 | % | 0.4 | % | 34.9 | % | 6.6 | % | |||||||||||||
Interest-only | $ | 3,114,930 | $ | 5.23 | $ | 3.17 | 0.7 | % | 5.3 | % | 5.4 | % | 11.8 | % | 1.0 | % | 0.8 | % | 38.2 | % | 1.6 | % | |||||||||||||
Agency RMBS | |||||||||||||||||||||||||||||||||||
Interest-only | $ | 409,940 | $ | 4.58 | $ | 3.70 | 0.9 | % | 5.0 | % | 12.9 | % | 17.4 | % | N/A | N/A | N/A | N/A | |||||||||||||||||
Agency CMBS | |||||||||||||||||||||||||||||||||||
Project loans | $ | 302,685 | $ | 101.85 | $ | 95.62 | 4.3 | % | 4.1 | % | — | % | — | % | N/A | N/A | N/A | N/A | |||||||||||||||||
Interest-only | $ | 2,669,396 | $ | 5.23 | $ | 4.73 | 0.7 | % | 3.4 | % | 1.8 | % | 3.7 | % | N/A | N/A | N/A | N/A | |||||||||||||||||
Loans held for investment | $ | 12,060,631 | $ | 98.50 | $ | 94.36 | 5.3 | % | 5.2 | % | 8.1 | % | 12.0 | % | 0.6 | % | 0.8 | % | 33.1 | % | N/A |
For the Quarters Ended | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Accretable Discount (Net of Premiums) | September 30, 2023 | June 30, 2023 | March 31, 2023 | December 31, 2022 | September 30, 2022 | ||||||||||||
Balance, beginning of period | $ | 145,322 | $ | 157,253 | $ | 176,635 | $ | 207,812 | $ | 241,391 | |||||||
Accretion of discount | (9,022) | (10,620) | (11,663) | (11,128) | (12,989) | ||||||||||||
Purchases | (9) | — | — | — | — | ||||||||||||
Sales | — | — | — | (17,935) | — | ||||||||||||
Elimination in consolidation | — | — | — | — | — | ||||||||||||
Transfers from/(to) credit reserve, net | 10,961 | (1,311) | (7,719) | (2,114) | (20,590) | ||||||||||||
Balance, end of period | $ | 147,252 | $ | 145,322 | $ | 157,253 | $ | 176,635 | $ | 207,812 |
September 30, 2023 | December 31, 2022 | ||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||
Principal (1) | Weighted Average Borrowing Rates | Range of Borrowing Rates | Principal (1) | Weighted Average Borrowing Rates | Range of Borrowing Rates | ||||||||||||||||||
Overnight | — | N/A | N/A | — | N/A | NA | |||||||||||||||||
1 to 29 days | $ | 200,131 | 7.62% | 6.23% - 8.17% | $ | 493,918 | 4.66% | 3.63% - 6.16% | |||||||||||||||
30 to 59 days | 490,698 | 6.57% | 5.47% - 7.87% | 762,768 | 6.14% | 4.60% - 7.34% | |||||||||||||||||
60 to 89 days | 93,144 | 6.46% | 6.31% - 7.16% | 225,497 | 6.04% | 4.70% - 7.12% | |||||||||||||||||
90 to 119 days | 84,854 | 6.54% | 6.48% - 7.24% | 43,180 | 6.54% | 5.50% - 6.70% | |||||||||||||||||
120 to 180 days | 364,014 | 7.27% | 6.42% - 7.85% | 401,638 | 5.88% | 5.57% - 6.92% | |||||||||||||||||
180 days to 1 year | 192,722 | 6.67% | 6.64% - 6.67% | 402,283 | 6.06% | 5.63% - 6.64% | |||||||||||||||||
1 to 2 years | 838,510 | 11.10% | 9.07% - 13.98% | 251,286 | 13.98% | 13.98% - 13.98% | |||||||||||||||||
2 to 3 years | — | —% | 0.00% - 0.00% | 480,022 | 8.07% | 8.07% - 8.07% | |||||||||||||||||
Greater than 3 years | 367,619 | 5.11% | 5.10% - 7.06% | 382,839 | 5.14% | 5.10% - 6.07% | |||||||||||||||||
Total | $ | 2,631,692 | 7.99% | $ | 3,443,431 | 6.61% | |||||||||||||||||
Average remaining maturity of Secured financing agreements secured by: | ||||||||
September 30, 2023 | December 31, 2022 | |||||||
Agency RMBS (in thousands) | N/A | 17 Days | ||||||
Agency CMBS (in thousands) | 33 Days | 25 Days | ||||||
Non-Agency RMBS and Loans held for investment (in thousands) | 436 Days | 474 Days |
Period | Average secured financing agreements balances | Secured financing agreements balance at period end | ||||||
(dollars in thousands) | ||||||||
Quarter End September 30, 2023 | $ | 2,665,230 | $ | 2,603,911 | ||||
Quarter End June 30, 2023 | $ | 2,932,424 | $ | 2,686,522 | ||||
Quarter End March 31, 2023 | $ | 3,209,153 | $ | 3,195,322 | ||||
Quarter End December 31, 2022 | $ | 3,123,400 | $ | 3,434,765 | ||||
Quarter End September 30, 2022 | $ | 3,056,286 | $ | 2,820,931 |
September 30, 2023 | |||||||||||
Country | Number of Counterparties | Secured Financing Agreement | Exposure (1) | ||||||||
(dollars in thousands) | |||||||||||
United States | 9 | $ | 1,681,083 | $ | 619,370 | ||||||
Japan | 2 | 672,176 | 284,559 | ||||||||
Canada | 1 | 263,786 | 123,881 | ||||||||
Netherlands | 1 | 14,646 | 19 | ||||||||
Total | 13 | $ | 2,631,691 | $ | 1,027,829 |
September 30, 2023 | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Contractual Obligations | Within One Year | One to Three Years | Three to Five Years | Greater Than or Equal to Five Years | Total | ||||||||||||
Secured financing agreements | $ | 1,425,563 | $ | 838,510 | $ | 367,619 | $ | — | $ | 2,631,692 | |||||||
Securitized debt, collateralized by Non-Agency RMBS | 311 | 379 | — | 81 | 771 | ||||||||||||
Securitized debt at fair value, collateralized by Loans held for investment | 1,488,382 | 2,416,199 | 1,802,768 | 2,806,476 | 8,513,825 | ||||||||||||
Interest expense on MBS secured financing agreements (1) | 25,225 | 7,760 | 1,670 | — | 34,655 | ||||||||||||
Interest expense on securitized debt (1) | 272,683 | 416,901 | 278,999 | 290,737 | 1,259,320 | ||||||||||||
Total | $ | 3,212,164 | $ | 3,679,749 | $ | 2,451,056 | $ | 3,097,294 | $ | 12,440,263 |
December 31, 2022 | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Contractual Obligations | Within One Year | One to Three Years | Three to Five Years | Greater Than or Equal to Five Years | Total | ||||||||||||
Secured financing agreements | $ | 2,329,284 | $ | 731,308 | $ | 382,838 | $ | — | $ | 3,443,430 | |||||||
Securitized debt, collateralized by Non-Agency RMBS | 640 | 523 | 71 | 92 | 1,326 | ||||||||||||
Securitized debt at fair value, collateralized by Loans held for investment | 1,636,544 | 2,535,642 | 1,733,022 | 1,949,240 | 7,854,448 | ||||||||||||
Interest expense on MBS secured financing agreements (1) | 28,915 | 6,147 | 1,750 | — | 36,812 | ||||||||||||
Interest expense on securitized debt (1) | 208,059 | 307,001 | 187,281 | 176,580 | 878,921 | ||||||||||||
Total | $ | 4,203,442 | $ | 3,580,621 | $ | 2,304,962 | $ | 2,125,912 | $ | 12,214,937 |
For the Quarters Ended | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Non-Agency RMBS | September 30, 2023 | June 30, 2023 | March 31, 2023 | December 31, 2022 | September 30, 2022 | ||||||||||||
Balance, beginning of period | $ | 80,532 | $ | 79,875 | $ | 89,234 | $ | 103,394 | $ | 91,187 | |||||||
Realized losses | (1,727) | (2,445) | (2,293) | (3,063) | (1,517) | ||||||||||||
Accretion | 2,576 | 2,765 | 2,949 | 3,133 | 2,588 | ||||||||||||
Losses on purchases | 6 | — | — | — | — | ||||||||||||
Losses on sold/paid-off | 95 | — | — | (4,444) | — | ||||||||||||
Increase/(decrease) | (246) | 337 | (10,015) | (9,786) | 11,136 | ||||||||||||
Balance, end of period | $ | 81,236 | $ | 80,532 | $ | 79,875 | $ | 89,234 | $ | 103,394 |
For the Quarters Ended | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Loans held for investment | September 30, 2023 | June 30, 2023 | March 31, 2023 | December 31, 2022 | September 30, 2022 | ||||||||||||
Balance, beginning of period | $ | 254,354 | $ | 285,823 | $ | 321,017 | $ | 285,174 | $ | 315,299 | |||||||
Realized losses | (8,200) | (10,281) | (7,992) | (11,023) | (8,127) | ||||||||||||
Accretion | 3,444 | 3,554 | 3,650 | 3,715 | 3,989 | ||||||||||||
Losses on purchases | — | — | 404 | 7,677 | — | ||||||||||||
Increase/(decrease) | 1,404 | (24,742) | (31,256) | 35,474 | (25,987) | ||||||||||||
Balance, end of period | $ | 251,002 | $ | 254,354 | $ | 285,823 | $ | 321,017 | $ | 285,174 |
September 30, 2023 | ||||||||
Change in Interest Rate | Projected Percentage Change in Net Interest Income | Projected Percentage Change in Market Value (1) | ||||||
-100 Basis Points | 3.00 | % | 7.09 | % | ||||
-50 Basis Points | 1.76 | % | 3.45 | % | ||||
Base Interest Rate | — | — | ||||||
+50 Basis Points | (1.53) | % | (3.19) | % | ||||
+100 Basis Points | (2.58) | % | (6.16) | % |
September 30, 2023 | |||||||||||||||||
(dollars in thousands) | |||||||||||||||||
Within 3 Months | 3-12 Months | 1 Year to 3 Years | Greater than 3 Years | Total | |||||||||||||
Rate sensitive assets | $ | 549,482 | $ | — | $ | — | $ | 12,047,168 | $ | 12,596,650 | |||||||
Cash equivalents | 138,591 | — | — | — | 138,591 | ||||||||||||
Total rate sensitive assets | $ | 688,073 | $ | — | $ | — | $ | 12,047,168 | $ | 12,735,241 | |||||||
Rate sensitive liabilities | 3,897,310 | 731,709 | 2,653,336 | 2,997,792 | 10,280,147 | ||||||||||||
Interest rate sensitivity gap | $ | (3,209,237) | $ | (731,709) | $ | (2,653,336) | $ | 9,049,376 | $ | 2,455,094 | |||||||
Cumulative rate sensitivity gap | $ | (3,209,237) | $ | (3,940,946) | $ | (6,594,282) | $ | 2,455,094 | |||||||||
Cumulative interest rate sensitivity gap as a percentage of total rate sensitive assets | (25) | % | (31) | % | (52) | % | 19 | % |
EXHIBIT INDEX | |||||
Exhibit Number | Description | ||||
3.1 | |||||
3.2 | |||||
3.3 | |||||
3.4 |
3.5 | |||||
3.6 | |||||
3.7 | |||||
3.8 | |||||
3.9 | |||||
3.10 | |||||
3.11 | |||||
3.12 | |||||
4.1 | |||||
4.2 | |||||
4.3 | |||||
4.4 | |||||
4.5 | |||||
4.6 | |||||
31.1 | |||||
31.2 | |||||
32.1 | |||||
32.2 | |||||
101.INS* | XBRL Instance Document - The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document. | ||||
101.SCH* | XBRL Taxonomy Extension Schema Document | ||||
101.CAL* | XBRL Taxonomy Extension Calculation Linkbase Document | ||||
101.LAB* | XBRL Taxonomy Extension Labels Linkbase Document | ||||
101.PRE* | XBRL Taxonomy Extension Presentation Linkbase Document | ||||
101.DEF* | XBRL Taxonomy Extension Definition Linkbase Document | ||||
104 | Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101) |
CHIMERA INVESTMENT CORPORATION | ||||||||
By: | /s/ Phillip J. Kardis II | |||||||
Phillip J. Kardis II | ||||||||
Chief Executive Officer | ||||||||
(Principal Executive Officer of the registrant) | ||||||||
Date: November 2, 2023 |
By: | /s/ Subramaniam Viswanathan | |||||||
Subramaniam Viswanathan | ||||||||
Chief Financial Officer (Principal Financial Officer | ||||||||
of the registrant) | ||||||||
Date: November 2, 2023 |
Date: November 2, 2023 | ||
/s/ Phillip J. Kardis II | ||
Phillip J. Kardis II | ||
Chief Executive Officer and Principal Executive Officer |
Date: November 2, 2023 | |||||
/s/ Subramaniam Viswanathan | |||||
Subramaniam Viswanathan | |||||
Chief Financial Officer and Principal Financial Officer |
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report. |
/s/ Phillip J. Kardis II | |||||
Phillip J. Kardis II | |||||
Chief Executive Officer and Principal Executive Officer | |||||
Date: November 2, 2023 |
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report. |
/s/ Subramaniam Viswanathan | |||||
Subramaniam Viswanathan | |||||
Chief Financial Officer and Principal Financial Officer | |||||
Date: November 2, 2023 |
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | 12 Months Ended |
---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2023 |
Dec. 31, 2022 |
|
Allowance for credit losses | $ 16,230 | $ 16,230 | $ 7,188 |
Stockholders' Equity: | |||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 100,000,000 | 100,000,000 | 100,000,000 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 500,000,000 | 500,000,000 | 500,000,000 |
Common stock, shares issued (in shares) | 226,760,148 | 226,760,148 | 231,824,192 |
Common stock, shares outstanding (in shares) | 226,760,148 | 226,760,148 | 231,824,192 |
Series A Preferred Stock | |||
Stockholders' Equity: | |||
Preferred stock, dividend rate (percent) | 8.00% | 8.00% | |
Preferred stock, shares issued (in shares) | 5,800,000 | 5,800,000 | 5,800,000 |
Preferred stock, shares outstanding (in shares) | 5,800,000 | 5,800,000 | 5,800,000 |
Preferred Stock, liquidation preference | $ 145,000 | $ 145,000 | $ 145,000 |
Series B Preferred Stock | |||
Stockholders' Equity: | |||
Preferred stock, dividend rate (percent) | 8.00% | 8.00% | 8.00% |
Preferred stock, shares issued (in shares) | 13,000,000 | 13,000,000 | 13,000,000 |
Preferred stock, shares outstanding (in shares) | 13,000,000 | 13,000,000 | 13,000,000 |
Preferred Stock, liquidation preference | $ 325,000 | $ 325,000 | $ 325,000 |
Series C Preferred Stock | |||
Stockholders' Equity: | |||
Preferred stock, dividend rate (percent) | 7.75% | 7.75% | 7.75% |
Preferred stock, shares issued (in shares) | 10,400,000 | 10,400,000 | 10,400,000 |
Preferred stock, shares outstanding (in shares) | 10,400,000 | 10,400,000 | 10,400,000 |
Preferred Stock, liquidation preference | $ 260,000 | $ 260,000 | $ 260,000 |
Series D Preferred Stock | |||
Stockholders' Equity: | |||
Preferred stock, dividend rate (percent) | 8.00% | 8.00% | 8.00% |
Preferred stock, shares issued (in shares) | 8,000,000 | 8,000,000 | 8,000,000 |
Preferred stock, shares outstanding (in shares) | 8,000,000 | 8,000,000 | 8,000,000 |
Preferred Stock, liquidation preference | $ 200,000 | $ 200,000 | $ 200,000 |
Non-Agency RMBS | |||
Allowance for credit losses | 16,000 | 16,000 | 7,000 |
Non-Agency RMBS | Asset Pledged as Collateral | Securitized Loans | |||
Liabilities: | |||
MBS pledged as collateral at fair value on Secured financing agreements | 250,000 | 250,000 | 276,000 |
Residential Mortgage-Backed Securities | |||
Liabilities: | |||
MBS pledged as collateral at fair value on Secured financing agreements | 340,000 | 340,000 | 374,000 |
Residential Mortgage-Backed Securities | Asset Pledged as Collateral | |||
Liabilities: | |||
MBS pledged as collateral at fair value on Secured financing agreements | 3,700,000 | 3,700,000 | 4,700,000 |
Loans Held for Investment at Fair Value | Asset Pledged as Collateral | Securitized Loans | |||
Liabilities: | |||
MBS pledged as collateral at fair value on Secured financing agreements | $ 11,000,000 | $ 11,000,000 | $ 10,000,000 |
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|||||
Net interest income: | ||||||||
Interest income | [1] | $ 195,591 | $ 188,303 | $ 581,700 | $ 585,835 | |||
Interest expense | [2] | 132,193 | 83,464 | 382,988 | 226,403 | |||
Net interest income | 63,398 | 104,839 | 198,712 | 359,432 | ||||
Increase/(decrease) in provision for credit losses | 3,217 | (1,534) | 9,041 | 3,203 | ||||
Other investment gains (losses): | ||||||||
Net unrealized gains (losses) on derivatives | 17 | 10,307 | 9,460 | 8,689 | ||||
Net realized gains (losses) on derivatives | 0 | 0 | (40,957) | 0 | ||||
Periodic interest cost of swaps, net | 4,894 | (122) | 11,871 | (122) | ||||
Net gains (losses) on derivatives | 4,911 | 10,185 | (19,626) | 8,567 | ||||
Net unrealized gains (losses) on financial instruments at fair value | (43,988) | (239,513) | 27,558 | (848,925) | ||||
Net realized gains (losses) on sales of investments | (460) | (37,031) | (27,482) | (37,031) | ||||
Gains (losses) on extinguishment of debt | 0 | 0 | 6,348 | (2,897) | ||||
Other investment gains (losses) | 2,381 | (462) | 2,077 | 517 | ||||
Total other gains (losses) | (37,156) | (266,821) | (11,125) | (879,769) | ||||
Other expenses: | ||||||||
Compensation and benefits | 7,124 | 10,000 | 25,292 | 30,211 | ||||
General and administrative expenses | 5,427 | 4,836 | 17,674 | 16,493 | ||||
Servicing and asset manager fees | 8,139 | 8,516 | 24,965 | 27,122 | ||||
Transaction expenses | 90 | 2,341 | 14,955 | 12,872 | ||||
Total other expenses | 20,780 | 25,693 | 82,886 | 86,698 | ||||
Income (loss) before income taxes | 2,245 | (186,141) | 95,660 | (610,238) | ||||
Income tax expense (benefit) | 75 | 4 | 100 | 28 | ||||
Net income (loss) | 2,170 | (186,145) | 95,560 | (610,266) | ||||
Dividends on preferred stock | 18,438 | 18,438 | 55,313 | 55,283 | ||||
Net income (loss) available to common shareholders | (204,583) | 40,248 | (665,549) | |||||
Net income (loss) available to common shareholders | $ (16,268) | $ (204,583) | $ 40,248 | $ (665,549) | ||||
Net income (loss) per share available to common shareholders: | ||||||||
Basic (in dollars per share) | $ (0.07) | $ (0.88) | $ 0.17 | $ (2.84) | ||||
Diluted (in dollars per share) | $ (0.07) | $ (0.88) | $ 0.17 | $ (2.84) | ||||
Weighted average number of common shares outstanding: | ||||||||
Basic (in shares) | 226,734,643 | 231,750,422 | 230,099,867 | 234,671,912 | ||||
Diluted (in shares) | 226,734,643 | 231,750,422 | 232,288,318 | 234,671,912 | ||||
|
CONSOLIDATED STATEMENTS OF OPERATIONS (Parenthetical) - Non Agency Residential Mortgage Backed Securities And Securitized Loans - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Interest income, Assets of consolidated VIEs | $ 153,710 | $ 139,598 | $ 443,286 | $ 410,873 |
Interest expense, Non-recourse liabilities of VIEs | $ 75,902 | $ 50,030 | $ 208,678 | $ 142,714 |
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Comprehensive income (loss): | ||||
Net income (loss) | $ 2,170 | $ (186,145) | $ 95,560 | $ (610,266) |
Other comprehensive income: | ||||
Unrealized gains (losses) on available-for-sale securities, net | (29,447) | (61,526) | (49,431) | (160,850) |
Reclassification adjustment for net realized losses (gains) included in net income | 0 | 0 | 1,313 | 0 |
Other comprehensive income (loss) | (29,447) | (61,526) | (48,118) | (160,850) |
Comprehensive income (loss) before preferred stock dividends | (27,277) | (247,671) | 47,442 | (771,116) |
Dividends on preferred stock | 18,438 | 18,438 | 55,313 | 55,283 |
Comprehensive income (loss) available to common stock shareholders | $ (45,715) | $ (266,109) | $ (7,871) | $ (826,399) |
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands |
Total |
Common Stock Par Value |
Additional Paid-in Capital |
Accumulated Other Comprehensive Income |
Cumulative Earnings |
Cumulative Distributions to Stockholders |
Series A Preferred Stock Par Value |
Series A Preferred Stock Par Value
Preferred Stock
|
Series B Preferred Stock Par Value |
Series B Preferred Stock Par Value
Preferred Stock
|
Series C Preferred Stock Par Value |
Series C Preferred Stock Par Value
Preferred Stock
|
Series D Preferred Stock Par Value |
Series D Preferred Stock Par Value
Preferred Stock
|
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Balance at Dec. 31, 2021 | $ 3,736,191 | $ 2,370 | $ 4,359,045 | $ 405,054 | $ 4,552,008 | $ (5,582,658) | $ 58 | $ 130 | $ 104 | $ 80 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||
Net income (loss) | (610,266) | (610,266) | ||||||||||||
Other comprehensive income (loss) | (160,850) | (160,850) | ||||||||||||
Repurchase of common stock | (48,886) | (54) | (48,832) | |||||||||||
Stock based compensation | 4,731 | 2 | 4,729 | |||||||||||
Common dividends declared | (211,933) | (211,933) | ||||||||||||
Preferred dividends declared | (55,283) | (55,283) | $ (9,000) | $ (20,000) | $ (15,000) | $ (12,000) | ||||||||
Ending Balance at Sep. 30, 2022 | 2,653,704 | 2,318 | 4,314,942 | 244,204 | 3,941,742 | (5,849,874) | 58 | 130 | 104 | 80 | ||||
Beginning Balance at Jun. 30, 2022 | 2,972,999 | 2,317 | 4,312,604 | 305,730 | 4,127,887 | (5,775,911) | 58 | 130 | 104 | 80 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||
Net income (loss) | (186,145) | (186,145) | ||||||||||||
Other comprehensive income (loss) | (61,526) | (61,526) | ||||||||||||
Stock based compensation | 2,339 | 1 | 2,338 | |||||||||||
Common dividends declared | (55,525) | (55,525) | ||||||||||||
Preferred dividends declared | (18,438) | (18,438) | (3,000) | (7,000) | (5,000) | (4,000) | ||||||||
Ending Balance at Sep. 30, 2022 | 2,653,704 | 2,318 | 4,314,942 | 244,204 | 3,941,742 | (5,849,874) | 58 | 130 | 104 | 80 | ||||
Beginning Balance at Dec. 31, 2022 | 2,666,803 | 2,318 | 4,318,388 | 229,345 | 4,038,942 | (5,922,562) | 58 | 130 | 104 | 80 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||
Net income (loss) | 95,560 | 95,560 | ||||||||||||
Other comprehensive income (loss) | (48,118) | (48,118) | ||||||||||||
Repurchase of common stock | (33,102) | (59) | (33,043) | |||||||||||
Stock based compensation | 6,439 | 9 | 6,430 | |||||||||||
Common dividends declared | (137,812) | (137,812) | ||||||||||||
Preferred dividends declared | (55,313) | (55,313) | (9,000) | (20,000) | (15,000) | (12,000) | ||||||||
Ending Balance at Sep. 30, 2023 | 2,494,457 | 2,268 | 4,291,775 | 181,227 | 4,134,502 | (6,115,687) | 58 | 130 | 104 | 80 | ||||
Beginning Balance at Jun. 30, 2023 | 2,579,403 | 2,263 | 4,289,449 | 210,674 | 4,132,332 | (6,055,687) | 58 | 130 | 104 | 80 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||||
Net income (loss) | 2,170 | 2,170 | ||||||||||||
Other comprehensive income (loss) | (29,447) | (29,447) | ||||||||||||
Stock based compensation | 2,331 | 5 | 2,326 | |||||||||||
Common dividends declared | (41,562) | (41,562) | ||||||||||||
Preferred dividends declared | (18,438) | (18,438) | $ (3,000) | $ (7,000) | $ (5,000) | $ (4,000) | ||||||||
Ending Balance at Sep. 30, 2023 | $ 2,494,457 | $ 2,268 | $ 4,291,775 | $ 181,227 | $ 4,134,502 | $ (6,115,687) | $ 58 | $ 130 | $ 104 | $ 80 |
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | 12 Months Ended | ||
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Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
Dec. 31, 2022 |
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Cash Flows From Operating Activities: | |||||
Net income (loss) | $ 2,170 | $ (186,145) | $ 95,560 | $ (610,266) | |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||||
(Accretion) amortization of investment discounts/premiums, net | 16,985 | 68,632 | |||
Accretion (amortization) of deferred financing costs, debt issuance costs, and Securitized debt discounts/premiums, net | 27,228 | (2,799) | |||
Net unrealized losses (gains) on derivatives | (17) | (10,307) | (9,460) | (8,689) | |
Proceeds (payments) for derivative settlements | (20,509) | (6,200) | |||
Margin (paid) received on derivatives | 78,248 | (2,301) | |||
Net unrealized losses (gains) on financial instruments at fair value | 43,988 | 239,513 | (27,558) | 848,925 | |
Net realized losses (gains) on sales of investments | 460 | 37,031 | 27,482 | 37,031 | |
Other investment (gains) losses | (2,381) | 462 | (2,077) | (517) | |
Net increase (decrease) in provision for credit losses | 9,041 | 3,203 | |||
(Gain) loss on extinguishment of debt | 0 | 0 | (6,348) | 2,897 | |
Equity-based compensation expense | 6,439 | 4,731 | |||
Changes in operating assets: | |||||
Decrease (increase) in accrued interest receivable, net | (11,047) | 164 | |||
Decrease (increase) in other assets | (13,121) | (57,260) | |||
Changes in operating liabilities: | |||||
Increase (decrease) in accounts payable and other liabilities | 6,105 | 15,079 | |||
Increase (decrease) in accrued interest payable, net | 4,974 | 6,657 | |||
Net cash provided by (used in) operating activities | 181,942 | 299,287 | |||
Cash Flows From Investing Activities: | |||||
Net cash provided by (used in) investing activities | 174,965 | 655,521 | |||
Cash Flows From Financing Activities: | |||||
Proceeds from secured financing agreements | 22,272,760 | 28,538,545 | |||
Payments on secured financing agreements | (23,099,486) | (28,982,125) | |||
Payments on repurchase of common stock | (33,101) | (48,886) | |||
Proceeds from securitized debt borrowings, collateralized by Loans held for investment | 2,046,620 | 1,029,050 | |||
Payments on securitized debt borrowings, collateralized by Loans held for investment | (1,461,868) | (1,498,622) | |||
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS | (52) | (2,769) | |||
Common dividends paid | (152,476) | (234,225) | |||
Preferred dividends paid | (55,313) | (55,283) | |||
Net cash provided by (used in) financing activities | (482,916) | (1,254,315) | |||
Net increase (decrease) in cash and cash equivalents | (126,009) | (299,507) | |||
Cash and cash equivalents at beginning of period | 264,600 | 385,741 | $ 385,741 | ||
Cash and cash equivalents at end of period | 138,591 | 86,234 | 138,591 | 86,234 | 264,600 |
Supplemental disclosure of cash flow information: | |||||
Interest received | 587,637 | 654,650 | |||
Interest paid | 350,787 | 223,845 | |||
Non-cash investing activities: | |||||
Receivable for investments sold | 0 | 14,118 | |||
Payable for investments purchased | 6,237 | 644,120 | |||
Net change in unrealized gain (loss) on available-for sale securities | (29,447) | (61,526) | (49,431) | (160,850) | |
Non-cash financing activities: | |||||
Dividends declared, not yet paid | 49,881 | 63,860 | |||
Variable Interest Entities, Primary Beneficiary | |||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||||
Net increase (decrease) in provision for credit losses | $ 1,560 | $ (2,284) | 3,519 | 859 | |
Variable Interest Entities, Primary Beneficiary | Securitized debt at fair value, collateralized by loans held for investment | |||||
Transfer of investments due to consolidation | |||||
Securitized debt at fair value, collateralized by loans held for investment | 0 | 774,514 | |||
Agency MBS portfolio | |||||
Cash Flows From Investing Activities: | |||||
Purchases | (2,006) | (57,473) | |||
Sales | 285,709 | 4,187 | |||
Principal payments | 677 | 253,131 | |||
Non-agency RMBS Portfolio | |||||
Cash Flows From Investing Activities: | |||||
Purchases | (3,954) | (23,000) | |||
Sales | 0 | 0 | |||
Principal payments | 64,796 | 159,151 | |||
Transfer of investments due to consolidation | |||||
Non-Agency RMBS, at fair value | 0 | (218,276) | |||
Loans held for investment | |||||
Cash Flows From Investing Activities: | |||||
Sales | 2,611 | 0 | |||
Principal payments | 1,087,319 | 1,764,067 | |||
Purchases | (1,260,187) | (1,444,542) | |||
Loans Held for Investment at Fair Value | Variable Interest Entities, Primary Beneficiary | |||||
Transfer of investments due to consolidation | |||||
Loans held for investment, at fair value | $ 0 | $ 1,047,838 | $ 1,047,838 |
Organization |
9 Months Ended |
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Sep. 30, 2023 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization Chimera Investment Corporation, or the Company, was organized in Maryland on June 1, 2007. The Company commenced operations on November 21, 2007 when it completed its initial public offering. The Company elected to be taxed as a real estate investment trust, or REIT, under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder, or the Code. The Company is an internally managed REIT that is primarily engaged, through its subsidiaries, in the business of investing in a diversified portfolio of mortgage assets, including residential mortgage loans, Agency RMBS, Non-Agency RMBS, Agency CMBS, and other real estate-related assets. The following defines certain of the commonly used terms in this Quarterly Report on Form 10-Q: Agency refers to a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae; MBS refers to mortgage-backed securities secured by pools of residential or commercial mortgage loans; Agency RMBS and Agency CMBS refer to MBS that are secured by pools of residential and commercial mortgage loans, respectively, and are issued or guaranteed by an Agency; Agency MBS refers to MBS that are issued or guaranteed by an Agency and includes Agency RMBS and Agency CMBS collectively; Non-Agency RMBS refers to residential MBS that are not guaranteed by any agency of the U.S. Government or any Agency. IO refers to Interest-only securities. The Company conducts its operations through various subsidiaries including subsidiaries it treats as taxable REIT subsidiaries, or TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate related business. The Company currently has twelve wholly-owned direct subsidiaries: Chimera RMBS Whole Pool LLC and Chimera RMBS LLC formed in June 2009; CIM Trading Company LLC, or CIM Trading, formed in July 2010; Chimera Funding TRS LLC, or CIM Funding TRS, a TRS formed in October 2013; Chimera CMBS Whole Pool LLC and Chimera RMBS Securities LLC formed in March 2015; Chimera RR Holding LLC formed in April 2016; Anacostia LLC, a TRS formed in June 2018; NYH Funding LLC, a TRS formed in May 2019; Kali 2020 Holdings LLC formed in May 2020; Varuna Capital Partners LLC formed in September 2020; and Aarna Holdings LLC formed in November 2020. During 2022, the Company exchanged its interest in Kah Capital Management, LLC for an interest in Kah Capital Holdings, LLC, which is accounted for as an equity method investment in other assets on the Statement of Financial Condition at September 30, 2023. Kah Capital Holdings, LLC is the parent of Kah Capital Management, LLC. The Company paid $150 thousand and $445 thousand for mortgage asset servicing oversight fees to Kah Capital Management during the quarter and nine months ended September 30, 2023. The Company did not pay any fees to Kah Capital Management during the quarter ended September 30, 2022 and paid $250 thousand during the nine months ended September 30, 2022 in fees to Kah Capital Management, LLC. These fees were paid for investment services provided, and are reported within Other Expenses on the Statement of Operations. The Company has made a $75 million capital commitment to a fund managed by Kah Capital Management, LLC. As of September 30, 2023, the Company has funded $46 million towards that commitment. The Company's investment in this fund is accounted for as an equity method investment in other assets on the Statement of Financial Condition. The Company records any gains and losses associated with its equity method investments in other investment gains (losses) on the Statement of Operations.
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Summary of the Significant Accounting Policies |
9 Months Ended |
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Sep. 30, 2023 | |
Accounting Policies [Abstract] | |
Summary of the Significant Accounting Policies | Summary of the Significant Accounting Policies (a) Basis of Presentation and Consolidation The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States, or GAAP. In the opinion of the Company, all normal and recurring adjustments considered necessary for a fair presentation of its financial position, results of operations and cash flows have been included. Investment transactions are recorded on the trade date. These consolidated financial statements should be read in conjunction with the audited consolidated financial statements and notes thereto for the year ended December 31, 2022 included in the Company's Form 10-K, filed with SEC. The consolidated financial statements include the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities, or VIEs, in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation. The Company uses securitization trusts considered to be VIEs in its securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could 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 VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The trusts are structured as entities 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 risks associated with being the sponsor and depositor of and the seller, directly or indirectly to, the securitizations 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 VIEs that most significantly impact the VIEs’ economic performance, or power, such as rights to replace the servicer without cause, or the Company was determined to have power in connection with its involvement with the structure and design of the VIE. The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Consolidated Statements of Financial Condition, is restricted by the structural provisions of these trusts, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. Generally, the securities retained by the Company are the most subordinate in the capital structure, which means those securities receive distributions after the senior securities have been paid. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Consolidated Statements of Financial Condition, are non-recourse to the Company, and can only be satisfied using proceeds from each securitization vehicle’s respective asset pool. The assets of securitization entities are comprised of residential mortgage-backed securities, or RMBS, or residential mortgage loans. See Notes 3, 4 and 8 for further discussion of the characteristics of the securities and loans in the Company’s portfolio. (b) Statements of Financial Condition Presentation The Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Retained beneficial interests of the consolidated securitization vehicles are eliminated in consolidation. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 8 for additional information related to the Company’s investments in consolidated securitization vehicles. Certain prior period investment balances for Non-Agency Subordinate and Interest-Only securities were updated to conform to current period presentation. (c) Use of Estimates The preparation of financial statements in conformity with GAAP requires the Company to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition. The Company has made significant estimates including in accounting for income recognition on Agency MBS, Non-Agency RMBS, IO MBS (Note 3) and residential mortgage loans (Note 4), valuation of Agency MBS and Non-Agency RMBS (Notes 3 and 5), residential mortgage loans (Notes 4 and 5), secured financing agreements (Notes 5 and 6), and securitized debt (Notes 5 and 7). Actual results could differ materially from those estimates. (d) Significant Accounting Policies There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2022, other than the significant accounting policies discussed below. Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements. Income Taxes The Company does not have any material unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary as of September 30, 2023 or December 31, 2022. (e) Recent Accounting Pronouncements Reference Rate Reform (Topic 848) In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standard Update (ASU) No. 2020-4, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in this update provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this update apply only to contracts, hedging relationships, and other transactions that reference London Inter Bank Offering Rate (or LIBOR) or another reference rate expected to be discontinued because of reference rate reform. The amendments in this update are effective for contracts held by the Company subject to reference rate reform that fall within the scope of this update beginning immediately through December 31, 2024, as extended under ASU No. 2022-06, Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848. The guidance in the ASU was effective for the Company as of July 1, 2023. The Company has elected to apply the optional expedient across all contracts and considers the replacement of LIBOR-based rates to SOFR-based rates plus the appropriate spread as a qualifying modification that does not require contract remeasurement or reassessment of previous accounting determination. The adoption of this guidance did not have any material impact on the Company's consolidated financial statements.
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Mortgage-Backed Securities |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-Backed Securities | Mortgage-Backed SecuritiesThe Company classifies its Non-Agency RMBS as senior, subordinated, or Interest-only. The Company also invests in Agency MBS which it classifies as Agency RMBS to include residential and residential interest-only MBS and Agency CMBS to include commercial and commercial interest-only MBS. Senior interests in Non-Agency RMBS are generally entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date. The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of the Company's MBS investments as of September 30, 2023 and December 31, 2022.
The following tables present the gross unrealized losses and estimated fair value of the Company’s Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at September 30, 2023 and December 31, 2022. All Non-Agency RMBS held as available-for-sale, and not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses.
At September 30, 2023, the Company did not intend to sell any of its Agency and Non-Agency MBS classified as available-for-sale that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these MBS investments before recovery of their amortized cost basis, which may be at their maturity. With respect to RMBS held by consolidated VIEs, the ability of any entity to cause the sale by the VIE prior to the maturity of these RMBS is either expressly prohibited, not probable, or is limited to specified events of default, none of which have occurred as of September 30, 2023. The Company had $25 thousand and $3 million gross unrealized losses on its Agency MBS (excluding Agency MBS which are reported at fair value with changes in fair value recorded in earnings) as of September 30, 2023 and December 31, 2022, respectively. Given the inherent credit quality of Agency MBS, the Company does not consider any of the current impairments on its Agency MBS to be credit related. In evaluating whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at their maturity, the Company considers the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at September 30, 2023 unrealized losses on its Agency MBS were temporary. Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency RMBS which are reported at fair value with changes in fair value recorded in earnings), net of any allowance for credit losses, were $13 million and $20 million, at September 30, 2023 and December 31, 2022, respectively. After evaluating the securities and recording any allowance for credit losses, the Company concluded that the remaining unrealized losses reflected above were non-credit related and would be recovered from the securities' estimated future cash flows. The Company considered a number of factors in reaching this conclusion, including that it did not intend to sell the securities, it was not considered more likely than not that it would be required to sell the securities prior to recovering the amortized cost, and there were no material credit events that would have caused the Company to otherwise conclude that it would not recover the amortized cost. The allowance for credit losses are calculated by comparing the estimated future cash flows of each security discounted at the yield determined as of the initial acquisition date or, if since revised, as of the last date previously revised, to the net amortized cost basis. Significant judgment is used in projecting cash flows for Non-Agency RMBS. The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are credit related based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral. A summary of the credit losses allowance on available-for-sale securities for the quarters and nine months ended September 30, 2023 and 2022 is presented below.
The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of September 30, 2023 and December 31, 2022.
The increase in the allowance for credit losses for the quarter and nine months ended September 30, 2023 is primarily due to increases in expected losses and delinquencies as compared to the same periods of 2022. In addition, certain Non-Agency RMBS positions now have higher unrealized losses and resulted in the recognition of an allowance for credit losses which was previously limited by unrealized gains on these investments. The following tables present a summary of unrealized gains and losses at September 30, 2023 and December 31, 2022.
Changes in prepayments, actual cash flows, and cash flows expected to be collected, among other items, are affected by the collateral characteristics of each asset class. The Company chooses assets for the portfolio after carefully evaluating each investment’s risk profile. The following tables provide a summary of the Company’s MBS portfolio at September 30, 2023 and December 31, 2022.
(1) Bond Equivalent Yield at period end.
(1) Bond Equivalent Yield at period end. Actual maturities of MBS are generally shorter than the stated contractual maturities. Actual maturities of the Company’s MBS are affected by the underlying mortgages, periodic payments of principal, realized losses and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at September 30, 2023 and December 31, 2022 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility.
The Non-Agency RMBS investments are secured by pools of mortgage loans which are subject to credit risk. The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at September 30, 2023 and December 31, 2022. When delinquency rates increase, it is expected that the Company will incur additional credit losses.
The Non-Agency RMBS in the Portfolio have the following collateral characteristics at September 30, 2023 and December 31, 2022.
(1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at September 30, 2023 and December 31, 2022.
Gross realized gains and losses are recorded in “Net realized gains (losses) on sales of investments” on the Company’s Consolidated Statements of Operations. The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters and nine months ended September 30, 2023 and 2022 are as follows:
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Loans Held for Investment |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans Held for Investment | Loans Held for Investment The Loans held for investment are comprised primarily of loans collateralized by seasoned reperforming residential mortgages. Additionally, it includes jumbo prime loans, investor loans and business purpose loans. The investor loans are loans to individuals securing non-primary residences as well as to individuals or businesses who rent out the residential properties secured by such loans. The Company purchases qualified mortgages, or QM, and non-qualified mortgages, or Non-QM, investor loans and securitizes them under its loan securitization program. The business purpose loans are loans to businesses that are secured by real property which will be renovated by the borrower. The business purpose loans tend to be short duration, often less than one year, and generally the coupon rate is higher than residential mortgage loans. At September 30, 2023 and December 31, 2022, all Loans held for investment are carried at fair value. See Note 5 for a discussion on how the Company determines the fair values of the Loans held for investment. As changes in the fair value of these loans are reflected in earnings, the Company does not estimate or record a loan loss provision. The total amortized cost of the Company's Loans held for investment was $12.0 billion and $11.9 billion as of September 30, 2023 and December 31, 2022, respectively. The total unpaid principal balance of the Company's Loans held for investment was $12.2 billion and $12.1 billion as of June 30, 2023 and December 31, 2022, respectively. The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at September 30, 2023 and December 31, 2022:
The primary cause of the change in fair value is due to market demand, interest rates and changes in credit risk of mortgage loans. The Company did not retain any beneficial interests on loan sales during the nine months ended September 30, 2023 and year ended December 31, 2022, respectively. Residential mortgage loans The loan portfolio for all residential mortgages were originated during the following periods:
The following table presents a summary of key characteristics of the residential loan portfolio at September 30, 2023 and December 31, 2022:
(1) Value represents appraised value of the collateral at the time of loan origination. The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicers at September 30, 2023 and December 31, 2022, respectively.
The fair value of residential mortgage loans 90 days or more past due was $623 million and $717 million as of September 30, 2023 and December 31, 2022, respectively.
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Fair Value Measurements |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Measurements | Fair Value MeasurementsThe Company applies fair value guidance in accordance with GAAP to account for its financial instruments. The Company categorizes its financial instruments, based on the priority of the inputs to the valuation technique, into a three-level fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 – inputs to the valuation methodology are unobservable and significant to fair value. Fair value measurements categorized within Level 3 are sensitive to changes in the assumptions or methodology used to determine fair value and such changes could result in a significant increase or decrease in the fair value. Any changes to the valuation methodology are reviewed by the Company to ensure the changes are appropriate. As markets and products evolve and the pricing for certain products becomes more transparent, the Company will continue to refine its valuation methodologies. The methodology utilized by the Company for the periods presented is unchanged. The methods used to produce a fair value calculation may not be indicative of net realizable value or reflective of future fair values. Furthermore, the Company believes its valuation methods are appropriate and consistent with other market participants. Using different methodologies, or assumptions, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced. The Company determines the fair values of its investments using internally developed processes and validates them using a third-party pricing service. During times of market dislocation, the observability of prices and inputs can be difficult for certain investments. If the third-party pricing service is unable to provide a price for an asset, or if the price provided by them is deemed unreliable by the Company, then the asset will be valued at its fair value as determined by the Company without validation to third-party pricing. Illiquid investments typically experience greater price volatility as an active market does not exist. Observability of prices and inputs can vary significantly from period to period and may cause instruments to change classifications within the three level hierarchy. A description of the methodologies utilized by the Company to estimate the fair value of its financial instruments by instrument class follows: Agency MBS and Non-Agency RMBS The Company determines the fair value of all of its investment securities based on discounted cash flows utilizing an internal pricing model that incorporates factors such as coupon, prepayment speeds, loan size, collateral composition, borrower characteristics, expected interest rates, life caps, periodic caps, reset dates, collateral seasoning, delinquency, expected losses, expected default severity, credit enhancement, and other pertinent factors. To corroborate that the estimates of fair values generated by these internal models are reflective of current market prices, the Company compares the fair values generated by the model to non-binding independent prices provided by an independent third-party pricing service. For certain highly liquid asset classes, such as Agency fixed-rate pass-through bonds, the Company’s valuations are also compared to quoted prices for To-Be-Announced, or TBA, securities. Each quarter, the Company develops thresholds generally using market factors or other assumptions, as appropriate. If internally developed model prices differ from the independent third-party prices by greater than these thresholds for the period, the Company conducts a further review, both internally and with the third-party pricing service of the prices of such securities. First, the Company obtains the inputs used by the third-party pricing service and compares them to the Company’s inputs. The Company then updates its own inputs if the Company determines the third-party pricing inputs more accurately reflect the current market environment. If the Company believes that its internally developed inputs more accurately reflect the current market environment, it will request that the third-party pricing service review market factors that may not have been considered by the third-party pricing service and provide updated prices. The Company reconciles and resolves all pricing differences in excess of the thresholds before a final price is established. At September 30, 2023, eight investment holdings with an internally developed fair value of $58 million had a difference between the model generated prices and third-party prices provided in excess of the thresholds for the period. The internally developed prices were $11 million higher , in the aggregate, than the third-party prices provided of $47 million. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at September 30, 2023 in excess of the thresholds for the period. At December 31, 2022, fourteen investment holdings with an internally developed fair value of $96 million had a difference between the model generated prices and third-party prices provided in excess of the thresholds for the period. The internally developed prices were $14 million higher, in the aggregate, than the third-party prices provided of $82 million. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at December 31, 2022 in excess of the thresholds for the period. The Company’s estimate of prepayment, default and severity curves all involve judgment and assumptions that are deemed to be significant to the fair value measurement process. This subjective estimation process renders the Non-Agency RMBS fair value estimates as Level 3 in the fair value hierarchy. As the fair values of Agency MBS are more observable, these investments are classified as Level 2 in the fair value hierarchy. Loans Held for Investment Loans held for investment is comprised primarily of seasoned reperforming residential mortgage loans. Loans held for investment also include prime, jumbo, investor owned and business purpose loans. Loans consisting of seasoned reperforming residential mortgage loans, jumbo prime loans and investor loans: The Company estimates the fair value of its Loans held for investment consisting of seasoned reperforming residential mortgage loans, jumbo prime loans and investor loans on a loan by loan basis using an internally developed model which compares the loan held by the Company with a loan currently offered in the market. The loan price is adjusted in the model by considering the loan factors which would impact the value of a loan. These loan factors include loan coupon, FICO, loan-to-value ratios, delinquency history, owner occupancy, and property type, among other factors. A baseline is developed for each significant loan factor and adjusts the price up or down depending on how that factor for each specific loan compares to the baseline rate. Generally, the most significant impact on loan value is the loan coupon rate as compared to coupon rates currently available in the market and delinquency history. The Company also monitors market activity to identify trades which may be used to compare internally developed prices; however, as the portfolio of loans held at fair value is a seasoned reperforming pool of residential mortgage loans, comparable loan pools are not common or directly comparable. There are limited transactions in the marketplace to develop a comprehensive direct range of values. The Company reviews the fair values generated by the model to determine whether prices are reflective of the current market by corroborating its estimates of fair value by comparing the results to non-binding independent prices provided by an independent third-party pricing service for the loan portfolio. Each quarter the Company develops thresholds generally using market factors or other assumptions as appropriate. If the internally developed fair values of the loan pools differ from the independent third-party prices by greater than the threshold for the period, the Company highlights these differences for further review, both internally and with the third-party pricing service. The Company obtains certain inputs used by the third-party pricing service and evaluates them for reasonableness. Then the Company updates its own model if the Company determines the third-party pricing inputs more accurately reflect the current market environment or observed information from the third-party vendor. If the Company believes that its internally developed inputs more accurately reflect the current market environment, it will request that the third-party pricing service review market factors that may not have been considered by the third-party pricing service. The Company reconciles and resolves all pricing differences in excess of the thresholds before a final price is established. At September 30, 2023, seven loan pools with an internally developed fair value of $2.1 billion had a difference between the model generated prices and third-party prices provided in excess of the threshold for the period. The internally developed prices were $113 million higher than the third-party prices provided of $2.0 billion. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at September 30, 2023 in excess of the threshold for the period. At December 31, 2022, eight loan pools with an internally developed fair value of $2.1 billion had a difference between the model generated prices and third-party prices provided in excess of the threshold for the period. The internally developed prices were $122 million higher than the third-party prices provided of $2.0 billion. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at December 31, 2022 in excess of the threshold for the period. The Company’s estimates of fair value of Loans held for investment involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates Level 3 inputs in the fair value hierarchy. Business purpose loans: Business purpose loans are loans to businesses that are secured by real property which will be renovated by the borrower. Upon completion of the renovation the property will be either sold by the borrower or refinanced by the borrower who may subsequently sell or rent the property. Most, but not all, of the properties securing these loans are residential and a portion of the loan is used to cover renovation costs. The business purpose loans are included as a part of the Company's Loans held for investment portfolio and are carried at fair value with changes in fair value reflected in earnings. These loans tend to be short duration, often less than one year, and generally the coupon rate is higher than the Company's typical residential mortgage loans. As these loans are generally short-term in nature and there is an active market for these loans, the Company estimates fair value of the business purpose loans based on the recent purchase price of the loan, adjusted for observable market activity for similar assets offered in the market. Business purpose loans have a fair value of $142 million and $205 million as of September 30, 2023 and December 31, 2022, respectively. As the fair value prices of the business purpose loans are based on the recent trades of similar assets in an active market, the Company has classified them as Level 2 in the fair value hierarchy. Securitized Debt, collateralized by Loans Held for Investment The process for determining the fair value of securitized debt, collateralized by Loans held for investment is based on discounted cash flows utilizing an internal pricing model that incorporates factors such as coupon, prepayment speeds, loan size, collateral composition, borrower characteristics, expected interest rates, life caps, periodic caps, reset dates, collateral seasoning, delinquencies, expected losses, expected default severity, credit enhancement, and other pertinent factors. This process, including the review process, is consistent with the process used for Agency MBS and Non-Agency RMBS using internal models. For further discussion of the valuation process and benchmarking process, see Agency MBS and Non-Agency RMBS discussion herein. The primary cause of the change in fair value is due to market demand and changes in credit risk of mortgage loans. At September 30, 2023, two securitized debt collateralized by loans held for investment positions with an internally developed fair value of $45 million had a difference between the model generated prices and third-party prices provided in excess of the threshold for the period. The internally developed prices were $9 million higher on a net basis than the third-party prices provided of $36 million. After review and discussion, the Company affirmed and valued the securitized debt positions at the higher internally developed prices. No other differences were noted at September 30, 2023 in excess of the threshold for the period. At December 31, 2022, six securitized debt collateralized by loans held for investment positions with an internally developed fair value of $35 million had a difference between the model generated prices and third-party prices provided in excess of the threshold for the period. The internally developed prices were $3 million higher on a net basis than the third-party prices provided of $32 million. After review and discussion, the Company affirmed and valued the securitized debt positions at the higher internally developed prices. No other pricing differences were noted at December 31, 2022 in excess of the threshold for the period. The Company’s estimates of fair value of securitized debt, collateralized by Loans held for investment involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates Level 3 inputs in the fair value hierarchy. Securitized Debt, collateralized by Non-Agency RMBS The Company carries securitized debt, collateralized by Non-Agency RMBS at the principal balance outstanding plus unamortized premiums, less unaccreted discounts recorded in connection with the financing of the loans or RMBS with third parties. For disclosure purposes, the Company estimates the fair value of securitized debt, collateralized by Non-Agency RMBS by estimating the future cash flows associated with the underlying assets collateralizing the secured debt outstanding. The Company models the fair value of each underlying asset by considering, among other items, the structure of the underlying security, coupon, servicer, delinquency, actual and expected defaults, actual and expected default severities, reset indices, and prepayment speeds in conjunction with market research for similar collateral performance and the Company's expectations of general economic conditions in the sector and other economic factors. This process, including the review process, is consistent with the process used for Agency MBS and Non-Agency RMBS using internal models. For further discussion of the valuation process and benchmarking process, see Agency MBS and Non-Agency RMBS discussion herein. The Company’s estimates of fair value of securitized debt, collateralized by Non-Agency RMBS involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates Level 3 inputs in the fair value hierarchy. Fair value option The table below shows the unpaid principal and fair value of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election as of September 30, 2023 and December 31, 2022, respectively:
The table below shows the impact of change in fair value on each of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election in statement of operations for the quarters and nine months ended September 30, 2023 and 2022:
Derivatives Interest Rate Swaps and Swaptions The Company uses clearing exchange market prices to determine the fair value of its exchange cleared interest rate swaps. For bi-lateral swaps, the Company determines the fair value based on the net present value of expected future cash flows on the swap. The Company uses an option pricing model to determine the fair value of its swaptions. For bi-lateral swaps and swaptions, the Company compares its own estimate of fair value with counterparty prices to evaluate for reasonableness. Both the clearing exchange and counter-party pricing quotes, incorporate common market pricing methods, including a spread measurement to the Treasury yield curve or interest rate swap curve as well as underlying characteristics of the particular contract. Interest rate swaps and swaptions are modeled by the Company by incorporating such factors as the term to maturity, swap curve, overnight index swap rates, and the payment rates on the fixed portion of the interest rate swaps. The Company has classified the characteristics used to determine the fair value of interest rate swaps and swaptions as Level 2 inputs in the fair value hierarchy. Treasury Futures The fair value of Treasury futures is determined by quoted market prices in an active market. The Company has classified the characteristics used to determine the fair value of Treasury futures as Level 1 inputs in the fair value hierarchy. Secured Financing Agreements Secured financing agreements are collateralized financing transactions utilized by the Company to acquire investment securities. For short term secured financing agreements and longer term floating rate secured financing agreements, the Company estimates fair value using the contractual obligation plus accrued interest payable. The Company has classified the characteristics used to determine the fair value of secured financing agreements as Level 2 inputs in the fair value hierarchy. Secured Financing Agreements, at fair value Fair value for certain secured financing agreements which are carried at fair value with changes in fair value reported in earnings are valued at the price that the Company would pay to transfer the liability to a market participant at the reporting date in an orderly transaction. The Company evaluates recent trades of financial liabilities made by the Company, which includes an element of non-performance risk, as well as changes in market interest rates to determine the fair value of the secured financing agreements. The primary factor in determining the fair value is the change in market interest rates from the transaction date of the secured financing agreements and the reporting date. As these rates are observable, the secured financing agreements are reported as level 2 inputs in the fair value hierarchy. Short-term Financial Instruments The carrying value of cash and cash equivalents, accrued interest receivable, dividends payable, payable for investments purchased, and accrued interest payable are considered to be a reasonable estimate of fair value due to the short term nature and low credit risk of these short-term financial instruments. Equity Method Investments The Company has made investments in entities or funds. For these investments where we have a non-controlling interest, but we are deemed to be able to exert significant influence over the affairs of these entities or funds, we utilize equity method of accounting. These investments are not carried at fair value. The carrying value of the Company's equity method investments is determined using cost accumulation method. The Company adjusts the carrying value of its equity method investments for its share of earnings or losses, dividends or return of capital on a quarterly basis. The fair value of equity method investments is based on the fund valuation received from the manager of the fund. The Company has classified the characteristics used to determine the fair value of equity method investments as Level 3 inputs in the fair value hierarchy. The equity method investments are included in Other assets on Statement of Financial Condition. The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at September 30, 2023 and December 31, 2022 are presented below.
The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at September 30, 2023 and December 31, 2022.
There were no transfers in or out from Level 3 during the quarter ended September 30, 2023 and the year ended December 31, 2022, respectively. The significant unobservable inputs used in the fair value measurement of the Company’s Non-Agency RMBS and securitized debt are the weighted average discount rates, prepayment rate, constant default rate, and the loss severity. Discount Rate The discount rate refers to the interest rate used in the discounted cash flow analysis to determine the present value of future cash flows. The discount rate takes into account not just the time value of money, but also the risk or uncertainty of future cash flows. An increased uncertainty of future cash flows results in a higher discount rate. The discount rate used to calculate the present value of the expected future cash flows is based on the discount rate implicit in the security as of the last measurement date. As discount rates move up, the values of the discounted cash flows are reduced. The discount rates applied to the expected cash flows to determine fair value are derived from a range of observable prices on securities backed by similar collateral. As the market becomes more or less liquid, the availability of these observable inputs will change. Prepayment Rate The prepayment rate specifies the percentage of the collateral balance that is expected to prepay at each point in the future. The prepayment rate is based on factors such as interest rates, loan-to-value ratio, debt-to-income ratio, and is scaled up or down to reflect recent collateral-specific prepayment experience as obtained from remittance reports and market data services. Constant Default Rate Constant default rate represents an annualized rate of default on a group of mortgages. The constant default rate, or CDR, represents the percentage of outstanding principal balances in the pool that are in default, which typically equates to the home being past 60-day and 90-day notices and in the foreclosure process. When default rates increase, expected cash flows on the underlying collateral decreases. When default rates decrease, expected cash flows on the underlying collateral increases. Default vectors are determined from the current “pipeline” of loans that are more than 30 days delinquent, in foreclosure, bankruptcy, or are REO. These delinquent loans determine the first 30 months of the default curve. Beyond month 30, the default curve transitions to a value that is reflective of a portion of the current delinquency pipeline. Loss Severity Loss severity rates reflect the amount of loss expected from a foreclosure and liquidation of the underlying collateral in the mortgage loan pool. When a mortgage loan is foreclosed the collateral is sold and the resulting proceeds are used to settle the outstanding obligation. In many circumstances, the proceeds from the sale do not fully repay the outstanding obligation. In these cases, a loss is incurred by the lender. Loss severity is used to predict how costly future losses are likely to be. An increase in loss severity results in a decrease in expected future cash flows. A decrease in loss severity results in an increase in expected future cash flows. The curve generated to reflect the Company’s expected loss severity is based on collateral-specific experience with consideration given to other mitigating collateral characteristics. Collateral characteristics such as loan size, loan-to-value, seasoning or loan age and geographic location of collateral also effect loss severity. Sensitivity of Significant Inputs – Non-Agency RMBS and securitized debt, collateralized by Loans held for investment Prepayment rates vary according to interest rates, the type of financial instrument, conditions in financial markets, and other factors, none of which can be predicted with any certainty. In general, when interest rates rise, it is relatively less attractive for borrowers to refinance their mortgage loans, and as a result, prepayment speeds tend to decrease. When interest rates fall, prepayment speeds tend to increase. For RMBS investments purchased at a premium, as prepayment rates increase, the amount of income the Company earns decreases as the purchase premium on the bonds amortizes faster than expected. Conversely, decreases in prepayment rates result in increased income and can extend the period over which the Company amortizes the purchase premium. For RMBS investments purchased at a discount, as prepayment rates increase, the amount of income the Company earns increases from the acceleration of the accretion of the purchase discount into interest income. Conversely, decreases in prepayment rates result in decreased income as the accretion of the purchase discount into interest income occurs over a longer period. For securitized debt carried at fair value issued at a premium, as prepayment rates increase, the amount of interest expense the Company recognizes decreases as the issued premium on the debt amortizes faster than expected. Conversely, decreases in prepayment rates result in increased expense and can extend the period over which the Company amortizes the premium. For debt issued at a discount, as prepayment rates increase, the amount of interest the Company expenses increases from the acceleration of the accretion of the discount into interest expense. Conversely, decreases in prepayment rates result in decreased expense as the accretion of the discount into interest expense occurs over a longer period. A summary of the significant inputs used to estimate the fair value of Level 3 Non-Agency RMBS held for investment at fair value as of September 30, 2023 and December 31, 2022 follows. The weighted average discount rates are based on fair value.
A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by Loans held for investment, as of September 30, 2023 and December 31, 2022 follows:
All of the significant inputs listed have some degree of market observability based on the Company’s knowledge of the market, information available to market participants, and use of common market data sources. Collateral default and loss severity projections are in the form of “curves” that are updated quarterly to reflect the Company’s collateral cash flow projections. Methods used to develop these projections conform to industry conventions. The Company uses assumptions it considers its best estimate of future cash flows for each security. Sensitivity of Significant Inputs – Loans held for investment The Loans held for investment are primarily comprised of loans collateralized by seasoned reperforming residential mortgages. Additionally, it includes non-conforming, single family, owner occupied, investor owned, jumbo and prime residential mortgages. The significant unobservable factors used to estimate the fair value of the Loans held for investment collateralized by seasoned reperforming residential mortgage loans, as of September 30, 2023 and December 31, 2022, include coupon, FICO score at origination, loan-to-value, or LTV ratios, owner occupancy status, and property type. A summary of the significant factors used to estimate the fair value of Loans held for investment collateralized primarily by seasoned reperforming residential mortgages at fair value as of September 30, 2023 and December 31, 2022 follows:
The loan factors are generally not observable for the individual loans and the base rates developed by the Company’s internal model are subjective and change as market conditions change. The impact of the loan coupon on the value of the loan is dependent on the loan history of delinquent payments. A loan with no history of delinquent payments would result in a higher overall value than a loan which has a history of delinquent payments. Similarly, a higher FICO score and a lower LTV ratio results in increases in the fair market value of the loan and a lower FICO score and a higher LTV ratio results in a lower value. See Note 4 for delinquency details for the Loans held for investment portfolio. Property types also affect the overall loan values. Property types include single family, manufactured housing and multi-family/mixed use and other types of properties. Single family homes represent properties which house one to four family units. Manufactured homes include mobile homes and modular homes. Loan value for properties that are investor or secondary homes have a reduced value as compared to the baseline loan value. Additionally, single family homes will result in an increase to the loan value, whereas manufactured and multi-family/mixed use and other properties will result in a decrease to the loan value, as compared to the baseline. Financial instruments not carried at fair value The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments not carried at fair value on a recurring basis at September 30, 2023 and December 31, 2022.
(1) Included in Other Assets on the Consolidated Statements of Financial Condition
(1) Included in Other Assets on the Consolidated Statements of Financial Condition
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Secured Financing Agreements |
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Disclosure of Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Secured Financing Agreements | Secured Financing Agreements Secured financing agreements include short term repurchase agreements with original maturity dates of less than one-year, long-term financing agreements with original maturity dates of more than one year and loan warehouse credit facilities collateralized by loans acquired by the Company. At September 30, 2023, the repurchase agreements are collateralized by Agency and Non-Agency mortgage-backed securities with interest rates generally indexed to the Secured Overnight Financing Rate (“SOFR”). At December 31, 2022, the repurchase agreements are collateralized by Agency and Non-Agency mortgage-backed securities with interest rates generally indexed to either the one-month LIBOR rates, the three-month LIBOR rates, or the SOFR. The maturity dates on the repurchase agreements are all less than one year and generally are less than 180 days. The collateral pledged as security on the repurchase agreements may include the Company’s investments in bonds issued by consolidated VIEs, which are eliminated in consolidation. The long-term financing agreements include secured financing arrangements with an original term of one year or greater which is secured by Non-Agency RMBS pledged as collateral. These long-term secured financing agreements have a maturity date of February 2025. The collateral pledged as security on the long-term financing agreements may include the Company’s investments in bonds issued by consolidated VIEs, which are eliminated in consolidation. The warehouse credit facilities collateralized by loans are repurchase agreements intended to finance loans until they can be sold into a longer-term securitization structure. The maturity dates on the warehouse credit facilities range from 30 days to one year with interest rates indexed to SOFR. The secured financing agreements generally require the Company to post collateral at a specific rate in excess of the unpaid principal balance of the agreement. For certain secured financing agreements, this may require the Company to post additional margin if the fair value of the assets were to drop. To mitigate this risk, the Company has negotiated several long-term financing agreements which are not subject to additional margin requirements upon a drop in the fair value of the collateral pledged or until the drop is greater than a threshold. At September 30, 2023 and December 31, 2022, the Company has $1.2 billion and $1.2 billion, respectively, of secured financing agreements which are not subject to additional margin requirements upon a change in the fair value of the collateral pledged. At September 30, 2023 and December 31, 2022, the Company has $307 million and $365 million, respectively, of secured financing agreements which are not subject to additional margin requirements until the drop in the fair value of collateral is greater than a threshold. Repurchase agreements may allow the credit counterparty to avoid the automatic stay provisions of the Bankruptcy Code, in the event of a bankruptcy of the Company, and take possession of, and liquidate, the collateral under such repurchase agreements without delay. At September 30, 2023 and December 31, 2022, we pledged $23 million and $33 million respectively, of margin cash collateral to the Company's secured financing agreement counterparties. At September 30, 2023, the weighted average haircut on the Company's secured financing agreements collateralized by Agency CMBS was 5.1% and Non-Agency RMBS and Loans held for investment was 25.2%. At December 31, 2022, the weighted average haircut on the Company's secured financing agreements collateralized by Agency RMBS IOs was 20.0%, Agency CMBS was 7.8% and Non-Agency RMBS and Loans held for investment was 25.7%. Certain of the long-term financing agreements and warehouse credit facilities are subject to certain covenants. These covenants include that the Company maintain its REIT status as well as maintain a net asset value or GAAP equity greater than a certain level. If the Company fails to comply with these covenants at any time, the financing may become immediately due in full. Additionally, certain financing agreements become immediately due if the total stockholders' equity of the Company drops by 50% from the most recent year end. Currently, the Company is in compliance with all covenants and does not expect to fail to comply with any of these covenants within the next twelve months. The Company has a total of $2.1 billion unused uncommitted warehouse credit facilities as of September 30, 2023. At September 30, 2023, the Company had amounts at risk with Nomura Securities International, Inc., or Nomura, of 11% of its equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured financing agreements with Nomura were 379 days. The amount at risk with Nomura was $282 million. At December 31, 2022, the Company had amounts at risk with Nomura of 12% of its equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured financing agreements with Nomura were 582 days. The amount at risk with Nomura was $308 million. The secured financing agreements principal outstanding, weighted average borrowing rates, weighted average remaining maturities, average balances and the fair value of the collateral pledged as of September 30, 2023 and December 31, 2022 were:
(1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $1 million of deferred financing cost as of September 30, 2023 and December 31, 2022, respectively. At September 30, 2023 and December 31, 2022, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.
(1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $1 million of deferred financing cost as of September 30, 2023 and December 31, 2022, respectively. Secured Financing Agreements at fair value The Company entered into a secured financing agreement during fourth quarter of 2022 for which the Company has elected fair value option. The Company believes electing fair value for this financial instrument better reflect the transactional economics. The total principal balance outstanding on this secured financing at September 30, 2023 and December 31, 2022 was $368 million and $383 million, respectively. The fair value of collateral pledged was $401 million and $418 million as of September 30, 2023 and December 31, 2022, respectively. The Company carries this secured financing instrument at fair value of $340 million and $374 million as of September 30, 2023 and December 31, 2022, respectively. At September 30, 2023 and December 31, 2022, the weighted average borrowing rate on secured financing agreements at fair value was 5.11%. At September 30, 2023 and December 31, 2022, the haircut for the secured financing agreements at fair value was 7.5%. At September 30, 2023, the maturity on the secured financing agreements at fair value was four years.
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Securitized Debt |
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Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securitized Debt | Securitized Debt All of the Company’s securitized debt is collateralized by residential mortgage loans or Non-Agency RMBS. For financial reporting purposes, the Company’s securitized debt is accounted for as secured borrowings. Thus, the residential mortgage loans or RMBS held as collateral are recorded in the assets of the Company as Loans held for investment or Non-Agency RMBS and the securitized debt is recorded as a non-recourse liability in the accompanying Consolidated Statements of Financial Condition. Securitized Debt Collateralized by Non-Agency RMBS At September 30, 2023 and December 31, 2022, the Company’s securitized debt collateralized by Non-Agency RMBS was carried at amortized cost and had a principal balance of $110 million, respectively. At September 30, 2023 and December 31, 2022, the debt carried a weighted average coupon of 6.7%. As of September 30, 2023, the maturities of the debt range between the years 2036 and 2037. None of the Company’s securitized debt collateralized by Non-Agency RMBS is callable. The Company did not acquire any securitized debt collateralized by Non-Agency RMBS during the quarters and nine months ended September 30, 2023 and 2022. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at September 30, 2023 and December 31, 2022, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company.
Maturities of the Company’s securitized debt collateralized by Non-Agency RMBS are dependent upon cash flows received from the underlying collateral. The estimate of their repayment is based on scheduled principal payments on the underlying collateral. This estimate will differ from actual amounts to the extent prepayments or losses are experienced. See Note 3 for a more detailed discussion of the securities collateralizing the securitized debt. Securitized Debt Collateralized by Loans Held for Investment At September 30, 2023 and December 31, 2022, the Company’s securitized debt collateralized by Loans held for investment had a principal balance of $8.5 billion and $7.9 billion, respectively. At September 30, 2023 and December 31, 2022, the total securitized debt collateralized by Loans held for investment carried a weighted average coupon of 3.3% and 2.8%, respectively. As of September 30, 2023, the maturities of the debt range between the years 2029 and 2067. During the quarter ended September 30, 2023, the Company did not acquire any securitized debt collateralized by Loans held for investment. During the nine months ended September 30, 2023, the Company acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $551 million for $545 million. These transactions resulted in net gain on extinguishment of debt of $6 million. The Company did not acquire any securitized debt collateralized by loans held for investment during the quarter and nine months ended September 30, 2022. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Loans held for investment at September 30, 2023 and December 31, 2022, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company.
Maturities of the Company’s securitized debt collateralized by Loans held for investment are dependent upon cash flows received from the underlying loans. The estimate of their repayment is based on scheduled principal payments on the underlying loans. This estimate will differ from actual amounts to the extent prepayments or loan losses are experienced. See Note 4 for a more detailed discussion of the loans collateralizing the securitized debt. Certain of the securitized debt collateralized by Loans held for investment contain call provisions at the option of the Company at a specific date. Other securitized debt issued by the Company contain clean-up call provisions. A clean-up call provision is a right to call the outstanding debt at pre-defined terms when the collateral falls below a certain percentage of the original balance, typically 10%. Generally, these clean-up call rights are shared with other parties to the debt, including the loan servicers and the paying agents. Clean-up calls are generally put in place to reduce the administrative burdens when a loan pool balance becomes de minimis hence uneconomical to manage. The following table presents the par value of the callable debt by year as of September 30, 2023, excluding any debt issued by the Company where the Company only has a clean-up call.
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Consolidated Securitization Vehicles and Other Variable Interest Entities |
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Organization, Consolidation and Presentation of Financial Statements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consolidated Securitization Vehicles and Other Variable Interest Entities | Consolidated Securitization Vehicles and Other Variable Interest Entities Since its inception, the Company has utilized VIEs for the purpose of securitizing whole mortgage loans or re-securitizing RMBS and obtaining long-term, non-recourse financing. The Company evaluated its interest in each VIE to determine if it is the primary beneficiary. The Company did not consolidate any residential mortgage loans during the quarter ended September 30, 2023. During the nine months ended September 30, 2023, the Company consolidated approximately $2.6 billion unpaid principal balance of seasoned residential reperforming residential mortgage loans. During the quarter and nine months ended September 30, 2022, the Company consolidated approximately $370 million and $2.5 billion, respectively, unpaid principal balance of seasoned residential reperforming residential mortgage loans. VIEs for Which the Company is the Primary Beneficiary The retained beneficial interests in VIEs for which the Company is the primary beneficiary are typically the subordinated tranches of these securitizations and in some cases the Company may hold interests in additional tranches. The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of September 30, 2023 and December 31, 2022.
(1) September 30, 2023 and December 31, 2022 balances includes allowance for credit losses of $5 million and $2 million, respectively. Income and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below.
VIEs for Which the Company is Not the Primary Beneficiary The Company is not required to consolidate VIEs in which it has concluded it does not have a controlling financial interest, and thus is not the primary beneficiary. In such cases, the Company does not have both the power to direct the entities’ most significant activities, such as rights to replace the servicer without cause, and the obligation to absorb losses or right to receive benefits that could potentially be significant to the VIEs. The Company’s investments in these unconsolidated VIEs are carried in Non-Agency RMBS on the Consolidated Statements of Financial Condition and include senior and subordinated bonds issued by the VIEs. The fair value of the Company’s investments in each unconsolidated VIEs at September 30, 2023, ranged from less than $1 million to $20 million, with an aggregate amount of $775 million. The fair value of the Company’s investments in each unconsolidated VIEs at December 31, 2022, ranged from less than $1 million to $23 million, with an aggregate amount of $871 million. The Company’s maximum exposure to loss from these unconsolidated VIEs was $780 million and $813 million at September 30, 2023 and December 31, 2022, respectively. The maximum exposure to loss was determined as the amortized cost of the unconsolidated VIE, which represents the purchase price of the investment adjusted by any unamortized premiums or discounts as of the reporting date.
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Derivative Instruments |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments | Derivative InstrumentsIn connection with the Company’s interest rate risk strategy, the Company may economically hedge a portion of its interest rate risk by entering into derivative financial instrument contracts in the form of interest rate swaps, swaptions, and U.S. Treasury futures. Swaps are used to lock in a fixed rate related to a portion of its current and anticipated payments on its secured financing agreements. The Company typically agrees to pay a fixed rate of interest, or pay rate, in exchange for the right to receive a floating rate of interest, or receive rate, over a specified period of time. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. The Company’s swaptions are not centrally cleared. U.S. Treasury futures are derivatives which track the prices of generic benchmark U.S. Treasury securities with identical maturity and are traded on an active exchange. It is generally the Company’s policy to close out any U.S. Treasury futures positions prior to delivering the underlying security. U.S. Treasury futures lock in a fixed rate related to a portion of its current and anticipated payments on its secured financing agreements. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. These derivative financial instrument contracts are not designated as hedges for GAAP; therefore, all changes in fair value are recognized in earnings. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair values of those derivative contracts are reported net by counterparty. The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. In the event of a default by the counterparty, the Company could have difficulty obtaining its RMBS or cash pledged as collateral for these derivative instruments. The Company periodically monitors the credit profiles of its counterparties to determine if it is exposed to counterparty credit risk. See Note 14 for further discussion of counterparty credit risk. The weighted average pay rate on the Company’s interest rate swap at September 30, 2023 was 3.26% and the weighted average receive rate was 5.31%. At September 30, 2023, the weighted average maturity on the Company’s interest rate swaps was less than one year. The weighted average pay rate on the Company’s interest rate swaps at December 31, 2022 was 4.07% and the weighted average receive rate was 4.30%. At December 31, 2022, the weighted average maturity on the Company’s interest rate swaps was 4 years. The Company did not enter into or terminate any derivative contracts during the quarter ended September 30, 2023. The Company paid $45 million to terminate interest rate swaps with a notional value of $2.5 billion during the nine months ended September 30, 2023. The terminated swaps had original maturities ranging from 2025 to 2028. During the nine months ended September 30, 2023, the Company entered into three swaption contracts for a one-year forward starting swaps with a total notional of $1.5 billion with 3.56% strike rate. The underlying swap terms will allow the Company to pay a fix rate of 3.56% and receive floating overnight SOFR rate. Additionally, during the nine months ended September 30, 2023, the Company terminated its existing $1.0 billion notional swaption contract for a one-year swap. The Company also entered into and terminated three new swaptions contracts with $2.3 billion notional during the nine months ended September 30, 2023. The Company had net realized gains of $11 million on these swaption terminations. During the nine months ended September 30, 2023, the Company entered into 6,000 short 5-year and 1,875 short 2-year U.S. Treasury futures contract with a notional of $600 million and $375 million, respectively, which it subsequently covered and had no outstanding U.S. Treasury futures contract at September 30, 2023. The Company had a net realized loss of $6 million on covering these short U.S. Treasury futures contract. The Company also entered into 400 call options on 2-year and 5-year U.S. Treasury futures and subsequently covered them during the nine months ended September 30, 2023 for a realized loss of $187 thousand. During the nine months ended September 30, 2022, the Company purchased a swaption contract for a one-year forward starting swap of $1.0 billion in notional amount with a weighted average strike rate of 3.26%. The Company entered into two, pay-fixed-receive-floating, SOFR-based interest rate swaps during the quarter and nine months ended September 30, 2022 with a $885 million notional amount. The weighted average pay rate on the Company's interest rate swaps at September 30, 2022 was 3.94% and the weighted average receive rate was 2.98%. The swaps had remaining maturity range of two years to five years and weighted average maturity of three years. The Company also maintains collateral in the form of cash margin from its counterparties to its derivative contacts. In accordance with the Company's netting policy, the Company presents the fair value of its derivative contracts net of cash margin received. See Note 14 for additional details on derivative netting. The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of September 30, 2023 and December 31, 2022.
The effect of the Company’s derivatives on the Consolidated Statements of Operations for the quarters ended September 30, 2023 and 2022, respectively is presented below.
When the Company enters into derivative contracts, they are typically subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange, or NYSE. Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. If the Company breaches any of these provisions, it will be required to settle its obligations under the agreements at their termination values, which approximates fair value.
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Capital Stock |
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Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital Stock | Capital Stock Preferred Stock The Company declared dividends to Series A preferred stockholders of $3 million and $9 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2023, respectively. The Company declared dividends to Series A preferred stockholders of $3 million and $9 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2022, respectively. The Company declared dividends to Series B preferred stockholders of $7 million and $20 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2023, respectively. The Company declared dividends to Series B preferred stockholders of $7 million and $20 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2022, respectively. The Company declared dividends to Series C preferred stockholders of $5 million and $15 million, or $0.484375 and $1.453125 per preferred share, during the quarter and nine months ended September 30, 2023, respectively. The Company declared dividends to Series C preferred stockholders of $5 million and $15 million, or $0.484375 and $1.453125 per preferred share, during the quarter and nine months ended September 30, 2022, respectively. The Company declared dividends to Series D preferred stockholders of $4 million and $12 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2023, respectively. The Company declared dividends to Series D preferred stockholders of $4 million and $12 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2022, respectively. On October 30, 2021, all 5,800,000 issued and outstanding shares of Series A Preferred Stock with an outstanding liquidation preference of $145 million became callable at a redemption price equal to the liquidation preference plus accrued and unpaid dividends through, but not including the redemption date. After June 30, 2023, all LIBOR tenors relevant to the Company ceased to be published or became no longer representative. The Company believes that the federal Adjustable Interest Rate (LIBOR) Act (the “Act”) and the related regulations promulgated thereunder are applicable to each of its 8% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series B Preferred Stock”), 7.75% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series C Preferred Stock”) and 8% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series D Preferred Stock,” and together with the Series B Preferred Stock and the Series C Preferred Stock, the “Preferred Stock”). In light of the applicability of the Act to the Preferred Stock, the Company believes, given all of the information available to date, that three-month CME Term SOFR plus the applicable tenor spread adjustment of 0.26161% per annum will automatically replace three-month LIBOR as the reference rate for calculations of the dividend rate payable on the Preferred Stock for dividend periods from and after (i) March 30, 2024, in the case of the Series B Preferred Stock, (ii) September 30, 2025, in the case of the Series C Preferred Stock, or (iii) March 30, 2024, in the case of the Series D Preferred Stock. Common Stock In June 2023, the Company's Board of Directors increased the authorization of the Company's share repurchase program, or the Repurchase Program, by $73 million to $250 million. Such authorization does not have an expiration date, and at present, there is no intention to modify or otherwise rescind such authorization. Shares of the Company's common stock may be purchased in the open market, including through block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended, or the Exchange Act. The timing, manner, price and amount of any repurchases will be determined at the Company's discretion and the program may be suspended, terminated or modified at any time, for any reason. Among other factors, the Company intends to only consider repurchasing shares of its common stock when the purchase price is less than the last publicly reported book value per common share. In addition, the Company does not intend to repurchase any shares from directors, officers or other affiliates. The program does not obligate the Company to acquire any specific number of shares, and all repurchases will be made in accordance with Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of stock repurchases. The Company did not repurchase any of its common stock during the quarters ended September 30, 2023 and 2022. The Company repurchased 5.8 million shares of its common stock at an average price of $5.66 for a total of $33 million during the nine months ended September 30, 2023. The Company repurchased approximately 5.4 million shares of its common stock at an average price of $9.10 for a total of $49 million during the nine months ended September 30, 2022. The approximate dollar value of shares that may yet be purchased under the Repurchase Program is $217 million as of September 30, 2023. In February 2022, the Company entered into separate Distribution Agency Agreements (the “Existing Sales Agreements”) with each of Credit Suisse Securities (USA) LLC, JMP Securities LLC, Goldman Sachs & Co. LLC, Morgan Stanley & Co. LLC and RBC Capital Markets, LLC (the “Existing Sales Agents”). In February 2023, the Company amended the Existing Sales Agreements and entered into separate Distribution Agency Agreements (together with the Existing Sales Agreements, as amended, the “Sales Agreements”) with J.P. Morgan Securities LLC and UBS Securities LLC to include J.P. Morgan Securities LLC and UBS Securities LLC as additional sales agents (together with the Existing Sales Agents, the “Sales Agents”). Pursuant to the terms of the Sales Agreements, the Company may offer and sell shares of our common stock, having an aggregate offering price of up to $500 million, from time to time in “at the market” offerings through any of the Sales Agents under the Securities Act of 1933. The Company did not issue any shares under the at-the-market sales program during the quarter and nine months ended September 30, 2023, and year ended December 31, 2022. During the quarter and nine months ended September 30, 2023, the Company declared dividends to common shareholders of $42 million and $138 million or $0.18 and $0.59 per share, respectively. During the quarter and nine months ended September 30, 2022, the Company declared dividends to common shareholders of $56 million and $212 million, or $0.23 and $0.89 per share, respectively. Earnings per Share (EPS) EPS for the quarters and nine months ended September 30, 2023 and 2022 are computed as follows:
For the quarter ended September 30, 2023 potentially dilutive shares of 2.0 million were excluded from the computation of fully diluted EPS because their effect would have been anti-dilutive. For the quarter and nine months ended September 30, 2022 potentially dilutive shares of 2.4 million were excluded from the computation of fully diluted EPS because their effect would have been anti-dilutive. Anti-dilutive shares for the quarter ended quarter September 30, 2023 and nine months ended September 30, 2022 were comprised of restricted stock units and performance stock units.
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Accumulated Other Comprehensive Income |
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Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accumulated Other Comprehensive Income | Accumulated Other Comprehensive IncomeThe following table presents the changes in the components of Accumulated Other Comprehensive Income, or the AOCI, for the nine months ended September 30, 2023 and 2022:
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Equity Compensation, Employment Agreements and other Benefit Plans |
9 Months Ended |
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Sep. 30, 2023 | |
Compensation Related Costs [Abstract] | |
Equity Compensation, Employment Agreements and other Benefit Plans | Equity Compensation, Employment Agreements and other Benefit Plans On June 14, 2023, the Board of Directors recommended and shareholders approved, the Chimera Investment Corporation 2023 Equity Incentive Plan (the “Plan”). It authorized the issuance of up to 20,000,000 shares of our common stock for the grant of awards under the Plan. The Plan will replace our 2007 Equity Incentive Plan, as amended and restated effective December 10, 2015 (the “Prior Plan”), and no new awards will be granted under the Prior Plan. Any awards outstanding under the Prior Plan will remain subject to and be paid under the Prior Plan. Any shares subject to outstanding awards under the Prior Plan that, expire, terminate, or are surrendered or forfeited for any reason without issuance of shares will automatically become available for issuance under the Plan. Also, shares withheld for tax withholding requirements after stockholder approval of the Plan for full value awards originally granted under the Prior Plan (such as the RSUs and PSUs awarded to our named executive officers) will automatically become available for issuance under the Plan. As of September 30, 2023, approximately 20 million shares were available for future grant under the Plan. Awards under the Plan may include stock options, stock appreciation rights (“SARs”), restricted stock, dividend equivalent rights (“DERs”) and other share-based awards (including RSUs). Under the Plan, any of these awards may be performance awards that are conditioned on the attainment of performance goals. The Compensation Committee of the Board of Directors of the Company has approved a Stock Award Deferral Program, or the Deferral Program. Under the Deferral Program, non-employee directors and certain executive officers can elect to defer payment of certain stock awards made pursuant to the Incentive Plan. Deferred awards are treated as deferred stock units and paid at the earlier of separation from service or a date elected by the participant who is separating. Payments are generally made in a lump sum or, if elected by the participant, in five annual installments. Deferred awards receive dividend equivalents during the deferral period in the form of additional deferred stock units. Amounts are paid at the end of the deferral period by delivery of shares from the Incentive Plan (plus cash for any fractional deferred stock units), less any applicable tax withholdings. Deferral elections do not alter any vesting requirements applicable to the underlying stock award. At September 30, 2023 and December 31, 2022, there are approximately 1 million shares for which payments have been deferred until separation or a date elected by the participant, respectively. At September 30, 2023 and December 31, 2022, there are approximately 1 million dividend equivalent rights earned but not yet delivered. Grants of Restricted Stock Units, or RSUs The Company did not grant any RSUs during the quarters ended September 30, 2023 and 2022. During the nine months ended September 30, 2023 and 2022, the Company granted RSU awards to employees. These RSU awards are designed to reward employees of the Company for services provided to the Company. Generally, the RSU awards vest equally over a three-year period beginning from the grant date and will fully vest after three years. For employees who are retirement eligible, defined as years of service to the Company plus age, is equal to or greater than 65, the service period is considered to be fulfilled and all grants are expensed immediately. The RSU awards are valued at the market price of the Company’s common stock on the grant date and generally the employees must be employed by the Company on the vesting dates to receive the RSU awards. The Company granted 817 thousand RSU awards during the nine months ended September 30, 2023 with a grant date fair value of $5 million for the 2023 performance year. The Company granted 221 thousand RSU awards during the nine months ended September 30, 2022 with a grant date fair value of $3 million, respectively for the 2022 performance year. Grants of Performance Share Units, or PSUs The Company did not grant any PSUs during the quarters ended September 30, 2023 and 2022. PSU awards are designed to align compensation with the Company’s future performance. The PSU awards granted during the nine months ended September 30, 2023 and 2022, include a three-year performance period ending on December 31, 2025 and December 31, 2024, respectively. For the PSU awards granted during the nine months ended September 30, 2023, the final number of shares awarded will be between 0% and 200% of the PSUs granted based equally on the Company Economic Return and share price performance compared to a peer group. The Company’s three-year Company Economic Return is equal to the Company’s change in book value per common share plus common stock dividends. Share price performance equals change in share price plus common stock dividends. Compensation expense will be recognized on a straight-line basis over the three-year vesting period based on an estimate of the Company Economic Return and share price performance in relation to the entities in the peer group and will be adjusted each period based on the Company’s best estimate of the actual number of shares awarded. For the PSU awards granted during the nine months ended September 30, 2022, the final number of shares awarded will be between 0% and 200% of the PSUs granted based on the Company Economic Return compared to a peer group. During the nine months ended September 30, 2023, the Company granted 605 thousand PSU awards to senior management with a grant date fair value of $3 million. During the nine months ended September 30, 2022, the Company granted 128 thousand PSU awards to senior management with a grant date fair value of $2 million. The Company recognized stock based compensation expense of $2 million and $6 million for the quarters and nine months ended September 30, 2023. The Company recognized stock based compensation expenses of $2 million and $5 million for the quarters and nine months ended September 30, 2022. The Company also maintains a qualified 401(k) plan. The plan is a retirement savings plan that allows eligible employees to contribute a portion of their wages on a tax-deferred basis under Section 401(k) of the Code. Employees may contribute, through payroll deductions, up to $22,500 if under the age of 50 years and an additional $7,500 “catch-up” contribution for employees 50 years or older. The Company matches 100% of the first 6% of the eligible compensation deferred by employee contributions. The employer funds the 401(k) matching contributions in the form of cash, and participants may direct the Company match to an investment of their choice. The benefit of the Company’s contributions vests immediately. Generally, a participating employee is entitled to distributions from the plans upon termination of employment, retirement, death or disability. The 401(k) expenses related to the Company’s qualified plan for the quarters and nine months ended September 30, 2023 was $96 thousand and $353 thousand, respectively. The 401(k) expenses related to the Company’s qualified plan for the quarters and nine months ended September 30, 2022 was $95 thousand and $423 thousand, respectively.
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Income Taxes |
9 Months Ended |
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Sep. 30, 2023 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes For the year ended December 31, 2022, the Company qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company is not subject to U.S. federal income tax to the extent that it makes qualifying distributions of taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income (subject to certain adjustments) to its shareholders and meet certain other requirements such as assets it may hold, income it may generate and its shareholder composition. It is generally the Company’s policy to distribute to its shareholders all of the Company’s taxable income. The state and local tax jurisdictions in which the Company is subject to tax-filing obligations generally recognize the Company’s status as a REIT and, therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state, and local tax filing fees and its TRSs are subject to U.S. federal, state, and local taxes. The Company recorded current income tax expense of $75 thousand and $100 thousand for the quarter and nine months ended September 30, 2023. The Company recorded current income tax expense of $4 thousand and $28 thousand for the quarter and nine months ended September 30, 2022, respectively. The Company’s effective tax rate differs from its combined U.S. federal, state and local corporate statutory tax rate primarily due to the deduction of dividend distributions required to be paid under Code Section 857(a). The Company’s U.S. federal, state, and local tax returns for the tax years ending on or after December 31, 2019, remain open for examination.
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Credit Risk and Interest Rate Risk |
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Offsetting [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Credit Risk and Interest Rate Risk | Credit Risk and Interest Rate Risk The Company’s primary components of market risk are credit risk and interest rate risk. The Company is subject to interest rate risk in connection with its investments in Agency MBS and Non-Agency RMBS, residential mortgage loans, borrowings under secured financing agreements and securitized debt. When the Company assumes interest rate risk, it attempts to minimize interest rate risk through asset selection, hedging and matching the income earned on mortgage assets with the cost of related financing. The Company attempts to minimize credit risk through due diligence, asset selection and portfolio monitoring. The Company has established a whole loan target market including qualified mortgages, non-qualified mortgages and reperforming residential mortgage loans. Additionally, the Company seeks to minimize credit risk through compliance with regulatory requirements, geographic diversification, owner occupied property, and moderate loan-to-value ratios. These factors are considered to be important indicators of credit risk. By using derivative instruments and secured financing agreements, the Company is exposed to counterparty credit risk if counterparties to the contracts do not perform as expected. If a counterparty fails to perform on a derivative instrument, the Company’s counterparty credit risk is equal to the amount reported as a derivative asset on its balance sheet to the extent that amount exceeds collateral obtained from the counterparty or, if in a net liability position, the extent to which collateral posted exceeds the liability to the counterparty. The amounts reported as a derivative asset/(liability) are derivative contracts in a gain/(loss) position, and to the extent subject to master netting arrangements, net of derivatives in a loss/(gain) position with the same counterparty and collateral received/(pledged). If the counterparty fails to perform on a secured financing agreement, the Company is exposed to a loss to the extent that the fair value of collateral pledged exceeds the liability to the counterparty. The Company attempts to minimize counterparty credit risk by evaluating and monitoring the counterparty’s credit, executing master netting arrangements and obtaining collateral, and executing contracts and agreements with multiple counterparties to reduce exposure to a single counterparty. The Company's secured financing agreements transactions are governed by underlying agreements that provide for a right of setoff by the lender, including in the event of default or in the event of bankruptcy of the borrowing party to the transactions. The Company's derivative transactions are governed by underlying agreements that provide for a right of setoff under master netting arrangements, including in the event of default or in the event of bankruptcy of either party to the transactions. The Company presents its assets and liabilities subject to such arrangements on a net basis in the Consolidated Statements of Financial Condition. The following table presents information about our assets and liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of September 30, 2023 and December 31, 2022.
(1) Included in other assets
(1) Included in other assets
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Commitments and Contingencies |
9 Months Ended |
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Sep. 30, 2023 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and ContingenciesFrom time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. In connection with certain securitization transactions engaged in by the Company, it has the obligation under certain circumstances to repurchase assets from the VIE upon breach of certain representations and warranties. |
Subsequent Events |
9 Months Ended |
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Sep. 30, 2023 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent EventsNone. |
Pay vs Performance Disclosure - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
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Sep. 30, 2023 |
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Pay vs Performance Disclosure | ||||
Net income (loss) | $ 2,170 | $ (186,145) | $ 95,560 | $ (610,266) |
Summary of the Significant Accounting Policies (Policies) |
9 Months Ended |
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Sep. 30, 2023 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation and Statements of Financial Condition Presentation | Basis of Presentation and Consolidation The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States, or GAAP. In the opinion of the Company, all normal and recurring adjustments considered necessary for a fair presentation of its financial position, results of operations and cash flows have been included. Investment transactions are recorded on the trade date. These consolidated financial statements should be read in conjunction with the audited consolidated financial statements and notes thereto for the year ended December 31, 2022 included in the Company's Form 10-K, filed with SEC. The consolidated financial statements include the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities, or VIEs, in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation. The Company uses securitization trusts considered to be VIEs in its securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could 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 VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The trusts are structured as entities 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 risks associated with being the sponsor and depositor of and the seller, directly or indirectly to, the securitizations 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 VIEs that most significantly impact the VIEs’ economic performance, or power, such as rights to replace the servicer without cause, or the Company was determined to have power in connection with its involvement with the structure and design of the VIE. The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Consolidated Statements of Financial Condition, is restricted by the structural provisions of these trusts, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. Generally, the securities retained by the Company are the most subordinate in the capital structure, which means those securities receive distributions after the senior securities have been paid. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Consolidated Statements of Financial Condition, are non-recourse to the Company, and can only be satisfied using proceeds from each securitization vehicle’s respective asset pool. The assets of securitization entities are comprised of residential mortgage-backed securities, or RMBS, or residential mortgage loans.Statements of Financial Condition PresentationThe Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Retained beneficial interests of the consolidated securitization vehicles are eliminated in consolidation. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 8 for additional information related to the Company’s investments in consolidated securitization vehicles. Certain prior period investment balances for Non-Agency Subordinate and Interest-Only securities were updated to conform to current period presentation.
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Use of Estimates | Use of Estimates The preparation of financial statements in conformity with GAAP requires the Company to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition. The Company has made significant estimates including in accounting for income recognition on Agency MBS, Non-Agency RMBS, IO MBS (Note 3) and residential mortgage loans (Note 4), valuation of Agency MBS and Non-Agency RMBS (Notes 3 and 5), residential mortgage loans (Notes 4 and 5), secured financing agreements (Notes 5 and 6), and securitized debt (Notes 5 and 7). Actual results could differ materially from those estimates.
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Significant Accounting Policies and Recent Accounting Pronouncements | Significant Accounting PoliciesThere have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2022, other than the significant accounting policies discussed below.Recent Accounting PronouncementsReference Rate Reform (Topic 848)In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standard Update (ASU) No. 2020-4, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in this update provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this update apply only to contracts, hedging relationships, and other transactions that reference London Inter Bank Offering Rate (or LIBOR) or another reference rate expected to be discontinued because of reference rate reform. The amendments in this update are effective for contracts held by the Company subject to reference rate reform that fall within the scope of this update beginning immediately through December 31, 2024, as extended under ASU No. 2022-06, Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848. The guidance in the ASU was effective for the Company as of July 1, 2023. The Company has elected to apply the optional expedient across all contracts and considers the replacement of LIBOR-based rates to SOFR-based rates plus the appropriate spread as a qualifying modification that does not require contract remeasurement or reassessment of previous accounting determination. The adoption of this guidance did not have any material impact on the Company's consolidated financial statements. |
Mortgage-Backed Securities (Tables) |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Present Amortized Cost, Fair Value and Unrealized Gain/Losses of Company's MBS Investments | The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of the Company's MBS investments as of September 30, 2023 and December 31, 2022.
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Schedule of Investments in Unrealized Loss Position | The following tables present the gross unrealized losses and estimated fair value of the Company’s Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at September 30, 2023 and December 31, 2022. All Non-Agency RMBS held as available-for-sale, and not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses.
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Schedule of Summary of Credit Loss Allowance | A summary of the credit losses allowance on available-for-sale securities for the quarters and nine months ended September 30, 2023 and 2022 is presented below.
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Schedule of Significant Credit Quality Indicators | The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of September 30, 2023 and December 31, 2022.
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Summary of Unrealized Gains and Losses on MBS | The following tables present a summary of unrealized gains and losses at September 30, 2023 and December 31, 2022.
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Residential Mortgage Backed Securities Collateral Characteristics | The following tables provide a summary of the Company’s MBS portfolio at September 30, 2023 and December 31, 2022.
(1) Bond Equivalent Yield at period end.
(1) Bond Equivalent Yield at period end.
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Schedule of MBS by Estimated Weighted Average Life Classification | The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at September 30, 2023 and December 31, 2022 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility.
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Schedule of Various Characteristics of Residential Loan Portfolio | The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at September 30, 2023 and December 31, 2022. When delinquency rates increase, it is expected that the Company will incur additional credit losses.
The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicers at September 30, 2023 and December 31, 2022, respectively.
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Schedule of Collateral Characteristics of Underlying Mortgages of Non-Agency RMBS Portfolio | The Non-Agency RMBS in the Portfolio have the following collateral characteristics at September 30, 2023 and December 31, 2022.
(1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination.
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Schedule of Percentage of Non-Agency RMBS by Year Originated | The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at September 30, 2023 and December 31, 2022.
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Schedule of Gains and Losses from Sales of Investments | The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters and nine months ended September 30, 2023 and 2022 are as follows:
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Loans Held for Investment (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Changes in Carrying Value of Securitized Loans Held For Investment Carried at Fair Value | The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at September 30, 2023 and December 31, 2022:
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Schedule of Percentage of Securitized Loans Held For Investment Carried at Fair Value by Year Originated | The loan portfolio for all residential mortgages were originated during the following periods:
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Schedule of Key Characteristics of Residential Loan Portfolio | The following table presents a summary of key characteristics of the residential loan portfolio at September 30, 2023 and December 31, 2022:
(1) Value represents appraised value of the collateral at the time of loan origination.
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Schedule of Various Characteristics of Residential Loan Portfolio | The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at September 30, 2023 and December 31, 2022. When delinquency rates increase, it is expected that the Company will incur additional credit losses.
The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicers at September 30, 2023 and December 31, 2022, respectively.
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Fair Value Measurements (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Unpaid Principal, Fair Value and Impact of Changes in Fair Value on Financial Instruments | The table below shows the unpaid principal and fair value of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election as of September 30, 2023 and December 31, 2022, respectively:
The table below shows the impact of change in fair value on each of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election in statement of operations for the quarters and nine months ended September 30, 2023 and 2022:
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Schedule of Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis | The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at September 30, 2023 and December 31, 2022 are presented below.
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Summary of the Changes in the Fair Value of Securities Classified as Level 3 | The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at September 30, 2023 and December 31, 2022.
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Summary of Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment | A summary of the significant inputs used to estimate the fair value of Level 3 Non-Agency RMBS held for investment at fair value as of September 30, 2023 and December 31, 2022 follows. The weighted average discount rates are based on fair value.
A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by Loans held for investment, as of September 30, 2023 and December 31, 2022 follows:
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Schedule of Carrying Value and Fair Value of Financial Instruments Not Carried at Fair Value on a Recurring Basis | The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments not carried at fair value on a recurring basis at September 30, 2023 and December 31, 2022.
(1) Included in Other Assets on the Consolidated Statements of Financial Condition
(1) Included in Other Assets on the Consolidated Statements of Financial Condition
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Secured Financing Agreements (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Disclosure of Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Secured Financing Agreements and Maturities | The secured financing agreements principal outstanding, weighted average borrowing rates, weighted average remaining maturities, average balances and the fair value of the collateral pledged as of September 30, 2023 and December 31, 2022 were:
(1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $1 million of deferred financing cost as of September 30, 2023 and December 31, 2022, respectively. At September 30, 2023 and December 31, 2022, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.
(1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $1 million of deferred financing cost as of September 30, 2023 and December 31, 2022, respectively.
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Securitized Debt (Tables) |
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Sep. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Maturities of Long-Term Debt | The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at September 30, 2023 and December 31, 2022, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company.
The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Loans held for investment at September 30, 2023 and December 31, 2022, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company.
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Schedule of Callable Debt | The following table presents the par value of the callable debt by year as of September 30, 2023, excluding any debt issued by the Company where the Company only has a clean-up call.
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Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Assets and Liabilities Related to the Consolidated VIEs | The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of September 30, 2023 and December 31, 2022.
(1) September 30, 2023 and December 31, 2022 balances includes allowance for credit losses of $5 million and $2 million, respectively.
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Schedule of Income, OTTI and Expense Amounts Related to Consolidated VIEs | Income and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below.
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Derivative Instruments (Tables) |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Notional Amounts of Outstanding Derivative Positions | The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of September 30, 2023 and December 31, 2022.
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Schedule of Derivative Instruments, Gains (Losses) | The effect of the Company’s derivatives on the Consolidated Statements of Operations for the quarters ended September 30, 2023 and 2022, respectively is presented below.
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Capital Stock (Tables) |
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Sep. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Earnings Per Share | EPS for the quarters and nine months ended September 30, 2023 and 2022 are computed as follows:
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Accumulated Other Comprehensive Income (Tables) |
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Sep. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Components of AOCI | The following table presents the changes in the components of Accumulated Other Comprehensive Income, or the AOCI, for the nine months ended September 30, 2023 and 2022:
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Credit Risk and Interest Rate Risk (Tables) |
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Offsetting [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Offsetting Assets and Liabilities | The following table presents information about our assets and liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of September 30, 2023 and December 31, 2022.
(1) Included in other assets
(1) Included in other assets
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Organization (Details) |
3 Months Ended | 9 Months Ended | ||
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Sep. 30, 2023
USD ($)
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Sep. 30, 2022
USD ($)
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Sep. 30, 2023
USD ($)
subsidiary
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Sep. 30, 2022
USD ($)
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Schedule of Equity Method Investments [Line Items] | ||||
Number of wholly owned direct subsidiaries | subsidiary | 12 | |||
Kah Capital Management | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Payments for equity method investment fees | $ 150,000 | $ 0 | $ 445,000 | $ 250,000 |
Capital commitment | 75,000,000 | |||
Capital commitment, amount funded | $ 46,000,000 | $ 46,000,000 |
Mortgage-Backed Securities - Summary of Present Amortized Cost, Fair Value and Unrealized Gain/Losses of Company's MBS Investments (Details) - USD ($) $ in Thousands |
Sep. 30, 2023 |
Jun. 30, 2023 |
Dec. 31, 2022 |
Sep. 30, 2022 |
Jun. 30, 2022 |
Dec. 31, 2021 |
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Debt Securities, Available-for-sale [Line Items] | ||||||
Principal or Notional Value | $ 5,600,632 | $ 8,261,615 | ||||
Total Premium | 197,945 | 338,380 | ||||
Total Discount | (877,767) | (935,752) | ||||
Amortized Cost | 1,117,496 | 1,469,977 | ||||
Allowance for credit losses | (16,230) | $ (13,013) | (7,188) | $ (3,355) | $ (4,890) | $ (213) |
Fair Value | 1,152,315 | 1,578,425 | ||||
Gross Unrealized Gains | 226,983 | 278,155 | ||||
Gross Unrealized Losses | (175,934) | (162,519) | ||||
Net Unrealized Gain/(Loss) | 51,049 | 115,636 | ||||
Non-Agency RMBS - Senior | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Principal or Notional Value | 1,153,458 | |||||
Total Premium | 6,230 | 7,377 | ||||
Total Discount | (587,415) | (624,803) | ||||
Amortized Cost | 510,509 | 536,032 | ||||
Allowance for credit losses | (12,966) | (4,418) | ||||
Fair Value | 683,849 | 761,808 | ||||
Gross Unrealized Gains | 194,562 | 237,127 | ||||
Gross Unrealized Losses | (8,256) | (6,933) | ||||
Net Unrealized Gain/(Loss) | 186,306 | 230,194 | ||||
Non-Agency RMBS - Subordinated | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Principal or Notional Value | 611,206 | |||||
Total Premium | 3,556 | 3,872 | ||||
Total Discount | (290,352) | (310,757) | ||||
Amortized Cost | 301,427 | 304,321 | ||||
Allowance for credit losses | (3,264) | (2,770) | ||||
Fair Value | 267,120 | 286,909 | ||||
Gross Unrealized Gains | 17,023 | 22,035 | ||||
Gross Unrealized Losses | (48,066) | (36,677) | ||||
Net Unrealized Gain/(Loss) | (31,043) | (14,642) | ||||
Non-Agency RMBS - Senior Interest-only | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Principal or Notional Value | 2,926,629 | 3,114,930 | ||||
Total Premium | 159,171 | 162,820 | ||||
Total Discount | 0 | 0 | ||||
Amortized Cost | 159,171 | 162,820 | ||||
Allowance for credit losses | 0 | 0 | ||||
Fair Value | 73,639 | 98,764 | ||||
Gross Unrealized Gains | 13,764 | 15,968 | ||||
Gross Unrealized Losses | (99,296) | (80,024) | ||||
Net Unrealized Gain/(Loss) | (85,532) | (64,056) | ||||
Agency RMBS - Interest-only | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Principal or Notional Value | 409,940 | |||||
Total Premium | 19,042 | 18,768 | ||||
Total Discount | 0 | 0 | ||||
Amortized Cost | 19,042 | 18,768 | ||||
Allowance for credit losses | 0 | 0 | ||||
Fair Value | 13,893 | 15,148 | ||||
Gross Unrealized Gains | 409 | 1,371 | ||||
Gross Unrealized Losses | (5,558) | (4,991) | ||||
Net Unrealized Gain/(Loss) | (5,149) | (3,620) | ||||
Agency MBS - Commercial | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Principal or Notional Value | 302,685 | |||||
Total Premium | 1,804 | 5,805 | ||||
Total Discount | 0 | (192) | ||||
Amortized Cost | 119,205 | 308,298 | ||||
Allowance for credit losses | 0 | 0 | ||||
Fair Value | 105,341 | 289,418 | ||||
Gross Unrealized Gains | 0 | 0 | ||||
Gross Unrealized Losses | (13,864) | (18,880) | ||||
Net Unrealized Gain/(Loss) | (13,864) | (18,880) | ||||
Agency CMBS - Interest-only | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Principal or Notional Value | 2,669,396 | |||||
Total Premium | 8,142 | 139,738 | ||||
Total Discount | 0 | 0 | ||||
Amortized Cost | 8,142 | 139,738 | ||||
Allowance for credit losses | 0 | 0 | ||||
Fair Value | 8,473 | 126,378 | ||||
Gross Unrealized Gains | 1,225 | 1,654 | ||||
Gross Unrealized Losses | (894) | (15,014) | ||||
Net Unrealized Gain/(Loss) | $ 331 | $ (13,360) |
Mortgage-Backed Securities - Unrealized Loss Positions (Details) $ in Thousands |
Sep. 30, 2023
USD ($)
security
|
Dec. 31, 2022
USD ($)
security
|
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 184,655 | $ 656,243 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (23,228) | $ (87,584) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 101 | 260 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 290,170 | $ 97,874 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (152,706) | $ (74,935) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 184 | 66 |
Total, Estimated Fair Value | $ 474,825 | $ 754,117 |
Total, Unrealized Losses | $ (175,934) | $ (162,519) |
Total, Number of Positions | security | 285 | 326 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | ||
Debt Securities, Available-for-sale [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 76,971 | $ 83,553 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (833) | $ (6,170) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 15 | 13 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 38,809 | $ 7,577 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (7,423) | $ (763) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 5 | 1 |
Total, Estimated Fair Value | $ 115,780 | $ 91,130 |
Total, Unrealized Losses | $ (8,256) | $ (6,933) |
Total, Number of Positions | security | 20 | 14 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | ||
Debt Securities, Available-for-sale [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 20,937 | $ 161,959 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (1,749) | $ (27,120) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 6 | 28 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 175,017 | $ 37,025 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (46,317) | $ (9,557) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 34 | 8 |
Total, Estimated Fair Value | $ 195,954 | $ 198,984 |
Total, Unrealized Losses | $ (48,066) | $ (36,677) |
Total, Number of Positions | security | 40 | 36 |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior Interest-only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 18,428 | $ 41,890 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (12,469) | $ (24,411) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 39 | 79 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 26,260 | $ 15,213 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (86,827) | $ (55,613) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 102 | 50 |
Total, Estimated Fair Value | $ 44,688 | $ 57,103 |
Total, Unrealized Losses | $ (99,296) | $ (80,024) |
Total, Number of Positions | security | 141 | 129 |
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 0 | $ 6,062 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ 0 | $ (500) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 0 | 4 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 8,589 | $ 2,825 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (5,558) | $ (4,491) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 8 | 4 |
Total, Estimated Fair Value | $ 8,589 | $ 8,887 |
Total, Unrealized Losses | $ (5,558) | $ (4,991) |
Total, Number of Positions | security | 8 | 8 |
Commercial Mortgage Backed Securities | Agency MBS - Project Loans | ||
Debt Securities, Available-for-sale [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 64,005 | $ 281,307 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (7,559) | $ (18,880) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 39 | 131 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 41,335 | $ 0 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (6,305) | $ 0 |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 33 | 0 |
Total, Estimated Fair Value | $ 105,340 | $ 281,307 |
Total, Unrealized Losses | $ (13,864) | $ (18,880) |
Total, Number of Positions | security | 72 | 131 |
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value | $ 4,314 | $ 81,472 |
Unrealized Loss Position for Less than 12 Months, Unrealized Losses | $ (618) | $ (10,503) |
Unrealized Loss Position for Less than 12 Months, Number of Positions | security | 2 | 5 |
Unrealized Loss Position for 12 Months or More, Estimated Fair Value | $ 160 | $ 35,234 |
Unrealized Loss Position for 12 Months or More, Unrealized Losses | $ (276) | $ (4,511) |
Unrealized Loss Position for 12 Months or More, Number of Positions | security | 2 | 3 |
Total, Estimated Fair Value | $ 4,474 | $ 116,706 |
Total, Unrealized Losses | $ (894) | $ (15,014) |
Total, Number of Positions | security | 4 | 8 |
Mortgage-Backed Securities - Narrative (Details) - USD ($) $ in Thousands |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Gross unrealized loss | $ 175,934 | $ 162,519 |
Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross unrealized loss | 25 | 3,000 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross unrealized loss | $ 13,000 | $ 20,000 |
Mortgage-Backed Securities - Summary of Credit Loss Allowance (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||||
Beginning allowance for credit losses | $ 13,013 | $ 4,890 | $ 7,188 | $ 213 |
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | 415 | 851 | 1,514 | 2,443 |
Allowance on purchased financial assets with credit deterioration | 0 | 0 | 0 | 0 |
Reductions for the securities sold during the period | 0 | 0 | 0 | 0 |
Increase/(decrease) on securities with an allowance in the prior period | 2,802 | (2,385) | 10,355 | 636 |
Write-offs charged against the allowance | 0 | (1) | (2,860) | (77) |
Recoveries of amounts previously written off | 0 | 0 | 33 | 140 |
Ending allowance for credit losses | $ 16,230 | $ 3,355 | $ 16,230 | $ 3,355 |
Mortgage-Backed Securities - Significant Credit Quality Indicators (Details) $ in Thousands |
Sep. 30, 2023
USD ($)
|
Dec. 31, 2022
USD ($)
|
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 1,117,496 | $ 1,469,977 |
Non-Agency RMBS - Senior | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | 510,509 | 536,032 |
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 96,668 | $ 88,062 |
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Prepay Rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Significant Inputs | 0.062 | 0.075 |
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR | ||
Debt Securities, Available-for-sale [Line Items] | ||
Significant Inputs | 0.020 | 0.024 |
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity | ||
Debt Securities, Available-for-sale [Line Items] | ||
Significant Inputs | 0.342 | 0.397 |
Non-Agency RMBS - Subordinated | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 301,427 | $ 304,321 |
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost | $ 75,294 | $ 66,914 |
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Prepay Rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Significant Inputs | 0.066 | 0.092 |
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR | ||
Debt Securities, Available-for-sale [Line Items] | ||
Significant Inputs | 0.003 | 0.004 |
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity | ||
Debt Securities, Available-for-sale [Line Items] | ||
Significant Inputs | 0.419 | 0.409 |
Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Details) - USD ($) $ in Thousands |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | $ 205,422 | $ 251,727 |
Gross Unrealized Gain Included in Cumulative Earnings | 21,561 | 26,428 |
Total Gross Unrealized Gain | 226,983 | 278,155 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (24,193) | (22,382) |
Gross Unrealized Loss Included in Cumulative Earnings | (151,741) | (140,137) |
Total Gross Unrealized Loss | (175,934) | (162,519) |
Non-Agency RMBS - Senior | ||
Debt Securities, Available-for-sale [Line Items] | ||
Total Gross Unrealized Gain | 194,562 | 237,127 |
Total Gross Unrealized Loss | (8,256) | (6,933) |
Non-Agency RMBS - Subordinated | ||
Debt Securities, Available-for-sale [Line Items] | ||
Total Gross Unrealized Gain | 17,023 | 22,035 |
Total Gross Unrealized Loss | (48,066) | (36,677) |
Non-Agency RMBS - Senior Interest-only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Total Gross Unrealized Gain | 13,764 | 15,968 |
Total Gross Unrealized Loss | (99,296) | (80,024) |
Agency RMBS - Interest-only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Total Gross Unrealized Gain | 409 | 1,371 |
Total Gross Unrealized Loss | (5,558) | (4,991) |
Agency MBS - Commercial | ||
Debt Securities, Available-for-sale [Line Items] | ||
Total Gross Unrealized Gain | 0 | 0 |
Total Gross Unrealized Loss | (13,864) | (18,880) |
Agency CMBS - Interest-only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Total Gross Unrealized Gain | 1,225 | 1,654 |
Total Gross Unrealized Loss | (894) | (15,014) |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 194,562 | 237,127 |
Gross Unrealized Gain Included in Cumulative Earnings | 0 | 0 |
Total Gross Unrealized Gain | 194,562 | 237,127 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (6,305) | (5,132) |
Gross Unrealized Loss Included in Cumulative Earnings | (1,951) | (1,801) |
Total Gross Unrealized Loss | (8,256) | (6,933) |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 10,860 | 14,600 |
Gross Unrealized Gain Included in Cumulative Earnings | 6,163 | 7,435 |
Total Gross Unrealized Gain | 17,023 | 22,035 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (17,863) | (14,418) |
Gross Unrealized Loss Included in Cumulative Earnings | (30,203) | (22,259) |
Total Gross Unrealized Loss | (48,066) | (36,677) |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior Interest-only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Gain Included in Cumulative Earnings | 13,764 | 15,968 |
Total Gross Unrealized Gain | 13,764 | 15,968 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (99,296) | (80,024) |
Total Gross Unrealized Loss | (99,296) | (80,024) |
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Gain Included in Cumulative Earnings | 409 | 1,371 |
Total Gross Unrealized Gain | 409 | 1,371 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (5,558) | (4,991) |
Total Gross Unrealized Loss | (5,558) | (4,991) |
Commercial Mortgage Backed Securities | Agency MBS - Commercial | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Gain Included in Cumulative Earnings | 0 | 0 |
Total Gross Unrealized Gain | 0 | 0 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (25) | (2,832) |
Gross Unrealized Loss Included in Cumulative Earnings | (13,839) | (16,048) |
Total Gross Unrealized Loss | (13,864) | (18,880) |
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Gain Included in Cumulative Earnings | 1,225 | 1,654 |
Total Gross Unrealized Gain | 1,225 | 1,654 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (894) | (15,014) |
Total Gross Unrealized Loss | $ (894) | $ (15,014) |
Mortgage-Backed Securities - Collateral Characteristics (Details) - USD ($) $ / shares in Units, $ in Thousands |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Principal or Notional Value | $ 5,600,632 | $ 8,261,615 |
Non-Agency RMBS - Senior | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal or Notional Value | 1,153,458 | |
Non-Agency RMBS - Subordinated | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal or Notional Value | 611,206 | |
Non-Agency RMBS - Senior Interest-only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal or Notional Value | 2,926,629 | 3,114,930 |
Agency RMBS - Interest-only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal or Notional Value | 409,940 | |
Agency MBS - Commercial | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal or Notional Value | 302,685 | |
Agency CMBS - Interest-only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal or Notional Value | 2,669,396 | |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal or Notional Value | $ 1,091,694 | $ 1,153,458 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 45.58 | $ 46.09 |
Weighted Average Fair Value (in dollars per share) | $ 62.64 | $ 66.05 |
Weighted Average Coupon | 5.60% | 5.30% |
Weighted Average Yield at Period-End | 17.00% | 16.40% |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal or Notional Value | $ 588,224 | $ 611,206 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 50.69 | $ 49.79 |
Weighted Average Fair Value (in dollars per share) | $ 45.41 | $ 46.94 |
Weighted Average Coupon | 3.70% | 3.10% |
Weighted Average Yield at Period-End | 6.80% | 6.80% |
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior Interest-only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal or Notional Value | $ 2,926,629 | $ 3,114,930 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 5.44 | $ 5.14 |
Weighted Average Fair Value (in dollars per share) | $ 2.52 | $ 3.17 |
Weighted Average Coupon | 0.50% | 0.70% |
Weighted Average Yield at Period-End | 5.50% | 5.30% |
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal or Notional Value | $ 395,197 | $ 409,940 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 4.82 | $ 4.58 |
Weighted Average Fair Value (in dollars per share) | $ 3.52 | $ 3.70 |
Weighted Average Coupon | 0.20% | 0.90% |
Weighted Average Yield at Period-End | 4.70% | 5.00% |
Commercial Mortgage Backed Securities | Agency MBS - Commercial | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal or Notional Value | $ 117,400 | $ 302,685 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 101.54 | $ 101.85 |
Weighted Average Fair Value (in dollars per share) | $ 89.73 | $ 95.62 |
Weighted Average Coupon | 4.10% | 4.30% |
Weighted Average Yield at Period-End | 4.00% | 4.10% |
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal or Notional Value | $ 481,488 | $ 2,669,396 |
Weighted Average Amortized Cost Basis (in dollars per share) | $ 1.69 | $ 5.23 |
Weighted Average Fair Value (in dollars per share) | $ 1.76 | $ 4.73 |
Weighted Average Coupon | 0.60% | 0.70% |
Weighted Average Yield at Period-End | 8.00% | 3.40% |
Mortgage-Backed Securities - Maturities of MBS by Estimated Weighted Average Life Classification (Details) - USD ($) $ in Thousands |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Fair value | ||
Less than one year, at fair value | $ 36,725 | $ 19,140 |
Greater than one year and less than five years, at fair value | 152,983 | 316,659 |
Greater than five years and less than ten years, at fair value | 409,527 | 502,440 |
Greater than ten years, at fair value | 553,080 | 740,186 |
Total maturities, at fair value | 1,152,315 | 1,578,425 |
Amortized cost | ||
Less than one year, at amortized cost | 47,015 | 22,081 |
Greater than one year and less than five years, at amortized cost | 163,083 | 331,634 |
Greater than five years and less than ten years, at amortized cost | 385,199 | 433,349 |
Greater than ten years, at amortized cost | 522,199 | 682,913 |
Amortized Cost | 1,117,496 | 1,469,977 |
Non-Agency RMBS - Senior | ||
Fair value | ||
Less than one year, at fair value | 10,791 | 6,727 |
Greater than one year and less than five years, at fair value | 105,507 | 152,811 |
Greater than five years and less than ten years, at fair value | 275,837 | 308,351 |
Greater than ten years, at fair value | 291,714 | 293,919 |
Total maturities, at fair value | 683,849 | 761,808 |
Amortized cost | ||
Less than one year, at amortized cost | 1,517 | 6,336 |
Greater than one year and less than five years, at amortized cost | 96,886 | 122,916 |
Greater than five years and less than ten years, at amortized cost | 205,336 | 206,615 |
Greater than ten years, at amortized cost | 206,770 | 200,165 |
Amortized Cost | 510,509 | 536,032 |
Non-Agency RMBS - Subordinated | ||
Fair value | ||
Less than one year, at fair value | 3,115 | 3,957 |
Greater than one year and less than five years, at fair value | 17,699 | 6,829 |
Greater than five years and less than ten years, at fair value | 84,753 | 113,903 |
Greater than ten years, at fair value | 161,553 | 162,220 |
Total maturities, at fair value | 267,120 | 286,909 |
Amortized cost | ||
Less than one year, at amortized cost | 1,417 | 1,184 |
Greater than one year and less than five years, at amortized cost | 13,944 | 5,008 |
Greater than five years and less than ten years, at amortized cost | 88,855 | 118,700 |
Greater than ten years, at amortized cost | 197,211 | 179,429 |
Amortized Cost | 301,427 | 304,321 |
Non-Agency RMBS - Senior Interest-only | ||
Fair value | ||
Less than one year, at fair value | 284 | 205 |
Greater than one year and less than five years, at fair value | 22,076 | 30,780 |
Greater than five years and less than ten years, at fair value | 48,937 | 65,038 |
Greater than ten years, at fair value | 2,342 | 2,741 |
Total maturities, at fair value | 73,639 | 98,764 |
Amortized cost | ||
Less than one year, at amortized cost | 16,243 | 6,249 |
Greater than one year and less than five years, at amortized cost | 45,012 | 64,172 |
Greater than five years and less than ten years, at amortized cost | 91,008 | 89,266 |
Greater than ten years, at amortized cost | 6,908 | 3,133 |
Amortized Cost | 159,171 | 162,820 |
Agency RMBS - Interest-only | ||
Fair value | ||
Less than one year, at fair value | 13,893 | 0 |
Greater than one year and less than five years, at fair value | 0 | 0 |
Greater than five years and less than ten years, at fair value | 0 | 15,148 |
Greater than ten years, at fair value | 0 | 0 |
Total maturities, at fair value | 13,893 | 15,148 |
Amortized cost | ||
Less than one year, at amortized cost | 19,042 | 0 |
Greater than one year and less than five years, at amortized cost | 0 | 0 |
Greater than five years and less than ten years, at amortized cost | 0 | 18,768 |
Greater than ten years, at amortized cost | 0 | 0 |
Amortized Cost | 19,042 | 18,768 |
Agency MBS - Commercial | ||
Fair value | ||
Less than one year, at fair value | 7,870 | 8,112 |
Greater than one year and less than five years, at fair value | 0 | 0 |
Greater than five years and less than ten years, at fair value | 0 | 0 |
Greater than ten years, at fair value | 97,471 | 281,306 |
Total maturities, at fair value | 105,341 | 289,418 |
Amortized cost | ||
Less than one year, at amortized cost | 7,895 | 8,112 |
Greater than one year and less than five years, at amortized cost | 0 | 0 |
Greater than five years and less than ten years, at amortized cost | 0 | 0 |
Greater than ten years, at amortized cost | 111,310 | 300,186 |
Amortized Cost | 119,205 | 308,298 |
Agency CMBS - Interest-only | ||
Fair value | ||
Less than one year, at fair value | 772 | 139 |
Greater than one year and less than five years, at fair value | 7,701 | 126,239 |
Greater than five years and less than ten years, at fair value | 0 | 0 |
Greater than ten years, at fair value | 0 | 0 |
Total maturities, at fair value | 8,473 | 126,378 |
Amortized cost | ||
Less than one year, at amortized cost | 901 | 200 |
Greater than one year and less than five years, at amortized cost | 7,241 | 139,538 |
Greater than five years and less than ten years, at amortized cost | 0 | 0 |
Greater than ten years, at amortized cost | 0 | 0 |
Amortized Cost | $ 8,142 | $ 139,738 |
Mortgage-Backed Securities - Loan Products Type and Characteristics (Details) - Non-Agency RMBS |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 12.00% | 12.40% |
Bankruptcy | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 1.30% | 1.30% |
Foreclosure | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 3.00% | 3.00% |
REO | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 0.50% | 0.60% |
30 Days Delinquent | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 3.30% | 2.90% |
60 Days Delinquent | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 1.10% | 1.30% |
90+ Days Delinquent | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
% of Unpaid Principal Balance | 2.60% | 3.30% |
Mortgage-Backed Securities - Collateral Characteristics of Non-Agency Residential MBS (Details) - Non-Agency RMBS - USD ($) $ in Thousands |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Weighted average maturity (years) | 19 years 8 months 12 days | 21 years 4 months 24 days |
Weighted average amortized loan to value | 57.40% | 58.20% |
Weighted average FICO | 708 | 713 |
Weighted average loan balance (in thousands) | $ 254 | $ 258 |
Weighted average percentage owner-occupied | 84.40% | 84.40% |
Weighted average percentage single family residence | 61.50% | 61.40% |
Weighted average current credit enhancement | 1.30% | 1.10% |
CA | ||
Debt Securities, Available-for-sale [Line Items] | ||
Weighted average geographic concentration of top four states | 32.90% | 32.70% |
NY | ||
Debt Securities, Available-for-sale [Line Items] | ||
Weighted average geographic concentration of top four states | 11.50% | 11.30% |
FL | ||
Debt Securities, Available-for-sale [Line Items] | ||
Weighted average geographic concentration of top four states | 7.60% | 7.60% |
NJ | ||
Debt Securities, Available-for-sale [Line Items] | ||
Weighted average geographic concentration of top four states | 4.50% | 4.50% |
Mortgage-Backed Securities - Percentage of Non-Agency RMBS By Year Originated (Details) - Non-Agency RMBS |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Origination Year as a Percentage of Outstanding Principal Balance: | ||
2003 and prior | 1.10% | 0.70% |
2004 | 0.70% | 1.10% |
2005 | 8.20% | 9.00% |
2006 | 43.00% | 45.00% |
2007 | 33.20% | 30.80% |
2008 and later | 13.80% | 13.40% |
Total | 100.00% | 100.00% |
Mortgage-Backed Securities - Gains and Losses from Sales of Investments (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Debt Securities, Available-for-sale [Line Items] | ||||
Net realized gain (loss) | $ (460) | $ (37,031) | $ (27,482) | $ (37,031) |
Agency MBS portfolio | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Proceeds from sales: | 4,861 | 18,378 | 285,709 | 18,378 |
Gross realized gains: | 0 | 0 | 0 | 0 |
Gross realized losses: | $ (460) | $ (37,031) | $ (27,482) | $ (37,031) |
Loans Held for Investment - Narrative (Details) - USD ($) |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2023 |
Dec. 31, 2022 |
|
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Securitized debt loans held for investment at cost | $ 12,000,000,000 | $ 11,900,000,000 |
Loans held for investment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Unpaid principal balance | 12,214,857,000 | 12,060,631,000 |
Seasoned Subprime Residential Mortgage Loans | Fair Value | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
90+ days delinquent | 623,000,000 | 717,000,000 |
Loans Held for Investment at Fair Value | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Retained balance | $ 0 | $ 0 |
Loans Held for Investment - Changes in Carrying Value of Securitized Loans Held For Investment Carried at Fair Value (Details) - Loans Held for Investment at Fair Value - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended | |
---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Dec. 31, 2022 |
|
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | |||
Balance, beginning of period | $ 11,359,236 | $ 12,261,926 | $ 12,261,926 |
Transfer due to consolidation | 0 | $ 1,047,838 | 1,047,838 |
Purchases | 1,264,997 | 1,615,377 | |
Principal paydowns | (1,087,456) | (2,160,445) | |
Sales and settlements | 699 | (5,369) | |
Net periodic accretion (amortization) | (40,112) | (52,616) | |
Change in fair value | (70,432) | (1,347,475) | |
Balance, end of period | $ 11,426,932 | $ 11,359,236 |
Loans Held for Investment - Percentage of Securitized Loans Held For Investment Carried at Fair Value by Year Originated (Details) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
2002 and prior | 5.40% | 6.00% |
2003 | 4.70% | 5.00% |
2004 | 8.70% | 9.70% |
2005 | 14.80% | 16.30% |
2006 | 18.60% | 20.30% |
2007 | 21.10% | 21.50% |
2008 | 6.80% | 6.60% |
2009 | 1.70% | 1.50% |
2010 and later | 18.20% | 13.10% |
Total | 100.00% | 100.00% |
Loans Held for Investment - Key Characteristics of Residential Loan Portfolio (Details) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans $ in Thousands |
Sep. 30, 2023
USD ($)
loan
|
Dec. 31, 2022
USD ($)
loan
|
---|---|---|
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of loans | loan | 115,523 | 116,876 |
Weighted average maturity (years) | 21 years 1 month 6 days | 20 years 10 months 24 days |
Weighted average loan to value | 79.00% | 82.20% |
Weighted average FICO | 665 | 658 |
Weighted average loan balance (in thousands) | $ | $ 106 | $ 103 |
Weighted average percentage owner-occupied | 85.90% | 87.50% |
Weighted average percentage single family residence | 78.30% | 79.30% |
CA | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 14.70% | 14.60% |
FL | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 8.80% | 8.50% |
NY | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 8.50% | 8.50% |
PA | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 4.50% | 4.40% |
VA | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 4.30% | 4.50% |
Loans Held for Investment - Loan Products Type and Characteristics (Details) - USD ($) $ in Thousands |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Unpaid Principal Balance | $ 12,214,857 | $ 12,060,530 |
Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 1,907,972 | $ 2,063,171 |
% of Unpaid Principal Balance | 15.60% | 17.10% |
Residential Portfolio Segment | Bankruptcy | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 178,562 | $ 211,226 |
% of Unpaid Principal Balance | 1.50% | 1.80% |
Residential Portfolio Segment | Foreclosure | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 346,558 | $ 391,958 |
% of Unpaid Principal Balance | 2.80% | 3.20% |
Residential Portfolio Segment | REO | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 28,089 | $ 33,843 |
% of Unpaid Principal Balance | 0.20% | 0.30% |
Residential Portfolio Segment | 30 Days Delinquent | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 778,337 | $ 778,196 |
% of Unpaid Principal Balance | 6.40% | 6.50% |
Residential Portfolio Segment | 60 Days Delinquent | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 237,709 | $ 248,579 |
% of Unpaid Principal Balance | 1.90% | 2.10% |
Residential Portfolio Segment | 90+ Days Delinquent | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 338,717 | $ 399,369 |
% of Unpaid Principal Balance | 2.80% | 3.30% |
Fair Value Measurements - Narrative (Details) $ in Thousands |
Sep. 30, 2023
USD ($)
loan
|
Dec. 31, 2022
USD ($)
loan
|
---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held for investment, at fair value | $ 11,426,932 | $ 11,359,236 |
Fair Value, Measurements, Recurring | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans held for investment, at fair value | 11,426,932 | 11,359,236 |
Investments with Difference Between Model Price and Third-Party Price | Securitized debt | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Excess of third party prices over internally developed price, assets | $ 9,000 | $ 3,000 |
Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans internally valued lower than third party prices | loan | 8 | 14 |
Excess of third party prices over internally developed price, assets | $ 11,000 | $ 14,000 |
Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Excess of third party prices over internally developed price, assets | $ 113,000 | $ 122,000 |
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized debt | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans internally valued lower than third party prices | loan | 2 | 6 |
Assets, fair value disclosure | $ 45,000 | $ 35,000 |
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, fair value disclosure | $ 58,000 | $ 96,000 |
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans internally valued lower than third party prices | loan | 7 | 8 |
Assets, fair value disclosure | $ 2,100,000 | $ 2,100,000 |
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized debt | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Excess of third party prices over internally developed price, assets | 36,000 | 32,000 |
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Assets, fair value disclosure | 47,000 | 82,000 |
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Excess of third party prices over internally developed price, assets | $ 2,000,000 | $ 2,000,000 |
Fair Value Measurements - Unpaid Principal, Fair Value and Impact of Changes in Fair Value on Financial Instruments (Details) - USD ($) $ in Thousands |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Assets: | ||
Unpaid Principal/ Notional | $ 5,600,632 | $ 8,261,615 |
Loans held for investment, at fair value | 11,426,932 | 11,359,236 |
Liabilities: | ||
Secured financing agreements, Unpaid Principal/Notional | 2,603,911 | 3,434,765 |
Securitized debt at fair value, collateralized by Loans held for investment | 7,598,721 | 7,100,742 |
Non-Agency RMBS | Senior | ||
Assets: | ||
Unpaid Principal/ Notional | 16,569 | 18,513 |
Fair Value | 14,687 | 16,731 |
Non-Agency RMBS | Subordinated | ||
Assets: | ||
Unpaid Principal/ Notional | 413,054 | 429,273 |
Fair Value | 166,977 | 175,603 |
Non-Agency RMBS | Interest-only | ||
Assets: | ||
Unpaid Principal/ Notional | 2,926,629 | 3,114,930 |
Fair Value | 73,639 | 98,764 |
Agency RMBS | Interest-only | ||
Assets: | ||
Unpaid Principal/ Notional | 395,197 | 409,940 |
Fair Value | 13,893 | 15,148 |
Agency MBS - Project Loans | ||
Assets: | ||
Unpaid Principal/ Notional | 302,685 | |
Agency MBS - Project Loans | Interest-only | ||
Assets: | ||
Unpaid Principal/ Notional | 481,488 | 2,669,396 |
Fair Value | 8,473 | 126,378 |
Agency MBS - Project Loans | Project loans | ||
Assets: | ||
Unpaid Principal/ Notional | 109,506 | 268,078 |
Fair Value | 97,471 | 256,950 |
Loans held for investment | ||
Assets: | ||
Loans held for investment, Unpaid Principal/Notional | 12,214,857 | 12,060,631 |
Loans held for investment, at fair value | 11,426,932 | 11,359,236 |
Secured Financing Agreements, at fair value | ||
Liabilities: | ||
Secured financing agreements, Unpaid Principal/Notional | 367,619 | 382,838 |
Secured Financing Agreements, at fair value | 339,838 | 374,172 |
Securitized debt | ||
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment, Unpaid Principal/Notional | 8,514,774 | 7,856,140 |
Securitized debt at fair value, collateralized by Loans held for investment | $ 7,598,721 | $ 7,100,742 |
Fair Value Measurements - Impact of Change in Fair Value on Each of the Financial Instruments Carried at Fair Value (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Non-Agency RMBS | Senior | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Gain/(Loss) on Change in Fair Value | $ (368) | $ (144) | $ (150) | $ (1,529) |
Non-Agency RMBS | Subordinated | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Gain/(Loss) on Change in Fair Value | (6,682) | (30,295) | (9,215) | (75,569) |
Non-Agency RMBS | Interest-only | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Gain/(Loss) on Change in Fair Value | (20,340) | (15,948) | (21,472) | (51,546) |
Agency MBS - Residential | Interest-only | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Gain/(Loss) on Change in Fair Value | 882 | 23,472 | (1,525) | 13,548 |
Agency MBS - Project Loans | Interest-only | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Gain/(Loss) on Change in Fair Value | (286) | (4,870) | 13,691 | (13,704) |
Agency MBS - Project Loans | Project loans | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Gain/(Loss) on Change in Fair Value | (2,616) | (16,595) | 2,210 | (51,627) |
Loans held for investment | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Gain/(Loss) on Change in Fair Value | (144,976) | (353,650) | (70,432) | (1,402,683) |
Secured Financing Agreements, at fair value | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Gain/(Loss) on Change in Fair Value | 6,669 | 0 | 19,115 | 0 |
Securitized debt | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Gain/(Loss) on Change in Fair Value | $ 123,728 | $ 158,517 | $ 95,338 | $ 679,133 |
Fair Value Measurements - Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Assets: | ||
Non-Agency RMBS, at fair value | $ 1,024,609 | $ 1,147,481 |
Agency MBS, at fair value | 127,706 | 430,944 |
Loans held for investment, at fair value | 11,426,932 | 11,359,236 |
Derivatives, at fair value | 0 | 4,096 |
Liabilities: | ||
Securitized debt at fair value, collateralized by Loans held for investment | 7,598,721 | 7,100,742 |
Derivative liabilities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | ||
Assets: | ||
Non-Agency RMBS, at fair value | 1,024,609 | 1,147,481 |
Agency MBS, at fair value | 127,706 | 430,944 |
Loans held for investment, at fair value | 11,426,932 | 11,359,236 |
Counterparty and Cash Collateral, netting | (34,688) | (14,697) |
Derivatives, at fair value | 0 | 4,096 |
Liabilities: | ||
Secured Financing Agreements, at fair value | 339,838 | 374,172 |
Securitized debt at fair value, collateralized by Loans held for investment | 7,598,721 | 7,100,742 |
Counterparty and Cash Collateral, netting | 0 | (14,074) |
Derivative liabilities, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Level 1 | ||
Assets: | ||
Non-Agency RMBS, at fair value | 0 | 0 |
Agency MBS, at fair value | 0 | 0 |
Loans held for investment, at fair value | 0 | 0 |
Derivatives, at fair value | 0 | 0 |
Liabilities: | ||
Secured Financing Agreements, at fair value | 0 | 0 |
Securitized debt at fair value, collateralized by Loans held for investment | 0 | 0 |
Derivatives | 0 | 0 |
Fair Value, Measurements, Recurring | Level 2 | ||
Assets: | ||
Non-Agency RMBS, at fair value | 0 | 0 |
Agency MBS, at fair value | 127,706 | 430,944 |
Loans held for investment, at fair value | 142,186 | 204,636 |
Derivatives, at fair value | 34,688 | 18,793 |
Liabilities: | ||
Secured Financing Agreements, at fair value | 339,838 | 374,172 |
Securitized debt at fair value, collateralized by Loans held for investment | 0 | 0 |
Derivatives | 0 | 14,074 |
Fair Value, Measurements, Recurring | Level 3 | ||
Assets: | ||
Non-Agency RMBS, at fair value | 1,024,609 | 1,147,481 |
Agency MBS, at fair value | 0 | 0 |
Loans held for investment, at fair value | 11,284,746 | 11,154,600 |
Derivatives, at fair value | 0 | 0 |
Liabilities: | ||
Secured Financing Agreements, at fair value | 0 | 0 |
Securitized debt at fair value, collateralized by Loans held for investment | 7,598,721 | 7,100,742 |
Derivatives | $ 0 | $ 0 |
Fair Value Measurements - Changes in the Fair Value of Securities Classified as Level 3 (Details) - USD ($) |
3 Months Ended | 9 Months Ended | 12 Months Ended |
---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2023 |
Dec. 31, 2022 |
|
Gains (losses) included in net income | |||
Fair Value, Asset, Recurring Basis, Unobservable Input Reconciliation, Asset, Gain (Loss), Statement of Other Comprehensive Income or Comprehensive Income [Extensible Enumeration] | Net unrealized gains (losses) on financial instruments at fair value | ||
Securitized debt at fair value, collateralized by loans held for investment | Variable Interest Entities, Primary Beneficiary | Level 3 | |||
Gains (losses) included in net income | |||
Total unrealized gains (losses) for the period | $ 0 | $ 0 | |
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward] | |||
Beginning balance Level 3 | 7,100,742,000 | 7,726,043,000 | |
Transfers into Level 3 | 0 | 0 | |
Transfers out of Level 3 | 0 | 0 | |
Transfer due to consolidation/deconsolidation | 0 | 774,514,000 | |
Issuance of debt | 2,046,620,000 | 1,122,982,000 | |
Principal payments | (917,175,000) | (1,844,397,000) | |
Sales and Settlements | (544,693,000) | 0 | |
Net (accretion) amortization | 14,912,000 | 5,021,000 | |
Other than temporary credit impairment losses | 0 | 0 | |
Realized (gains) losses on sales and settlements | (6,348,000) | 0 | |
Net unrealized (gains) losses included in income | (95,337,000) | (683,421,000) | |
(Gains) losses included in other comprehensive income | 0 | 0 | |
Total unrealized (gains) losses for the period | 0 | 0 | |
Securitized Debt, Ending balance, Level 3 | $ 7,598,721,000 | 7,598,721,000 | 7,100,742,000 |
Non-Agency RMBS | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | |||
Beginning balance Level 3 | 1,147,481,000 | 1,810,208,000 | |
Transfers into Level 3 | 0 | 0 | |
Transfers out of Level 3 | 0 | 0 | |
Transfer due to consolidation | 0 | (218,276,000) | |
Purchases of assets | 5,431,000 | 23,589,000 | |
Principal payments | (64,796,000) | (178,300,000) | |
Sales and settlements | 0 | (23,056,000) | |
Net (accretion) amortization | 27,288,000 | 31,387,000 | |
Gains (losses) included in net income | |||
(Increase) decrease in provision for credit losses | (9,043,000) | (7,036,000) | |
Realized gains (losses) on sales and settlements | 13,000 | (15,594,000) | |
Net unrealized (gains) losses included in income | (30,841,000) | (104,631,000) | |
Gains (losses) included in other comprehensive income | 0 | 0 | |
Total unrealized gains (losses) for the period | (50,924,000) | (170,810,000) | |
Ending balance Level 3 | 1,024,609,000 | 1,024,609,000 | 1,147,481,000 |
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward] | |||
Total unrealized (gains) losses for the period | 50,924,000 | 170,810,000 | |
Loans held for investment | |||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | |||
Transfers out of Level 3 | 0 | 0 | |
Loans held for investment | Variable Interest Entities, Primary Beneficiary | |||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | |||
Sales and settlements | 699,000 | (5,369,000) | |
Gains (losses) included in net income | |||
Net unrealized (gains) losses included in income | (70,432,000) | (1,347,475,000) | |
Loans held for investment | Variable Interest Entities, Primary Beneficiary | Level 3 | |||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | |||
Beginning balance Level 3 | 11,154,600,000 | 12,032,299,000 | |
Transfers into Level 3 | 0 | 0 | |
Transfers out of Level 3 | 0 | 0 | |
Transfer due to consolidation | 0 | 1,047,838,000 | |
Purchases of assets | 1,179,880,000 | 1,429,503,000 | |
Principal payments | (940,404,000) | (1,953,098,000) | |
Sales and settlements | 3,039,000 | (5,368,000) | |
Net (accretion) amortization | (41,318,000) | (52,767,000) | |
Gains (losses) included in net income | |||
(Increase) decrease in provision for credit losses | 0 | 0 | |
Realized gains (losses) on sales and settlements | 0 | 0 | |
Net unrealized (gains) losses included in income | (71,051,000) | (1,343,807,000) | |
Gains (losses) included in other comprehensive income | 0 | 0 | |
Total unrealized gains (losses) for the period | 0 | 0 | |
Ending balance Level 3 | $ 11,284,746,000 | 11,284,746,000 | 11,154,600,000 |
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward] | |||
Total unrealized (gains) losses for the period | $ 0 | $ 0 |
Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Details) - Level 3 |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Discount Rate | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.07 | 0.06 |
Discount Rate | Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
Discount Rate | Minimum | Non-Agency RMBS - Senior Interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
Discount Rate | Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.40 | 0.25 |
Discount Rate | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.13 | 0.12 |
Discount Rate | Maximum | Non-Agency RMBS - Senior Interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 1 | 0.85 |
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.071 | 0.065 |
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.080 | 0.076 |
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior Interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.120 | 0.102 |
Prepay Rate | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.01 | 0.01 |
Prepay Rate | Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0.04 |
Prepay Rate | Minimum | Non-Agency RMBS - Senior Interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.05 | 0.06 |
Prepay Rate | Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.18 | 0.20 |
Prepay Rate | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.12 | 0.16 |
Prepay Rate | Maximum | Non-Agency RMBS - Senior Interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.20 | 0.30 |
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.066 | 0.077 |
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.067 | 0.096 |
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior Interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.073 | 0.095 |
CDR | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
CDR | Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
CDR | Minimum | Non-Agency RMBS - Senior Interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
CDR | Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.06 | 0.10 |
CDR | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.04 | 0.07 |
CDR | Maximum | Non-Agency RMBS - Senior Interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.07 | 0.06 |
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.014 | 0.015 |
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.005 | 0.008 |
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior Interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.010 | 0.010 |
Loss Severity | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.26 | 0.26 |
Loss Severity | Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.10 | 0.10 |
Loss Severity | Minimum | Non-Agency RMBS - Senior Interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.26 | 0 |
Loss Severity | Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.82 | 0.80 |
Loss Severity | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.50 | 0.82 |
Loss Severity | Maximum | Non-Agency RMBS - Senior Interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.82 | 0.86 |
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.325 | 0.318 |
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.358 | 0.398 |
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior Interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.332 | 0.275 |
Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Debt (Details) - Loans held for investment - Level 3 - Variable Interest Entities, Primary Beneficiary |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Discount Rate | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.06 | 0.05 |
Discount Rate | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.10 | 0.10 |
Discount Rate | Weighted Average Borrowing Rates | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.070 | 0.064 |
Prepay Rate | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.06 | 0.06 |
Prepay Rate | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.15 | 0.15 |
Prepay Rate | Weighted Average Borrowing Rates | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.083 | 0.104 |
CDR | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
CDR | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.06 | 0.07 |
CDR | Weighted Average Borrowing Rates | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.009 | 0.012 |
Loss Severity | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.20 | 0.30 |
Loss Severity | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.55 | 0.60 |
Loss Severity | Weighted Average Borrowing Rates | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.418 | 0.458 |
Fair Value Measurements - Unobservable Inputs Assumptions - Loans Held for Investment (Details) - Loans Held for Investment at Fair Value - Level 3 |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 5.90% | 5.80% |
FICO | 664 | 656 |
Loan-to-value (LTV) | 79.00% | 82.00% |
Single family | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 79.00% | 80.00% |
Manufactured housing | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 3.00% | 3.00% |
Multi-family/mixed use/other | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 18.00% | 17.00% |
Owner Occupied | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 87.00% | 89.00% |
Investor | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 9.00% | 5.00% |
Secondary | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 5.00% | 6.00% |
Base Rate | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 6.80% | 6.30% |
FICO | 640 | 640 |
Loan-to-value (LTV) | 86.00% | 87.00% |
Fair Value Measurements - Carrying Value and Fair Value of Financial Instruments Not Carried at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | $ 75,819 | $ 78,542 |
Carrying Amount | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Secured financing agreements | 2,264,073 | 3,060,592 |
Carrying Amount | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Equity method investments | 46,039 | 25,538 |
Securitized debt, collateralized by Non-Agency RMBS | 75,819 | 78,542 |
Fair Value | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Secured financing agreements | 2,297,057 | 3,080,982 |
Fair Value | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Equity method investments | 46,039 | 25,538 |
Securitized debt, collateralized by Non-Agency RMBS | $ 49,735 | $ 54,590 |
Secured Financing Agreements - Narrative (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2023 |
Dec. 31, 2022 |
|
Repurchase Agreement Counterparty [Line Items] | ||
Secured financing agreements, Unpaid Principal/Notional | $ 2,603,911 | $ 3,434,765 |
Margin cash collateral pledged to repurchase agreement counterparties | $ 23,490 | $ 33,415 |
Securities sold under agreements to repurchase, haircut | 7.50% | 7.50% |
Decrease in share price (as a percent) | 50.00% | |
Weighted average maturity | 4 years | |
Securities sold under agreements to repurchase, weighted average borrowing rate | 5.11% | 5.11% |
Nomura | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at risk | $ 282,000 | $ 308,000 |
Warehouse Agreement Borrowings | ||
Repurchase Agreement Counterparty [Line Items] | ||
Unused warehouse credit facilities | $ 2,100,000 | |
Repurchase Agreements | Nomura | Stockholders' Equity, Total | Credit Concentration Risk | Asset Pledged as Collateral | ||
Repurchase Agreement Counterparty [Line Items] | ||
Concentration risk (as a percent) | 11.00% | 12.00% |
Weighted average maturity | 379 days | 582 days |
Minimum | Warehouse Agreement Borrowings | ||
Repurchase Agreement Counterparty [Line Items] | ||
Maturity dates of credit facility | 30 days | |
Maximum | Warehouse Agreement Borrowings | ||
Repurchase Agreement Counterparty [Line Items] | ||
Maturity dates of credit facility | 1 year | |
Not Subject to Additional Margin Requirements Upon Change in Fair Value of Collateral Pledged | ||
Repurchase Agreement Counterparty [Line Items] | ||
Secured financing agreements, Unpaid Principal/Notional | $ 1,200,000 | $ 1,200,000 |
Not Subject to Additional Margin Requirements Until Drop in Fair Value of Collateral | ||
Repurchase Agreement Counterparty [Line Items] | ||
Secured financing agreements, Unpaid Principal/Notional | $ 307,000 | $ 365,000 |
Agency MBS - Commercial | ||
Repurchase Agreement Counterparty [Line Items] | ||
Securities sold under agreements to repurchase, haircut | 5.10% | 7.80% |
Non-agency MBS and Loans held for investment | ||
Repurchase Agreement Counterparty [Line Items] | ||
Securities sold under agreements to repurchase, haircut | 25.20% | 25.70% |
Agency RMBS - Interest-only | ||
Repurchase Agreement Counterparty [Line Items] | ||
Securities sold under agreements to repurchase, haircut | 20.00% | |
Secured Financing Agreements, at fair value | ||
Repurchase Agreement Counterparty [Line Items] | ||
Secured financing agreements, Unpaid Principal/Notional | $ 367,619 | $ 382,838 |
Fair value of pledged collateral | 401,000 | 418,000 |
Secured financing agreements | $ 339,838 | $ 374,172 |
Secured Financing Agreements - Schedule of Secured Financing Agreements (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2023 |
Dec. 31, 2022 |
|
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding principal secured by: | $ 2,603,911 | $ 3,434,765 |
Debt issuance costs, net | 1,000 | 1,000 |
Repurchase Agreements | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding principal secured by: | 2,631,692 | 3,443,431 |
Average balance of Secured financing agreements secured by: | 2,931,345 | 3,208,136 |
Repurchase Agreements | Asset Pledged as Collateral | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
MBS pledged as collateral at fair value on Secured financing agreements: | 3,670,685 | 4,699,722 |
Repurchase Agreements | Agency RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding principal secured by: | 0 | 3,946 |
Average balance of Secured financing agreements secured by: | 2,017 | $ 11,714 |
Average borrowing rate of Secured financing agreements secured by: | 4.70% | |
Average remaining maturity of Secured financing agreements secured by: | 17 days | |
Average original maturity of Secured financing agreements secured by: | 60 days | |
Repurchase Agreements | Agency RMBS | Asset Pledged as Collateral | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
MBS pledged as collateral at fair value on Secured financing agreements: | 0 | $ 6,662 |
Repurchase Agreements | Agency MBS - Project Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding principal secured by: | 79,751 | 355,934 |
Average balance of Secured financing agreements secured by: | $ 159,306 | $ 376,551 |
Average borrowing rate of Secured financing agreements secured by: | 5.48% | 4.49% |
Average remaining maturity of Secured financing agreements secured by: | 33 days | 25 days |
Average original maturity of Secured financing agreements secured by: | 43 days | 42 days |
Repurchase Agreements | Agency MBS - Project Loans | Asset Pledged as Collateral | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
MBS pledged as collateral at fair value on Secured financing agreements: | $ 80,110 | $ 382,547 |
Repurchase Agreements | Non-agency MBS and Loans held for investment | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Secured financing agreements outstanding principal secured by: | 2,551,941 | 3,083,551 |
Average balance of Secured financing agreements secured by: | $ 2,770,022 | $ 2,819,871 |
Average borrowing rate of Secured financing agreements secured by: | 8.07% | 6.86% |
Average remaining maturity of Secured financing agreements secured by: | 436 days | 474 days |
Average original maturity of Secured financing agreements secured by: | 462 days | 499 days |
Repurchase Agreements | Non-agency MBS and Loans held for investment | Asset Pledged as Collateral | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
MBS pledged as collateral at fair value on Secured financing agreements: | $ 3,590,575 | $ 4,310,513 |
Secured Financing Agreements - Maturities (Details) - USD ($) $ in Thousands |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Assets Sold under Agreements to Repurchase [Line Items] | ||
Principal | $ 2,603,911 | $ 3,434,765 |
Debt issuance costs, net | 1,000 | 1,000 |
Repurchase Agreements | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Principal | 2,631,692 | 3,443,431 |
Repurchase Agreements | Overnight | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Principal | 0 | 0 |
Repurchase Agreements | 1 to 29 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Principal | 200,131 | 493,918 |
Repurchase Agreements | 30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Principal | 490,698 | 762,768 |
Repurchase Agreements | 60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Principal | 93,144 | 225,497 |
Repurchase Agreements | 90 to 119 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Principal | 84,854 | 43,180 |
Repurchase Agreements | 120 to 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Principal | 364,014 | 401,638 |
Repurchase Agreements | 180 days to 1 year | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Principal | 192,722 | 402,283 |
Repurchase Agreements | 1 to 2 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Principal | 838,510 | 251,286 |
Repurchase Agreements | 2 to 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Principal | 0 | 480,022 |
Repurchase Agreements | Greater than 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Principal | $ 367,619 | $ 382,839 |
Repurchase Agreements | Weighted Average Borrowing Rates | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 7.99% | 6.61% |
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 29 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 7.62% | 4.66% |
Repurchase Agreements | Weighted Average Borrowing Rates | 30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 6.57% | 6.14% |
Repurchase Agreements | Weighted Average Borrowing Rates | 60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 6.46% | 6.04% |
Repurchase Agreements | Weighted Average Borrowing Rates | 90 to 119 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 6.54% | 6.54% |
Repurchase Agreements | Weighted Average Borrowing Rates | 120 to 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 7.27% | 5.88% |
Repurchase Agreements | Weighted Average Borrowing Rates | 180 days to 1 year | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 6.67% | 6.06% |
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 2 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 11.10% | 13.98% |
Repurchase Agreements | Weighted Average Borrowing Rates | 2 to 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 0.00% | 8.07% |
Repurchase Agreements | Weighted Average Borrowing Rates | Greater than 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 5.11% | 5.14% |
Repurchase Agreements | Minimum | 1 to 29 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 6.23% | 3.63% |
Repurchase Agreements | Minimum | 30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 5.47% | 4.60% |
Repurchase Agreements | Minimum | 60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 6.31% | 4.70% |
Repurchase Agreements | Minimum | 90 to 119 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 6.48% | 5.50% |
Repurchase Agreements | Minimum | 120 to 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 6.42% | 5.57% |
Repurchase Agreements | Minimum | 180 days to 1 year | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 6.64% | 5.63% |
Repurchase Agreements | Minimum | 1 to 2 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 9.07% | 13.98% |
Repurchase Agreements | Minimum | 2 to 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 0.00% | 8.07% |
Repurchase Agreements | Minimum | Greater than 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 5.10% | 5.10% |
Repurchase Agreements | Maximum | 1 to 29 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 8.17% | 6.16% |
Repurchase Agreements | Maximum | 30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 7.87% | 7.34% |
Repurchase Agreements | Maximum | 60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 7.16% | 7.12% |
Repurchase Agreements | Maximum | 90 to 119 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 7.24% | 6.70% |
Repurchase Agreements | Maximum | 120 to 180 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 7.85% | 6.92% |
Repurchase Agreements | Maximum | 180 days to 1 year | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 6.67% | 6.64% |
Repurchase Agreements | Maximum | 1 to 2 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 13.98% | 13.98% |
Repurchase Agreements | Maximum | 2 to 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 0.00% | 8.07% |
Repurchase Agreements | Maximum | Greater than 3 years | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Borrowing rates (as a percent) | 7.06% | 6.07% |
Securitized Debt - Narrative (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
Dec. 31, 2022 |
|
Debt Instrument [Line Items] | |||||
Gains (losses) on extinguishment of debt | $ 0 | $ 0 | $ 6,348 | $ (2,897) | |
Variable Interest Entities, Primary Beneficiary | Non-Agency RMBS | Securitized Loans | |||||
Debt Instrument [Line Items] | |||||
Principal balance | $ 110,000 | $ 110,000 | $ 110,000 | ||
Weighted average cost of financing (as a percent) | 6.70% | 6.70% | 6.70% | ||
Variable Interest Entities, Primary Beneficiary | Securitized debt | Securitized Loans | |||||
Debt Instrument [Line Items] | |||||
Principal balance | $ 8,500,000 | $ 8,500,000 | $ 7,900,000 | ||
Weighted average cost of financing (as a percent) | 3.30% | 3.30% | 2.80% | ||
Acquired securitized debt collateral outstanding principal balance | $ 0 | $ 0 | $ 551,000 | $ 0 | |
Repurchase of non retained secured debt | 545,000 | ||||
Gains (losses) on extinguishment of debt | $ 6,000 |
Securitized Debt - Maturities of Long-Term Debt (Details) - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Securitized debt | ||
Debt Instrument [Line Items] | ||
Within One Year | $ 1,488,382 | $ 1,636,544 |
One to Three Years | 2,416,199 | 2,535,642 |
Three to Five Years | 1,802,768 | 1,733,022 |
Greater Than Five Years | 2,806,476 | 1,949,240 |
Total | 8,513,825 | 7,854,448 |
Securitized Loans | Non-Agency RMBS | ||
Debt Instrument [Line Items] | ||
Within One Year | 311 | 640 |
One to Three Years | 379 | 523 |
Three to Five Years | 0 | 71 |
Greater Than Five Years | 81 | 92 |
Total | $ 771 | $ 1,326 |
Securitized Debt - Callable Debt (Details) - Securitized Loans $ in Thousands |
Sep. 30, 2023
USD ($)
|
---|---|
Debt Instrument, Redemption [Line Items] | |
Currently callable | $ 1,601,525 |
2023 | 503,948 |
2024 | 1,233,096 |
2025 | 2,537,672 |
2026 | 605,287 |
2027 | 774,494 |
2028 | 620,637 |
Total | $ 7,876,659 |
Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
Dec. 31, 2022 |
|
Variable Interest Entity, Not Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $ 780 | $ 780 | $ 813 | ||
Non-Agency RMBS | Variable Interest Entity, Not Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Unconsolidated VIEs, individual investments | 775 | 775 | 871 | ||
Non-Agency RMBS | Minimum | Variable Interest Entity, Not Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Unconsolidated VIEs, individual investments | 1 | 1 | 1 | ||
Non-Agency RMBS | Maximum | Variable Interest Entity, Not Primary Beneficiary | |||||
Variable Interest Entity [Line Items] | |||||
Unconsolidated VIEs, individual investments | 20 | 20 | $ 23 | ||
Subprime | Residential Mortgage | |||||
Variable Interest Entity [Line Items] | |||||
Financing receivable, purchases | $ 0 | $ 370 | $ 2,600 | $ 2,500 |
Consolidated Securitization Vehicles and Other Variable Interest Entities - Assets and Liabilities Related to the Consolidated VIEs (Details) - USD ($) $ in Thousands |
Sep. 30, 2023 |
Jun. 30, 2023 |
Dec. 31, 2022 |
Sep. 30, 2022 |
Jun. 30, 2022 |
Dec. 31, 2021 |
||
---|---|---|---|---|---|---|---|---|
Assets: | ||||||||
Non-Agency RMBS, at fair value | $ 1,024,609 | $ 1,147,481 | ||||||
Loans held for investment, at fair value | 11,426,932 | 11,359,236 | ||||||
Accrued interest receivable | 72,815 | 61,768 | ||||||
Other assets | 96,764 | 133,866 | ||||||
Total assets | [1] | 12,887,417 | 13,401,991 | |||||
Liabilities: | ||||||||
Securitized debt, collateralized by Non-Agency RMBS | 75,819 | 78,542 | ||||||
Securitized debt at fair value, collateralized by Loans held for investment | 7,598,721 | 7,100,742 | ||||||
Accrued interest payable | 35,670 | 30,696 | ||||||
Other liabilities | 22,721 | 16,616 | ||||||
Total liabilities | [1] | 10,392,960 | 10,735,188 | |||||
Allowance for credit losses | 16,230 | $ 13,013 | 7,188 | $ 3,355 | $ 4,890 | $ 213 | ||
Non-Agency RMBS | ||||||||
Liabilities: | ||||||||
Allowance for credit losses | 16,000 | 7,000 | ||||||
Variable Interest Entities, Primary Beneficiary | ||||||||
Assets: | ||||||||
Non-Agency RMBS, at fair value | 249,825 | 276,030 | ||||||
Loans held for investment, at fair value | 10,440,568 | 9,855,390 | ||||||
Accrued interest receivable | 53,602 | 47,553 | ||||||
Other assets | 14,566 | 20,293 | ||||||
Total assets | 10,758,561 | 10,199,266 | ||||||
Liabilities: | ||||||||
Securitized debt, collateralized by Non-Agency RMBS | 75,819 | 78,542 | ||||||
Securitized debt at fair value, collateralized by Loans held for investment | 7,236,558 | 6,673,917 | ||||||
Accrued interest payable | 23,421 | 17,427 | ||||||
Other liabilities | 2,188 | 2,239 | ||||||
Total liabilities | 7,337,986 | 6,772,125 | ||||||
Variable Interest Entities, Primary Beneficiary | Non-Agency RMBS | ||||||||
Liabilities: | ||||||||
Allowance for credit losses | $ 5,000 | $ 2,000 | ||||||
|
Consolidated Securitization Vehicles and Other Variable Interest Entities - Income, OTTI and Expense Amounts Related to Consolidated VIEs (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Variable Interest Entity [Line Items] | ||||
Net interest income | $ 63,398 | $ 104,839 | $ 198,712 | $ 359,432 |
(Increase) decrease in provision for credit losses | (9,041) | (3,203) | ||
Servicing and asset manager fees | 8,139 | 8,516 | 24,965 | 27,122 |
Variable Interest Entities, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
(Increase) decrease in provision for credit losses | (1,560) | 2,284 | (3,519) | (859) |
Servicing and asset manager fees | 7,199 | 6,701 | 21,403 | 20,256 |
Non Agency Residential Mortgage Backed Securities And Securitized Loans | Variable Interest Entities, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income, Assets of consolidated VIEs | 153,710 | 139,598 | 443,286 | 410,873 |
Interest expense, Non-recourse liabilities of VIEs | 75,902 | 50,030 | 208,678 | 142,714 |
Net interest income | $ 77,808 | $ 89,568 | $ 234,608 | $ 268,159 |
Derivative Instruments - Additional Information (Details) $ in Thousands |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2023
USD ($)
swap
|
Sep. 30, 2022
USD ($)
swap
|
Sep. 30, 2023
USD ($)
swap
contract
|
Sep. 30, 2022
USD ($)
swap
|
Dec. 31, 2022
USD ($)
|
|
Derivative [Line Items] | |||||
Number of derivative contracts terminated | swap | 0 | 0 | |||
Derivative contracts entered into during period | swap | 0 | ||||
Notional amount | $ 2,500,000 | $ 2,500,000 | $ 2,485,000 | ||
Net realized gains (losses) on derivatives | 0 | $ 0 | (40,957) | $ 0 | |
Future | |||||
Derivative [Line Items] | |||||
Notional amount | 0 | 0 | |||
Net realized gains (losses) on derivatives | 0 | $ 0 | $ (6,344) | $ 0 | |
Future | 5 Year U.S. Treasury Future | |||||
Derivative [Line Items] | |||||
Derivative contracts entered into during period | swap | 6,000 | ||||
Length of contract | 5 years | ||||
Notional amount | 600,000 | $ 600,000 | |||
Future | 2 Year U.S. Treasury Future | |||||
Derivative [Line Items] | |||||
Derivative contracts entered into during period | swap | 1,875 | ||||
Length of contract | 2 years | ||||
Notional amount | $ 375,000 | $ 375,000 | |||
Interest Rate Swaps | |||||
Derivative [Line Items] | |||||
Derivative weighted average pay rate | 3.26% | 3.94% | 3.26% | 3.94% | 4.07% |
Derivative weighted average receive rate | 5.31% | 2.98% | 5.31% | 2.98% | 4.30% |
Derivative remaining maturity | 1 year | 1 year | 4 years | ||
Derivative contracts entered into during period | swap | 2 | 2 | |||
Payments to terminate derivatives | $ 45,000 | ||||
Derivative, notional amount of derivative terminated | 2,500,000 | ||||
Notional amount | $ 1,000,000 | $ 885,000 | 1,000,000 | $ 885,000 | $ 1,485,000 |
Net realized gains (losses) on derivatives | $ 0 | $ 0 | $ (45,226) | $ 0 | |
Derivative weighted average maturity | 3 years | 3 years | |||
Interest Rate Swaps | Minimum | |||||
Derivative [Line Items] | |||||
Derivative remaining maturity | 2 years | 2 years | |||
Interest Rate Swaps | Maximum | |||||
Derivative [Line Items] | |||||
Derivative remaining maturity | 5 years | 5 years | |||
Swaptions | |||||
Derivative [Line Items] | |||||
Number of derivative contracts terminated | swap | 3 | 3 | |||
Derivative contracts entered into during period | swap | 3 | ||||
Derivative, notional amount of derivative terminated | $ 1,000,000 | ||||
Length of contract | 1 year | 1 year | |||
Notional amount | $ 1,500,000 | $ 1,000,000 | $ 1,500,000 | $ 1,000,000 | $ 1,000,000 |
Strike rate | 3.26% | 3.26% | |||
Derivative interest rate | 3.56% | 3.56% | |||
Net realized gains (losses) on derivatives | $ 0 | $ 0 | $ 10,613 | ||
Swaptions | Three Swaptions, 3 years, 3.56% strike rate | |||||
Derivative [Line Items] | |||||
Notional amount | $ 1,500,000 | $ 1,500,000 | |||
Strike rate | 3.56% | 3.56% | |||
New Swap | |||||
Derivative [Line Items] | |||||
Derivative, notional amount of derivative terminated | $ 2,300,000 | ||||
Options on Treasury futures | |||||
Derivative [Line Items] | |||||
Derivative contracts entered into during period | contract | 400 | ||||
Net realized gains (losses) on derivatives | $ (187) | ||||
Options on Treasury futures | 5 Year U.S. Treasury Future | |||||
Derivative [Line Items] | |||||
Length of contract | 5 years | ||||
Options on Treasury futures | 2 Year U.S. Treasury Future | |||||
Derivative [Line Items] | |||||
Length of contract | 2 years |
Derivative Instruments - Fair Value of Reported Derivatives (Details) - USD ($) $ in Thousands |
Sep. 30, 2023 |
Dec. 31, 2022 |
Sep. 30, 2022 |
---|---|---|---|
Derivatives, Fair Value [Line Items] | |||
Notional Amount Outstanding | $ 2,500,000 | $ 2,485,000 | |
Derivative assets, at fair value | 0 | 4,096 | |
Derivative liabilities, at fair value | 0 | 0 | |
Future | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount Outstanding | 0 | ||
Derivative assets, at fair value | 0 | ||
Derivative liabilities, at fair value | 0 | ||
Interest Rate Swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount Outstanding | 1,000,000 | 1,485,000 | $ 885,000 |
Derivative assets, at fair value | 0 | 3,716 | |
Derivative liabilities, at fair value | 0 | 0 | |
Swaptions | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount Outstanding | 1,500,000 | 1,000,000 | $ 1,000,000 |
Derivative assets, at fair value | 0 | 380 | |
Derivative liabilities, at fair value | $ 0 | $ 0 |
Derivative Instruments - Effect of the Company’s Derivatives on the Consolidated Statements of Operations (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net unrealized gains (losses) on derivatives | $ 17 | $ 10,307 | $ 9,460 | $ 8,689 |
Net realized gains (losses) on derivatives | 0 | 0 | (40,957) | 0 |
Periodic interest cost of swaps, net | 4,894 | (122) | 11,871 | (122) |
Total | 4,911 | 10,185 | (19,626) | 8,567 |
Future | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net unrealized gains (losses) on derivatives | 0 | 0 | 0 | 0 |
Net realized gains (losses) on derivatives | 0 | 0 | (6,344) | 0 |
Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net unrealized gains (losses) on derivatives | (4,422) | 3,718 | 6,510 | 3,718 |
Net realized gains (losses) on derivatives | 0 | 0 | (45,226) | 0 |
Periodic interest cost of swaps, net | 4,894 | (122) | (122) | |
Swaptions | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net unrealized gains (losses) on derivatives | 4,439 | 6,589 | 2,950 | 4,971 |
Net realized gains (losses) on derivatives | $ 0 | $ 0 | $ 10,613 |
Capital Stock - Preferred Stock (Details) $ / shares in Units, $ in Thousands |
3 Months Ended | 9 Months Ended | 12 Months Ended | |||
---|---|---|---|---|---|---|
Sep. 30, 2023
USD ($)
$ / shares
shares
|
Sep. 30, 2022
USD ($)
$ / shares
|
Sep. 30, 2023
USD ($)
$ / shares
shares
|
Sep. 30, 2022
USD ($)
$ / shares
|
Dec. 31, 2022
USD ($)
shares
|
Oct. 30, 2021
USD ($)
shares
|
|
Class of Stock [Line Items] | ||||||
Dividends on preferred stock | $ 18,438 | $ 18,438 | $ 55,313 | $ 55,283 | ||
Tenor spread adjustment | 0.0026161 | 0.0026161 | ||||
Series A Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Dividends on preferred stock | $ 3,000 | $ 3,000 | $ 9,000 | $ 9,000 | ||
Preferred stock dividends declared (in dollars per share) | $ / shares | $ 0.50 | $ 0.50 | $ 1.50 | $ 1.50 | ||
Preferred stock, shares outstanding (in shares) | shares | 5,800,000 | 5,800,000 | 5,800,000 | 5,800,000 | ||
Preferred Stock, liquidation preference | $ 145,000 | $ 145,000 | $ 145,000 | $ 145,000 | ||
Preferred stock, dividend rate (percent) | 8.00% | 8.00% | ||||
Series B Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Dividends on preferred stock | $ 7,000 | $ 7,000 | $ 20,000 | $ 20,000 | ||
Preferred stock dividends declared (in dollars per share) | $ / shares | $ 0.50 | $ 0.50 | $ 1.50 | $ 1.50 | ||
Preferred stock, shares outstanding (in shares) | shares | 13,000,000 | 13,000,000 | 13,000,000 | |||
Preferred Stock, liquidation preference | $ 325,000 | $ 325,000 | $ 325,000 | |||
Preferred stock, dividend rate (percent) | 8.00% | 8.00% | 8.00% | |||
Series C Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Dividends on preferred stock | $ 5,000 | $ 5,000 | $ 15,000 | $ 15,000 | ||
Preferred stock dividends declared (in dollars per share) | $ / shares | $ 0.484375 | $ 0.484375 | $ 1.453125 | $ 1.453125 | ||
Preferred stock, shares outstanding (in shares) | shares | 10,400,000 | 10,400,000 | 10,400,000 | |||
Preferred Stock, liquidation preference | $ 260,000 | $ 260,000 | $ 260,000 | |||
Preferred stock, dividend rate (percent) | 7.75% | 7.75% | 7.75% | |||
Series D Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Dividends on preferred stock | $ 4,000 | $ 4,000 | $ 12,000 | $ 12,000 | ||
Preferred stock dividends declared (in dollars per share) | $ / shares | $ 0.50 | $ 0.50 | $ 1.50 | $ 1.50 | ||
Preferred stock, shares outstanding (in shares) | shares | 8,000,000 | 8,000,000 | 8,000,000 | |||
Preferred Stock, liquidation preference | $ 200,000 | $ 200,000 | $ 200,000 | |||
Preferred stock, dividend rate (percent) | 8.00% | 8.00% | 8.00% |
Capital Stock - Common Stock (Details) - USD ($) $ / shares in Units, shares in Millions |
1 Months Ended | 3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|---|
Jun. 30, 2023 |
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
Feb. 28, 2022 |
|
Class of Stock [Line Items] | ||||||
Stock repurchase program, increase in authorized amount | $ 73,000,000 | |||||
Stock repurchase program, authorized amount | $ 250,000,000 | |||||
Stock repurchased during period (in shares) | 0.0 | 0.0 | 5.8 | 5.4 | ||
Stock repurchased during period, average price (in dollars per share) | $ 5.66 | $ 9.10 | ||||
Stock repurchased during period | $ 33,102,000 | $ 48,886,000 | ||||
Remaining authorized repurchase amount | $ 217,000,000 | 217,000,000 | ||||
Common dividends declared | $ 41,562,000 | $ 55,525,000 | 137,812,000 | $ 211,933,000 | ||
Securities excluded from computation of EPS (in shares) | 2.0 | 2.4 | 2.4 | |||
Regular Dividend | ||||||
Class of Stock [Line Items] | ||||||
Common dividends declared | $ 42,000,000 | $ 138,000,000 | ||||
Dividends declared per share of common stock (in dollars per share) | $ 0.18 | $ 0.23 | $ 0.59 | $ 0.89 | ||
Sales Agreements | ||||||
Class of Stock [Line Items] | ||||||
Aggregate offering price | $ 500,000,000 |
Capital Stock - Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Numerator: | ||||
Net income (loss) available to common shareholders - Basic | $ (16,268) | $ (204,583) | $ 40,248 | $ (665,549) |
Effect of dilutive securities: | 0 | 0 | 0 | 0 |
Net income (loss) available to common shareholders - Diluted | $ (16,268) | $ (204,583) | $ 40,248 | $ (665,549) |
Denominator: | ||||
Weighted average basic shares (in shares) | 226,734,643 | 231,750,422 | 230,099,867 | 234,671,912 |
Effect of dilutive securities (in shares) | 0 | 0 | 2,188,451 | 0 |
Weighted average dilutive shares (in shares) | 226,734,643 | 231,750,422 | 232,288,318 | 234,671,912 |
Net income (loss) per average share attributable to common stockholders - Basic (in dollars per share) | $ (0.07) | $ (0.88) | $ 0.17 | $ (2.84) |
Net income (loss) per average share attributable to common stockholders - Diluted (in dollars per share) | $ (0.07) | $ (0.88) | $ 0.17 | $ (2.84) |
Accumulated Other Comprehensive Income - Schedule of Components of AOCI (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
AOCI [Roll Forward] | ||||
Beginning Balance | $ 2,579,403 | $ 2,972,999 | $ 2,666,803 | $ 3,736,191 |
OCI before reclassifications | (49,431) | (160,850) | ||
Amounts reclassified from AOCI | 1,313 | 0 | ||
Other comprehensive income (loss) | (29,447) | (61,526) | (48,118) | (160,850) |
Ending Balance | 2,494,457 | 2,653,704 | 2,494,457 | 2,653,704 |
Accumulated Other Comprehensive Income | ||||
AOCI [Roll Forward] | ||||
Beginning Balance | 210,674 | 305,730 | 229,345 | 405,054 |
Other comprehensive income (loss) | (29,447) | (61,526) | (48,118) | (160,850) |
Ending Balance | 181,227 | 244,204 | 181,227 | 244,204 |
Unrealized gains (losses) on available-for-sale securities, net | ||||
AOCI [Roll Forward] | ||||
Beginning Balance | 229,345 | 405,054 | ||
OCI before reclassifications | (49,431) | (160,850) | ||
Amounts reclassified from AOCI | 1,313 | 0 | ||
Other comprehensive income (loss) | (48,118) | (160,850) | ||
Ending Balance | $ 181,227 | $ 244,204 | $ 181,227 | $ 244,204 |
Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Details) |
3 Months Ended | 9 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 30, 2023
USD ($)
shares
|
Sep. 30, 2022
USD ($)
shares
|
Sep. 30, 2023
USD ($)
installment
shares
|
Sep. 30, 2022
USD ($)
shares
|
Jun. 14, 2023
shares
|
Dec. 31, 2022
shares
|
|
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Common stock, shares authorized (in shares) | shares | 500,000,000 | 500,000,000 | 20,000,000 | 500,000,000 | ||
Shares available for future grants (in shares) | shares | 20,000,000 | 20,000,000 | ||||
Common dividends declared | $ | $ 2,000,000 | $ 2,000,000 | $ 6,000,000 | $ 5,000,000 | ||
401(k) Plan | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Maximum employee contribution to plan if under the age of 50 | $ | 22,500 | |||||
Maximum catch-up contribution if over the age of 50 | $ | 7,500 | |||||
Expense related to qualified plan | $ | $ 96,000 | $ 95,000 | $ 353,000 | $ 423,000 | ||
Maximum | 401(k) Plan | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Employer matching contribution, percent of match | 100.00% | |||||
Employer matching contribution, percent of employees' gross pay | 6.00% | |||||
Stock Award Deferral Program | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Number of installments | installment | 5 | |||||
Deferred Stock Units | 2007 Equity Incentive Plan | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Awards reserved for future issuance (in shares) | shares | 1,000,000 | 1,000,000 | 1,000,000 | |||
Dividend Equivalent Rights | 2007 Equity Incentive Plan | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Awards reserved for future issuance (in shares) | shares | 1,000,000 | 1,000,000 | 1,000,000 | |||
Restricted Stock Units (RSUs) | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Performance period | 3 years | 3 years | ||||
Granted shares (in shares) | shares | 0 | 0 | 817,000 | 221,000 | ||
Grant date fair value | $ | $ 5,000,000 | $ 3,000,000 | ||||
Restricted Stock Units (RSUs) | 2007 Equity Incentive Plan | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Vesting period | 3 years | 3 years | ||||
Performance Share Units | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Performance period | 3 years | 3 years | ||||
Granted shares (in shares) | shares | 0 | 0 | 605,000 | 128,000 | ||
Grant date fair value | $ | $ 3,000,000 | $ 2,000,000 | ||||
Performance Share Units | Minimum | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Vesting percentage | 0.00% | |||||
Performance Share Units | Maximum | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Vesting percentage | 200.00% | |||||
First Anniversary | Restricted Stock Units (RSUs) | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Vesting percentage | 33.33% | |||||
First Anniversary | Performance Share Units | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Vesting percentage | 33.33% | |||||
Second Anniversary | Restricted Stock Units (RSUs) | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Vesting percentage | 33.33% | |||||
Second Anniversary | Performance Share Units | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Vesting percentage | 33.33% | |||||
Third Anniversary | Restricted Stock Units (RSUs) | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Vesting percentage | 33.33% | |||||
Third Anniversary | Performance Share Units | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Vesting percentage | 33.33% |
Income Taxes (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Income Tax Disclosure [Abstract] | ||||
Income tax expense | $ 75 | $ 4 | $ 100 | $ 28 |
Credit Risk and Interest Rate Risk (Details) - USD ($) $ in Thousands |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Secured financing agreements | ||
Gross Amounts of Recognized Assets (Liabilities) | $ (2,603,911) | $ (3,434,765) |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | (2,603,911) | (3,434,765) |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 3,670,685 | 4,699,722 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 23,490 | 33,415 |
Net Amount | 1,090,264 | 1,298,373 |
Derivative Asset | ||
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 4,096 |
Derivative Liability | ||
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Total Repurchase Agreements and Swaptions | ||
Gross Amounts of Recognized Assets (Liabilities) | (2,569,223) | |
Gross Amounts Offset in the Consolidated Statements of Financial Position | (34,688) | |
Net Amounts Offset in the Consolidated Statements of Financial Position | (2,603,911) | |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 3,670,685 | |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 20,164 | |
Net Amount | 1,086,938 | |
Total Derivative Liabilities, Securities Sold and Securities Loaned | ||
Gross Amounts of Recognized Assets (Liabilities) | (3,430,046) | |
Gross Amounts Offset in the Consolidated Statements of Financial Position | (623) | |
Net Amounts Offset in the Consolidated Statements of Financial Position | (3,430,669) | |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 4,699,722 | |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 74,271 | |
Net Amount | 1,343,326 | |
Interest Rate Swaps | ||
Derivative Asset | ||
Gross Amounts of Recognized Assets (Liabilities) | 13,468 | 3,716 |
Gross Amounts Offset in the Consolidated Statements of Financial Position | (13,468) | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 3,716 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | (3,096) | 13,179 |
Net Amount | (3,096) | 16,895 |
Derivative Liability | ||
Gross Amounts of Recognized Assets (Liabilities) | (14,074) | |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 14,074 | |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 27,678 | |
Net Amount | 27,678 | |
Swaptions | ||
Derivative Asset | ||
Gross Amounts of Recognized Assets (Liabilities) | 21,220 | 15,077 |
Gross Amounts Offset in the Consolidated Statements of Financial Position | (21,220) | (14,697) |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 380 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | (230) | 0 |
Net Amount | (230) | 380 |
Derivative Liability | ||
Net Amounts Offset in the Consolidated Statements of Financial Position | $ 0 | $ 0 |
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